N-CSRS

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UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549

FORM N-CSRS

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-4815

Ultra Series Fund
(Exact name of registrant as specified in charter)

550 Science Drive, Madison, WI 53711
(Address of principal executive offices)(Zip code)

Kevin S. Thompson
Chief Legal Officer
550 Science Drive
Madison, WI 53711
(Name and address of agent for service)

Registrant’s telephone number, including area code:   608-274-0300

Date of fiscal year end:   December 31

Date of reporting period:   June 30, 2018

Form N-CSRS is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSRS in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSRS, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSRS unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

Item 1. Certified Financial Statement

Semi-annual Report  

June 30, 2018  

  ULTRA SERIES FUND

  Conservative Allocation Fund

  Moderate Allocation Fund

  Aggressive Allocation Fund

  Core Bond Fund

  High Income Fund

  Diversified Income Fund

  Large Cap Value Fund

  Large Cap Growth Fund

  Mid Cap Fund

  International Stock Fund

Ultra Series Fund | June 30, 2018

 Table of Contents

	Page
Economic Overview and Market Outlook	2
Review of Period
Allocation Funds Summary	3
Conservative Allocation Fund	3
Moderate Allocation Fund	3
Aggressive Allocation Fund	4
Core Bond Fund	4
High Income Fund	4
Diversified Income Fund	5
Large Cap Value Fund	5
Large Cap Growth Fund	6
Mid Cap Fund	6
International Stock Fund	7
Benchmark Descriptions	8
Portfolios of Investments
Conservative Allocation Fund	10
Moderate Allocation Fund	11
Aggressive Allocation Fund	12
Core Bond Fund	13
High Income Fund	17
Diversified Income Fund	19
Large Cap Value Fund	24
Large Cap Growth Fund	25
Mid Cap Fund	26
International Stock Fund	27
Financial Statements
Statements of Assets and Liabilities	29
Statements of Operations	31
Statements of Changes in Net Assets	33
Financial Highlights	37
Notes to Financial Statements	47
Other Information	61

Nondeposit investment products are not federally insured, involve investment risk, may lose value and are not obligations of or guaranteed by any financial institution. For more complete information about Ultra Series Fund, including charges and expenses, request a prospectus from your financial advisor or from CMFG Life Insurance Company, 2000 Heritage Way, Waverly, IA 50677.

Consider the investment objectives, risks, and charges and expenses of any fund carefully before investing. The prospectus contains this and other information about the investment company. For more current Ultra Series Fund performance information, please call 1-800-670-3600. Current performance may be lower or higher than the performance data quoted within. Past performance does not guarantee future results. Nothing in this report represents a recommendation of a security by the investment adviser. Portfolio holdings may have changed since the date of this report.

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Ultra Series Fund | June 30, 2018

Economic Overview and Market Outlook

Volatility continued in the second quarter with both stocks and bonds experiencing large swings as investors reacted to shifting interest rates, robust corporate earnings, trade tensions and continued tightening of U.S. monetary policy. Despite the rough ride, U.S. stocks posted gains with the S&P 500^® Index advancing 3.43%, and the Russell Midcap^® Index gaining 2.82%. Bond returns were flat to negative as interest rates increased, resulting in the Bloomberg Barclays Intermediate Gov./Credit Index advancing 0.01% and the Bloomberg Barclays Aggregate Index declining (0.16)% during the quarter. Although U.S. equity markets were positive, continued concerns over trade policy led to losses in overseas stocks as the MSCI EAFE^® Index (net) declined (1.24)% (+3.47% excluding currency effect).

Much of this year’s stock market gain has been fueled by technology companies. In fact, the trend has been so powerful that Amazon (up 45.4% YTD) alone has accounted for nearly one-third of the S&P 500^®’s return. The top 10 contributors to the S&P 500^® return so far in 2018 are all technology related companies. Without those companies, the Index return would be negative for the year. Somewhat reminiscent of the 2000’s tech bubble, this dominance has resulted in a skew of the S&P 500^® Index away from defensive companies leaving investors in index-tracking funds overexposed to richly valued stocks that may be vulnerable to a market pull-back.

During the quarter, trade tensions were a key source of volatility. It remains unclear whether the most extreme threats of tariffs are merely the administration’s opening salvo or legitimately likely to occur. Most recently, the administration announced potential tariffs on an additional $200 billion of imports from China, on top of the $50 billion that had already been announced. Restrictions over Chinese investments in U.S. technology and a 20% tariff on European autos were also threatened. Without doubt, these actions have impacted markets as China’s Shanghai Composite Index declined over 20%, putting it into “bear” territory. The direct impact of these tariffs may be apparent. Less clear are the second-order effects, such as, the impact on business confidence, supply-chain disruptions, a stronger dollar and retaliatory actions. As we have pointed out in the past, while there are winners and losers in global trade, aggregate trade is beneficial to global economic growth. Any significant disruption of trade will likely result in a downshift of global growth expectations.

Meanwhile, the Federal Reserve (Fed) voted to raise its short-term interest rate by 0.25% (to a range of 1.75% to 2.00%) and continued to shrink its balance sheet. Since last September, the Fed’s holdings have declined by $128 billion (to $4.1 trillion). Starting in July, the pace of unwinding is scheduled to increase to a rate of $120 billion per quarter (up from $90 billion in the current quarter). At the same time the U.S. government is increasing its sale of Treasuries to cover the larger budget deficit from recent tax cuts. Projections indicate net issuance of $1.17 trillion this year and a similar amount in 2019. All things being equal, the additional supply of debt securities should continue to pressure interest rates higher.

As we pointed out last quarter, this year’s increase in volatility is just a return to a more typical pattern of ups and downs that the market traditionally exhibits. What makes it notable is the historic lack of volatility in 2017 that lulled investors into thinking there wasn’t much “risk” in “risky” assets. The S&P 500^® first quarter earnings were excellent, with growth greater than 25% on a year-over-year basis, the best rate since 2010. While tax reform influenced these results, the biggest driver was accelerating economic growth. Data from the Manufacturing Sector indicated robust growth (ISM Index averaged near 60 on a year-to-date basis) and a 20% jump in oil prices helped drive strong results in the Energy Sector (the best performing sector in the S&P 500^® for 2Q).

As we begin the second-half of 2018, continued volatility should be expected as the market weighs accelerating U.S. economic growth, robust earnings and strong employment figures against tighter monetary policy, higher interest rates and escalating trade tensions. The near record length economic expansion will come to an end at some point and markets will likely sell off in advance. Accurately predicting that point is nearly impossible, making market timing a futile endeavor. With this in mind, we continue to believe investors are best served by choosing risk assets based upon investment time horizon and risk tolerance. This approach, along with investing in stocks of lower-risk, higher-quality companies and shorter-duration, higher-quality bonds, should allow investors to participate in the market while providing some shelter as we experience more typical market volatility.

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Ultra Series Fund | June 30, 2018

Review of Period (unaudited)

ALLOCATION FUNDS SUMMARY

The Ultra Series Conservative Allocation, Moderate Allocation and Aggressive Allocation Funds (the “Funds”) invest primarily in shares of registered investment companies (the “Underlying Funds”). The Funds will be diversified among a number of asset classes and their allocation among Underlying Funds will be based on an asset allocation model developed by Madison Asset Management, LLC (“Madison”), the Funds’ investment adviser. The team may use multiple analytical approaches to determine the appropriate asset allocation, including:

• Asset allocation optimization analysis – considers the degree to which returns in different asset classes do or do not move together, and the Funds’ aim to achieve a favorable overall risk profile for any targeted portfolio return.

• Scenario analysis – historical and expected return data is analyzed to model how individual asset classes and combinations of asset classes would affect the Funds under different economic and market conditions.

• Fundamental analysis – draws upon Madison’s investment teams to judge each asset class against current and forecasted market conditions. Economic, industry and security analysis is used to develop return and risk expectations that may influence asset class selection. In addition, Madison has a flexible mandate which permits the Funds, at the sole discretion of Madison, to materially reduce equity risk exposures when and if conditions are deemed to warrant such an action.

CONSERVATIVE ALLOCATION FUND

INVESTMENT STRATEGY HIGHLIGHTS

Under normal circumstances, the Ultra Series Conservative Allocation Fund’s total net assets will be allocated among various asset classes and Underlying Funds, including those whose shares trade on a stock exchange (exchange traded funds or “ETFs”), with target allocations over time of approximately 35% equity investments and 65% fixed income investments. Underlying Funds in which the Fund invests may include funds advised by Madison and/or its affiliates, including the Madison Funds (the “Affiliated Underlying Funds”). Generally, Madison will not invest more than 75% of the Fund’s net assets, at the time of purchase, in Affiliated Underlying Funds.

PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/18
Bond Funds	62.5%
Collateral for Securities on Loan	1.9%
Foreign Stock Funds	8.8%
Money Market Funds	3.8%
Stock Funds	24.8%
Net Other Assets and Liabilities	(1.8)%

PERFORMANCE DISCUSSION

The Ultra Series Conservative Allocation Fund (Class I) returned (0.70)% during the period, slightly underperforming the Conservative Allocation Fund Custom Index return of (0.60)% and the Morningstar Conservative Allocation Category peer group, which returned (0.65)%.

MODERATE ALLOCATION FUND

INVESTMENT STRATEGY HIGHLIGHTS

Under normal circumstances, the Ultra Series Moderate Allocation Fund’s total net assets will be allocated among various asset classes and Underlying Funds, including those whose shares trade on a stock exchange (exchange traded funds or “ETFs”), with target allocations over time of approximately 60% equity investments and 40% fixed income investments. Underlying Funds in which the Fund invests may include Affiliated Underlying Funds. Generally, Madison will not invest more than 75% of the Fund’s net assets, at the time of purchase, in Affiliated Underlying Funds.

PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/18
Bond Funds	37.6%
Collateral for Securities on Loan	2.6%
Foreign Stock Funds	15.8%
Money Market Funds	4.5%
Stock Funds	41.9%
Net Other Assets and Liabilities	(2.4)%

PERFORMANCE DISCUSSION

The Ultra Series Moderate Allocation Fund (Class I) returned (0.43)% during the period, underperforming the Moderate

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Ultra Series Fund | Review of Period (unaudited) - continued | June 30, 2018

Allocation Fund Custom Index return of 0.08% and the Morningstar Moderate Allocation Category peer group, which returned 0.17%.

AGGRESSIVE ALLOCATION FUND

INVESTMENT STRATEGY HIGHLIGHTS

Under normal circumstances, the Ultra Series Aggressive Allocation Fund’s total net assets will be allocated among various asset classes and Underlying Funds, including ETFs, with target allocations over time of approximately 80% equity investments and 20% fixed income investments. Underlying Funds in which the Fund invests may include Affiliated Underlying Funds. Generally, Madison will not invest more than 75% of Fund’s net assets, at the time of purchase, in Affiliated Underlying Funds.

PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/18
Bond Funds	18.5%
Collateral for Securities on Loan	12.9%
Foreign Stock Funds	22.9%
Money Market Funds	4.7%
Stock Funds	53.8%
Net Other Assets and Liabilities	(12.8)%

PERFORMANCE DISCUSSION

The Ultra Series Aggressive Allocation Fund (Class I) returned (0.08)% during the period, underperforming the Aggressive Allocation Fund Custom Index return of 0.61% and the Morningstar Aggressive Allocation Category peer group, which returned 0.69%.

CORE BOND FUND

INVESTMENT STRATEGY HIGHLIGHTS

Under normal circumstances, the Ultra Series Core Bond Fund invests at least 80% of its net assets in bonds. To keep current income relatively stable and to limit share price volatility, the Fund emphasizes investment grade securities and maintains an intermediate (typically 3-7 year) average portfolio duration, with the goal of being between 85-115% of the market benchmark duration. The Fund also strives to add incremental return in the portfolio by making strategic decisions relating to credit risk, sector exposure and yield curve positioning. The Fund may invest in corporate debt securities, U.S. Government debt securities, foreign government debt securities, non-rated debt securities, and asset-backed, mortgage-backed and commercial mortgage-backed securities.

PERFORMANCE DESCRIPTION

The Ultra Series Core Bond Fund (Class I) returned (1.83)% during the period, underperforming its benchmark, the Barclays U.S. Aggregate Bond Index return of (1.62)%. The Fund also underperformed its peer group, the Morningstar Intermediate-Term Bond, which returned (1.65)% for the period.

SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/18
Asset Backed Securities	4.1%
Collateral for Securities on Loan	0.2%
Collateralized Mortgage Obligations	2.2%
Commercial Mortgage-Backed Securities	2.0%
Corporate Notes and Bonds	34.5%
Long Term Municipal Bonds	4.6%
Money Market Funds	0.9%
Mortgage Backed Securities	26.8%
U.S. Government and Agency Obligations	23.6%
Net Other Assets and Liabilities	1.1%

HIGH INCOME FUND

INVESTMENT STRATEGY HIGHLIGHTS

The Ultra Series High Income Fund invests primarily in lower-rated, higher-yielding income bearing securities, such as “junk” bonds. Because the performance of these securities has historically been strongly influenced by economic conditions, the Fund may rotate securities selection by business sector according to the economic outlook. Under normal market conditions, the Fund invests at least 80% of its net assets in bonds rated lower than investment grade (BBB/Baa) and their unrated equivalents or other high-yielding securities.

PERFORMANCE DISCUSSION

The Ultra Series High Income Fund (Class I) returned (1.10)% during the period, underperforming its benchmark, the ICE Bank of America Merrill Lynch U.S. High Yield Master Index return of 0.08%. The Fund also underperformed its peer group, the Morningstar High Yield Bond Category, which returned (0.46)% for the period.

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Ultra Series Fund | Review of Period (unaudited) - continued | June 30, 2018

SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/18
Collateral for Securities on Loan	9.8%
Consumer Discretionary	18.9%
Consumer Staples	8.2%
Energy	11.5%
Financials	9.1%
Health Care	7.6%
Industrials	18.8%
Information Technology	2.0%
Materials	4.8%
Money Market Funds	6.3%
Real Estate	2.6%
Telecommunication Services	3.8%
Utilities	5.2%
Net Other Assets and Liabilities	(8.6)%

DIVERSIFIED INCOME FUND

INVESTMENT STRATEGY HIGHLIGHTS

The Ultra Series Diversified Income Fund seeks income by investing in a broadly diversified array of securities including bonds, common stocks, real estate securities, foreign market bonds and stocks and money market instruments. Bonds, stock and cash components will vary, reflecting the portfolio managers’ judgments of the relative availability of attractively yielding and priced stocks and bonds; however, under normal market conditions, the Fund’s portfolio managers generally attempt to target a 40% bond and 60% stock investment allocation. Nevertheless, bonds (including investment grade, high yield and mortgage- or asset-backed) may constitute up to 80% of the Fund’s assets, stocks (including common stocks, preferred stocks and convertible bonds) may constitute up to 70% of the Fund’s assets, real estate securities may constitute up to 25% of the Fund’s assets, foreign (including American Depositary Receipts (“ADRs”) and emerging market) stocks and bonds may constitute up to 25% of the Fund’s assets, and money market instruments may constitute up to 25% of the Fund’s assets. Although the Fund is permitted to invest up to 80% of its assets in lower credit quality bonds, under normal circumstances, the Fund intends to limit the investment in lower credit quality bonds to less than 50% of the Fund’s assets. The balance between the two strategies of the Fund (fixed income and equity investing) is determined after reviewing the risks associated with each type of investment, with the goal of meaningful risk reduction as market conditions demand.

PERFORMANCE DISCUSSIONS

The Ultra Series Diversified Income Fund (Class I) returned (1.49)% during the period, underperforming its custom blended benchmark (50% S&P 500^® Index and 50% Bank of America Merrill Lynch U.S. Corporate Government and Mortgage Index) return of 0.58%. The Fund also underperformed its Morningstar peer group, the Moderate Allocation Category, which returned 0.17% for the period.

SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/18
Asset Backed Securities	1.3%
Collateral for Securities on Loan	0.1%
Collateralized Mortgage Obligations	1.2%
Commercial Mortgage-Backed Securities	0.5%
Common Stocks	63.7%
Corporate Notes and Bonds	12.2%
Long Term Municipal Bonds	2.6%
Money Market Funds	2.1%
Mortgage Backed Securities	8.5%
U.S. Government and Agency Obligations	7.4%
Net Other Assets and Liabilities	0.4%

LARGE CAP VALUE FUND

INVESTMENT STRATEGY HIGHLIGHTS

The Ultra Series Large Cap Value Fund will, under normal market conditions, maintain at least 80% of its net assets in large cap stocks. The Fund follows a “value” approach, meaning the portfolio managers seek to invest in stocks at prices below their perceived intrinsic value as estimated based on fundamental analysis of the issuing company and its prospects. By investing in value stocks, the Fund attempts to limit the downside risk over time but may also produce smaller gains than other stock funds if their intrinsic values are not realized by the market or if growth-oriented investments are favored by investors. The Fund will diversify its holdings among various industries and among companies within those industries.

PERFORMANCE DISCUSSIONS

The Ultra Series Large Cap Value Fund (Class I) returned 0.99% during the period, which outperformed its benchmark, the Russell 1000^® Value Index return of (1.69)%. The Fund also outperformed its Morningstar peer group, the Morningstar Large Value Category, which returned (1.25)% for the period.

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Ultra Series Fund | Review of Period (unaudited) - continued | June 30, 2018

SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/18
Collateral for Securities on Loan	0.5%
Consumer Staples	3.7%
Energy	16.1%
Financials	16.9%
Health Care	9.9%
Industrials	8.4%
Information Technology	7.1%
Materials	14.6%
Money Market Funds	2.5%
Real Estate	4.3%
Telecommunication Services	4.1%
Utilities	11.0%
Net Other Assets and Liabilities	0.9%

LARGE CAP GROWTH FUND

INVESTMENT STRATEGY HIGHLIGHTS

The Ultra Series Large Cap Growth Fund invests primarily in common stocks of larger companies and will, under normal market conditions, maintain at least 80% of its net assets in large cap stocks. To a lesser extent, the Fund may invest in the stocks of less established companies that may offer more rapid growth potential. The Fund invests in well-managed companies with competitive advantages that have demonstrated patterns of consistent growth. The Fund invests when a stock trades at a good price in relation to underlying value. The Fund is actively managed which will lead to more portfolio turnover than a passively-managed Fund.

PERFORMANCE DISCUSSION

The Ultra Series Large Cap Growth Fund (Class I) returned 0.79% during the period, underperforming its benchmark, the Russell 1000^® Growth Category return of 7.25%. The Fund also underperformed its peer group, the Morningstar Large Growth Category, which returned 8.70% for the period.

SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/18
Consumer Discretionary	18.5%
Consumer Staples	4.1%
Financials	13.9%
Health Care	14.6%
Industrials	6.5%
Information Technology	24.9%
Materials	9.1%
Money Market Funds	5.4%
Real Estate	3.6%
Net Other Assets and Liabilities	(0.6)%

MID CAP FUND

INVESTMENT STRATEGY HIGHLIGHTS

The Ultra Series Mid Cap Fund generally invests in common stocks of midsize companies and will, under normal market conditions, maintain at least 80% of its net assets in mid cap securities. The Fund seeks attractive long-term returns through bottom-up security selection based on fundamental analysis in a diversified portfolio of high-quality growth companies with attractive valuations. These will typically be industry leading companies in niches with strong growth prospects. The Fund’s portfolio managers believe in selecting stocks for the Fund that show steady, sustainable growth and reasonable valuations. As a result, stocks of issuers that are believed to have a blend of both value and growth potential will be selected for investment.

PERFORMANCE DISCUSSION

The Ultra Series Mid Cap Fund (Class I) returned 3.40% during the period, outperforming its benchmark, the Russell Midcap^® Index return of 2.35%. The Fund underperformed its peer group, the Morningstar Mid-Cap Growth category, which returned 7.04% for the period.

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Ultra Series Fund | Review of Period (unaudited) - continued | June 30, 2018

SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/18
Consumer Discretionary	23.5%
Consumer Staples	0.9%
Energy	1.1%
Financials	22.2%
Health Care	13.2%
Industrials	14.3%
Information Technology	6.7%
Materials	8.7%
Money Market Funds	6.8%
Real Estate	2.7%
Net Other Assets and Liabilities	(0.1)%

INTERNATIONAL STOCK FUND

INVESTMENT STRATEGY HIGHLIGHTS

The Ultra Series International Stock Fund will invest, under normal market conditions, at least 80% of its net assets in the stock of foreign companies. Typically, a majority of the Fund’s assets are invested in relatively large cap stocks of companies located or operating in developed countries. The Fund may also invest up to 30% of its assets in securities of companies whose principal business activities are located in emerging market countries. The portfolio managers typically maintain this segment of the Fund’s portfolio in such stocks which it believes have a low market price relative to their perceived value based on fundamental analysis of the issuing company and its prospects. The Fund may also invest in foreign debt and other income bearing securities at times when it believes that income bearing securities have greater capital appreciation potential than equity securities.

PERFORMANCE DISCUSSION

The Ultra Series International Stock Fund (Class I) returned (2.66)% during the period, outperforming its benchmark, the MSCI EAFE (net) Index return of (2.75)%. The Fund also outperformed its peer group, the Morningstar Foreign Large Blend Category, which returned (3.23)% for the period.

SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/18
Collateral for Securities on Loan	1.3%
Consumer Discretionary	15.9%
Consumer Staples	9.3%
Energy	7.6%
Financials	17.6%
Health Care	8.7%
Industrials	15.9%
Information Technology	7.7%
Materials	4.9%
Money Market Funds	4.0%
Real Estate	2.4%
Telecommunication Services	4.7%
Utilities	1.4%
Net Other Assets and Liabilities	(1.4)%

GEOGRAPHICAL ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/18
United Kingdom	17.4%
Japan	17.1%
France	11.0%
Switzerland	6.9%
Netherlands	6.5%
Ireland	5.6%
United States	5.3%
Germany	5.0%
Canada	4.8%
Sweden	3.6%
Australia	2.8%
Norway	2.8%
Singapore	2.1%
Belgium	1.6%
Finland	1.4%
Spain	1.4%
Denmark	1.3%
Turkey	1.1%
Brazil	1.0%
Taiwan	1.0%
India	0.9%
Luxembourg	0.8%
Israel	0.0%
Net Other Assets and Liabilities	(1.4)%

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Ultra Series Fund | Review of Period (unaudited) - continued | June 30, 2018

BENCHMARK DESCRIPTIONS

ALLOCATION FUND CUSTOM INDEXES*

The Conservative Allocation Fund Custom Index consists of 65% Bloomberg Barclays US Aggregate Bond Index, 24.5% Russell 3000^® Index and 10.5% MSCI ACWI ex-USA Index (net). See market index descriptions below.

The Moderate Allocation Fund Custom Index consists of 40% Bloomberg Barclays US Aggregate Bond Index, 42% Russell 3000^® Index and 18% MSCI ACWI ex-USA Index (net). See market index descriptions below.

The Aggressive Allocation Fund Custom Index consists of 20% Bloomberg Barclays US Aggregate Bond Index, 56% Russell 3000^® Index and 24% MSCI ACWI ex-USA Index (net). See market index descriptions below.

HYBRID FUND CUSTOM INDEXES*

The Custom Blended Index consists of 50% S&P 500^® Index and 50% of Bank of America Merrill Lynch U.S. Corporate, Government and Mortgage Index. See market indexes’ descriptions below.

*The Custom Indexes are calculated using a monthly re-balancing frequency (i.e., rebalanced back to original constituent weight every calendar month-end).

MARKET INDEXES

The ICE Bank of America Merrill Lynch U.S. Corporate, Government & Mortgage Index is a broad-based measure of the total rate of return performance of the U.S. investment-grade bond markets. The index is a capitalization-weighted aggregation of outstanding U.S. treasury, agency and supranational mortgage pass-through, and investment-grade corporate bonds meeting specified selection criteria.

The ICE Bank of America Merrill Lynch U.S. High Yield Constrained Index tracks the performance of below investment grade U.S. dollar denominated corporate bonds publicly issued in the U.S. domestic market, but limits any individual issuer to a maximum weighting of 2%.

The Bloomberg Barclays Intermediate Government Credit Index measures the investment grade, U.S. dollar-denominated, fixed-rate, taxable corporate and government related bond markets. It is composed of the U.S. corporate index and a non-corporate component that includes foreign agencies, sovereigns, supranationals and local authorities.

The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market. The index includes Treasuries, government-related and corporate securities, mortgage backed securities, asset backed securities and commercial mortgage-backed securities.

The MSCI EAFE (Europe, Australasia & Far East) Index (net) is a free float-adjusted market capitalization index that is designed to measure developed market equity performance, excluding the U.S. and Canada. The MSCI EAFE Index (net) is calculated on a total return basis with dividends reinvested after the deduction of withholding taxes.

The MSCI ACWI ex USA Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. The MSCI ACWI ex USA (net) is calculated on a total return basis with dividends reinvested after the deduction of withholding taxes.

The Russell 1000^® Growth Index is a large-cap market index which measures the performance of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values.

The Russell 1000^® Value Index is a large-cap market index which measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values.

The Russell 3000^® Index measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents 98% of the investable U.S. equity market.

The Russell Midcap^® Index is a mid-cap market index which measures the performance of the mid-cap segment of the U.S. equity universe.

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Ultra Series Fund | Review of Period (unaudited) - concluded | June 30, 2018

The S&P 500^® Index is a large-cap market index which measures the performance of a representative sample of 500 leading companies in leading industries in the U.S.

© Morningstar, Inc. All rights reserved. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete, or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.

Past performance is no guarantee of future results.

Russell Investment Group is the source and owner of the trademarks, service marks and copyrights related to the Russell Indexes. Russell^® is a trademark of Russell Investment Group.

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Ultra Series Fund | June 30, 2018

 Conservative Allocation Fund Portfolio of Investments (unaudited)

	Shares	Value (Note 2)
INVESTMENT COMPANIES - 99.9%
Bond Funds - 62.5%
Baird Aggregate Bond Fund Institutional Shares	478,443	$	5,042,785
iShares 20+ Year Treasury Bond ETF (A)	23,909		2,910,203
iShares 7-10 Year Treasury Bond ETF	27,863		2,856,236
iShares TIPS Bond Fund ETF	122,359		13,810,660
Madison Core Bond Fund Class Y (B)	3,370,781		32,561,747
Madison Corporate Bond Fund Class Y (B)	814,974		8,981,009
Vanguard Short-Term Corporate Bond ETF	89,279		6,972,690
Vanguard Short-Term Treasury ETF	94,701		5,674,484
Virtus Seix Floating Rate High Income Fund, Class R6	862,511		7,477,973
			86,287,787
Foreign Stock Funds - 8.8%
iShares MSCI Eurozone ETF	49,016		2,010,146
iShares MSCI Japan ETF	5,821		337,094
Vanguard FTSE All World ex-U.S. Small-Cap ETF (A)	20,322		2,345,362
Vanguard FTSE All-World ex-U.S. ETF	51,342		2,661,569
Vanguard FTSE Emerging Markets ETF	7,757		327,345
Vanguard FTSE Europe ETF	18,315		1,028,021
WisdomTree Japan Hedged Equity Fund	12,426		670,756
Xtrackers MSCI EAFE Hedged Equity ETF	85,027		2,669,848
			12,050,141
Money Market Funds - 3.8%
State Street Institutional U.S. Government Money Market Fund, 1.82%, Premier Class	5,242,931		5,242,931
Stock Funds - 24.8%
Energy Select Sector SPDR Fund (A)	18,027		1,368,970
Invesco Optimum Yield Diversified Commodity Strategy	137,421		2,536,792
iShares Core S&P Mid-Cap ETF	22,778		4,436,699
Madison Dividend Income Fund Class Y (B)	362,566		9,470,231
Madison Investors Fund Class Y (B)	438,243		10,110,265
Madison Mid Cap Fund Class Y (B)	99,797		1,016,930
Vanguard Growth ETF	35,506		5,319,155
			34,259,042
Total Investment Companies
(Cost $133,224,390)			137,839,901
COLLATERAL FOR SECURITIES ON LOAN (C) - 1.9%
State Street Navigator Securities Lending Government Money Market Portfolio, 1.93%	2,734,968		2,734,968
Total Collateral for Securities on Loan
(Cost $2,734,968)			2,734,968
TOTAL INVESTMENTS - 101.8% (Cost $135,959,358**)			140,574,869
NET OTHER ASSETS AND LIABILITIES - (1.8%)			(2,529,482	)
TOTAL NET ASSETS - 100.0%		$	138,045,387

**	Aggregate cost for Federal tax purposes was $136,118,872.
(A)	A portion of securities on loan with an aggregate value of $4,010,245; cash collateral (included in liabilities) of $2,734,968 was received with which the Fund invested in the State Street Navigator Securities Lending Government Money Market Portfolio and non-cash collateral of $1,360,282 (see Note 8).
(B)	Affiliated Company (see Note 11).
(C)	Represents investments of cash collateral received in connection with securities lending.
ETF	Exchange Traded Fund.

See accompanying Notes to Financial Statements.

10

Ultra Series Fund | June 30, 2018

 Moderate Allocation Fund Portfolio of Investments (unaudited)

	Shares	Value (Note 2)
INVESTMENT COMPANIES - 99.8%
Bond Funds - 37.6%
Baird Aggregate Bond Fund Institutional Shares	327,496	$	3,451,809
iShares 20+ Year Treasury Bond ETF (A)	39,030		4,750,732
iShares TIPS Bond Fund ETF	141,169		15,933,745
Madison Core Bond Fund Class Y (B)	3,960,330		38,256,791
Madison Corporate Bond Fund Class Y (B)	437,539		4,821,677
Vanguard Short-Term Treasury ETF	159,751		9,572,280
Virtus Seix Floating Rate High Income Fund, Class R6	835,576		7,244,445
			84,031,479
Foreign Stock Funds - 15.8%
iShares MSCI Eurozone ETF	160,199		6,569,761
iShares MSCI Japan ETF	28,456		1,647,887
Vanguard FTSE All World ex-U.S. Small-Cap ETF	56,737		6,548,017
Vanguard FTSE All-World ex-U.S. ETF	125,552		6,508,615
Vanguard FTSE Emerging Markets ETF	37,954		1,601,659
Vanguard FTSE Europe ETF	59,644		3,347,818
WisdomTree Japan Hedged Equity Fund	40,407		2,181,170
Xtrackers MSCI EAFE Hedged Equity ETF	225,548		7,082,207
			35,487,134
Money Market Funds - 4.5%
State Street Institutional U.S. Government Money Market Fund, 1.82%, Premier Class	9,972,890		9,972,890
Stock Funds - 41.9%
Energy Select Sector SPDR Fund (A)	51,656		3,922,756
Invesco Optimum Yield Diversified Commodity Strategy	372,280		6,872,289
iShares Core S&P Mid-Cap ETF	42,942		8,364,243
Madison Dividend Income Fund Class Y (B)	927,525		24,226,955
Madison Investors Fund Class Y (B)	1,086,343		25,061,922
Madison Large Cap Value Fund Class Y (B)	496,307		7,320,526
Madison Mid Cap Fund Class Y (B)	320,747		3,268,410
Vanguard Growth ETF	89,465		13,402,752
Vanguard Information Technology ETF (A)	7,352		1,333,653
			93,773,506
Total Investment Companies
(Cost $204,474,523)			223,265,009
COLLATERAL FOR SECURITIES ON LOAN (C) - 2.6%
State Street Navigator Securities Lending Government Money Market Portfolio, 1.93%	5,654,383		5,654,383
Total Collateral for Securities on Loan
(Cost $5,654,383)			5,654,383
TOTAL INVESTMENTS - 102.4% (Cost $210,128,906**)			228,919,392
NET OTHER ASSETS AND LIABILITIES - (2.4%)			(5,298,303	)
TOTAL NET ASSETS - 100.0%		$	223,621,089

**	Aggregate cost for Federal tax purposes was $210,479,127.
(A)	A portion of securities on loan with an aggregate value of $9,365,544; cash collateral (included in liabilities) of $5,654,383 was received with which the Fund invested in the State Street Navigator Securities Lending Government Money Market Portfolio and non-cash collateral of $3,897,894 (see Note 8).
(B)	Affiliated Company (see Note 11).
(C)	Represents investments of cash collateral received in connection with securities lending.
ETF	Exchange Traded Fund.

See accompanying Notes to Financial Statements.

11

Ultra Series Fund | June 30, 2018

 Aggressive Allocation Fund Portfolio of Investments (unaudited)

	Shares	Value (Note 2)
INVESTMENT COMPANIES - 99.9%
Bond Funds - 18.5%
iShares 20+ Year Treasury Bond ETF (A)	10,481	$	1,275,747
iShares 7-10 Year Treasury Bond ETF	22,280		2,283,923
Madison Core Bond Fund Class Y (B)	738,011		7,129,187
Vanguard Short-Term Corporate Bond ETF	18,248		1,425,169
Vanguard Short-Term Treasury ETF	37,535		2,249,097
			14,363,123
Foreign Stock Funds - 22.9%
iShares MSCI Eurozone ETF	76,814		3,150,142
iShares MSCI Japan ETF	13,528		783,406
Vanguard FTSE All World ex-U.S. Small-Cap ETF (A)	30,099		3,473,726
Vanguard FTSE All-World ex-U.S. ETF	54,785		2,840,054
Vanguard FTSE Emerging Markets ETF	26,628		1,123,702
Vanguard FTSE Europe ETF	28,323		1,589,770
WisdomTree Japan Hedged Equity Fund	21,069		1,137,305
Xtrackers MSCI EAFE Hedged Equity ETF (A)	117,282		3,682,655
			17,780,760
Money Market Funds - 4.7%
State Street Institutional U.S. Government Money Market Fund, 1.82%, Premier Class	3,648,721		3,648,721
Stock Funds - 53.8%
Energy Select Sector SPDR Fund (A)	23,195		1,761,428
Invesco Optimum Yield Diversified Commodity Strategy (A)	156,735		2,893,328
iShares Core S&P Mid-Cap ETF	22,936		4,467,474
Madison Dividend Income Fund Class Y (B)	362,844		9,477,480
Madison Investors Fund Class Y (B)	415,900		9,594,805
Madison Large Cap Value Fund Class Y (B)	274,146		4,043,656
Madison Mid Cap Fund Class Y (B)	265,783		2,708,326
Vanguard Growth ETF	39,810		5,963,936
Vanguard Information Technology ETF (A)	5,203		943,824
			41,854,257
Total Investment Companies
(Cost $68,184,663)			77,646,861
COLLATERAL FOR SECURITIES ON LOAN (C) - 12.9%
State Street Navigator Securities Lending Government Money Market Portfolio, 1.93%	10,029,855		10,029,855
Total Collateral for Securities on Loan
(Cost $10,029,855)			10,029,855
TOTAL INVESTMENTS - 112.8% (Cost $78,214,518**)			87,676,716
NET OTHER ASSETS AND LIABILITIES - (12.8%)			(9,927,002	)
TOTAL NET ASSETS - 100.0%		$	77,749,714

**	Aggregate cost for Federal tax purposes was $78,362,112.
(A)	A portion of securities on loan with an aggregate value of $11,555,784; cash collateral (included in liabilities) of $10,029,855 was received with which the Fund invested in the State Street Navigator Securities Lending Government Money Market Portfolio and non-cash collateral of $1,750,287 (see Note 8).
(B)	Affiliated Company (see Note 11).
(C)	Represents investments of cash collateral received in connection with securities lending.
ETF	Exchange Traded Fund.

See accompanying Notes to Financial Statements.

12

Ultra Series Fund | June 30, 2018

 Core Bond Fund Portfolio of Investments (unaudited)

		Par Value	Value (Note 2)
ASSET BACKED SECURITIES - 4.1%
American Express Credit Account Master Trust, Series 2017-1, Class B, 2.1%, 9/15/22	$	500,000	$	493,357
BMW Floorplan Master Owner Trust, Series 2018-1, Class A2, (3M USD LIBOR + 0.875%) (A) (B), 2.35%, 5/15/23		275,000		275,000
CarMax Auto Owner Trust, Series 2017-1, Class A2, 1.54%, 2/18/20		269,068		268,666
CarMax Auto Owner Trust, Series 2015-2, Class A4, 1.8%, 3/15/21		550,000		545,980
Chase Issuance Trust, Series 2017-A1, Class A, (1M LIBOR + 0.300%) (B), 2.373%, 1/18/22		500,000		501,142
Chesapeake Funding II LLC, Series 2017-4A, Class A1 (A), 2.12%, 11/15/29		400,000		394,726
Enterprise Fleet Financing LLC, Series 2015-2, Class A3 (A), 2.09%, 2/22/21		196,297		195,716
Enterprise Fleet Financing LLC, Series 2017-2, Class A2 (A), 1.97%, 1/20/23		472,522		468,996
Enterprise Fleet Financing LLC, Series 2017-3, Class A2 (A), 2.13%, 5/22/23		500,000		495,141
Ford Credit Floorplan Master Owner Trust, Series 2015-4, Class A1, 1.77%, 8/15/20		500,000		499,553
Santander Drive Auto Receivables Trust, Series 2014-5, Class C, 2.46%, 6/15/20		91,508		91,575
Synchrony Credit Card Master Note Trust, Series 2017-1, Class B, 2.19%, 6/15/23		1,000,000		981,717
Verizon Owner Trust, Series 2017-1A, Class A (A), 2.06%, 9/20/21		800,000		790,887
Total Asset Backed Securities
(Cost $6,015,784)				6,002,456
COLLATERALIZED MORTGAGE OBLIGATIONS - 2.2%
Fannie Mae REMICS, Series 2015-12, Class NI, IO, 3.5%, 3/25/30		2,139,279		241,025
Fannie Mae REMICS, Series 2011-31, Class DB, 3.5%, 4/25/31		375,000		378,751
Fannie Mae REMICS, Series 2011-36, Class QB, 4%, 5/25/31		500,000		516,142
Fannie Mae REMICS, Series 2005-79, Class LT, 5.5%, 9/25/35		477,247		517,624
Fannie Mae REMICS, Series 2011-101, Class NC, 2.5%, 4/25/40		282,535		279,141
Fannie Mae REMICS, Series 2016-21, Class BA, 3%, 3/25/42		670,004		664,920
Freddie Mac REMICS, Series 4066, Class DI, IO, 3%, 6/15/27		2,676,882		217,334
Government National Mortgage Association, Series 2015-53, Class IL, IO, 3%, 9/20/44		1,992,038		405,458
Total Collateralized Mortgage Obligations (Cost $3,245,276)				3,220,395
COMMERCIAL MORTGAGE-BACKED SECURITIES - 2.0%
Fannie Mae-Aces, Series 2016-M2, Class X2, IO (B) (C), 1.184%, 1/25/23		10,418,281		394,660
FHLMC Multifamily Structured Pass Through Certificates, Series K718, Class X1, IO (B) (C), 0.761%, 1/25/22		23,764,441		457,330
FHLMC Multifamily Structured Pass Through Certificates, Series KJ17, Class A2, 2.982%, 11/25/25		300,000		295,146
FHLMC Multifamily Structured Pass Through Certificates, Series K066, Class A2, 3.117%, 6/25/27		500,000		488,695
FREMF Mortgage Trust, Series 2012-K708, Class B (A) (B) (C), 3.882%, 2/25/45		1,000,000		1,003,499
WFRBS Commercial Mortgage Trust, Series 2014-LC14, Class A2, 2.862%, 3/15/47		322,201		322,266
Total Commercial Mortgage-Backed Securities (Cost $3,071,249)				2,961,596
CORPORATE NOTES AND BONDS - 34.5%
Consumer Discretionary - 7.0%
Advance Auto Parts Inc., 4.5%, 12/1/23		1,000,000		1,024,601
CCO Holdings LLC / CCO Holdings Capital Corp. (A), 5.875%, 5/1/27		525,000		512,531
Charter Communications Operating LLC / Charter Communications Operating Capital Corp., 4.464%, 7/23/22		400,000		404,915
D.R. Horton Inc., 2.55%, 12/1/20		400,000		392,035
Discovery Communications LLC, 5%, 9/20/37		500,000		481,426
DISH DBS Corp., 6.75%, 6/1/21		150,000		150,188
ERAC USA Finance LLC (A), 6.7%, 6/1/34		500,000		600,400
Ford Motor Credit Co. LLC, MTN, 2.943%, 1/8/19		1,000,000		1,000,240
GameStop Corp. (A) (D), 6.75%, 3/15/21		200,000		202,500
General Motors Financial Co. Inc., 3.2%, 7/6/21		750,000		740,242
GLP Capital L.P. / GLP Financing II Inc., 4.875%, 11/1/20		253,000		255,846
Harman International Industries Inc., 4.15%, 5/15/25		400,000		398,720
Lennar Corp., 4.75%, 4/1/21		500,000		507,125
Lowe’s Cos. Inc., 2.5%, 4/15/26		500,000		457,377
Marriott International Inc., 3.125%, 6/15/26		400,000		371,788
McDonald’s Corp., MTN, 4.875%, 12/9/45		400,000		419,952
Omnicom Group Inc / Omnicom Capital Inc., 3.6%, 4/15/26		750,000		717,672
Sirius XM Radio Inc. (A), 6%, 7/15/24		350,000		356,563
Toll Brothers Finance Corp., 4%, 12/31/18		500,000		499,937
Walgreens Boots Alliance Inc., 3.45%, 6/1/26		850,000		792,246
				10,286,304

See accompanying Notes to Financial Statements.

13

Ultra Series Fund | June 30, 2018

 Core Bond Fund Portfolio of Investments (unaudited) - continued

	Par Value		Value (Note 2)
CORPORATE NOTES AND BONDS - continued
Consumer Staples - 1.6%
Anheuser-Busch InBev Finance Inc., 4.9%, 2/1/46	$	1,000,000	$	1,028,378
B&G Foods Inc., 4.625%, 6/1/21		100,000		98,500
Bunge Ltd. Finance Corp., 3.25%, 8/15/26		850,000		775,816
Molson Coors Brewing Co., 2.1%, 7/15/21		400,000		383,571
Tyson Foods Inc., 3.55%, 6/2/27		150,000		141,910
				2,428,175
Energy - 3.5%
Antero Resources Corp., 5.625%, 6/1/23		300,000		303,750
Concho Resources Inc., 4.3%, 8/15/28		200,000		200,465
EnLink Midstream Partners L.P., 5.45%, 6/1/47		550,000		462,451
Enterprise Products Operating LLC, 3.75%, 2/15/25		750,000		742,683
Helmerich & Payne International Drilling Co., 4.65%, 3/15/25		400,000		413,005
Jonah Energy LLC / Jonah Energy Finance Corp. (A), 7.25%, 10/15/25		300,000		242,250
Kinder Morgan Inc., 5.55%, 6/1/45		800,000		805,307
Marathon Oil Corp., 2.7%, 6/1/20		750,000		738,653
Unit Corp., 6.625%, 5/15/21		450,000		448,875
Valero Energy Partners L.P., 4.5%, 3/15/28		850,000		835,680
				5,193,119
Financials - 10.9%
AerCap Ireland Capital DAC / AerCap Global Aviation Trust (E), 3.75%, 5/15/19		400,000		402,385
Affiliated Managers Group Inc., 4.25%, 2/15/24		1,000,000		1,017,347
Air Lease Corp., 3.875%, 4/1/21		500,000		503,667
Air Lease Corp., 3.75%, 2/1/22		700,000		700,817
American Express Co., 2.5%, 8/1/22		500,000		479,475
American International Group Inc., 4.75%, 4/1/48		200,000		192,774
Bank of America Corp., MTN, 2.503%, 10/21/22		400,000		383,139
Bank of America Corp., MTN, (3M USD LIBOR + 0.930%) (B), 2.816%, 7/21/23		400,000		386,771
Bank of Montreal, MTN (E), 1.9%, 8/27/21		1,000,000		956,381
Bank of New York Mellon Corp./The, MTN, 2.2%, 8/16/23		500,000		469,316
Boston Properties L.P., 2.75%, 10/1/26		1,000,000		901,597
Capital One Financial Corp., 2.5%, 5/12/20		400,000		394,327
Capital One Financial Corp., 3.3%, 10/30/24		400,000		379,929
Cboe Global Markets Inc., 3.65%, 1/12/27		500,000		482,481
Citigroup Inc.(3M USD LIBOR + 1.192%) (B), 4.075%, 4/23/29		450,000		441,518
Discover Bank, 3.45%, 7/27/26		400,000		371,153
Goldman Sachs Bank USA, 3.2%, 6/5/20		200,000		200,582
Goldman Sachs Group Inc./The(3M USD LIBOR + 1.201%) (B), 3.272%, 9/29/25		700,000		664,666
Goldman Sachs Group Inc./The, 3.5%, 11/16/26		500,000		471,107
Huntington National Bank/The, 2.4%, 4/1/20		1,000,000		986,175
Intercontinental Exchange Inc., 2.35%, 9/15/22		200,000		191,747
JPMorgan Chase & Co., 3.125%, 1/23/25		900,000		860,678
Liberty Mutual Group Inc. (A), 4.25%, 6/15/23		750,000		757,580
Morgan Stanley, 4.3%, 1/27/45		1,000,000		946,164
Nasdaq Inc., 3.85%, 6/30/26		100,000		96,844
Old Republic International Corp., 3.875%, 8/26/26		500,000		480,956
Regions Financial Corp., 3.2%, 2/8/21		750,000		746,116
Regions Financial Corp., 2.75%, 8/14/22		400,000		385,736
Synchrony Financial, 3.75%, 8/15/21		100,000		99,896
Synchrony Financial, 3.7%, 8/4/26		400,000		367,464
TD Ameritrade Holding Corp., 3.3%, 4/1/27		400,000		381,679
				16,100,467
Health Care - 2.9%
Becton, Dickinson and Co., 2.894%, 6/6/22		500,000		483,617
CVS Health Corp., 4.3%, 3/25/28		250,000		246,602
CVS Health Corp., 5.125%, 7/20/45		1,000,000		1,013,280
Forest Laboratories LLC (A), 5%, 12/15/21		250,000		258,662
HCA Inc., 3.75%, 3/15/19		500,000		501,875
Humana Inc., 2.5%, 12/15/20		400,000		392,606
Laboratory Corp. of America Holdings, 3.6%, 9/1/27		300,000		285,091
Shire Acquisitions Investments Ireland DAC (E), 1.9%, 9/23/19		750,000		738,215
Zoetis Inc., 3%, 9/12/27		475,000		439,359
				4,359,307
Industrials - 1.4%
Carlisle Cos. Inc., 3.5%, 12/1/24		200,000		193,043
CRH America Inc. (A), 3.875%, 5/18/25		300,000		295,893
Masco Corp., 4.375%, 4/1/26		650,000		647,655
TransDigm Inc., 6%, 7/15/22		250,000		251,325
Union Pacific Corp., 3.5%, 6/8/23		300,000		300,206
United Rentals North America Inc., 4.625%, 7/15/23		400,000		399,000
				2,087,122

See accompanying Notes to Financial Statements.

14

Ultra Series Fund | June 30, 2018

 Core Bond Fund Portfolio of Investments (unaudited) - continued

	Par Value		Value (Note 2)
CORPORATE NOTES AND BONDS - continued
Information Technology - 3.2%
Analog Devices Inc., 5.3%, 12/15/45	$	600,000	$	639,117
Broadridge Financial Solutions Inc., 3.95%, 9/1/20		1,000,000		1,014,370
Citrix Systems Inc., 4.5%, 12/1/27		105,000		101,755
Dell International LLC / EMC Corp. (A), 8.35%, 7/15/46		250,000		301,080
Fidelity National Information Services Inc., 3%, 8/15/26		475,000		435,139
Fidelity National Information Services Inc., Series 30Y, 4.75%, 5/15/48		300,000		289,811
Fiserv Inc., 2.7%, 6/1/20		300,000		297,139
Hewlett Packard Enterprise Co., 6.35%, 10/15/45		300,000		296,362
Marvell Technology Group Ltd. (E), 4.2%, 6/22/23		400,000		399,939
Oracle Corp., 4%, 7/15/46		750,000		707,686
Salesforce.com Inc., 3.7%, 4/11/28		250,000		248,212
				4,730,610
Materials - 0.5%
WestRock Co. (A), 3.75%, 3/15/25		750,000		735,281
Real Estate - 2.1%
Boston Properties L.P., 3.65%, 2/1/26		450,000		434,025
Brixmor Operating Partnership L.P., 3.65%, 6/15/24		500,000		483,028
Iron Mountain Inc. (A), 4.875%, 9/15/27		250,000		230,313
Store Capital Corp., 4.5%, 3/15/28		550,000		538,061
Welltower Inc., 4.5%, 1/15/24		1,000,000		1,016,848
WP Carey Inc., 4.25%, 10/1/26		400,000		390,688
				3,092,963
Telecommunication Services - 1.0%
Verizon Communications Inc. (A), 4.329%, 9/21/28		647,000		641,242
Verizon Communications Inc., 4.4%, 11/1/34		300,000		279,790
Vodafone Group PLC (E), 3.75%, 1/16/24		250,000		247,864
Vodafone Group PLC (E), 5%, 5/30/38		250,000		246,522
				1,415,418
Utilities - 0.4%
Duke Energy Corp., 3.75%, 9/1/46		650,000		572,526
Total Corporate Notes and Bonds
(Cost $52,056,902)				51,001,292
LONG TERM MUNICIPAL BONDS - 4.6%
General - 4.6%
County of Pasco FL Water & Sewer Revenue, Series B		1,000,000		1,046,200
East Baton Rouge Sewerage Commission Revenue, Series B		1,000,000		1,046,010
Los Angeles Department of Water & Power Revenue		1,000,000		1,062,210
Metropolitan Transportation Authority Revenue		1,000,000		1,238,850
New York City Transitional Finance Authority Future Tax Secured Revenue		500,000		516,290
Palomar Community College District, General Obligation		1,000,000		1,091,890
Washington County School District #1 West Union, General Obligation		800,000		847,640
				6,849,090
Total Long Term Municipal Bonds
(Cost $6,902,610)				6,849,090
MORTGAGE BACKED SECURITIES - 26.8%
Fannie Mae - 16.7%
1.125%, 10/19/18 Pool # IE MAE		500,000		498,589
3%, 9/1/30 Pool # 890696		1,234,686		1,231,836
3%, 12/1/30 Pool # AL8924		511,735		511,655
7%, 11/1/31 Pool # 607515		23,373		25,704
3.5%, 12/1/31 Pool # MA0919		132,757		134,738
6.5%, 3/1/32 Pool # 631377		31,401		34,613
7%, 5/1/32 Pool # 644591		6,574		6,723
6.5%, 6/1/32 Pool # 545691		286,218		317,547
3.5%, 8/1/32 Pool # MA3098		221,717		224,601
5.5%, 11/1/33 Pool # 555880		352,049		382,729
7%, 7/1/34 Pool # 792636		36,833		37,771
4%, 2/1/35 Pool # MA2177		1,377,077		1,424,859
5%, 8/1/35 Pool # 829670		430,171		460,462
5%, 9/1/35 Pool # 820347		550,630		594,911
5%, 9/1/35 Pool # 835699		411,349		441,537
3.5%, 12/1/35 Pool # MA2473		990,968		1,002,762
5%, 12/1/35 Pool # 850561		153,290		164,175
5.5%, 10/1/36 Pool # 901723		421,764		455,944
6.5%, 10/1/36 Pool # 894118		325,545		358,851
6%, 11/1/36 Pool # 902510		359,731		403,387
6%, 10/1/37 Pool # 947563		451,180		504,258
6.5%, 8/1/38 Pool # 987711		804,972		902,540
4%, 1/1/41 Pool # AB2080		1,417,537		1,455,918
4.5%, 7/1/41 Pool # AB3274		559,347		588,495
5.5%, 7/1/41 Pool # AL6588		1,120,973		1,218,190
4%, 9/1/41 Pool # AJ1406		979,246		1,006,340
3.5%, 6/1/42 Pool # AO4136		1,526,051		1,531,450
4%, 6/1/42 Pool # MA1087		380,519		390,802
3.5%, 8/1/42 Pool # AP2133		694,369		696,703
3.5%, 9/1/42 Pool # AB6228		1,222,599		1,226,046
4%, 10/1/42 Pool # AP7363		894,842		918,710

See accompanying Notes to Financial Statements.

15

Ultra Series Fund | June 30, 2018

 Core Bond Fund Portfolio of Investments (unaudited) - continued

	Par Value		Value (Note 2)
MORTGAGE BACKED SECURITIES - continued
Fannie Mae - continued
3.5%, 3/1/43 Pool # AT0310	$	744,770	$	747,143
4%, 1/1/45 Pool # AS4257		238,696		244,517
4.5%, 2/1/45 Pool # MA2193		911,417		952,314
3.5%, 8/1/45 Pool # AS5645		715,109		713,887
3.5%, 11/1/45 Pool # BA4907		577,485		576,498
3.5%, 12/1/45 Pool # AS6309		338,405		337,827
4.5%, 10/1/46 Pool # MA2783		118,358		123,331
4%, 12/1/46 Pool # BD2379		433,006		442,120
3%, 1/1/47 Pool # BE0108		463,184		450,316
4%, 7/1/48 Pool # MA3415		1,000,000		1,020,901
				24,761,700
Freddie Mac - 10.0%
4.5%, 2/1/25 Pool # J11722		174,929		180,830
4.5%, 5/1/25 Pool # J12247		321,539		332,378
0.437%, 9/25/26 Series K059, Class X1, IO, VRN (B) (C),		24,115,505		540,597
8%, 6/1/30 Pool # C01005		12,601		14,467
7%, 3/1/31 Pool # C48129		51,136		51,920
5.5%, 11/1/34 Pool # A28282		719,608		787,563
5.5%, 1/1/37 Pool # G04593		207,858		225,549
5%, 10/1/39 Pool # G60465		1,662,929		1,774,896
4%, 10/1/41 Pool # Q04092		665,562		684,266
3%, 9/1/42 Pool # C04233		2,108,853		2,060,279
3%, 4/1/43 Pool # V80025		1,879,394		1,835,009
3%, 4/1/43 Pool # V80026		1,877,542		1,832,981
3.5%, 8/1/44 Pool # Q27927		623,632		624,889
3%, 7/1/45 Pool # G08653		944,662		917,661
3.5%, 8/1/45 Pool # Q35614		1,097,182		1,097,091
3%, 10/1/46 Pool # G60722		1,023,476		993,546
4%, 3/1/47 Pool # Q46801		869,858		890,573
				14,844,495
Ginnie Mae - 0.1%
6.5%, 2/20/29 Pool # 2714		50,245		56,580
6.5%, 4/20/31 Pool # 3068		35,398		40,164
				96,744
Total Mortgage Backed Securities
(Cost $40,302,056)				39,702,939
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 23.6%
Federal Farm Credit Bank - 0.3%
3.470%, 5/7/24		500,000		500,067
U.S. Treasury Bonds - 8.8%
6.625%, 2/15/27		5,000,000		6,449,805
4.500%, 5/15/38		2,000,000		2,479,141
3.000%, 5/15/45		750,000		752,900
2.500%, 5/15/46		1,000,000		908,672
2.250%, 8/15/46		2,000,000		1,722,500
3.000%, 5/15/47		750,000		752,197
				13,065,215
U.S. Treasury Notes - 14.5%
2.625%, 11/15/20		4,725,000		4,729,614
2.000%, 11/15/21		5,000,000		4,895,117
2.500%, 8/15/23		2,500,000		2,470,605
2.750%, 11/15/23		4,000,000		3,998,438
2.125%, 3/31/24		3,000,000		2,895,820
2.250%, 11/15/25		2,500,000		2,404,395
				21,393,989
Total U.S. Government and Agency
Obligations (Cost $34,101,710)				34,959,271
	Shares
SHORT-TERM INVESTMENTS - 0.9%
State Street Institutional U.S. Government Money Market Fund, 1.82%, Premier Class		1,404,440		1,404,440
Total Short-Term Investments
(Cost $1,404,440)				1,404,440
COLLATERAL FOR SECURITIES ON LOAN (F) - 0.2%
State Street Navigator Securities Lending Government Money Market Portfolio, 1.93%		204,330		204,330
Total Collateral for Securities on Loan
(Cost $204,330)				204,330
TOTAL INVESTMENTS - 98.9% (Cost $147,304,357**)				146,305,809
NET OTHER ASSETS AND LIABILITIES - 1.1%				1,676,364
TOTAL NET ASSETS - 100.0%			$	147,982,173

**	Aggregate cost for Federal tax purposes was $147,304,357.
(A)	Security sold within terms of a private placement memorandum exempt from registration under section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “qualified institutional buyers.”
(B)	Floating rate or variable rate note. Rate shown is as of June 30, 2018.
(C)	Coupon rate may change based on changes of the underlying collateral or prepayments of principal. The coupon rate shown represents the rate at period end.
(D)	A portion of securities on loan with an aggregate value of $202,272; cash collateral (included in liabilities) of $204,330 was received with which the Fund invested in the State Street Navigator Securities Lending Government Money Market Portfolio.
(E)	Notes and bonds, issued by foreign entities, denominated in U.S. dollars. The aggregate of these securities is 2.0% of total net assets.
(F)	Represents investments of cash collateral received in connection with securities lending.
LIBOR	London Interbank Offered Rate.
MTN	Medium Term Note.
PLC	Public Limited Company.

See accompanying Notes to Financial Statements.

16

Ultra Series Fund | June 30, 2018

 High Income Fund Portfolio of Investments (unaudited)

	Par Value		Value (Note 2)
CORPORATE NOTES AND BONDS - 92.5%
Consumer Discretionary - 18.9%
Cablevision Systems Corp. (A), 5.875%, 9/15/22	$	250,000	$	248,125
CCO Holdings LLC / CCO Holdings Capital Corp. (B), 5.125%, 5/1/23		350,000		345,520
CCO Holdings LLC / CCO Holdings Capital Corp. (B), 5.875%, 4/1/24		200,000		200,500
Deck Chassis Acquisition Inc. (B), 10%, 6/15/23		100,000		106,000
Diamond Resorts International Inc. (A) (B), 7.75%, 9/1/23		250,000		261,560
DISH DBS Corp., 6.75%, 6/1/21		300,000		300,375
GameStop Corp. (A) (B), 6.75%, 3/15/21		335,000		339,187
IRB Holding Corp. (B), 6.75%, 2/15/26		250,000		238,750
Jack Ohio Finance LLC / Jack Ohio Finance 1 Corp. (B), 6.75%, 11/15/21		250,000		257,500
Outfront Media Capital LLC / Outfront Media Capital Corp., 5.25%, 2/15/22		150,000		151,614
Outfront Media Capital LLC / Outfront Media Capital Corp., 5.625%, 2/15/24		500,000		505,985
Penske Automotive Group Inc., 5.75%, 10/1/22		250,000		253,125
Pinnacle Entertainment Inc., 5.625%, 5/1/24		250,000		259,538
Scientific Games International Inc. (B), 5%, 10/15/25		325,000		309,562
Sinclair Television Group Inc., 6.125%, 10/1/22		250,000		254,375
Sirius XM Radio Inc. (B), 4.625%, 5/15/23		250,000		243,750
Univision Communications Inc. (B), 5.125%, 5/15/23		325,000		312,000
				4,587,466
Consumer Staples - 8.2%
Avon International Operations Inc. (B), 7.875%, 8/15/22		250,000		247,800
B&G Foods Inc., 4.625%, 6/1/21		250,000		246,250
Dean Foods Co. (B), 6.5%, 3/15/23		250,000		240,000
First Quality Finance Co. Inc. (B), 4.625%, 5/15/21		400,000		390,000
Pilgrim’s Pride Corp. (B), 5.75%, 3/15/25		350,000		336,000
Post Holdings Inc. (B), 5.5%, 3/1/25		250,000		244,063
Simmons Foods Inc. (B), 5.75%, 11/1/24		325,000		281,937
				1,986,050
Energy - 11.5%
American Midstream Partners L.P. / American Midstream Finance Corp. (B), 8.5%, 12/15/21		375,000		367,500
Andeavor Logistics L.P. / Tesoro Logistics Finance Corp., 6.375%, 5/1/24		250,000		266,875
Berry Petroleum Co. LLC (B), 7%, 2/15/26		125,000		127,813
Carrizo Oil & Gas Inc. (A), 6.25%, 4/15/23		375,000		379,687
Jonah Energy LLC / Jonah Energy Finance Corp. (B), 7.25%, 10/15/25		500,000		403,750
Murphy Oil USA Inc., 5.625%, 5/1/27		400,000		391,000
Sunoco L.P. / Sunoco Finance Corp. (B), 4.875%, 1/15/23		250,000		240,000
Unit Corp., 6.625%, 5/15/21		600,000		598,500
				2,775,125
Financials - 9.1%
Acrisure LLC / Acrisure Finance Inc. (B), 7%, 11/15/25		250,000		227,500
Donnelley Financial Solutions Inc., 8.25%, 10/15/24		250,000		261,875
Equinix Inc., 5.875%, 1/15/26		400,000		405,200
FBM Finance Inc. (B), 8.25%, 8/15/21		250,000		260,312
Jefferies Finance LLC / JFIN Co-Issuer Corp. (B), 7.25%, 8/15/24		250,000		245,000
MPT Operating Partnership L.P. / MPT Finance Corp., 5%, 10/15/27		400,000		382,000
Quicken Loans Inc. (B), 5.75%, 5/1/25		200,000		195,756
Solera LLC / Solera Finance Inc. (B), 10.5%, 3/1/24		200,000		222,126
				2,199,769
Health Care - 7.6%
Acadia Healthcare Co. Inc., 5.125%, 7/1/22		500,000		498,750
Avantor Inc. (B), 6%, 10/1/24		200,000		197,840
HCA Inc., 5.875%, 2/15/26		250,000		252,187
Mallinckrodt International Finance S.A. / Mallinckrodt CB LLC (A) (B) (C), 4.875%, 4/15/20		500,000		491,250
Valeant Pharmaceuticals International Inc. (B) (C), 5.625%, 12/1/21		400,000		393,500
				1,833,527
Industrials - 18.8%
ARD Finance S.A., 7.125% Cash, 7.875 PIK (C), 7.125%, 9/15/23		300,000		300,750
Avis Budget Car Rental LLC / Avis Budget Finance Inc. (B), 5.25%, 3/15/25		250,000		227,500
Bombardier Inc. (B) (C), 8.75%, 12/1/21		250,000		275,000
Covanta Holding Corp., 5.875%, 3/1/24		500,000		492,500
DAE Funding LLC (B), 5%, 8/1/24		250,000		240,125
FTI Consulting Inc., 6%, 11/15/22		500,000		513,125
GFL Environmental Inc. (B) (C), 5.375%, 3/1/23		250,000		231,250
Griffon Corp., 5.25%, 3/1/22		300,000		291,870
Herc Rentals Inc. (B), 7.5%, 6/1/22		240,000		253,800
Mueller Industries Inc., 6%, 3/1/27		250,000		245,000
Nielsen Finance LLC / Nielsen Finance Co. (B), 5%, 4/15/22		425,000		417,605

See accompanying Notes to Financial Statements.

17

Ultra Series Fund | June 30, 2018

 High Income Fund Portfolio of Investments (unaudited) - continued

	Par Value		Value (Note 2)
CORPORATE NOTES AND BONDS - continued
Industrials - continued
Prime Security Services Borrower LLC / Prime Finance Inc. (B), 9.25%, 5/15/23	$	101,000	$	107,535
Summit Materials LLC / Summit Materials Finance Corp., 8.5%, 4/15/22		250,000		267,837
Tennant Co., 5.625%, 5/1/25		250,000		248,125
TransDigm Inc., 6%, 7/15/22		250,000		251,325
Waste Pro USA Inc. (B), 5.5%, 2/15/26		200,000		192,250
				4,555,597
Information Technology - 2.0%
Diebold Nixdorf Inc., 8.5%, 4/15/24		395,000		378,343
Match Group Inc. (A) (B), 5%, 12/15/27		125,000		116,250
				494,593
Materials - 4.8%
Berry Global Inc., 5.125%, 7/15/23		250,000		247,813
Rayonier AM Products Inc. (B), 5.5%, 6/1/24		545,000		512,300
Sealed Air Corp. (B), 5.125%, 12/1/24		400,000		403,000
				1,163,113
Real Estate - 2.6%
Iron Mountain Inc., 5.75%, 8/15/24		400,000		392,000
Iron Mountain Inc. (B), 4.875%, 9/15/27		250,000		230,313
				622,313
Telecommunication Services - 3.8%
Altice Luxembourg S.A. (A) (B) (C), 7.625%, 2/15/25		400,000		368,000
Frontier Communications Corp. (A) (B), 8.5%, 4/1/26		150,000		144,750
Inmarsat Finance PLC (B) (C), 6.5%, 10/1/24		300,000		300,750
Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC (B), 3.36%, 3/20/23		121,875		120,504
				934,004
Utilities - 5.2%
AES Corp., 5.5%, 4/15/25		415,000		418,112
AmeriGas Partners L.P. / AmeriGas Finance Corp., 5.875%, 8/20/26		100,000		97,500
Calpine Corp., 5.5%, 2/1/24		250,000		229,688
NRG Energy Inc., 6.25%, 7/15/22		300,000		308,715
NRG Energy Inc., 6.25%, 5/1/24		200,000		205,000
				1,259,015
Total Corporate Notes and Bonds
(Cost $22,651,332)				22,410,572
	Shares
SHORT-TERM INVESTMENTS - 6.3%
State Street Institutional U.S. Government Money Market Fund, 1.82%, Premier Class		1,524,078		1,524,078
Total Short-Term Investments
(Cost $1,524,078)				1,524,078
COLLATERAL FOR SECURITIES ON LOAN (D) - 9.8%
State Street Navigator Securities Lending Government Money Market Portfolio, 1.93%		2,376,768		2,376,768
Total Collateral for Securities on Loan
(Cost $2,376,768)				2,376,768
TOTAL INVESTMENTS - 108.6% (Cost $26,552,178**)				26,311,418
NET OTHER ASSETS AND LIABILITIES - (8.6%)				(2,093,629	)
TOTAL NET ASSETS - 100.0%			$	24,217,789

**	Aggregate cost for Federal tax purposes was $26,552,178.
(A)	A portion of securities on loan with an aggregate value of $2,337,978; cash collateral (included in liabilities) of $2,376,768 was received with which the Fund invested in the State Street Navigator Securities Lending Government Money Market Portfolio.
(B)	Security sold within terms of a private placement memorandum exempt from registration under section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “qualified institutional buyers.”
(C)	Notes and bonds, issued by foreign entities, denominated in U.S. dollars. The aggregate of these securities is 9.7% of total net assets.
(D)	Represents investments of cash collateral received in connection with securities lending.
PIK	Payment in Kind.
PLC	Public Limited Company.

See accompanying Notes to Financial Statements.

18

Ultra Series Fund | June 30, 2018

 Diversified Income Fund Portfolio of Investments (unaudited)

	Shares		Value (Note 2)
COMMON STOCKS - 63.7%
Consumer Discretionary - 6.8%
Carnival Corp.		50,000	$	2,865,500
Home Depot Inc./The		23,000		4,487,300
McDonald’s Corp.		16,000		2,507,040
Starbucks Corp.		65,000		3,175,250
TJX Cos. Inc./The		44,500		4,235,510
				17,270,600
Consumer Staples - 6.2%
Diageo PLC, ADR		27,000		3,888,270
JM Smucker Co./The		14,500		1,558,460
Nestle S.A., ADR		50,000		3,871,500
PepsiCo Inc.		32,500		3,538,275
Procter & Gamble Co./The		39,500		3,083,370
				15,939,875
Energy - 6.6%
Chevron Corp.		40,800		5,158,344
Exxon Mobil Corp.		86,000		7,114,780
Schlumberger Ltd.		68,000		4,558,040
				16,831,164
Financials - 10.4%
BB&T Corp.		51,000		2,572,440
Chubb Ltd.		17,000		2,159,340
CME Group Inc.		33,000		5,409,360
Northern Trust Corp.		23,000		2,366,470
PNC Financial Services Group Inc./The		11,500		1,553,650
Travelers Cos. Inc./The		26,000		3,180,840
US Bancorp		97,000		4,851,940
Wells Fargo & Co.		82,500		4,573,800
				26,667,840
Health Care - 9.4%
Amgen Inc.		17,000		3,138,030
Johnson & Johnson		38,000		4,610,920
Medtronic PLC		64,500		5,521,845
Merck & Co. Inc.		52,000		3,156,400
Novartis AG, ADR		47,000		3,550,380
Pfizer Inc.		109,000		3,954,520
				23,932,095
Industrials - 8.1%
3M Co.		8,500		1,672,120
Emerson Electric Co.		51,000		3,526,140
Fastenal Co.		81,000		3,898,530
Union Pacific Corp.		20,500		2,904,440
United Parcel Service Inc., Class B		40,000		4,249,200
United Technologies Corp.		35,500		4,438,565
				20,688,995
Information Technology - 7.9%
Accenture PLC, Class A		14,500		2,372,055
Analog Devices Inc.		25,000		2,398,000
Automatic Data Processing Inc.		16,500		2,213,310
Cisco Systems Inc.		132,000		5,679,960
Microsoft Corp.		56,000		5,522,160
Texas Instruments Inc.		17,000		1,874,250
				20,059,735
Materials - 4.0%
Nucor Corp.		68,500		4,281,250
Praxair Inc.		37,000		5,851,550
				10,132,800
Telecommunication Service - 1.9%
Verizon Communications Inc.		98,000		4,930,380
Utilities - 2.4%
Dominion Energy Inc.		38,500		2,624,930
NextEra Energy Inc.		21,000		3,507,630
				6,132,560
Total Common Stocks
(Cost $116,314,187)				162,586,044
	Par Value
ASSET BACKED SECURITIES - 1.3%
American Express Credit Account Master Trust, Series 2017-1, Class B, 2.1%, 9/15/22	$	250,000		246,679
BMW Floorplan Master Owner Trust, Series 2018-1, Class A2 (A) (B), 2.35%, 5/15/23		150,000		150,000
CarMax Auto Owner Trust, Series 2017-1, Class A2, 1.54%, 2/18/20		107,627		107,466
CarMax Auto Owner Trust, Series 2015-2, Class A4, 1.8%, 3/15/21		500,000		496,346
Chesapeake Funding II LLC, Series 2017-4A, Class A1 (A), 2.12%, 11/15/29		250,000		246,704
Chesapeake Funding II LLC, Series 2018-1A, Class A1 (A), 3.04%, 4/15/30		250,000		249,163
Enterprise Fleet Financing LLC, Series 2017-2, Class A2 (A), 1.97%, 1/20/23		463,257		459,800
Ford Credit Floorplan Master Owner Trust, Series 2015-4, Class A1, 1.77%, 8/15/20		100,000		99,910
Santander Drive Auto Receivables Trust, Series 2014-5, Class C, 2.46%, 6/15/20		130,725		130,821
Synchrony Credit Card Master Note Trust, Series 2017-1, Class B, 2.19%, 6/15/23		500,000		490,859
Verizon Owner Trust, Series 2017-1A, Class A (A), 2.06%, 9/20/21		600,000		593,165
Total Asset Backed Securities
(Cost $3,274,327)				3,270,913

See accompanying Notes to Financial Statements.

19

Ultra Series Fund | June 30, 2018

 Diversified Income Fund Portfolio of Investments (unaudited) - continued

	Par Value		Value (Note 2)
COLLATERALIZED MORTGAGE OBLIGATIONS - 1.2%
Fannie Mae REMICS, Series 2011-31, Class DB, 3.5%, 4/25/31	$	350,000	$	353,501
Fannie Mae REMICS, Series 2011-36, Class QB, 4%, 5/25/31		481,000		496,529
Fannie Mae REMICS, Series 2005-79, Class LT, 5.5%, 9/25/35		435,488		472,332
Fannie Mae REMICS, Series 2011-101, Class NC, 2.5%, 4/25/40		484,346		478,527
Fannie Mae REMICS, Series 2016-21, Class BA, 3%, 3/25/42		402,003		398,952
Freddie Mac REMICS, Series 3825, Class CB, 3.5%, 3/15/26		400,000		407,642
Freddie Mac REMICS, Series 4037, Class B, 3%, 4/15/27		450,000		438,086
Total Collateralized Mortgage
Obligations (Cost $3,178,557)				3,045,569
COMMERCIAL MORTGAGE-BACKED SECURITIES - 0.5%
Fannie Mae-Aces, Series 2016-M2, Class X2, IO (B) (C), 1.184%, 1/25/23		7,576,932		287,026
FHLMC Multifamily Structured Pass Through Certificates, Series KJ17, Class A2, 2.982%, 11/25/25		200,000		196,764
FHLMC Multifamily Structured Pass Through Certificates, Series K066, Class A2, 3.117%, 6/25/27		225,000		219,913
FREMF Mortgage Trust, Series 2012-K708, Class B (A) (B) (C), 3.882%, 2/25/45		700,000		702,449
Total Commercial Mortgage-Backed
Securities (Cost $1,460,132)				1,406,152
CORPORATE NOTES AND BONDS - 12.2%
Consumer Discretionary - 2.6%
Amazon.com Inc., 2.8%, 8/22/24		200,000		192,708
CCO Holdings LLC / CCO Holdings Capital Corp. (A), 5.875%, 5/1/27		325,000		317,281
Charter Communications Operating LLC / Charter Communications Operating Capital Corp., 4.464%, 7/23/22		300,000		303,686
Discovery Communications LLC, 5%, 9/20/37		300,000		288,855
DISH DBS Corp., 6.75%, 6/1/21		150,000		150,188
ERAC USA Finance LLC (A), 6.7%, 6/1/34		875,000		1,050,700
Ford Motor Credit Co. LLC, MTN, 2.943%, 1/8/19		500,000		500,120
GameStop Corp. (A) (D), 6.75%, 3/15/21		200,000		202,500
General Motors Financial Co. Inc., 3.2%, 7/6/21		650,000		641,543
GLP Capital L.P. / GLP Financing II Inc., 4.875%, 11/1/20		450,000		455,062
Lennar Corp., 4.75%, 4/1/21		350,000		354,988
Lowe’s Cos. Inc., 2.5%, 4/15/26		400,000		365,901
Marriott International Inc., 3.125%, 6/15/26		400,000		371,788
Newell Brands Inc., 5.5%, 4/1/46		450,000		438,612
Omnicom Group Inc / Omnicom Capital Inc., 3.6%, 4/15/26		650,000		621,982
Walgreens Boots Alliance Inc., 3.45%, 6/1/26		350,000		326,219
				6,582,133
Consumer Staples - 0.5%
Anheuser-Busch InBev Finance Inc., 4.9%, 2/1/46		500,000		514,189
Bunge Ltd. Finance Corp., 3.25%, 8/15/26		600,000		547,635
Tyson Foods Inc., 3.55%, 6/2/27		150,000		141,910
				1,203,734
Energy - 1.6%
Antero Resources Corp., 5.625%, 6/1/23		200,000		202,500
Enterprise Products Operating LLC, 3.75%, 2/15/25		400,000		396,098
Exxon Mobil Corp., 4.114%, 3/1/46		500,000		508,921
Jonah Energy LLC / Jonah Energy Finance Corp. (A), 7.25%, 10/15/25		200,000		161,500
Kinder Morgan Inc., 5.55%, 6/1/45		500,000		503,317
Marathon Oil Corp., 2.7%, 6/1/20		500,000		492,435
Phillips 66, 4.65%, 11/15/34		500,000		504,428
Schlumberger Holdings Corp. (A), 4%, 12/21/25		400,000		398,664
Valero Energy Corp., 6.625%, 6/15/37		500,000		597,871
Valero Energy Partners L.P., 4.5%, 3/15/28		350,000		344,104
				4,109,838
Financials - 3.7%
Air Lease Corp., 3.75%, 2/1/22		500,000		500,584
Air Lease Corp., 3.625%, 4/1/27		500,000		458,426
American Express Co., 2.5%, 8/1/22		400,000		383,580
Bank of America Corp., MTN, 2.503%, 10/21/22		400,000		383,139
Bank of America Corp., MTN, (3M USD LIBOR + 0.930%) (B), 2.816%, 7/21/23		250,000		241,732
Bank of America Corp., MTN, (3M USD LIBOR + 1.090%) (B), 3.093%, 10/1/25		200,000		190,446
Bank of Montreal, MTN (E), 1.9%, 8/27/21		500,000		478,191
Bank of New York Mellon Corp./The, MTN, 2.2%, 8/16/23		500,000		469,316
Berkshire Hathaway Inc., 3.125%, 3/15/26		250,000		240,876
Capital One Financial Corp., 3.3%, 10/30/24		400,000		379,929
Cboe Global Markets Inc., 3.65%, 1/12/27		400,000		385,985
Goldman Sachs Bank USA, 3.2%, 6/5/20		100,000		100,291
Goldman Sachs Group Inc./The(3M USD LIBOR + 1.201%) (B), 3.272%, 9/29/25		750,000		712,142
Huntington National Bank/The, 2.2%, 4/1/19		1,200,000		1,195,135

See accompanying Notes to Financial Statements.

20

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 Diversified Income Fund Portfolio of Investments (unaudited) - continued

	Par Value		Value (Note 2)
CORPORATE NOTES AND BONDS - continued
Financials - continued
JPMorgan Chase & Co., 2.972%, 1/15/23	$	500,000	$	486,980
JPMorgan Chase & Co., 2.95%, 10/1/26		650,000		603,781
Morgan Stanley, MTN, 3.875%, 1/27/26		200,000		196,871
Morgan Stanley, 4.3%, 1/27/45		500,000		473,082
Nasdaq Inc., 3.85%, 6/30/26		75,000		72,633
Old Republic International Corp., 3.875%, 8/26/26		450,000		432,861
Regions Financial Corp., 3.2%, 2/8/21		500,000		497,411
Regions Financial Corp., 2.75%, 8/14/22		250,000		241,085
Synchrony Financial, 3.75%, 8/15/21		50,000		49,948
Synchrony Financial, 3.7%, 8/4/26		400,000		367,464
				9,541,888
Health Care - 1.3%
Allergan Funding SCS (E), 4.75%, 3/15/45		300,000		288,788
CVS Health Corp., 5.125%, 7/20/45		400,000		405,312
HCA Inc., 3.75%, 3/15/19		300,000		301,125
Humana Inc., 2.5%, 12/15/20		300,000		294,454
Shire Acquisitions Investments Ireland DAC (E), 1.9%, 9/23/19		750,000		738,215
UnitedHealth Group Inc., 2.875%, 3/15/23		1,000,000		974,498
Zoetis Inc., 3%, 9/12/27		225,000		208,117
				3,210,509
Industrials - 0.3%
Masco Corp., 4.375%, 4/1/26		400,000		398,557
Union Pacific Corp., 3.5%, 6/8/23		200,000		200,137
United Rentals North America Inc., 4.625%, 7/15/23		300,000		299,250
				897,944
Information Technology - 1.0%
Analog Devices Inc., 5.3%, 12/15/45		350,000		372,819
Citrix Systems Inc., 4.5%, 12/1/27		85,000		82,373
Dell International LLC / EMC Corp. (A), 8.35%, 7/15/46		175,000		210,756
Fidelity National Information Services Inc., 3%, 8/15/26		450,000		412,237
Intel Corp., 3.734%, 12/8/47		435,000		409,832
Oracle Corp., 4%, 7/15/46		500,000		471,790
Thomson Reuters Corp. (E), 4.3%, 11/23/23		600,000		612,271
				2,572,078
Real Estate - 0.7%
Brixmor Operating Partnership L.P., 3.65%, 6/15/24		500,000		483,028
Iron Mountain Inc. (A), 4.875%, 9/15/27		300,000		276,375
Store Capital Corp., 4.5%, 3/15/28		300,000		293,488
Welltower Inc., 4.5%, 1/15/24		725,000		737,215
				1,790,106
Telecommunication Services - 0.5%
AT&T Inc., 4.75%, 5/15/46		500,000		446,638
Verizon Communications Inc. (A), 4.329%, 9/21/28		809,000		801,801
				1,248,439
Total Corporate Notes and Bonds
(Cost $31,689,849)				31,156,669
LONG TERM MUNICIPAL BONDS - 2.6%
General - 2.6%
County of Pasco FL Water & Sewer Revenue, Series B, 6.76%, 10/1/39		1,000,000		1,046,200
Los Angeles Department of Water & Power Revenue, 6.166%, 7/1/40		1,000,000		1,062,210
Metropolitan Transportation Authority Revenue, 6.548%, 11/15/31		1,000,000		1,238,850
New York City Transitional Finance Authority Future Tax Secured Revenue, 6.267%, 8/1/39		500,000		516,290
Northside Independent School District, General Obligation, Series B, (PSF-GTD), 5.741%, 8/15/35		850,000		880,235
Rancho Water District Financing Authority Revenue, 6.337%, 8/1/40		795,000		849,815
Rancho Water District Financing Authority Revenue, (Prerefunded 8/1/20 @ $100), 6.337%, 8/1/40		5,000		5,350
University of Massachusetts Building Authority Revenue, 6.573%, 5/1/39		1,000,000		1,030,410
				6,629,360
Total Long Term Municipal Bonds
(Cost $6,679,223)				6,629,360
MORTGAGE BACKED SECURITIES - 8.5%
Fannie Mae - 5.5%
3%, 9/1/30 Pool # 890696		584,851		583,501
3%, 12/1/30 Pool # AL8924		409,388		409,324
7%, 11/1/31 Pool # 607515		23,373		25,704
3.5%, 12/1/31 Pool # MA0919		165,946		168,422
7%, 5/1/32 Pool # 644591		3,614		3,696
3.5%, 8/1/32 Pool # MA3098		221,717		224,601
5.5%, 10/1/33 Pool # 254904		142,059		154,188
5.5%, 11/1/33 Pool # 555880		352,049		382,729
5%, 5/1/34 Pool # 780890		466,361		499,540
7%, 7/1/34 Pool # 792636		17,630		18,079
4%, 2/1/35 Pool # MA2177		662,056		685,029
5%, 9/1/35 Pool # 820347		225,045		243,143
5%, 9/1/35 Pool # 835699		172,186		184,822
5%, 12/1/35 Pool # 850561		64,125		68,679
5.5%, 9/1/36 Pool # 831820		346,596		381,619
6%, 9/1/36 Pool # 831741		107,062		117,008
5.5%, 10/1/36 Pool # 901723		158,161		170,979

See accompanying Notes to Financial Statements.

21

Ultra Series Fund | June 30, 2018

 Diversified Income Fund Portfolio of Investments (unaudited) - continued

	Par Value		Value (Note 2)
MORTGAGE BACKED SECURITIES - continued
Fannie Mae - continued
5.5%, 12/1/36 Pool # 903059	$	234,407	$	251,907
4%, 1/1/41 Pool # AB2080		630,017		647,075
4.5%, 7/1/41 Pool # AB3274		176,316		185,504
5.5%, 7/1/41 Pool # AL6588		646,715		702,802
4%, 9/1/41 Pool # AJ1406		435,221		447,262
4%, 10/1/41 Pool # AJ4046		561,967		577,935
3.5%, 6/1/42 Pool # AO4134		462,909		464,555
3.5%, 6/1/42 Pool # AO4136		572,269		574,294
3.5%, 8/1/42 Pool # AP2133		578,641		580,586
4%, 10/1/42 Pool # AP7363		470,969		483,531
3%, 2/1/43 Pool # AB8486		941,319		919,872
3%, 2/1/43 Pool # AL3072		716,040		700,220
3.5%, 3/1/43 Pool # AT0310		473,944		475,455
4%, 1/1/45 Pool # AS4257		172,392		176,596
4.5%, 2/1/45 Pool # MA2193		514,689		537,784
3.5%, 4/1/45 Pool # MA2229		464,544		463,750
3.5%, 11/1/45 Pool # BA4907		577,485		576,498
3.5%, 12/1/45 Pool # AS6309		126,902		126,685
4%, 7/1/48 Pool # MA3415		750,000		765,676
				13,979,050
Freddie Mac - 3.0%
4.5%, 2/1/25 Pool # J11722		104,958		108,498
4.5%, 5/1/25 Pool # J12247		90,433		93,481
8%, 6/1/30 Pool # C01005		10,081		11,573
6.5%, 1/1/32 Pool # C62333		77,318		86,072
5%, 10/1/39 Pool # G60465		1,050,255		1,120,970
3.5%, 11/1/40 Pool # G06168		293,547		294,434
4.5%, 9/1/41 Pool # Q03516		473,256		497,459
4%, 10/1/41 Pool # Q04092		665,562		684,266
3%, 9/1/42 Pool # C04233		1,084,553		1,059,572
3%, 4/1/43 Pool # V80025		751,758		734,003
3%, 4/1/43 Pool # V80026		751,017		733,193
3%, 7/1/45 Pool # G08653		226,719		220,239
3.5%, 8/1/45 Pool # Q35614		731,454		731,394
3%, 10/1/46 Pool # G60722		566,178		549,621
4%, 3/1/47 Pool # Q46801		695,886		712,458
				7,637,233
Ginnie Mae - 0.0%
6.5%, 4/20/31 Pool # 3068		29,151		33,076
Total Mortgage Backed Securities
(Cost $22,043,196)				21,649,359
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 7.4%
Federal Farm Credit Bank - 0.2%
3.470%, 5/7/24		500,000		500,067
Federal Home Loan Bank - 0.1%
1.750%, 12/21/23 (F)		350,000		346,248
U.S. Treasury Bonds - 2.6%
6.625%, 2/15/27		2,270,000		2,928,211
3.000%, 5/15/42		1,000,000		1,006,094
2.500%, 2/15/45		1,000,000		911,758
2.500%, 5/15/46		750,000		681,504
2.250%, 8/15/46		750,000		645,937
3.000%, 5/15/47		400,000		401,172
				6,574,676
U.S. Treasury Notes - 4.5%
2.000%, 7/31/20		1,000,000		988,789
2.625%, 11/15/20		2,850,000		2,852,783
2.000%, 11/15/21		1,000,000		979,023
2.000%, 2/15/22		1,250,000		1,221,143
1.750%, 5/15/22		1,750,000		1,689,639
2.500%, 8/15/23		3,000,000		2,964,727
2.125%, 3/31/24		1,000,000		965,273
				11,661,377
Total U.S. Government and Agency Obligations (Cost $18,877,928)				19,082,368
		Shares
SHORT-TERM INVESTMENTS - 2.1%
State Street Institutional U.S. Government Money Market Fund, 1.82%, Premier Class		5,372,647		5,372,647
Total Short-Term Investments
(Cost $5,372,647)				5,372,647
COLLATERAL FOR SECURITIES ON LOAN (G) - 0.1%
State Street Navigator Securities Lending Government Money Market Portfolio, 1.93%		204,330		204,330
Total Collateral for Securities on Loan
(Cost $204,330)				204,330
TOTAL INVESTMENTS - 99.6% (Cost $209,094,376**)				254,403,411
NET OTHER ASSETS AND LIABILITIES - 0.4%				908,856
TOTAL NET ASSETS - 100.0%			$	255,312,267

See accompanying Notes to Financial Statements.

22

Ultra Series Fund | June 30, 2018

 Diversified Income Fund Portfolio of Investments (unaudited) - continued

**	Aggregate cost for Federal tax purposes was $209,698,287.
(A)	Security sold within terms of a private placement memorandum exempt from registration under section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “qualified institutional investors.”
(B)	Floating rate or variable rate note. Rate shown is as of June 30, 2018.
(C)	Coupon rate may change based on changes of the underlying collateral or prepayments of principal. The coupon rate shown represents the rate at period end.
(D)	A portion of securities on loan with an aggregate value of $202,272; cash collateral (included in liabilities) of $204,330 was received with which the Fund invested in the State Street Navigator Securities Lending Government Money Market Portfolio.
(E)	Notes and bonds, issued by foreign entities, denominated in U.S. dollars. The aggregate of these securities is 0.8% of total net assets.
(F)	Stepped rate security. Rate shown is as of June 30, 2018.
(G)	Represents investments of cash collateral received in connection with securities lending.
ADR	American Depositary Receipt.
LIBOR	London Interbank Offered Rate
MTN	Medium Term Note.
PLC	Public Limited Company.
PSF-GTD	Permanent School Fund Guaranteed.

See accompanying Notes to Financial Statements.

23

Ultra Series Fund | June 30, 2018

 Large Cap Value Fund Portfolio of Investments (unaudited)

	Shares	Value (Note 2)
COMMON STOCKS - 96.1%
Consumer Staples - 3.7%
Archer-Daniels-Midland Co.	259,000	$	11,869,970
Energy - 16.1%
Canadian Natural Resources Ltd.	388,000		13,995,160
Chevron Corp.	57,000		7,206,510
EOG Resources Inc.	149,000		18,540,070
Halliburton Co.	273,000		12,301,380
			52,043,120
Financials - 16.9%
Bank of America Corp.	431,000		12,149,890
Bank of New York Mellon Corp./The	261,000		14,075,730
JPMorgan Chase & Co.	131,000		13,650,200
Regions Financial Corp.	384,000		6,827,520
US Bancorp	153,000		7,653,060
			54,356,400
Health Care - 9.9%
Baxter International Inc.	196,000		14,472,640
Humana Inc.	24,500		7,291,935
Medtronic PLC	120,000		10,273,200
			32,037,775
Industrials - 8.4%
Jacobs Engineering Group Inc.	192,000		12,190,080
Textron Inc.	227,000		14,961,570
			27,151,650
Information Technology - 7.1%
First Data Corp., ‘A’ *	595,000		12,453,350
Seagate Technology PLC	184,000		10,390,480
			22,843,830
Materials - 14.6%
Cleveland-Cliffs Inc.*	1,010,000		8,514,300
DowDuPont Inc.	98,000		6,460,160
Newmont Mining Corp.	252,000		9,502,920
Rio Tinto PLC, ADR (A)	244,000		13,537,120
Southern Copper Corp.	65,000		3,046,550
Teck Resources Ltd., Class B	238,000		6,057,100
			47,118,150
Real Estate - 4.3%
Weyerhaeuser Co.	376,000		13,708,960
Telecommunication Service - 4.1%
CenturyLink Inc.	707,000		13,178,480
Utilities - 11.0%
AES Corp.	1,208,000		16,199,280
NRG Energy Inc.	380,000		11,666,000
Sempra Energy	65,000		7,547,150
			35,412,430
Total Common Stocks
(Cost $263,660,931)			309,720,765
SHORT-TERM INVESTMENTS - 2.5%
State Street Institutional U.S. Government Money Market Fund, 1.82%, Permier Class	8,168,570		8,168,570
Total Short-Term Investments
(Cost $8,168,570)			8,168,570
COLLATERAL FOR SECURITIES ON LOAN (B) - 0.5%
State Street Navigator Securities Lending Government Money Market Portfolio, 1.93%	1,359,276		1,359,276
Total Collateral for Securities on Loan
(Cost $1,359,276)			1,359,276
TOTAL INVESTMENTS - 99.1% (Cost $273,188,777**)			319,248,611
NET OTHER ASSETS AND LIABILITIES - 0.9%			2,977,998
TOTAL NET ASSETS - 100.0%		$	322,226,609

*	Non-income producing.
**	Aggregate cost for Federal tax purposes was $273,188,777.
(A)	A portion of securities on loan with an aggregate value of $1,328,857; cash collateral (included in liabilities) of $1,359,276 was received with which the Fund invested in the State Street Navigator Securities Lending Government Money Market Portfolio.
(B)	Represents investments of cash collateral received in connection with securities lending.
ADR	American Depositary Receipt.
PLC	Public Limited Company.

See accompanying Notes to Financial Statements.

24

Ultra Series Fund | June 30, 2018

 Large Cap Growth Fund Portfolio of Investments (unaudited)

	Shares	Value (Note 2)
COMMON STOCKS - 95.2%
Consumer Discretionary - 18.5%
CarMax Inc.* (A)	119,833	$	8,732,231
Comcast Corp., Class A	107,774		3,536,065
O’Reilly Automotive Inc.*	17,158		4,693,914
Omnicom Group Inc.	132,870		10,133,995
Starbucks Corp.	90,352		4,413,695
TJX Cos. Inc./The	123,720		11,775,669
			43,285,569
Consumer Staples - 4.1%
Diageo PLC, ADR	32,383		4,663,476
JM Smucker Co./The	46,185		4,963,964
			9,627,440
Financials - 13.9%
Berkshire Hathaway Inc., Class B*	47,094		8,790,095
Brookfield Asset Management Inc., Class A	223,976		9,079,987
Charles Schwab Corp./The	76,799		3,924,429
US Bancorp	215,095		10,759,052
			32,553,563
Health Care - 14.6%
Danaher Corp.	82,992		8,189,651
Henry Schein Inc.*	117,099		8,506,071
Johnson & Johnson	43,165		5,237,641
Novartis AG, ADR	119,154		9,000,893
Varian Medical Systems Inc.*	27,707		3,150,840
			34,085,096
Industrials - 6.5%
Copart Inc.*	63,829		3,610,168
Jacobs Engineering Group Inc.	181,909		11,549,403
			15,159,571
Information Technology - 24.9%
Accenture PLC, Class A	30,833		5,043,970
Alphabet Inc., Class C*	8,198		9,146,099
Analog Devices Inc.	59,319		5,689,878
CDW Corp.	80,381		6,493,981
Cognizant Technology Solutions Corp.	110,778		8,750,354
Oracle Corp.	195,729		8,623,820
TE Connectivity Ltd.	70,478		6,347,249
Visa Inc., Class A	62,735		8,309,251
			58,404,602
Materials - 9.1%
PPG Industries Inc.	114,801		11,908,308
Praxair Inc.	59,309		9,379,718
			21,288,026
Real Estate - 3.6%
American Tower Corp.	58,770		8,472,871
Total Common Stocks
(Cost $177,304,398)			222,876,738
SHORT-TERM INVESTMENTS - 5.4%
State Street Institutional U.S. Government Money Market Fund, 1.82%, Premier Class	12,721,036		12,721,036
Total Short-Term Investments
(Cost $12,721,036)			12,721,036
TOTAL INVESTMENTS - 100.6% (Cost $190,025,434**)			235,597,774
NET OTHER ASSETS AND LIABILITIES - (0.6%)			(1,369,955	)
TOTAL NET ASSETS - 100.0%		$	234,227,819

*	Non-income producing.
**	Aggregate cost for Federal tax purposes was $190,358,025.
(A)	A portion of securities on loan with an aggregate value of $477,881; cash collateral (included in liabilities) of $0 was received with which the Fund invested in the State Street Navigator Securities Lending Government Money Market Portfolio and non-cash collateral of $491,850 (see Note 8).
ADR	American Depositary Receipt.
PLC	Public Limited Company.

See accompanying Notes to Financial Statements.

25

Ultra Series Fund | June 30, 2018

 Mid Cap Fund Portfolio of Investments (unaudited)

	Shares	Value (Note 2)
COMMON STOCKS - 93.3%
Consumer Discretionary - 23.5%
CarMax Inc.*	108,630	$	7,915,868
Liberty Broadband Corp., Class C*	114,954		8,704,317
Liberty Global PLC, Series C*	159,746		4,250,841
O’Reilly Automotive Inc.*	23,707		6,485,524
Omnicom Group Inc.	88,690		6,764,386
Ross Stores Inc.	46,148		3,911,043
TJX Cos. Inc./The	72,764		6,925,678
			44,957,657
Consumer Staples - 0.9%
Brown-Forman Corp., Class B	34,799		1,705,499
Energy - 1.1%
Oceaneering International Inc.	83,556		2,127,336
Financials - 22.2%
Arch Capital Group Ltd.*	362,194		9,583,653
Brookfield Asset Management Inc., Class A	176,828		7,168,607
Brown & Brown Inc.	277,156		7,685,536
Glacier Bancorp Inc.	107,488		4,157,636
Markel Corp.*	8,300		9,000,105
WR Berkley Corp.	65,376		4,733,876
			42,329,413
Health Care - 13.2%
DaVita Inc.*	71,968		4,997,458
Henry Schein Inc.*	91,879		6,674,091
Laboratory Corp. of America Holdings*	41,206		7,397,713
Zoetis Inc.	71,733		6,110,934
			25,180,196
Industrials - 14.3%
Copart Inc.*	135,489		7,663,258
Expeditors International of Washington Inc.	109,275		7,988,002
Fastenal Co.	95,049		4,574,708
IHS Markit Ltd.*	136,228		7,028,003
			27,253,971
Information Technology - 6.7%
Amphenol Corp., Class A	42,332		3,689,234
CDW Corp.	113,857		9,198,507
			12,887,741
Materials - 8.7%
Axalta Coating Systems Ltd.*	212,140		6,429,963
Crown Holdings Inc.*	90,838		4,065,909
NewMarket Corp.	4,834		1,955,353
RPM International Inc.	71,541		4,172,271
			16,623,496
Real Estate - 2.7%
Crown Castle International Corp.	48,571		5,236,925
Total Common Stocks
(Cost $106,067,114)			178,302,234
SHORT-TERM INVESTMENTS - 6.8%
State Street Institutional U.S. Government Money Market Fund, 1.82%, Premier Class	12,977,309		12,977,309
Total Short-Term Investments
(Cost $12,977,309)			12,977,309
TOTAL INVESTMENTS - 100.1% (Cost $119,044,423**)			191,279,543
NET OTHER ASSETS AND LIABILITIES - (0.1%)			(148,645	)
TOTAL NET ASSETS - 100.0%		$	191,130,898

*	Non-income producing.
**	Aggregate cost for Federal tax purposes was $119,211,750.
PLC	Public Limited Company.

See accompanying Notes to Financial Statements.

26

Ultra Series Fund | June 30, 2018

 International Stock Fund Portfolio of Investments (unaudited)

	Shares	Value (Note 2)
COMMON STOCKS - 95.3%
Australia - 2.8%
BHP Billiton PLC	45,601	$	1,026,704
Belgium - 1.6%
Anheuser-Busch InBev S.A.	5,735		579,319
Brazil - 1.0%
Cielo S.A.	85,300		363,583
Canada - 4.8%
Canadian National Railway Co.	4,300		351,713
National Bank of Canada	11,800		566,551
Suncor Energy Inc.	19,700		801,696
			1,719,960
Denmark - 1.3%
Carlsberg AS, Class B	4,063		478,648
Finland - 1.4%
Sampo Oyj, Class A	10,132		494,584
France - 11.0%
Air Liquide S.A.	2,739		344,490
Capgemini SE	4,396		591,396
Cie de Saint-Gobain	7,876		351,992
Cie Generale des Etablissements Michelin	4,768		580,750
Safran S.A.	5,473		665,022
Societe Generale S.A.	8,204		346,004
Valeo S.A.	6,786		371,034
Vinci S.A.	7,599		730,872
			3,981,560
Germany - 4.2%
Fresenius SE & Co. KGaA	6,421		515,893
SAP SE	8,722		1,007,860
			1,523,753
India - 0.9%
ICICI Bank Ltd., ADR	41,470		333,004
Ireland - 5.6%
Medtronic PLC	9,390		803,878
Ryanair Holdings PLC, ADR *	4,520		516,319
Shire PLC	12,753		717,833
			2,038,030
Israel - 0.0%
Bank Leumi Le-Israel BM (A)	2,126		12,592
Japan - 17.1%
Daiwa House Industry Co. Ltd.	25,635		874,297
Don Quijote Holdings Co. Ltd.	19,500		937,000
Isuzu Motors Ltd.	26,500		352,208
Kao Corp.	5,830		444,958
KDDI Corp.	16,800		459,927
Makita Corp.	15,800		708,549
Nexon Co. Ltd.*	32,500		472,316
Shin-Etsu Chemical Co. Ltd.	4,300		383,452
Sony Corp.	7,800		399,035
Sumitomo Mitsui Financial Group Inc.	14,900		579,501
United Arrows Ltd.	1,000		37,393
Yamaha Corp.	10,400		541,065
			6,189,701
Luxembourg - 0.8%
Tenaris S.A.	15,678		287,722
Netherlands - 6.5%
ABN AMRO Group N.V. (B)	8,875		230,293
Royal Dutch Shell PLC, Class A	35,329		1,225,784
Wolters Kluwer N.V.	15,664		882,792
			2,338,869
Norway - 2.8%
Statoil ASA	16,589		440,779
Telenor ASA	28,345		581,737
			1,022,516
Singapore - 2.1%
DBS Group Holdings Ltd.	26,690		521,263
NetLink NBN Trust	434,900		236,203
			757,466
Spain - 1.4%
Red Electrica Corp. S.A. (C)	24,569		500,383
Sweden - 3.6%
Assa Abloy AB, Class B	32,933		701,919
Epiroc AB, Class A*	11,431		119,954
Nordea Bank AB	50,307		484,605
			1,306,478
Switzerland - 6.9%
Ferguson PLC	10,988		891,837
Julius Baer Group Ltd. *	7,702		453,269
Novartis AG	14,917		1,133,951
			2,479,057
Taiwan - 1.0%
Taiwan Semiconductor Manufacturing Co. Ltd., ADR	9,400		343,664
Turkey - 1.1%
Turkcell Iletisim Hizmetleri AS	149,242		395,371

See accompanying Notes to Financial Statements.

27

Ultra Series Fund | June 30, 2018

 International Stock Fund Portfolio of Investments (unaudited) - continued

	Shares	Value (Note 2)
COMMON STOCKS - 95.3%
United Kingdom - 17.4%
Aon PLC	5,600	$	768,152
British American Tobacco PLC	15,697		793,427
Compass Group PLC	34,330		733,294
Diageo PLC	10,456		375,617
Howden Joinery Group PLC	46,424		328,520
Informa PLC	43,570		480,138
Melrose Industries PLC	140,530		394,483
Prudential PLC	51,443		1,177,585
RELX PLC	6,898		147,707
RSA Insurance Group PLC	42,017		376,741
Unilever PLC	13,088		724,080
			6,299,744
Total Common Stocks
(Cost $30,320,190)			34,472,708
PREFERRED STOCK - 0.8%
Germany - 0.8%
Volkswagen AG	1,670		277,361
Total Preferred Stocks
(Cost $357,756)			277,361
SHORT-TERM INVESTMENTS - 4.0%
United States - 4.0%
State Street Institutional U.S. Government Money Market Fund, 1.82%, Premier Class	1,455,756		1,455,756
Total Short-Term Investments
(Cost $1,455,756)			1,455,756
COLLATERAL FOR SECURITIES ON LOAN (D) - 1.3%
State Street Navigator Securities Lending Government Money Market Portfolio, 1.93%	469,859		469,859
Total Collateral for Securities on Loan
(Cost $469,859)			469,859
TOTAL INVESTMENTS - 101.4% (Cost $32,603,561**)			36,675,684
NET OTHER ASSETS AND LIABILITIES - (1.4%)			(524,177	)
TOTAL NET ASSETS - 100.0%		$	36,151,507

*	Non-income producing.
**	Aggregate cost for Federal tax purposes was $32,646,945.
(A)	Due to events that occurred between the close of the exchange on which this security is traded and that of the New York Stock Exchange, fair value was determined for this security using methods determined in good faith by or at the discretion of the Board of Trustees (see Note 3).
(B)	Security sold within terms of a private placement memorandum exempt from registration under section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “qualified institutional investors.” The securities have been determined to be liquid under guidelines established by the Board of Trustees.
(C)	A portion of securities on loan with an aggregate value of $449,956; cash collateral (included in liabilities) of $469,859 was received with which the Fund invested in the State Street Navigator Securities Lending Government Money Market Portfolio.
(D)	Represents investments of cash collateral received in connection with securities lending.
ADR	American Depositary Receipt.
PLC	Public Limited Company.

OTHER INFORMATION:
Sector Concentration	% of Net Assets
Collateral for Securities on Loan	1.3%
Consumer Discretionary	15.9%
Consumer Staples	9.3%
Energy	7.6%
Financials	17.6%
Health Care	8.7%
Industrials	15.9%
Information Technology	7.7%
Materials	4.9%
Money Market Funds	4.0%
Real Estate	2.4%
Telecommunication Services	4.7%
Utilities	1.4%
Net Other Assets and Liabilities	(1.4%)

See accompanying Notes to Financial Statements.

28

Ultra Series Fund | June 30, 2018

 Statements of Assets and Liabilities as of June 30, 2018 (unaudited)

	Conservative		Moderate		Aggressive		Core			High			Diversified
	Allocation		Allocation		Allocation		Bond			Income			Income
	Fund		Fund		Fund		Fund			Fund			Fund
Assets:
Investments in unaffiliated securities, at fair value†§	$	78,434,687	$	125,963,111	$	54,723,262	$	146,305,809		$	26,311,418		$	254,403,411
Investments in affiliated securities, at fair value ‡1		62,140,182		102,956,281		32,953,454		–			–			–
Cash		–		–		–		875,953			–			–
Receivables:
Investments sold		–		–		–		805,744			–			488,121
Fund shares sold		25,328		98,504		34,172		770			346			29,558
Dividends and interest		227,741		327,921		87,061		1,122,839			337,493			957,243
Due from Adviser		11,429		18,594		6,494		–			–			–
Total assets		140,839,367		229,364,411		87,804,443		149,111,115			26,649,257			255,878,333
Liabilities:
Payables:
Investments purchased		–		–		–		736,559			–			–
Fund shares repurchased		10,904		14,741		108		104,803			36,999			189,382
Upon return of securities loaned		2,734,968		5,654,383		10,029,855		204,330			2,376,768			204,330
Management fees		34,286		55,782		19,481		67,390			15,164			149,015
Audit and trustees fees		8,408		13,657		4,831		9,235			1,467			15,700
Distribution fees - Class II		5,414		4,759		454		6,625			1,070			7,639
Total liabilities		2,793,980		5,743,322		10,054,729		1,128,942			2,431,468			566,066
Net Assets applicable to outstanding capital stock	$	138,045,387	$	223,621,089	$	77,749,714	$	147,982,173		$	24,217,789		$	255,312,267
Net Assets consist of:
Paid-in capital in excess of par	$	128,628,819	$	193,554,634	$	63,246,113	$	146,754,572		$	25,473,076		$	194,885,139
Accumulated undistributed net investment income		1,367,070		1,876,915		546,039		2,014,172			633,693			2,893,143
Accumulated net realized gain (loss) on investments sold and foreign currency related transactions		3,433,987		9,399,054		4,495,364		211,977			(1,648,220	)		12,224,950
Net unrealized appreciation (depreciation) of investments (including appreciation (depreciation) on foreign currency related transactions)		4,615,511		18,790,486		9,462,198		(998,548	)		(240,760	)		45,309,035
Net Assets	$	138,045,387	$	223,621,089	$	77,749,714	$	147,982,173		$	24,217,789		$	255,312,267
Class I Shares:
Net Assets	$	112,049,998	$	200,396,767	$	75,564,338	$	115,899,826		$	19,046,281		$	218,778,543
Shares of beneficial interest outstanding		11,053,162		18,608,134		7,496,294		12,105,919			2,227,125			11,409,750
Net Asset Value and redemption price per share	$	10.14	$	10.77	$	10.08	$	9.57		$	8.55		$	19.17
Class II Shares:
Net Assets	$	25,995,389	$	23,224,322	$	2,185,376	$	32,082,347		$	5,171,508		$	36,533,724
Shares of beneficial interest outstanding		2,564,882		2,161,076		217,667		3,363,260			604,230			1,919,514
Net Asset Value and redemption price per share	$	10.14	$	10.75	$	10.04	$	9.54		$	8.56		$	19.03
† Cost of Investments in unaffiliated securities	$	77,739,014	$	122,171,641	$	51,947,432	$	147,304,357		$	26,552,178		$	209,094,376
‡ Cost of investments in affiliated securities	$	58,220,344	$	87,957,265	$	26,267,086	$	–		$	–		$	–
§ Fair Value of securities on loan	$	4,010,245	$	9,365,544	$	11,555,784	$	202,272		$	2,337,978		$	202,272
1 See Note 11 for information on affiliated issuers.

See accompanying Notes to Financial Statements.

29

Ultra Series Fund | June 30, 2018

 Statements of Assets and Liabilities as of June 30, 2018 (unaudited)

	Large Cap		Large Cap					International
	Value		Growth		Mid Cap			Stock
	Fund		Fund		Fund			Fund
Assets:
Investments in unaffiliated securities, at fair value †§	$	319,248,611	$	235,597,774	$	191,279,543		$	36,675,684
Investments in affiliated securities, at fair value ‡1		–		–		–			–
Foreign currency (cost of $80,453) (Note 2)		–		–		–			80,462
Receivables:
Investments sold		8,833,872		–		–			113,259
Fund shares sold		4,461		8,550		9,582			643
Dividends and interest		534,766		327,018		113,781			198,855
Due from Adviser		–		–		–			–
Total assets		328,621,710		235,933,342		191,402,906			37,068,903
Liabilities:
Payables:
Investments purchased		4,723,925		1,383,609		–			269,807
Fund shares repurchased		129,198		112,238		114,899			83,269
Upon return of securities loaned		1,359,276		–		–			469,859
Management fees		162,201		157,181		143,718			34,948
Audit and trustees fees		19,438		14,403		11,365			2,286
Distribution fees - Class II		1,063		4,362		2,026			2,410
Dividends		–		33,730		–			54,817
Total liabilities		6,395,101		1,705,523		272,008			917,396
Net Assets applicable to outstanding capital stock	$	322,226,609	$	234,227,819	$	191,130,898		$	36,151,507
Net Assets consist of:
Paid-in capital in excess of par	$	244,908,984	$	130,260,029	$	102,916,011		$	38,053,067
Accumulated undistributed net investment income (loss)		2,637,528		884,772		(34,221	)		468,336
Accumulated net realized gain (loss) on investments sold and foreign currency related transactions		28,621,020		57,510,678		16,013,988			(6,432,749	)
Net unrealized appreciation (depreciation) of investments (including appreciation (depreciation) on foreign currency related transactions)		46,059,077		45,572,340		72,235,120			4,062,853
Net Assets	$	322,226,609	$	234,227,819	$	191,130,898		$	36,151,507
Class I Shares:
Net Assets	$	317,184,826	$	213,525,628	$	181,500,717		$	24,688,562
Shares of beneficial interest outstanding		11,075,396		8,072,952		9,271,461			2,163,423
Net Asset Value and redemption price per share	$	28.64	$	26.45	$	19.58		$	11.41
Class II Shares:
Net Assets	$	5,041,783	$	20,702,191		9,630,181		$	11,462,945
Shares of beneficial interest outstanding		178,169		793,212		502,469			1,010,080
Net Asset Value and redemption price per share	$	28.30	$	26.10	$	19.17		$	11.35
† Cost of Investments in unaffiliated securities	$	273,188,777	$	190,025,434	$	119,044,423		$	32,603,561
‡ Cost of investments in affiliated securities	$	–	$	–	$	–		$	–
§ Fair Value of securities on loan	$	1,328,857	$	477,881	$	–		$	449,956
1 See Note 11 for information on affiliated issuers.

See accompanying Notes to Financial Statements.

30

Ultra Series Fund | June 30, 2018

 Statements of Operations for the Period Ended June 30, 2018 (unaudited)

	Conservative			Moderate			Aggressive			Core			High			Diversified
	Allocation			Allocation			Allocation			Bond			Income			Income
	Fund			Fund			Fund			Fund			Fund			Fund
Investment Income:
Interest	$	31,304		$	49,734		$	15,929		$	2,493,473		$	731,213			1,540,400
Dividends
Unaffiliated issuers		858,749			1,269,560			421,852			–			–			2,394,871
Affiliated issuers1		661,083			828,554			196,486			–			–			–
Less: Foreign taxes withheld/reclaimed		–			–			–			–			–			(39,255	)
Income from securities lending		6,824			15,141			5,205			1,107			5,321			937
Total investment income		1,557,960			2,162,989			639,472			2,494,580			736,534			3,896,953
Expenses:2
Management fees		213,459			348,690			123,799			422,832			93,767			929,172
Audit and trustee fees		14,116			22,929			8,111			15,504			2,463			26,359
Distribution fees – Class II		34,397			30,570			2,789			41,348			6,611			47,906
Other expenses		71			115			–			723			–			373
Total expenses before reimbursement/waiver		262,043			402,304			134,699			480,407			102,841			1,003,810
Less reimbursement/waiver2		(71,153	)		(116,230	)		(41,266	)		–			–			–
Total expenses net of waiver		190,890			286,074			93,433			480,407			102,841			1,003,810
Net Investment Income (Loss)		1,367,070			1,876,915			546,039			2,014,173			633,693			2,893,143
Net Realized and Unrealized Gain (Loss) on Investments
Net realized gain (loss) on investments (including net realized gain (loss) on foreign currency related transactions)
Options purchased		–			–			–			38,613			–			–
Options written		–			–			–			(35,138	)		–			–
Unaffiliated issuers		3,071,106			8,362,160			3,478,523			591,726			17,826			12,913,996
Affiliated issuers1		618,581			1,794,971			1,206,880			–			–			–
Net change in unrealized appreciation (depreciation )on investments (including net unrealized appreciation (depreciation) on foreign currency related transactions)
Unaffiliated issuers		(3,867,866	)		(9,568,955	)		(3,837,847	)		(5,645,076	)		(940,097	)		(19,859,434	)
Affiliated issuers1		(2,227,689	)		(3,420,705	)		(1,435,490	)		–			–			–
Net Realized and Unrealized Gain (Loss) on Investments		(2,405,868	)		(2,832,529	)		(587,934	)		(5,049,875	)		(922,271	)		(6,945,438	)
Net Increase (Decrease) in Net Assets from Operations	$	(1,038,798	)	$	(955,614	)	$	(41,895	)	$	(3,035,702	)	$	(288,578	)	$	(4,052,295	)

¹ See Note 11 for information on affiliated issuers.

² See Note 3 for information on expenses.

See accompanying Notes to Financial Statements.

31

Ultra Series Fund | June 30, 2018

 Statements of Operations for the Period Ended June 30, 2018 (unaudited)

	Large Cap			Large Cap			Mid			International
	Value			Growth			Cap			Stock
	Fund			Fund			Fund			Fund
Investment Income:
Interest	$	56,280		$	72,574		$	96,970		$	6,765
Dividends
Unaffiliated issuers		3,694,138			1,879,144			785,043			781,972
Affiliated issuers1		–			–			–			–
Less: Foreign taxes withheld/reclaimed		(64,040	)		(35,123	)		(8,355	)		(79,862	)
Income from securities lending		229			549			249			2,888
Total investment income		3,686,607			1,917,144			873,907			711,763
Expenses:2
Management fees		1,009,740			980,540			876,513			223,975
Audit and trustee fees		32,634			24,182			19,081			3,837
Distribution fees – Class II		6,705			27,650			12,534			15,629
Other expenses		–			–			–			–
Total expenses before reimbursement/waiver		1,049,079			1,032,372			908,128			243,441
Less reimbursement/waiver2		–			–			–			–
Total expenses net of waiver		1,049,079			1,032,372			908,128			243,441
Net Investment Income (Loss)		2,637,528			884,772			(34,221	)		468,322
Net Realized and Unrealized Gain (Loss) on Investments
Net realized gain (loss) on investments (including net realized gain (loss) on foreign currency related transactions)
Options purchased		–			–			–			–
Options written		–			–			–			–
Unaffiliated issuers		28,621,038			57,688,016			16,176,210			1,113,442
Affiliated issuers1		–			–			–			–
Net change in unrealized appreciation (depreciation )on investments (including net unrealized appreciation (depreciation) on foreign currency related transactions)
Unaffiliated issuers		(27,619,045	)		(56,444,403	)		(9,597,006	)		(2,572,376	)
Affiliated issuers1		–			–			–			–
Net Realized and Unrealized Gain (Loss) on Investments		1,001,993			1,243,613			6,579,204			(1,458,934	)
Net Increase (Decrease) in Net Assets from Operations	$	3,639,521		$	2,128,385		$	6,544,983		$	(990,612	)

¹ See Note 11 for information on affiliated issuers.

² See Note 3 for information on expenses.

See accompanying Notes to Financial Statements.

32

Ultra Series Fund | June 30, 2018

 Statements of Changes in Net Assets

	Conservative Allocation Fund						Moderate Allocation Fund
		(unaudited) Six-Months Ended 6/30/18			Year Ended 12/31/17			(unaudited) Six-Months Ended 6/30/18			Year Ended 12/31/17
Net Assets at beginning of period	$	150,474,621		$	152,466,453		$	244,064,933		$	263,051,727
Increase (decrease) in net assets from operations:
Net investment income		1,367,070			2,947,995			1,876,915			4,427,720
Net realized gain		3,689,687			4,405,819			10,157,131			14,049,738
Net change in unrealized appreciation (depreciation)		(6,095,555	)		6,837,805			(12,989,660	)		15,999,709
Net increase (decrease) in net assets from operations		(1,038,798	)		14,191,619			(955,614	)		34,477,167
Distributions to shareholders from:
Net investment income
Class I		(121,915	)		(2,500,202	)		(71,563	)		(4,216,851	)
Class II		–			(529,648	)		–			(442,525	)
Net realized gains
Class I		(19,810	)		(3,187,066	)		(522,786	)		(11,344,314	)
Class II		(4,638	)		(789,844	)		(59,691	)		(1,405,372	)
Total distributions		(146,363	)		(7,006,760	)		(654,040	)		(17,409,062	)
Capital Stock transactions:
Class I Shares
Shares sold		3,521,059			21,249,852			4,615,088			22,851,026
Issued to shareholders in reinvestment of distributions		141,725			5,687,269			594,349			15,561,165
Shares redeemed		(11,356,657	)		(33,248,239	)		(20,664,097	)		(71,458,848	)
Net decrease from capital stock transactions		(7,693,873	)		(6,311,118	)		(15,454,660	)		(33,046,657	)
Class II Shares
Shares sold		69,479			1,905,666			1,231,500			1,476,470
Issued to shareholders in reinvestment of distributions		4,638			1,319,492			59,691			1,847,897
Shares redeemed		(3,624,317	)		(6,090,731	)		(4,670,721	)		(6,332,609	)
Net increase (decrease) from capital stock transactions		(3,550,200	)		(2,865,573	)		(3,379,530	)		(3,008,242	)
Total decrease from capital stock transactions		(11,244,073	)		(9,176,691	)		(18,834,190	)		(36,054,899	)
Total increase (decrease) in net assets		(12,429,234	)		(1,991,832	)		(20,443,844	)		(18,986,794	)
Net Assets at end of period	$	138,045,387		$	150,474,621		$	223,621,089		$	244,064,933
Undistributed net investment income included in net assets	$	1,367,070		$	21,915		$	1,876,915		$	71,563
Capital Share transactions:
Class I Shares
Shares sold		345,662			2,071,023			424,449			2,143,826
Issued to shareholders in reinvestment of distributions		13,891			556,409			54,444			1,434,551
Shares redeemed		(1,115,819	)		(3,281,672	)		(1,905,438	)		(6,654,961	)
Net decrease from capital shares transactions		(756,266	)		(654,240	)		(1,426,545	)		(3,076,584	)
Class II Shares
Shares sold		6,801			189,218			112,428			138,824
Issued to shareholders in reinvestment of distributions		455			129,103			5,479			170,566
Shares redeemed		(355,361	)		(602,979	)		(427,423	)		(581,871	)
Net increase (decrease) from capital shares transactions		(348,105	)		(284,658	)		(309,516	)		(272,481	)

See accompanying Notes to Financial Statements.

33

Ultra Series Fund | June 30, 2018

 Statements of Changes in Net Assets

	Aggressive Allocation Fund						Core Bond Fund
	(unaudited) Six-Months Ended 6/30/18			Year Ended 12/31/17			(unaudited) Six-Months Ended 6/30/18			Year Ended 12/31/17
Net Assets at beginning of period	$	86,484,460		$	90,949,828		$	164,681,671		$	184,945,243
Increase (decrease) in net assets from operations:
Net investment income		546,039			1,370,984			2,014,173			4,347,189
Net realized gain		4,685,403			6,192,705			595,201			390,382
Net change in unrealized appreciation (depreciation)		(5,273,337	)		7,267,306			(5,645,076	)		591,067
Net increase (decrease) in net assets from operations		(41,895	)		14,830,995			(3,035,702	)		5,328,638
Distributions to shareholders from:
Net investment income
Class I		(28,779	)		(1,410,274	)		(89,395	)		(3,839,704	)
Class II		–			(31,646	)		–			(969,657	)
Net realized gains
Class I		(231,153	)		(5,435,153	)		–			–
Class II		(6,722	)		(147,158	)		–			–
Total distributions		(266,654	)		(7,024,231	)		(89,395	)		(4,809,361	)
Capital Stock transactions:
Class I Shares
Shares sold		3,774,832			14,299,948			1,355,394			6,624,555
Issued to shareholders in reinvestment of distributions		259,931			6,845,426			89,395			3,839,704
Shares redeemed		(12,389,678	)		(33,484,730	)		(12,530,488	)		(28,233,982	)
Net decrease from capital stock transactions		(8,354,915	)		(12,339,356	)		(11,085,699	)		(17,769,723	)
Class II Shares
Shares sold		79			213,038			364,283			2,264,909
Issued to shareholders in reinvestment of distributions		6,722			178,804			–			969,657
Shares redeemed		(78,083	)		(324,618	)		(2,852,985	)		(6,247,692	)
Net increase (decrease) from capital stock transactions		(71,282	)		67,224			(2,488,702	)		(3,013,126	)
Total decrease from capital stock transactions		(8,426,197	)		(12,272,132	)		(13,574,401	)		(20,782,849	)
Total increase (decrease) in net assets		(8,734,746	)		(4,465,368	)		(16,699,498	)		(20,263,572	)
Net Assets at end of period	$	77,749,714		$	86,484,460		$	147,982,173		$	164,681,671
Undistributed net investment income included in net assets	$	546,039		$	28,779		$	2,014,172		$	89,394
Capital Share transactions:
Class I Shares
Shares sold		370,676			1,455,389			141,320			670,205
Issued to shareholders in reinvestment of distributions		25,292			676,304			9,365			394,821
Shares redeemed		(1,220,064	)		(3,375,439	)		(1,307,266	)		(2,850,687	)
Net decrease from capital shares transactions		(824,096	)		(1,243,746	)		(1,156,581	)		(1,785,661	)
Class II Shares
Shares sold		8			20,096			38,278			229,954
Issued to shareholders in reinvestment of distributions		656			17,720			–			100,101
Shares redeemed		(7,674	)		(32,466	)		(298,719	)		(629,907	)
Net increase (decrease) from capital shares transactions		(7,010	)		5,350			(260,441	)		(299,852	)

See accompanying Notes to Financial Statements.

34

Ultra Series Fund | June 30, 2018

 Statements of Changes in Net Assets

High Income Fund						Diversified Income Fund						Large Cap Value Fund						Large Cap Growth Fund
(unaudited) Six-Months Ended 6/30/18			Year Ended 12/31/17			(unaudited) Six-Months Ended 6/30/18			Year Ended 12/31/17			(unaudited) Six-Months Ended 6/30/18			Year Ended 12/31/17			(unaudited) Six-Months Ended 6/30/18			Year Ended 12/31/17
$	26,163,019		$	27,407,016		$	279,738,859		$	286,037,793		$	346,751,911		$	352,701,915		$	255,807,316		$	247,224,084
	633,693			1,271,722			2,893,143			5,867,008			2,637,528			7,804,868			884,772			1,838,076
	17,826			208,730			12,913,996			12,354,557			28,621,038			19,175,375			57,688,016			31,958,000
	(940,097	)		189,436			(19,859,434	)		16,682,463			(27,619,045	)		24,364,107			(56,444,403	)		17,042,657
	(288,578	)		1,669,888			(4,052,295	)		34,904,028			3,639,521			51,344,350			2,128,385			50,838,733
	(23,984	)		(1,016,210	)		(127,318	)		(5,154,317	)		(106,683	)		(7,698,319	)		(30,930	)		(1,700,965	)
	(550	)		(260,404	)		–			(826,409	)		–			(117,237	)		–			(139,953	)
	–			–			(810,053	)		(9,857,953	)		(1,328,993	)		(18,774,779	)		(2,417,697	)		(28,091,073	)
	–			–			(137,018	)		(1,683,155	)		(21,454	)		(308,724	)		(239,216	)		(2,888,346	)
	(24,534	)		(1,276,614	)		(1,074,389	)		(17,521,834	)		(1,457,130	)		(26,899,059	)		(2,687,843	)		(32,820,337	)
	134,242			528,995			2,005,557			10,710,442			1,932,895			10,247,248			1,854,934			9,778,133
	23,984			1,016,210			937,371			15,012,270			1,435,676			26,473,098			2,448,627			29,792,038
	(1,466,531	)		(3,361,108	)		(19,022,951	)		(46,853,243	)		(29,543,918	)		(67,580,492	)		(22,653,740	)		(46,921,100	)
	(1,308,305	)		(1,815,903	)		(16,080,023	)		(21,130,531	)		(26,175,347	)		(30,860,146	)		(18,350,179	)		(7,350,929	)
	58,190			783,472			110,740			2,884,175			6,985			1,255,348			17,072			275,075
	550			260,404			137,018			2,509,564			21,454			425,960			239,216			3,028,299
	(382,553	)		(865,244	)		(3,467,643	)		(7,944,336	)		(560,785	)		(1,216,457	)		(2,926,148	)		(5,387,609	)
	(323,813	)		178,632			(3,219,885	)		(2,550,597	)		(532,346	)		464,851			(2,669,860	)		(2,084,235	)
	(1,632,118	)		(1,637,271	)		(19,299,908	)		(23,681,128	)		(26,707,693	)		(30,395,295	)		(21,020,039	)		(9,435,164	)
	(1,945,230	)		(1,243,997	)		(24,426,592	)		(6,298,934	)		(24,525,302	)		(5,950,004	)		(21,579,497	)		8,583,232
$	24,217,789		$	26,163,019		$	255,312,267		$	279,738,859		$	322,226,609		$	346,751,911		$	234,227,819		$	255,807,316
$	633,693		$	24,534		$	2,893,143		$	127,318		$	2,637,528		$	106,683		$	884,772		$	30,930
	15,603			60,086			103,115			562,948			65,721			375,647			69,220			368,199
	2,795			117,485			48,226			769,261			48,935			933,148			90,662			1,113,799
	(170,900	)		(377,920	)		(980,498	)		(2,434,037	)		(1,019,298	)		(2,429,088	)		(842,687	)		(1,721,641	)
	(152,502	)		(200,349	)		(829,157	)		(1,101,828	)		(904,642	)		(1,120,293	)		(682,805	)		(239,643	)
	6,782			89,047			5,758			153,418			246			46,300			644			10,349
	64			30,099			7,101			129,455			740			15,178			8,975			114,571
	(44,481	)		(97,240	)		(180,820	)		(410,213	)		(19,449	)		(43,767	)		(110,606	)		(196,943	)
	(37,635	)		21,906			(167,961	)		(127,340	)		(18,463	)		17,711			(100,987	)		(72,023	)

See accompanying Notes to Financial Statements.

35

Ultra Series Fund | June 30, 2018

 Statements of Changes in Net Assets

	Mid Cap Fund						International Stock Fund
	(unaudited) Six-Months Ended 6/30/18			Year Ended 12/31/17			(unaudited) Six-Months Ended 6/30/18			Year Ended 12/31/17
Net Assets at beginning of period	$	202,649,040		$	214,217,873		$	40,773,442		$	39,604,139
Increase (decrease) in net assets from operations:
Net investment income (loss)		(34,221	)		(163,928	)		468,322			484,574
Net realized gain		16,176,210			19,610,591			1,113,442			228,731
Net change in unrealized appreciation (depreciation)		(9,597,006	)		10,329,405			(2,572,376	)		7,552,307
Net increase (decrease) in net assets from operations		6,544,983			29,776,068			(990,612	)		8,265,612
Distributions to shareholders from:
Net investment income
Class I		–			–			(13,447	)		(333,652	)
Class II		–			–			–			(140,056	)
Net realized gains
Class I		(365,741	)		(18,232,719	)		–			–
Class II		(19,937	)		(1,015,996	)		–			–
Total distributions		(385,678	)		(19,248,715	)		(13,447	)		(473,708	)
Capital Stock transactions:
Class I Shares
Shares sold		951,842			8,585,574			345,696			620,534
Issued to shareholders in reinvestment of distributions		365,741			18,232,719			13,447			333,652
Shares redeemed		(17,808,959	)		(47,769,566	)		(2,503,290	)		(5,488,645	)
Net decrease from capital stock transactions		(16,491,376	)		(20,951,273	)		(2,144,147	)		(4,534,459	)
Class II Shares
Shares sold		1,429			296,716			11,323			425,059
Issued to shareholders in reinvestment of distributions		19,937			1,015,996			–			140,056
Shares redeemed		(1,207,437	)		(2,457,625	)		(1,485,052	)		(2,653,257	)
Net decrease from capital stock transactions		(1,186,071	)		(1,144,913	)		(1,473,729	)		(2,088,142	)
Total decrease from capital stock transactions		(17,677,447	)		(22,096,186	)		(3,617,876	)		(6,622,601	)
Total increase (decrease) in net assets		(11,518,142	)		(11,568,833	)		(4,621,935	)		1,169,303
Net Assets at end of period	$	191,130,898		$	202,649,040		$	36,151,507		$	40,773,442
Undistributed net investment income (loss) included in net assets	$	(34,221	)	$	–		$	468,336		$	13,461
Capital Share transactions:
Class I Shares
Shares sold		49,540			461,805			29,321			58,835
Issued to shareholders in reinvestment of distributions		18,385			964,367			1,154			28,685
Shares redeemed		(926,045	)		(2,512,866	)		(212,930	)		(508,360	)
Net decrease from capital shares transactions		(858,120	)		(1,086,694	)		(182,455	)		(420,840	)
Class II Shares
Shares sold		75			15,984			969			40,942
Issued to shareholders in reinvestment of distributions		1,024			54,813			–			12,069
Shares redeemed		(63,782	)		(130,651	)		(126,621	)		(243,062	)
Net decrease from capital shares transactions		(62,683	)		(59,854	)		(125,652	)		(190,051	)

See accompanying Notes to Financial Statements.

36

Ultra Series Fund | June 30, 2018

 Financial Highlights for a Share of Beneficial Interest Outstanding

CONSERVATIVE ALLOCATION FUND
	(unaudited)			Year Ended December 31,
CLASS I	Six-Months Ended 6/30/18			2017			2016			2015			2014			2013
Net Asset Value at beginning of period	$	10.22		$	9.74		$	9.56		$	10.22		$	10.70		$	10.45
Income from Investment Operations:
Net investment income		0.10			0.21			0.17	1		0.16	1		0.19	1		0.25	1
Net realized and unrealized gain (loss) on investments		(0.17	)		0.77			0.36			(0.24	)		0.46			0.55
Total from investment operations		(0.07	)		0.98			0.53			(0.08	)		0.65			0.80
Less Distributions From:
Net investment income		(0.01	)		(0.22	)		(0.20	)		(0.20	)		(0.25	)		(0.27	)
Capital gains		0.00	6		(0.28	)		(0.15	)		(0.38	)		(0.88	)		(0.28	)
Total distributions		(0.01	)		(0.50	)		(0.35	)		(0.58	)		(1.13	)		(0.55	)
Net increase (decrease) in net asset value		(0.08	)		0.48			0.18			(0.66	)		(0.48	)		0.25
Net Asset Value at end of period	$	10.14		$	10.22		$	9.74		$	9.56		$	10.22		$	10.70
Total Return (%)2		(0.70	)3		10.17			5.48			(0.76	)		6.03			7.61
Ratios/Supplemental Data:
Net Assets at end of period (in 000’s)	$	112,050		$	120,703		$	121,351		$	125,007		$	156,054		$	181,427
Ratios of expenses to average net assets:
Before waiver of expenses by Adviser (%)		0.32	4		0.32			0.32			0.32			0.31			0.31
After waiver of expenses by Adviser (%)		0.22	4		0.22			0.22			0.22			0.27			0.31
Ratio of net investment income to average net assets (%)		1.97	4		2.06			1.71			1.53			1.71			2.27
Portfolio turnover (%)5		26	3		49			83			54			73			70
	(unaudited)			Year Ended December 31,
CLASS II	Six-Months Ended 6/30/18			2017			2016			2015			2014			2013
Net Asset Value at beginning of period	$	10.22		$	9.73		$	9.55		$	10.20		$	10.68		$	10.43
Income from Investment Operations:
Net investment income		0.07			0.18			0.14	1		0.15	1		0.18	1		0.22	1
Net realized and unrealized gain (loss) on investments		(0.15	)		0.78			0.36			(0.25	)		0.43			0.55
Total from investment operations		(0.08	)		0.96			0.50			(0.10	)		0.61			0.77
Less Distributions From:
Net investment income		–			(0.19	)		(0.17	)		(0.17	)		(0.21	)		(0.24	)
Capital gains		0.00	6		(0.28	)		(0.15	)		(0.38	)		(0.88	)		(0.28	)
Total distributions		0.00	6		(0.47	)		(0.32	)		(0.55	)		(1.09	)		(0.52	)
Net increase (decrease) in net asset value		(0.08	)		0.49			0.18			(0.65	)		(0.48	)		0.25
Net Asset Value at end of period	$	10.14		$	10.22		$	9.73		$	9.55		$	10.20		$	10.68
Total Return (%)2		(0.82	)3		9.90			5.21			(1.01	)		5.77			7.34
Ratios/Supplemental Data:
Net Assets at end of period (in 000’s)	$	25,995		$	29,772		$	31,116		$	33,705		$	37,837		$	40,069
Ratios of expenses to average net assets:
Before waiver of expenses by Adviser (%)		0.57	4		0.57			0.57			0.57			0.56			0.56
After waiver of expenses by Adviser (%)		0.47	4		0.47			0.47			0.47			0.51			0.56
Ratio of net investment income to average net assets (%)		1.71	4		1.78			1.42			1.46			1.65			2.04
Portfolio turnover (%)5		26	3		49			83			54			73			70

1	Based on average shares outstanding during the year.
2	These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year.
3	Not annualized.
4	Annualized.
5	Portfolio turnover is calculated at the fund level and represents the entire fiscal year or period.
6	Amounts represent less than $(0.005) per share.

See accompanying Notes to Financial Statements.

37

Ultra Series Fund | June 30, 2018

 Financial Highlights for a Share of Beneficial Interest Outstanding

MODERATE ALLOCATION FUND
	(unaudited)			Year Ended December 31,
CLASS I	Six-Months Ended 6/30/18			2017			2016			2015			2014			2013
Net Asset Value at beginning of period	$	10.85		$	10.18		$	9.92		$	10.92		$	11.48		$	10.11
Income from Investment Operations:
Net investment income		0.09			0.22			0.15	1		0.14	1		0.16	1		0.19	1
Net realized and unrealized gain (loss) on investments		(0.14	)		1.29			0.58			(0.24	)		0.62			1.39
Total from investment operations		(0.05	)		1.51			0.73			(0.10	)		0.78			1.58
Less Distributions From:
Net investment income		(0.00	)2		(0.23	)		(0.20	)		(0.19	)		(0.25	)		(0.21	)
Capital gains		(0.03	)		(0.61	)		(0.27	)		(0.71	)		(1.09	)		–
Total distributions		(0.03	)		(0.84	)		(0.47	)		(0.90	)		(1.34	)		(0.21	)
Net increase (decrease) in net asset value		(0.08	)		0.67			0.26			(1.00	)		(0.56	)		1.37
Net Asset Value at end of period	$	10.77		$	10.85		$	10.18		$	9.92		$	10.92		$	11.48
Total Return (%)3		(0.43	)4		14.80			7.39			(0.93	)		6.85			15.66
Ratios/Supplemental Data:
Net Assets at end of period (in 000’s)	$	200,397		$	217,301		$	235,182		$	245,807		$	315,568		$	370,954
Ratios of expenses to average net assets:
Before waiver of expenses by Adviser (%)		0.32	5		0.32			0.32			0.32			0.31			0.31
After waiver of expenses by Adviser (%)		0.22	5		0.22			0.22			0.22			0.27			0.31
Ratio of net investment income to average net assets (%)		1.64	5		1.80			1.49			1.30			1.37			1.75
Portfolio turnover (%)6		32	4		39			91			52			73			66
	(unaudited)			Year Ended December 31,
CLASS II	Six-Months Ended 6/30/18			2017			2016			2015			2014			2013
Net Asset Value at beginning of period	$	10.83		$	10.16		$	9.90		$	10.89		$	11.45		$	10.08
Income from Investment Operations:
Net investment income		0.05			0.16			0.12	1		0.15	1		0.18	1		0.16	1
Net realized and unrealized gain (loss) on investments		(0.10	)		1.31			0.58			(0.27	)		0.57			1.39
Total from investment operations		(0.05	)		1.47			0.70			(0.12	)		0.75			1.55
Less Distributions From:
Net investment income		–			(0.19	)		(0.17	)		(0.16	)		(0.22	)		(0.18	)
Capital gains		(0.03	)		(0.61	)		(0.27	)		(0.71	)		(1.09	)		–
Total distributions		(0.03	)		(0.80	)		(0.44	)		(0.87	)		(1.31	)		(0.18	)
Net increase (decrease) in net asset value		(0.08	)		0.67			0.26			(0.99	)		(0.56	)		1.37
Net Asset Value at end of period	$	10.75		$	10.83		$	10.16		$	9.90		$	10.89		$	11.45
Total Return (%)3		(0.55	)4		14.52			7.12			(1.18	)		6.58			15.37
Ratios/Supplemental Data:
Net Assets at end of period (in 000’s)	$	23,224		$	26,764		$	27,870		$	30,763		$	34,134		$	34,965
Ratios of expenses to average net assets:
Before waiver of expenses by Adviser (%)		0.57	5		0.57			0.57			0.57			0.56			0.56
After waiver of expenses by Adviser (%)		0.47	5		0.47			0.47			0.47			0.51			0.56
Ratio of net investment income to average net assets (%)		1.37	5		1.54			1.18			1.36			1.49			1.49
Portfolio turnover (%)6		32	4		39			91			52			73			66

1	Based on average shares outstanding during the year.
2	Amounts represent less than $(0.005) per share.
3	These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year.
4	Not annualized.
5	Annualized.
6	Portfolio turnover is calculated at the fund level and represents the entire fiscal year or period.

See accompanying Notes to Financial Statements.

38

Ultra Series Fund | June 30, 2018

 Financial Highlights for a Share of Beneficial Interest Outstanding

AGGRESSIVE ALLOCATION FUND
	(unaudited)			Year Ended December 31,
CLASS I	Six-Months Ended 6/30/18			2017			2016			2015			2014			2013
Net Asset Value at beginning of period	$	10.12		$	9.30		$	8.85		$	10.25		$	11.66		$	9.75
Income from Investment Operations:
Net investment income		0.07			0.17			0.12	1		0.11	1		0.14	1		0.12	1
Net realized and unrealized gain (loss) on investments		(0.08	)		1.54			0.66			(0.22	)		0.72			2.07
Total from investment operations		(0.01	)		1.71			0.78			(0.11	)		0.86			2.19
Less Distributions From:
Net investment income		(0.00	)2		(0.18	)		(0.17	)		(0.16	)		(0.24	)		(0.13	)
Capital gains		(0.03	)		(0.71	)		(0.16	)		(1.13	)		(2.03	)		(0.15	)
Total distributions		(0.03	)		(0.89	)		(0.33	)		(1.29	)		(2.27	)		(0.28	)
Net increase (decrease) in net asset value		(0.04	)		0.82			0.45			(1.40	)		(1.41	)		1.91
Net Asset Value at end of period	$	10.08		$	10.12		$	9.30		$	8.85		$	10.25		$	11.66
Total Return (%)3		(0.08	)4		18.52			8.87			(1.14	)		7.46			22.35
Ratios/Supplemental Data:
Net Assets at end of period (in 000’s)	$	75,564		$	84,217		$	88,917		$	90,245		$	124,838		$	149,514
Ratios of expenses to average net assets:
Before waiver of expenses by Adviser (%)		0.32	5		0.32			0.32			0.32			0.31			0.31
After waiver of expenses by Adviser (%)		0.22	5		0.22			0.22			0.22			0.27			0.31
Ratio of net investment income to average net assets (%)		1.33	5		1.57			1.34			1.08			1.13			1.07
Portfolio turnover (%)6		32	4		36			89			53			70			70
	(unaudited)			Year Ended December 31,
CLASS II	Six-Months Ended 6/30/18			2017			2016			2015			2014			2013
Net Asset Value at beginning of period	$	10.09		$	9.27		$	8.82		$	10.21		$	11.62		$	9.72
Income from Investment Operations:
Net investment income		0.06			0.15			0.13	1		0.17	1		0.17	1		0.09	1
Net realized and unrealized gain (loss) on investments		(0.08	)		1.53			0.62			(0.30	)		0.66			2.06
Total from investment operations		(0.02	)		1.68			0.75			(0.13	)		0.83			2.15
Less Distributions From:
Net investment income		–			(0.15	)		(0.14	)		(0.13	)		(0.21	)		(0.10	)
Capital gains		(0.03	)		(0.71	)		(0.16	)		(1.13	)		(2.03	)		(0.15	)
Total distributions		(0.03	)		(0.86	)		(0.30	)		(1.26	)		(2.24	)		(0.25	)
Net increase (decrease) in net asset value		(0.05	)		0.82			0.45			(1.39	)		(1.41	)		1.90
Net Asset Value at end of period	$	10.04		$	10.09		$	9.27		$	8.82		$	10.21		$	11.62
Total Return (%)3		(0.20	)4		18.22			8.60			(1.39	)		7.19			22.05
Ratios/Supplemental Data:
Net Assets at end of period (in 000’s)	$	2,185		$	2,267		$	2,032		$	1,681		$	1,809		$	1,911
Ratios of expenses to average net assets:
Before waiver of expenses by Adviser (%)		0.57	5		0.57			0.57			0.57			0.56			0.56
After waiver of expenses by Adviser (%)		0.47	5		0.47			0.47			0.47			0.51			0.56
Ratio of net investment income to average net assets (%)		1.11	5		1.53			1.42			1.64			1.45			0.81
Portfolio turnover (%)6		32	4		36			89			53			70			70

1	Based on average shares outstanding during the year.
2	Amounts represent less than $(0.005) per share.
3	These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year.
4	Not annualized.
5	Annualized.
6	Portfolio turnover is calculated at the fund level and represents the entire fiscal year or period.

See accompanying Notes to Financial Statements.

39

Ultra Series Fund | June 30, 2018

 Financial Highlights for a Share of Beneficial Interest Outstanding

CORE BOND FUND
	(unaudited)			Year Ended December 31,
CLASS I	Six-Months Ended 6/30/18			2017			2016			2015			2014			2013
Net Asset Value at beginning of period	$	9.76		$	9.75		$	9.80		$	10.14		$	9.97		$	10.55
Income from Investment Operations:
Net investment income		0.15			0.29			0.26	1		0.28	1		0.30	1		0.31	1
Net realized and unrealized gain (loss) on investments		(0.33	)		0.02			(0.01	)		(0.29	)		0.20			(0.54	)
Total from investment operations		(0.18	)		0.31			0.25			(0.01	)		0.50			(0.23	)
Less Distributions From:
Net investment income		(0.01	)		(0.30	)		(0.30	)		(0.33	)		(0.33	)		(0.35	)
Net increase (decrease) in net asset value		(0.19	)		0.01			(0.05	)		(0.34	)		0.17			(0.58	)
Net Asset Value at end of period	$	9.57		$	9.76		$	9.75		$	9.80		$	10.14		$	9.97
Total Return (%)2		(1.83	)3		3.11			2.67			(0.15	)		5.09			(2.24	)
Ratios/Supplemental Data:
Net Assets at end of period (in 000’s)	$	115,900		$	129,429		$	146,780		$	173,927		$	224,976		$	270,289
Ratios of expenses to average net assets (%)		0.57	4		0.57			0.57			0.57			0.56			0.56
Ratio of net investment income to average net assets (%)		2.68	4		2.54			2.53			2.73			2.88			3.02
Portfolio turnover (%)5		15	3		16			39			25			17			14
	(unaudited)			Year Ended December 31,
CLASS II	Six-Months Ended 6/30/18			2017			2016			2015			2014			2013
Net Asset Value at beginning of period	$	9.73		$	9.73		$	9.78		$	10.12		$	9.95		$	10.54
Income from Investment Operations:
Net investment income		0.08			0.22			0.23	1		0.25	1		0.27	1		0.29	1
Net realized and unrealized gain (loss) on investments		(0.27	)		0.06			–			(0.29	)		0.21			(0.56	)
Total from investment operations		(0.19	)		0.28			0.23			(0.04	)		0.48			(0.27	)
Less Distributions From:
Net investment income		–			(0.28	)		(0.28	)		(0.30	)		(0.31	)		(0.32	)
Net increase (decrease) in net asset value		(0.19	)		–			(0.05	)		(0.34	)		0.17			(0.59	)
Net Asset Value at end of period	$	9.54		$	9.73		$	9.73		$	9.78		$	10.12		$	9.95
Total Return (%)2		(1.95	)3		2.85			2.41			(0.40	)		4.83			(2.49	)
Ratios/Supplemental Data:
Net Assets at end of period (in 000’s)	$	32,082		$	35,252		$	38,165		$	44,151		$	47,162		$	46,991
Ratios of expenses to average net assets (%)		0.82	4		0.82			0.82			0.82			0.81			0.81
Ratio of net investment income to average net assets (%)		2.43	4		2.29			2.28			2.48			2.62			2.77
Portfolio turnover (%)5		15	3		16			39			25			17			14

1	Based on average shares outstanding during the year.
2	These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year.
3	Not annualized.
4	Annualized.
5	Portfolio turnover is calculated at the fund level and represents the entire fiscal year or period.

See accompanying Notes to Financial Statements.

40

Ultra Series Fund | June 30, 2018

 Financial Highlights for a Share of Beneficial Interest Outstanding

HIGH INCOME FUND
	(unaudited)			Year Ended December 31,
CLASS I	Six-Months Ended 6/30/18			2017			2016			2015			2014			2013
Net Asset Value at beginning of period	$	8.66		$	8.56		$	8.05		$	8.78		$	9.22		$	9.37
Income from Investment Operations:
Net investment income		0.24			0.47			0.42	1		0.47	1		0.49	1		0.52	1
Net realized and unrealized gain (loss) on investments		(0.34	)		0.08			0.55			(0.68	)		(0.33	)		(0.01	)
Total from investment operations		(0.10	)		0.55			0.97			(0.21	)		0.16			0.51
Less Distributions From:
Net investment income		(0.01	)		(0.45	)		(0.46	)		(0.52	)		(0.60	)		(0.66	)
Net increase (decrease) in net asset value		(0.11	)		0.10			0.51			(0.73	)		(0.44	)		(0.15	)
Net Asset Value at end of period	$	8.55		$	8.66		$	8.56		$	8.05		$	8.78		$	9.22
Total Return (%)2		(1.10	)3		6.32			12.15			(2.47	)		1.74			5.49
Ratios/Supplemental Data:
Net Assets at end of period (in 000’s)	$	19,046		$	20,601		$	22,093		$	23,975		$	30,455		$	43,622
Ratios of expenses to average net assets (%)		0.77	4		0.77			0.77			0.77			0.76			0.76
Ratio of net investment income to average net assets (%)		5.12	4		4.72			4.91			5.23			5.12			5.42
Portfolio turnover (%)5		18	3		39			58			27			53			32
	(unaudited)			Year Ended December 31,
CLASS II	Six-Months Ended 6/30/18			2017			2016			2015			2014			2013
Net Asset Value at beginning of period	$	8.67		$	8.57		$	8.05		$	8.79		$	9.23		$	9.37
Income from Investment Operations:
Net investment income		0.16			0.43			0.40	1		0.44	1		0.46	1		0.50	1
Net realized and unrealized gain (loss) on investments		(0.27	)		0.09			0.56			(0.68	)		(0.33	)		–
Total from investment operations		(0.11	)		0.52			0.96			(0.24	)		0.13			0.50
Less Distributions From:
Net investment income		(0.00	)6		(0.42	)		(0.44	)		(0.50	)		(0.57	)		(0.64	)
Net increase (decrease) in net asset value		(0.11	)		0.10			0.52			(0.74	)		(0.44	)		(0.14	)
Net Asset Value at end of period	$	8.56		$	8.67		$	8.57		$	8.05		$	8.79		$	9.23
Total Return (%)2		(1.23	)3		6.06			11.87			(2.71	)		1.48			5.23
Ratios/Supplemental Data:
Net Assets at end of period (in 000’s)	$	5,172		$	5,562		$	5,314		$	5,943		$	6,685		$	6,906
Ratios of expenses to average net assets (%)		1.02	4		1.02			1.02			1.02			1.01			1.01
Ratio of net investment income to average net assets (%)		4.87	4		4.47			4.66			4.98			4.88			5.17
Portfolio turnover (%)5		18	3		39			58			27			53			32

1	Based on average shares outstanding during the year.
2	These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year.
3	Not annualized.
4	Annualized.
5	Portfolio turnover is calculated at the fund level and represents the entire fiscal year or period.
6	Amounts represent less than $(0.005) per share.

See accompanying Notes to Financial Statements.

41

Ultra Series Fund | June 30, 2018

 Financial Highlights for a Share of Beneficial Interest Outstanding

DIVERSIFIED INCOME FUND
	(unaudited)			Year Ended December 31,
CLASS I	Six-Months Ended 6/30/18			2017			2016			2015			2014			2013
Net Asset Value at beginning of period	$	19.55		$	18.40		$	18.64		$	20.30		$	20.76		$	18.29
Income from Investment Operations:
Net investment income		0.23			0.45			0.44	1		0.46	1		0.47	1		0.46	1
Net realized and unrealized gain (loss) on investments		(0.53	)		2.00			1.24			(0.43	)		1.02			2.48
Total from investment operations		(0.30	)		2.45			1.68			0.03			1.49			2.94
Less Distributions From:
Net investment income		(0.01	)		(0.45	)		(0.49	)		(0.52	)		(0.52	)		(0.47	)
Capital gains		(0.07	)		(0.85	)		(1.43	)		(1.17	)		(1.43	)		–
Total distributions		(0.08	)		(1.30	)		(1.92	)		(1.69	)		(1.95	)		(0.47	)
Net increase (decrease) in net asset value		(0.38	)		1.15			(0.24	)		(1.66	)		(0.46	)		2.47
Net Asset Value at end of period	$	19.17		$	19.55		$	18.40		$	18.64		$	20.30		$	20.76
Total Return (%)2		(1.49	)3		13.31			8.99			0.11			7.12			16.07
Ratios/Supplemental Data:
Net Assets at end of period (in 000’s)	$	218,779		$	239,212		$	245,490		$	267,001		$	327,951		$	378,807
Ratios of expenses to average net assets (%)		0.72	4		0.72			0.72			0.72			0.71			0.71
Ratio of net investment income to average net assets (%)		2.22	4		2.13			2.25			2.27			2.20			2.31
Portfolio turnover (%)5		14	3		16			34			21			24			17
	(unaudited)			Year Ended December 31,
CLASS II	Six-Months Ended 6/30/18			2017			2016			2015			2014			2013
Net Asset Value at beginning of period	$	19.41		$	18.31		$	18.57		$	20.23		$	20.71		$	18.26
Income from Investment Operations:
Net investment income		0.16			0.37			0.39	1		0.41	1		0.41	1		0.41	1
Net realized and unrealized gain (loss) on investments		(0.47	)		2.00			1.23			(0.42	)		1.02			2.47
Total from investment operations		(0.31	)		2.37			1.62			(0.01	)		1.43			2.88
Less Distributions From:
Net investment income		–			(0.42	)		(0.45	)		(0.48	)		(0.48	)		(0.43	)
Capital gains		(0.07	)		(0.85	)		(1.43	)		(1.17	)		(1.43	)		–
Total distributions		(0.07	)		(1.27	)		(1.88	)		(1.65	)		(1.91	)		(0.43	)
Net increase (decrease) in net asset value		(0.38	)		1.10			(0.26	)		(1.66	)		(0.48	)		2.45
Net Asset Value at end of period	$	19.03		$	19.41		$	18.31		$	18.57		$	20.23		$	20.71
Total Return (%)2		(1.61	)3		13.03			8.72			(0.14	)		6.85			15.78
Ratios/Supplemental Data:
Net Assets at end of period (in 000’s)	$	36,534		$	40,526		$	40,548		$	39,894		$	44,772		$	43,601
Ratios of expenses to average net assets (%)		0.97	4		0.97			0.97			0.97			0.96			0.96
Ratio of net investment income to average net assets (%)		1.97	4		1.88			1.99			2.02			1.95			2.05
Portfolio turnover (%)5		14	3		16			34			21			24			17

1	Based on average shares outstanding during the year.
2	These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year.
3	Not annualized.
4	Annualized.
5	Portfolio turnover is calculated at the fund level and represents the entire fiscal year or period.

See accompanying Notes to Financial Statements.

42

Ultra Series Fund | June 30, 2018

 Financial Highlights for a Share of Beneficial Interest Outstanding

LARGE CAP VALUE FUND
	(unaudited)			Year Ended December 31,
CLASS I	Six-Months Ended 6/30/18			2017			2016			2015			2014			2013
Net Asset Value at beginning of period	$	28.48		$	26.56		$	27.06		$	33.10		$	34.76		$	27.12
Income from Investment Operations:
Net investment income		0.24			0.69			0.42	1		0.35	1		0.43	1		0.48	1
Net realized and unrealized gain (loss) on investments		0.05			3.60			3.13			(1.18	)		3.97			7.67
Total from investment operations		0.29			4.29			3.55			(0.83	)		4.40			8.15
Less Distributions From:
Net investment income		(0.01	)		(0.69	)		(0.44	)		(0.40	)		(0.51	)		(0.51	)
Capital gains		(0.12	)		(1.68	)		(3.61	)		(4.81	)		(5.55	)		–
Total distributions		(0.13	)		(2.37	)		(4.05	)		(5.21	)		(6.06	)		(0.51	)
Net increase (decrease) in net asset value		0.16			1.92			(0.50	)		(6.04	)		(1.66	)		7.64
Net Asset Value at end of period	$	28.64		$	28.48		$	26.56		$	27.06		$	33.10		$	34.76
Total Return (%)2		0.99	3		16.23			13.01			(2.68	)		12.41			30.07
Ratios/Supplemental Data:
Net Assets at end of period (in 000’s)	$	317,185		$	341,213		$	347,993		$	365,385		$	491,416		$	576,731
Ratios of expenses to average net assets (%)		0.62	4		0.62			0.62			0.62			0.61			0.61
Ratio of net investment income to average net assets (%)		1.57	4		2.28			1.50			1.09			1.18			1.53
Portfolio turnover (%)5		39	3		77			93			90			82			32
	(unaudited)			Year Ended December 31,
CLASS II	Six-Months Ended 6/30/18			2017			2016			2015			2014			2013
Net Asset Value at beginning of period	$	28.17		$	26.32		$	26.87		$	32.93		$	34.64		$	27.05
Income from Investment Operations:
Net investment income		0.14			0.65			0.34	1		0.27	1		0.34	1		0.40	1
Net realized and unrealized gain (loss) on investments		0.11			3.52			3.11			(1.17	)		3.94			7.64
Total from investment operations		0.25			4.17			3.45			(0.90	)		4.28			8.04
Less Distributions From:
Net investment income		–			(0.64	)		(0.39	)		(0.35	)		(0.44	)		(0.45	)
Capital gains		(0.12	)		(1.68	)		(3.61	)		(4.81	)		(5.55	)		–
Total distributions		(0.12	)		(2.32	)		(4.00	)		(5.16	)		(5.99	)		(0.45	)
Net increase (decrease) in net asset value		0.13			1.85			(0.55	)		(6.06	)		(1.71	)		7.59
Net Asset Value at end of period	$	28.30		$	28.17		$	26.32		$	26.87		$	32.93		$	34.64
Total Return (%)2		0.87	3		15.94			12.73			(2.92	)		12.13			29.74
Ratios/Supplemental Data:
Net Assets at end of period (in 000’s)	$	5,042		$	5,539		$	4,709		$	5,509		$	6,700		$	6,875
Ratios of expenses to average net assets (%)		0.87	4		0.87			0.87			0.87			0.86			0.86
Ratio of net investment income to average net assets (%)		1.32	4		2.08			1.24			0.84			0.93			1.28
Portfolio turnover (%)5		39	3		77			93			90			82			32

1	Based on average shares outstanding during the year.
2	These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year.
3	Not annualized.
4	Annualized.
5	Portfolio turnover is calculated at the fund level and represents the entire fiscal year or period.

See accompanying Notes to Financial Statements.

43

Ultra Series Fund | June 30, 2018

 Financial Highlights for a Share of Beneficial Interest Outstanding

LARGE CAP GROWTH FUND
	(unaudited)			Year Ended December 31,
CLASS I	Six-Months Ended 6/30/18			2017			2016			2015			2014			2013
Net Asset Value at beginning of period	$	26.54		$	24.84		$	25.12		$	27.27		$	28.76		$	24.09
Income from Investment Operations:
Net investment income		0.10			0.22			0.20	1		0.28	1		0.19	1		0.17	1
Net realized and unrealized gain (loss) on investments		0.11			5.32			1.23			0.64			3.32			7.17
Total from investment operations		0.21			5.54			1.43			0.92			3.51			7.34
Less Distributions From:
Net investment income		(0.00	)2		(0.22	)		(0.22	)		(0.32	)		(0.20	)		(0.18	)
Capital gains		(0.30	)		(3.62	)		(1.49	)		(2.75	)		(4.80	)		(2.49	)
Total distributions		(0.30	)		(3.84	)		(1.71	)		(3.07	)		(5.00	)		(2.67	)
Net increase (decrease) in net asset value		(0.09	)		1.70			(0.28	)		(2.15	)		(1.49	)		4.67
Net Asset Value at end of period	$	26.45		$	26.54		$	24.84		$	25.12		$	27.27		$	28.76
Total Return (%)3		0.79	4		22.28			5.74			3.26			12.13			30.51
Ratios/Supplemental Data:
Net Assets at end of period (in 000’s)	$	213,526		$	232,362		$	223,450		$	251,524		$	305,800		$	359,959
Ratios of expenses to average net assets (%)		0.82	5		0.82			0.82			0.82			0.81			0.81
Ratio of net investment income to average net assets (%)		0.74	5		0.75			0.80			1.02			0.63			0.62
Portfolio turnover (%)6		52	4		22			13			19			33			50
	(unaudited)			Year Ended December 31,
CLASS II	Six-Months Ended 6/30/18			2017			2016			2015			2014			2013
Net Asset Value at beginning of period	$	26.22		$	24.60		$	24.92		$	27.10		$	28.63		$	24.02
Income from Investment Operations:
Net investment income		0.03			0.14			0.14	1		0.21	1		0.11	1		0.10	1
Net realized and unrealized gain (loss) on investments		0.15			5.28			1.21			0.63			3.32			7.13
Total from investment operations		0.18			5.42			1.35			0.84			3.43			7.23
Less Distributions From:
Net investment income		–			(0.18	)		(0.18	)		(0.27	)		(0.16	)		(0.13	)
Capital gains		(0.30	)		(3.62	)		(1.49	)		(2.75	)		(4.80	)		(2.49	)
Total distributions		(0.30	)		(3.80	)		(1.67	)		(3.02	)		(4.96	)		(2.62	)
Net increase (decrease) in net asset value		(0.12	)		1.62			(0.32	)		(2.18	)		(1.53	)		4.61
Net Asset Value at end of period	$	26.10		$	26.22		$	24.60		$	24.92		$	27.10		$	28.63
Total Return (%)3		0.66	4		21.98			5.47			3.00			11.85			30.18
Ratios/Supplemental Data:
Net Assets at end of period (in 000’s)	$	20,702		$	23,445		$	23,774		$	27,749		$	32,168		$	33,983
Ratios of expenses to average net assets (%)		1.07	5		1.07			1.07			1.07			1.06			1.06
Ratio of net investment income to average net assets (%)		0.49	5		0.50			0.55			0.77			0.38			0.37
Portfolio turnover (%)6		52	4		22			13			19			33			50

1	Based on average shares outstanding during the year.
2	Amount represents less than $(0.005) per share.
3	These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year.
4	Not annualized.
5	Annualized.
6	Portfolio turnover is calculated at the fund level and represents the entire fiscal year or period.

See accompanying Notes to Financial Statements.

44

Ultra Series Fund | June 30, 2018

 Financial Highlights for a Share of Beneficial Interest Outstanding

MID CAP FUND
	(unaudited)			Year Ended December 31,
CLASS I	Six-Months Ended 6/30/18			2017			2016			2015			2014			2013
Net Asset Value at beginning of period	$	18.97		$	18.11		$	17.65		$	19.30		$	21.76		$	17.09
Income from Investment Operations:
Net investment income (loss)		–			(0.01	)		0.01	1		(0.05	)1		0.02	1		0.00	1,2
Net realized and unrealized gain on investments		0.65			2.85			2.22			0.27			2.13			5.00
Total from investment operations		0.65			2.84			2.23			0.22			2.15			5.00
Less Distributions From:
Net investment income		–			–			(0.00	)2		(0.01	)		(0.01	)		(0.00	)2
Capital gains		(0.04	)		(1.98	)		(1.77	)		(1.86	)		(4.60	)		(0.33	)
Total distributions		(0.04	)		(1.98	)		(1.77	)		(1.87	)		(4.61	)		(0.33	)
Net increase (decrease) in net asset value		0.61			0.86			0.46			(1.65	)		(2.46	)		4.67
Net Asset Value at end of period	$	19.58		$	18.97		$	18.11		$	17.65		$	19.30		$	21.76
Total Return (%)3		3.40	4		15.74			12.84			1.04			9.82			29.28
Ratios/Supplemental Data:
Net Assets at end of period (in 000’s)	$	181,501		$	192,140		$	203,076		$	220,979		$	286,704		$	381,703
Ratios of expenses to average net assets (%)		0.92	5		0.92			0.92			0.92			0.91			0.91
Ratio of net investment income to average net assets (%)		(0.02	)5		(0.07	)		0.04			(0.24	)		0.10			(0.01	)
Portfolio turnover (%)6		9	4		22			21			28			35			28
	(unaudited)			Year Ended December 31,
CLASS II	Six-Months Ended 6/30/18			2017			2016			2015			2014			2013
Net Asset Value at beginning of period	$	18.59		$	17.83		$	17.44		$	19.13		$	21.65		$	17.05
Income from Investment Operations:
Net investment loss		(0.06	)		(0.08	)		(0.04	)1		(0.09	)1		(0.03	)1		(0.05	)1
Net realized and unrealized gain on investments		0.68			2.82			2.20			0.26			2.11			4.98
Total from investment operations		0.62			2.74			2.16			0.17			2.08			4.93
Less Distributions From:
Capital gains		(0.04	)		(1.98	)		(1.77	)		(1.86	)		(4.60	)		(0.33	)
Total distributions		(0.04	)		(1.98	)		(1.77	)		(1.86	)		(4.60	)		(0.33	)
Net increase (decrease) in net asset value		0.58			0.76			0.39			(1.69	)		(2.52	)		4.60
Net Asset Value at end of period	$	19.17		$	18.59		$	17.83		$	17.44		$	19.13		$	21.65
Total Return (%)3		3.27	4		15.45			12.55			0.79			9.55			28.95
Ratios/Supplemental Data:
Net Assets at end of period (in 000’s)	$	9,630		$	10,509		$	11,142		$	12,710		$	15,067		$	15,762
Ratios of expenses to average net assets (%)		1.17	5		1.17			1.17			1.17			1.17			1.16
Ratio of net investment income to average net assets (%)		(0.27	)5		(0.32	)		(0.21	)		(0.49	)		(0.15	)		(0.26	)
Portfolio turnover (%)6		9	4		22			21			28			35			28

1	Based on average shares outstanding during the year.
2	Amounts represent less than $(0.005) per share.
3	These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year.
4	Not annualized.
5	Annualized.
6	Portfolio turnover is calculated at the fund level and represents the entire fiscal year or period.

See accompanying Notes to Financial Statements.

45

Ultra Series Fund | June 30, 2018

 Financial Highlights for a Share of Beneficial Interest Outstanding

INTERNATIONAL STOCK FUND
	(unaudited)			Year Ended December 31,
CLASS I	Six-Months Ended 6/30/18				2017			2016			2015			2014			2013
Net Asset Value at beginning of period	$	11.73		$	9.69		$	10.16		$	10.77		$	12.99		$	10.78
Income from Investment Operations:
Net investment income		0.17			0.17			0.18	1		0.19	1		0.27	1		0.16	1
Net realized and unrealized gain (loss) on investments		(0.48	)		2.01			(0.47	)		(0.56	)		(1.10	)		2.07
Total from investment operations		(0.31	)		2.18			(0.29	)		(0.37	)		(0.83	)		2.23
Less Distributions From:
Net investment income		(0.01	)		(0.14	)		(0.18	)		(0.22	)		(0.47	)		(0.02	)
Capital gains		–			–			–			(0.02	)		(0.92	)		–
Total distributions		(0.01	)		(0.14	)		(0.18	)		(0.24	)		(1.39	)		(0.02	)
Net increase (decrease) in net asset value		(0.32	)		2.04			(0.47	)		(0.61	)		(2.22	)		2.21
Net Asset Value at end of period	$	11.41		$	11.73		$	9.69		$	10.16		$	10.77		$	12.99
Total Return (%)2		(2.66	)3		22.54			(2.91	)		(3.45	)		(6.76	)		20.76
Ratios/Supplemental Data:
Net Assets at end of period (in 000’s)	$	24,689		$	27,516		$	26,809		$	32,560		$	38,826		$	75,808
Ratios of expenses to average net assets (%)		1.17	4		1.17			1.17			1.17			1.17			1.21
Ratio of net investment income to average net assets (%)		2.49	4		1.27			1.84			1.70			2.09			1.37
Portfolio turnover (%)5		15	3		28			98			23			103			39
	(unaudited)			Year Ended December 31,
CLASS II	Six-Months Ended 6/30/18				2017			2016			2015			2014			2013
Net Asset Value at beginning of period	$	11.67		$	9.65		$	10.14		$	10.74		$	12.96		$	10.76
Income from Investment Operations:
Net investment income		0.10			0.08			0.16	1		0.16	1		0.22	1		0.13	1
Net realized and unrealized gain (loss) on investments		(0.42	)		2.06			(0.49	)		(0.55	)		(1.08	)		2.07
Total from investment operations		(0.32	)		2.14			(0.33	)		(0.39	)		(0.86	)		2.20
Less Distributions From:
Net investment income		–			(0.12	)		(0.16	)		(0.19	)		(0.44	)		(0.00	)6
Capital gains		–			–			–			(0.02	)		(0.92	)		–
Total distributions		–			(0.12	)		(0.16	)		(0.21	)		(1.36	)		(0.00	)6
Net increase (decrease) in net asset value		(0.32	)		2.02			(0.49	)		(0.60	)		(2.22	)		2.20
Net Asset Value at end of period	$	11.35		$	11.67		$	9.65		$	10.14		$	10.74		$	12.96
Total Return (%)2		(2.78	)3		22.24			(3.16	)		(3.69	)		(6.99	)		20.45
Ratios/Supplemental Data:
Net Assets at end of period (in 000’s)	$	11,463		$	13,257		$	12,796		$	14,641		$	16,174		$	19,134
Ratios of expenses to average net assets (%)		1.42	4		1.42			1.42			1.42			1.42			1.46
Ratio of net investment income to average net assets (%)		2.22	4		1.02			1.58			1.43			1.72			1.10
Portfolio turnover (%)5		15	3		28			98			23			103			39

1	Based on average shares outstanding during the year.
2	These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year.
3	Not annualized.
4	Annualized.
5	Portfolio turnover is calculated at the fund level and represents the entire fiscal year or period.
6	Amounts represent less than $(0.005) per share.

See accompanying Notes to Financial Statements.

46

Ultra Series Fund | June 30, 2018

 Notes to Financial Statements (unaudited)

1. ORGANIZATION

The Ultra Series Fund (the “Trust”), a Massachusetts business trust, is registered under the Investment Company Act of 1940 (the “1940 Act”), as amended, as a diversified, open-end management investment company. The Trust is a series trust with, at the end of the period covered by this report, 14 investment portfolios (individually, a “fund,” and collectively, the “funds”), each with different investment objectives and policies. The funds reported within this book at the end of the period were the Core Bond Fund, High Income Fund, Diversified Income Fund, Large Cap Value Fund, Large Cap Growth Fund, Mid Cap Fund and International Stock Fund (collectively, the “Core Funds”), and the Conservative Allocation Fund, Moderate Allocation Fund and Aggressive Allocation Fund (collectively, the “Target Allocation Funds”).

The Declaration of Trust permits the Board of Trustees to issue an unlimited number of full and fractional shares of the Trust without par value. All funds offer Class I and II shares. Each class of shares represents an interest in the assets of the respective fund and has identical voting, dividend, liquidation and other rights, except that each class of shares bears its own distribution fee, if any, and its proportional share of fund level expenses, and has exclusive voting rights on matters pertaining to Rule 12b-1 under the 1940 Act as it relates to that class and other class specific matters. Shares are offered to separate accounts (the “Accounts”) of CMFG Life Insurance Company and to qualified pension and retirement plans of CMFG Life Insurance Company or its affiliates (“CUNA Mutual Group”). The Trust may, in the future, offer other share classes to separate accounts of insurance companies and to qualified pension and retirement plans that are not affiliated with CUNA Mutual Group. The Trust does not offer shares directly to the general public.

The Trust has entered into a Management Agreement with Madison Asset Management, LLC (the “Investment Adviser” or “Madison”). The Investment Adviser, in turn, has entered into a subadvisory agreement with a subadviser (“Subadviser”) for the management of the investments of the International Stock Fund.

2. SIGNIFICANT ACCOUNTING POLICIES

The funds are investment companies that apply the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services-Investment Companies (ASC 946). The following is a summary of significant accounting policies consistently followed by each fund in the preparation of its financial statements.

Portfolio Valuation: The Trust and each series of the Trust referred to individually as a fund values securities and other investments as follows: Equity securities, including American Depositary Receipts (“ADRs”),Global Depositary Receipts (“GDRs”) and exchange-traded funds (“ETFs”) listed on any U.S. or foreign stock exchange or quoted on the National Association of Securities Dealers Automated Quotation System (“NASDAQ’’) are valued at the last quoted sale price or official closing price on that exchange or NASDAQ on the valuation day (provided that, for securities traded on NASDAQ, the funds utilize the NASDAQ Official Closing Price (“NOCP”). If no sale occurs, equities traded on a U.S. exchange, foreign exchange or on NASDAQ are valued at the bid price. Debt securities (other than short-term obligations) purchased with a remaining maturity of 61 days or more are valued on the basis of last available bid prices or current market quotations provided by dealers or pricing services approved by the Trust. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments, various relationships observed in the market between investments and calculated yield measures based on valuation technology commonly employed in the market for such investments.

Municipal debt securities are traded via a network among dealers and brokers that connect buyers and sellers. Liquidity in the tax-exempt market is influenced by economic conditions, issuer financial strength, bond structure, trade size, supply

47

Ultra Series Fund | Notes to Financial Statements (unaudited) - continued | June 30, 2018

and demand, tax code and regulatory environment. There may be little trading in the secondary market for the particular bonds and other debt securities, making them more difficult to value or sell. Asset-backed and mortgage-backed securities are valued by independent pricing services using models that consider estimated cash flows of each tranche of the security, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche.

Investments in shares of open-end mutual funds, including money market funds, are valued at their daily net asset value (“NAV”) which is calculated as of the close of regular trading on the New York Stock Exchange (the “NYSE”) usually 4:00 p.m. Eastern Standard Time on each day on which the NYSE is open for business. NAV per share is determined by dividing each fund’s total net assets by the number of shares of such fund outstanding at the time of calculation. Because the assets of each Target Allocation Fund consist primarily of shares of other registered investment companies (the “Underlying Funds”), the NAV of each fund is determined based on the NAVs of the Underlying Funds. Total net assets are determined by adding the total current value of portfolio securities, cash, receivables, and other assets and subtracting liabilities. Short-term instruments having maturities of 60 days or less are valued on an amortized cost basis, which approximates market value.

Over-the-counter securities not listed or traded on NASDAQ are valued at the last sale price on the valuation day. If no sale occurs on the valuation day, an over-the-counter security is valued at the last bid price. Exchange-traded options are valued at the mean of the best bid and ask prices across all option exchanges. Financial futures contracts generally are valued at the settlement price established by the exchange(s) on which the contracts are primarily traded. Spot and forward foreign currency exchange contracts are valued based on quotations supplied by dealers in such contracts. Overnight repurchase agreements are valued at cost, and term repurchase agreements (i.e., those whose maturity exceeds seven days), swaps, caps, collars and floors, if any, are valued at the average of the closing bids obtained daily from at least one dealer.

Through the end of this reporting period, the value of all assets and liabilities expressed in foreign currencies was converted into U.S. dollar values using the then-current exchange rate at the close of regular trading on the NYSE.

All other securities for which either quotations are not readily available, no other sales have occurred, or in the Investment Adviser’s opinion, do not reflect the current market value, are appraised at their fair values as determined in good faith by the Pricing Committee (the “Committee”) and under the general supervision of the Board of Trustees. When fair value pricing of securities is employed, the prices of securities used by the funds to calculate NAV may differ from market quotations or NOCP. Because the Target Allocation Funds primarily invest in Underlying Funds, government securities and short-term paper, it is not anticipated that the Investment Adviser will need to “fair value” any of the investments of these funds. However, an Underlying Fund may need to “fair value” one or more of its investments, which may, in turn, require a Target Allocation Fund to do the same because of delays in obtaining the Underlying Fund’s NAV.

A fund’s investments (or Underlying Fund) will be valued at fair value if, in the judgment of the Committee, an event impacting the value of an investment occurred between the closing time of a security’s primary market or exchange (for example, a foreign exchange or market) and the time the fund’s share price is calculated as of the close of regular trading on the NYSE. Significant events may include, but are not limited to, the following: (1) significant fluctuations in domestic markets, foreign markets or foreign currencies; (2) occurrences not directly tied to the securities markets such as natural disasters, armed conflicts or significant government actions; and (3) major announcements affecting a single issuer or an entire market or market sector. In responding to a significant event, the Committee would determine the fair value of affected securities considering factors including, but not limited to: fundamental analytical data relating to the investment; the nature and duration of any restrictions on the disposition of the investment; and the forces influencing the market(s) in which the investment is purchased or sold.

In addition to independent fair value decisions made by the Committee noted above, the Committee also engages an independent fair valuation service to adjust the valuations of foreign equity securities based on specific market-movement

48

Ultra Series Fund | Notes to Financial Statements (unaudited) - continued | June 30, 2018

parameters established by the Committee and approved by the Trust. Such adjustments to the valuation of foreign securities are applied automatically upon market close if the parameters established are exceeded. A foreign security is also automatically fair valued if the exchange it is traded on is on holiday.

Security Transactions and Investment Income: Security transactions are accounted for on a trade date basis. Net realized gains or losses on sales are determined by the identified cost method. Interest income is recorded on an accrual basis. Dividend income is recorded on ex-dividend date, except that certain dividends from foreign securities may be recorded after the ex-dividend date based on when the fund is informed of the dividend. Interest income is recorded on an accrual basis and is increased by the accretion of discount and decreased by the amortization of premium. Amortization and accretion are recorded on the effective yield method.

Expenses: Expenses that are directly related to one fund are charged directly to that fund. Other operating expenses are prorated to the funds on the basis of relative net assets. Class-specific expenses are borne by that class.

Classes: Income and realized and unrealized gains/losses are allocated to the respective classes on the basis of relative net assets.

Repurchase Agreements: Each fund may engage in repurchase agreements. In a repurchase agreement, a security is purchased for a relatively short period (usually not more than seven days) subject to the obligation to sell it back to the issuer at a fixed time and price plus accrued interest. The funds will enter into repurchase agreements only with members of the Federal Reserve System and with “primary dealers” in U.S. Government securities.

The Trust has established a procedure providing that the securities serving as collateral for each repurchase agreement must be delivered to the Trust’s custodian either physically or in book-entry form and that the collateral must be marked to market daily to ensure that each repurchase agreement is fully collateralized at all times. In the event of bankruptcy or other default by a seller of a repurchase agreement, a fund could experience one of the following: delays in liquidating the underlying securities during the period in which the fund seeks to enforce its rights thereto, possible decreased levels of income, declines in value of the underlying securities, or lack of access to income during this period and the expense of enforcing its rights. As of June 30, 2018, none of the funds held open repurchase agreements.

Foreign Currency Transactions: The Trust’s books and records are maintained in U.S. dollars. Foreign currency-denominated transactions (i.e., market value of investment securities, assets and liabilities, purchases and sales of investment securities, and income and expenses) are translated into U.S. dollars at the current rate of exchange. The funds enter into contracts on the trade date to settle any securities transactions denominated in foreign currencies on behalf of the funds at the spot rate at settlement.

Each fund reports certain foreign currency-related transactions as components of realized gains or losses for financial reporting purposes, whereas such components are treated as ordinary income for federal income tax purposes. Realized gains or losses associated with currency transactions are included in the Statements of Operations under the heading “Net realized gain (loss) on investments.” The International Stock Fund and Large Cap Value Fund had net realized gains from foreign currency transactions.

The funds do not isolate the portion of gains and losses on investments in securities that is due to changes in the foreign exchange rates from that which is due to change in market prices of securities. Such amounts are categorized as gain or loss on investments for financial reporting purposes.

Forward Foreign Currency Exchange Contracts: Each fund may purchase and sell forward foreign currency exchange contracts for defensive or hedging purposes. When entering into forward foreign currency exchange contracts, the funds agree to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. These contracts are valued daily. The funds’ net assets reflect unrealized gains or losses on the contracts as measured by the

49

Ultra Series Fund | Notes to Financial Statements (unaudited) - continued | June 30, 2018

difference between the forward foreign currency exchange rates at the dates of entry into the contracts and the forward rates at the reporting date. The funds realize a gain or a loss at the time the forward foreign currency exchange contracts are settled or closed out with an offsetting contract. Contracts are traded over-the-counter directly with counterparty. Realized and unrealized gains and losses are included in the Statements of Operations. As of June 30, 2018, none of the funds had open forward foreign currency exchange contracts.

If a fund enters into a forward foreign currency exchange contract to buy foreign currency for any purpose, the fund will be required to place cash or other liquid assets in a segregated account with the fund’s custodian in an amount equal to the value of the fund’s total assets committed to the consummation of the forward contract. If the value of the securities in the segregated account declines, additional cash or securities will be placed in the segregated account so that the value of the account will equal the amount of the fund’s commitment with respect to the contract.

Cash Concentration: At times, the funds maintain cash balances at financial institutions in excess of federally insured limits. The funds monitor this credit risk and have not experienced any losses related to this risk.

Illiquid Securities: Each fund currently limits investments in illiquid securities to 15% of net assets at the time of purchase. An illiquid security is generally defined as any investment that may be difficult to sell within seven days for the price at which the fund values it. At June 30, 2018, there were no illiquid securities held in the funds. Pursuant to guidelines adopted by the Board of Trustees, certain unregistered securities are determined to be liquid and are not included within the percent limitations specified above.

Delayed Delivery Securities: Each fund may purchase securities on a when-issued or delayed delivery basis. “When-issued” refers to securities whose terms are available and for which a market exists, but that have not been issued. For when- issued or delayed delivery transactions, no payment is made until delivery date, which is typically longer than the normal course of settlement. When a fund enters into an agreement to purchase securities on a when-issued or delayed delivery basis, the fund segregates cash or other liquid securities, of any type or maturity, equal in value to the fund’s commitment. Losses may arise due to changes in the market value of the underlying securities, if the counterparty does not perform under the contract, or if the issuer does not issue the securities due to political, economic or other factors. As of June 30, 2018, none of the funds had entered into such transactions.

Indemnifications: Under the funds’ organizational documents, the funds’ officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the funds. In the normal course of business, the funds enter into contracts that contain a variety of presentations and provide general indemnifications. The funds’ maximum liability exposure under these arrangements is unknown, as future claims that have not yet occurred may be made against the funds. However, based on experience, management expects the risk of loss to be remote.

Fair Value Measurements: Each fund has adopted Financial Accounting Standards Board (the “FASB”) guidance on fair value measurements. Fair value is defined as the price that each fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy is used to maximize the use of observable market data “inputs” and minimize the use of unobservable “inputs” and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk (for example, the risk inherent in a particular valuation technique used to measure fair value including such a pricing model and/or the risk inherent in the inputs used in the valuation technique). Inputs may be observable or unobservable.

Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the

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Ultra Series Fund | Notes to Financial Statements (unaudited) - continued | June 30, 2018

asset or liability developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below:

Level 1 - unadjusted quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rate volatilities, prepayment speeds, credit risk, benchmark yields, transactions, bids, offers, new issues, spreads, and other relationships observed in the markets among comparable securities, underlying equity of the issuer; and proprietary pricing models such as yield measures calculated using factors such as cash flows, financial or collateral performance, and other reference data, etc.)

Level 3 - significant unobservable inputs (including the fund’s own assumptions in determining the fair value of investments)

The valuation techniques used by the funds to measure fair value for the period ended June 30, 2018 maximized the use of observable inputs and minimized the use of unobservable inputs. The funds utilized the following fair value techniques: multi-dimensional relational pricing model and option adjusted spread pricing; the funds estimated the price that would have prevailed in a liquid market for an international equity security given information available at the time of valuation. As of June 30, 2018, none of the funds held securities deemed as a Level 3, and there were no transfers between classification levels.

The following is a summary of the inputs used as of June 30, 2018, in valuing the funds’ investments carried at fair value:

Fund1	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Value at 6/30/18
Conservative Allocation
Investment Companies	$	137,839,901	$	–	$	–	$	137,839,901
Collateral for Securities on Loan		2,734,968		–		–		2,734,968
		140,574,869		–		–		140,574,869
Moderate Allocation
Investment Companies		223,265,009		–		–		223,265,009
Collateral for Securities on Loan		5,654,383		–		–		5,654,383
		228,919,392		–		–		228,919,392
Aggressive Allocation
Investment Companies		77,646,861		–		–		77,646,861
Collateral for Securities on Loan		10,029,855		–		–		10,029,855
		87,676,716		–		–		87,676,716
Core Bond
Asset Backed Securities		–		6,002,456		–		6,002,456
Collateralized Mortgage Obligations		–		3,220,395		–		3,220,395
Commercial Mortgage-Backed Securities		–		2,961,596		–		2,961,596
Corporate Notes and Bonds		–		51,001,292		–		51,001,292
Long Term Municipal Bonds		–		6,849,090		–		6,849,090
Mortgage Backed Securities		–		39,702,939		–		39,702,939
U.S. Government and Agency Obligations		–		34,959,271		–		34,959,271
Short-Term Investments		1,404,440		–		–		1,404,440
Collateral for Securities on Loan		204,330		–		–		204,330
		1,608,770		144,697,039		–		146,305,809
High Income
Corporate Notes and Bonds		–		22,410,572		–		22,410,572
Short-Term Investments		1,524,078		–		–		1,524,078
Collateral for Securities on Loan		2,376,768		–		–		2,376,768
		3,900,846		22,410,572		–		26,311,418

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Ultra Series Fund | Notes to Financial Statements (unaudited) - continued | June 30, 2018

Fund1	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Value at 6/30/18
Diversified Income
Common Stocks	$	162,586,044	$	–	$	–	$	162,586,044
Asset Backed Securities		–		3,270,913		–		3,270,913
Collateralized Mortgage Obligations		–		3,045,569		–		3,045,569
Commercial Mortgage-Backed Securities		–		1,406,152		–		1,406,152
Corporate Notes and Bonds		–		31,156,669		–		31,156,669
Long Term Municipal Bonds		–		6,629,360		–		6,629,360
Mortgage Backed Securities		–		21,649,359		–		21,649,359
U.S. Government and Agency Obligations		–		19,082,368		–		19,082,368
Short-Term Investments		5,372,647		–		–		5,372,647
Collateral for Securities on Loan		204,330		–		–		204,330
		168,163,021		86,240,390		–		254,403,411
Large Cap Value
Common Stocks		309,720,765		–		–		309,720,765
Short-Term Investments		8,168,570		–		–		8,168,570
Collateral for Securities on Loan		1,359,276		–		–		1,359,276
		319,248,611		–		–		319,248,611
Large Cap Growth
Common Stocks		222,876,738		–		–		222,876,738
Short-Term Investments		12,721,036		–		–		12,721,036
		235,597,774		–		–		235,597,774
Mid Cap
Common Stocks		178,302,234		–		–		178,302,234
Short-Term Investments		12,977,309		–		–		12,977,309
		191,279,543		–		–		191,279,543
International Stock
Common Stocks
Australia		–		1,026,704		–		1,026,704
Belgium		–		579,319		–		579,319
Brazil		–		363,583		–		363,583
Canada		–		1,719,960		–		1,719,960
Denmark		–		478,648		–		478,648
Finland		–		494,584		–		494,584
France		–		3,981,560		–		3,981,560
Germany		–		1,523,753		–		1,523,753
India		333,004		–		–		333,004
Ireland		1,320,197		717,833		–		2,038,030
Israel		–		12,592		–		12,592
Japan		–		6,189,701		–		6,189,701
Luxembourg		–		287,722		–		287,722
Netherlands		–		2,338,869		–		2,338,869
Norway		–		1,022,516		–		1,022,516
Singapore		–		757,466		–		757,466
Spain		–		500,383		–		500,383
Sweden		–		1,306,478		–		1,306,478
Switzerland		–		2,479,057		–		2,479,057
Taiwan		343,664		–		–		343,664
Turkey		–		395,371		–		395,371

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Ultra Series Fund | Notes to Financial Statements (unaudited) - continued | June 30, 2018

Fund1	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Value at 6/30/18
International Stock - continued
Common Stocks
United Kingdom	$	768,152	$	5,531,592	$	–	$	6,299,744
Preferred Stocks		–		277,361		–		277,361
Short-Term Investments		1,455,756		–		–		1,455,756
Collateral for Securities on Loan		469,859		–		–		469,859
		4,690,632		31,985,052		–		36,675,684

¹See respective portfolio of investments for underlying holdings in each fund. For additional information on the underlying Funds held in the Conservative, Moderate and Aggressive allocation funds, including shareholder prospectuses and financial reports, please visit each Underlying Funds website or visit the Securities and Exchange Commission website http://www.sec.gov.

Derivatives: The FASB issued guidance intended to enhance financial statement disclosure for derivative instruments and hedging activities and enable investors to understand: a) how and why a fund uses derivative investments, b) how derivative instruments and related hedge fund items are accounted for, and c) how derivative instruments and related hedge items affect a fund’s financial position, results of operations and cash flows.

The following table presents the effect of derivative instruments on the Statement of Operations for the period ended June 30, 2018:

	Derivatives not accounted for as
Fund	hedging Instruments	Realized Gain (Loss) on Derivatives:	Change in Unrealized Depreciation on Derivatives
Core Bond	Equity contracts, Options purchased	$38,613	$       –
	Equity contracts, Options written	(35,138)	–

The average volume (based on the open positions at each month-end) of derivative activity during the period ended June 30, 2018:

Fund	Options Purchased Contracts(1)	Options Written Contracts(1)
Core Bond	8	8
(1)Number of Contracts

Management has determined that there is no impact on the financial statements of the other funds held in the Trust as they currently do not hold derivative financial instruments.

Recently Issued Accounting Pronouncements. In March 2017, the FASB issued Accounting Standards Update (ASU) 2017-08 which changes the amortization period for a callable debt security from the maturity date to the earliest call date. The ASU is effective for annual periods beginning after December 15, 2018, and interim periods within those annual periods. At this time, management is still evaluating the impacts this ASU will have on the financial statements.

3. MANAGEMENT, DISTRIBUTION AGREEMENTS AND OTHER EXPENSES

Management Agreement: For services under the Management Agreement, the Investment Adviser is entitle to receive a management fee, which is calculated daily and paid monthly, at an annual rate based upon the following percentages of average daily net assets of each fund as follows as of June 30, 2018:

Fund	Management Fee	Fund	Management Fee
Conservative Allocation	0.30%	Diversified Income	0.70%
Moderate Allocation	0.30%	Large Cap Value	0.60%
Aggressive Allocation	0.30%	Large Cap Growth	0.80%
Core Bond	0.55%	Mid Cap	0.90%
High Income	0.75%	International Stock	1.15%

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Ultra Series Fund | Notes to Financial Statements (unaudited) - continued | June 30, 2018

The Management Agreement requires the Investment Adviser to provide or arrange to provide overall management of the funds, including but not limited to, investment advisory services, custody, transfer agency, dividend disbursing, legal, accounting and administrative services.

The Investment Adviser is solely responsible for the payment of all fees to the Subadviser. Lazard Asset Management LLC served as the subadvisor for the International Stock Fund. The Investment Adviser manages the Core Bond Fund, High Income Fund, Diversified Income Fund, Large Cap Value Fund, Large Cap Growth Fund, Mid Cap Fund and the Target Allocation Funds.

The Investment Adviser may from time to time contractually or voluntarily agree to waive a portion of its fees or expenses related to the funds. Effective July 1, 2014, the Investment Adviser contractually agreed to waive a portion (0.10%) of its management fee of the Target Allocation Funds, which waiver is in effect until at least April 30, 2019. For the period ended June 30, 2018, the waivers were as follows:

Waived Fees or Expenses*
Fund	Class I		Class II		Total Waivers
Conservative Allocation	$	57,400	$	13,753	$	71,153
Moderate Allocation		104,001		12,229		116,230
Aggressive Allocation		40,150		1,116		41,266
*The Investment Adviser does not have the right to recoup these waived fees.

Distribution Agreement: MFD Distributor, LLC (“MFD”) serves as distributor of the funds. The Trust adopted a distribution and service plan with respect to the Trust’s Class II shares pursuant to Rule 12b-1 under the 1940 Act. Under the plan, the Trust will pay a service fee with regard to Class II shares at an annual rate of 0.25% each fund’s daily net assets.

MFD may from time to time voluntarily agree to waive a portion of its fees or expenses related to the funds. MFD does not have the right to recoup these waived fees.

Other Expenses: In addition to the management fee noted above, the Trust is responsible to pay the following expenses: expenses for independent audits; fees and expenses of the independent trustees and their independent counsel; brokerage commissions and other expenses incurred in the acquisition or disposition of any securities or other investments; costs of borrowing money, overdrafts (if any) and any potential taxes owed; and extraordinary expenses (including litigation and/or and consulting expenses) as approved by a majority of the independent trustees.

Audit and trustees fees are broken out separately from “other expenses” on the Statement of Operations.

Certain officers and trustees of the Trust are also officers of the Investment Adviser. The funds do not compensate their officers or affiliated trustees. The Nominating and Governance Committee of the Board may change trustee fees paid at any time.

4. DIVIDENDS FROM NET INCOME AND DISTRIBUTIONS OF CAPITAL GAINS

The funds declare dividends from net investment income and net realized gains from investment transactions, if any, annually, which are reinvested in additional full and fractional shares of the respective funds.

Income and capital gain distributions, if any, are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. Taxable distributions from income and realized capital gains of the funds may differ from book amounts earned during the period due to differences in the timing of capital gains recognition, and due to the reclassification of certain gains or losses from capital to income.

5. SECURITIES TRANSACTIONS

For the period ended June 30, 2018, aggregate cost of purchases and proceeds from sales of securities, other than short-term investment, were as follows:

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Ultra Series Fund | Notes to Financial Statements (unaudited) - continued | June 30, 2018

	U.S. Government Securities				Other Investment Securities
Fund	Purchases		Sales		Purchases		Sales
Conservative Allocation	$	–	$	–	$	36,357,491	$	48,210,062
Moderate Allocation		–		–		73,311,293		97,965,976
Aggressive Allocation		–		–		25,803,092		36,341,016
Core Bond		8,762,333		18,973,554		13,548,578		13,360,936
High Income		–		–		4,057,978		4,515,400
Diversified Income		5,769,089		14,511,093		30,784,693		40,211,719
Large Cap Value		–		–		128,252,119		161,725,135
Large Cap Growth		–		–		123,957,305		151,360,853
Mid Cap		–		–		16,206,139		36,812,799
International Stock		–		–		5,628,248		9,379,588

6. FUTURES CONTRACTS AND OPTIONS ON FUTURES CONTRACTS

The Core Bond Fund may purchase and sell futures contracts and purchase and write options on futures contracts on a limited basis. The fund may purchase and sell futures contracts based on various securities (such as U.S. Government securities), securities indices, foreign currencies and other financial instruments and indices. The fund will engage in futures or related options transactions on a limited basis only for bona fide hedging purposes or for purposes of seeking to increase total returns to the extent permitted by regulations of the Commodity Futures Trading Commission.

Futures Contracts. The Core Bond Fund may use futures contracts to manage its exposure to the securities markets or to movements in interest rates and currency values. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in market value of the securities held by the fund and the prices of futures contracts and the possibility of an illiquid market. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the fund is required to deposit with its futures broker an amount of cash, U.S. Government and Agency Obligations, or other assets, in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and based on such movements in the price of the contracts, an appropriate payable or receivable for the change in value may be posted or collected by the fund (“variation margin”). Gains or losses are recognized but not considered realized until the contracts expire or close. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed within exchange traded or centrally cleared financial derivative instruments on the Statement of Assets and Liabilities.

Options on Futures Contracts. The acquisition of put and call options on futures contracts will give the Core Bond Fund the right (but not the obligation) for a specified price, to sell or to purchase, respectively, the underlying futures contract at any time during the option period. As the purchaser of an option on a futures contract, the fund obtains the benefit of the futures position if prices move in a favorable direction but limits its risk of loss in the event of an unfavorable price movement to the loss of the premium and transaction costs.

The writing of a call option on a futures contract generates a premium which may partially offset a decline in the value of the fund’s assets. By writing a call option, the fund becomes obligated, in exchange for the premium, to sell a futures contract which may have a value higher than the exercise price. Conversely, the writing of a put option on a futures contract generates a premium, which may partially offset an increase in the price of securities that the fund intends to purchase. However, the fund becomes obligated to purchase a futures contract, which may have a value lower than the exercise price. Thus, the loss incurred by the fund in writing options on futures is potentially unlimited and may exceed the amount of the premium received.

7. FOREIGN SECURITIES

Each fund may invest in foreign securities. Foreign securities are defined as securities that are: (i) issued by companies organized outside the U.S. or whose principal operations are outside the U.S., or issued by foreign governments or their

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Ultra Series Fund | Notes to Financial Statements (unaudited) - continued | June 30, 2018

agencies or instrumentalities (“foreign issuers”); (ii) principally traded outside of the U.S.; and/or (iii) quoted or denominated in a foreign currency (“non-dollar securities”). Foreign securities include American Depositary Receipts (“ADRs”), European Depositary Receipts (“EDRs”), Global Depositary Receipts (“GDRs”), Swedish Depositary Receipts (“SDRs”) and foreign money market securities. U.S. dollar-denominated securities that are part of the Merrill Lynch U.S. Domestic Master Index are not considered a foreign security.

Certain of the funds have reclaimed receivable balances, in which the funds are due a reclaim on the taxes that have been paid to some foreign jurisdictions. The values of all reclaims are not significant for any of the funds and are reflected in Other Assets on the Statements of Assets and Liabilities. These receivables are reviewed to ensure the current receivable balance is reflective of the amount deemed to be collectable.

8. SECURITIES LENDING

The Ultra Funds’ board has recently re-authorized the funds to engage in securities lending with State Street Bank and Trust Company as securities lending agent pursuant to a Securities Lending Authorization Agreement (the “Agreement”) and subject to certain securities lending policies and procedures. Under the terms of the Agreement, and subject to the policies and procedures, the authorized funds may lend portfolio securities to qualified borrowers in order to generate additional income, while managing risk associated with the securities lending program. The Agreement requires that loans are collateralized at all times by cash or U.S. Government securities, initially equal to at least 102% of the value of the securities. The loaned securities and collateral are marked to market daily to maintain collateral at 102% of the total loaned portfolio. Amounts earned as interest on investments of cash collateral, net of rebates and fees, if any, are included in the Statement of Operations. The primary risk associated with securities lending is if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the fund could experience delays and costs in recovering securities loaned or in gaining access to the collateral. Under the Agreement, the securities lending agent has provided a limited indemnification in the event of a borrower default.

As of June 30, 2018, some of the fund’s had securities on loan to brokers/dealers, for which each such fund’s received cash collateral. In addition the fund’s received non-cash collateral securities consisting of U.S Equity securities as follows:

	Market Value
Conservative Allocation Fund	$	1,360,282
Moderate Allocation Fund		3,897,894
Aggressive Allocation Fund		1,750,287
Large Cap Growth Fund		491,850

The following table reflects a breakdown of transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged, and the remaining contractual maturity of those transactions as of June 30, 2018:

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Ultra Series Fund | Notes to Financial Statements (unaudited) - continued | June 30, 2018

Remaining Contractual Maturity of the Agreements As of June 30, 2018
	Continuous and Overnight		Up to 30 days		30 - 90 days		Greater than 90 days		Total
Securities Lending Transactions
Conservative Allocation Fund
Investment Companies	$	2,734,968	$	–	$	–	$	–	$	2,734,968
Moderate Allocation Fund
Investment Companies		5,654,383		–		–		–		5,654,383
Aggressive Allocation Fund
Investment Companies		10,029,855		–		–		–		10,029,855
Core Bond Fund
Corporate Notes and Bonds		204,330		–		–		–		204,330
High Income Fund
Corporate Notes and Bonds		2,376,768		–		–		–		2,376,768
Diversified Income Fund
Corporate Notes and Bonds		204,330		–		–		–		204,330
Large Cap Value Fund
Common Stock		1,359,276		–		–		–		1,359,276
International Stock Fund
Common Stock		469,859		–		–		–		469,859

9. FEDERAL INCOME TAX INFORMATION

It is each fund’s policy to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies and to distribute all its taxable income to its shareholders. Accordingly, no provisions for federal income taxes are recorded in the accompanying statements.

The funds have not recorded any liabilities for material unrecognized tax benefits as of June 30, 2018. It is each fund’s policy to recognize accrued interest and penalties related to uncertain tax benefits in income taxes, as appropriate. Tax years that remain open to examination by major tax jurisdictions include tax years ended December 31, 2014 through December 31, 2017.

For federal income tax purposes, the funds listed below have capital loss carryforwards as of December 31, 2017, which are available to offset future capital gains, if any, realized through the fiscal year listed:

Fund	2018		No Expiration Date Short Term		No Expiration Date Long Term
Core Bond	$	346,309	$	36,915	$	–
International Stock		1,312,565		865,856		5,274,010

The capital loss carryover for the International Stock Fund is subject to certain limitations upon availability, to offset future gains, pursuant to Section 382 of the Internal Revenue Code.

At June 30, 2018, the aggregate gross unrealized appreciation (depreciation) and net unrealized appreciation (depreciation) for all securities as computed on a federal income tax basis for each fund were as follows:

Fund	Appreciation		Depreciation		Net
Conservative Allocation	$	6,220,854	$	1,764,857	$	4,455,997
Moderate Allocation		20,388,712		1,948,447		18,440,265
Aggressive Allocation		10,048,435		733,831		9,314,604
Core Bond		2,369,464		3,368,012		(998,548	)
High Income		323,442		564,201		(240,759	)

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Ultra Series Fund | Notes to Financial Statements (unaudited) - continued | June 30, 2018

Fund	Appreciation		Depreciation		Net
Diversified Income	$	49,584,297	$	4,879,173	$	44,705,124
Large Cap Value		50,264,853		4,205,019		46,059,834
Large Cap Growth		47,927,540		2,687,791		45,239,749
Mid Cap		73,670,549		1,602,756		72,067,793
International Stock		5,605,147		1,576,408		4,028,739

The differences between the book unrealized amounts reflected in the Statement of Assets and Liabilities and tax unrealized amounts (shown above) are due to the tax deferral of losses on wash sales.

10. CONCENTRATION OF RISKS

Investing in certain financial instruments, including forward foreign currency contracts, involves certain risks. Risks associated with these instruments include potential for an illiquid secondary market for the instruments or inability of counterparties to perform under the terms of the contracts, changes in the value of foreign currency relative to the U.S. dollar and volatility resulting from an imperfect correlation between the movements in the prices of the instruments and the prices of the underlying securities and interest rates being hedged. The International Stock Fund may enter into these contracts primarily to protect the fund from adverse currency movements.

Investing in foreign securities involves certain risks not necessarily found in U.S. markets. These include risks associated with adverse changes in economic, political, regulatory and other conditions, changes in currency exchange rates, exchange control regulations, expropriation of assets or nationalization, imposition of withholding taxes on dividend or interest payments or capital gains, and possible difficulty in obtaining and enforcing judgments against foreign entities. Further, issuers of foreign securities are subject to different, and often less comprehensive, accounting, reporting and disclosure requirements than domestic issuers.

The Core Bond Fund is subject to derivatives risk. The risk that loss may result from investments in options, forwards, futures, swaps and other derivatives instruments. These instruments may be illiquid, difficult to price and leveraged so that small changes in the value of the underlying instruments may produce disproportionate losses to the fund. Derivatives are also subject to counterparty risk, which is the risk that the other party to the transaction will not fulfill its contractual obligations

The High Income Fund invests in securities offering high current income which generally will include bonds in the below investment grade categories of recognized rating agencies (so-called “junk bonds”). These securities generally involve more credit risk than securities in the higher rating categories. In addition, the trading market for high yield securities may be relatively less liquid than the market for higher-rated securities. The fund generally invests at least 80% of its net assets in high yield securities.

The Target Allocation Funds are fund of funds, meaning that each invests primarily in Underlying Funds, including ETFs. Thus, each fund’s investment performance and its ability to achieve its investment goal are directly related to the performance of the Underlying Funds in which it invests; and the Underlying Fund’s performance, in turn, depends on the particular securities in which that Underlying Fund invests and the expenses of that fund. Accordingly, the Allocation Funds are subject to the risks of the Underlying Funds in direct proportion to the allocation of their respective assets among the Underlying Funds.

Additionally, the Target Allocation Funds are subject to asset allocation risk and manager risk. Manager risk (i.e., fund selection risk) is the risk that the Underlying Fund(s) selected to fulfill a particular asset class underperforms their peers. Asset allocation risk is the risk that the allocation of the fund’s assets among the various asset classes and market segments will cause the fund to underperform other funds with a similar investment objective.

The funds may be subject to interest rate risk which is the risk that the value of your investment will fluctuate with changes in interest rates. Typically, a rise in interest rates causes a decline in the market value of income-bearing securities. When interest rates rise, bond prices fall; generally the longer a bond’s maturity, the more sensitive it is to risk. Federal Reserve

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Ultra Series Fund | Notes to Financial Statements (unaudited) - continued | June 30, 2018

policy changes may expose fixed-income and related markets to heightened volatility and may reduce liquidity for certain fund investments, which could cause the value of a fund’s investments and share price to decline. The Core Bond may invest in derivatives tied to fixed-income markets and may be more substantially exposed to these risks than a fund that does not invest in derivatives.

The funds are also subject to cybersecurity risk, which include the risks associated with computer systems, networks and devices to carry out routine business operations. These systems, networks and devices employ a variety of protections that are designed to prevent cyberattacks. Despite the various cyber protections utilized by the funds, the Investment Adviser, and other service providers, their systems, networks, or devices could potentially be breached. The funds, their shareholders, and the Investment Adviser could be negatively impacted as a result of a cybersecurity breach. The funds cannot control the cybersecurity plans and systems put in place by service providers or any other third parties whose operations may affect the funds. The funds do monitor this risk closely.

In addition to the other risks described above and in the prospectus, you should understand what we refer to as “unknown market risks.” While investments in securities have been keystones in wealth building and management, at times these investments have produced surprises. Those who enjoyed growth and income of their investments generally were rewarded for the risks they took by investing in the markets. Although the Investment Adviser seeks to appropriately address and manage the risks identified and disclosed to you in connection with the management of the securities in the funds, you should understand that the very nature of the securities markets includes the possibility that there may be additional risks of which we are not aware. We certainly seek to identify all applicable risks and then appropriately address them, take appropriate action to reasonably manage them and to make you aware of them so you can determine if they exceed your risk tolerance. Nevertheless, the often volatile nature of the securities markets and the global economy in which we work suggests that the risk of the unknown is something to consider in connection with an investment in securities. Unforeseen events could under certain circumstances produce a material loss of the value of some or all of the securities we manage for you in the funds.

11. CAPITAL SHARES AND AFFILIATED OWNERSHIP

All capital shares outstanding at June 30, 2018, are owned by separate investment accounts and/or pension plans of CMFG Life Insurance Company.

The Target Allocation Funds invest in Underlying Funds, such as the Madison Funds, which may be deemed to be under common control because of the same or affiliated investment adviser and membership in a common family of investment companies (the “Affiliated Underlying Funds”). Madison Funds’ historical financial information is available to you at no cost on the Securities and Exchange Commission’s website at www.sec.gov, by calling 1-800-877-6089 or by visiting the Madison Funds’ website at www.madisonfunds.com. A summary of the transactions with each Affiliated Underlying Fund during the period ended June 30, 2018 follows:

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Ultra Series Fund | Notes to Financial Statements (unaudited) - concluded | June 30, 2018

Fund/Underlying Fund	Balance Value as of 12/31/17		Gross Additions		Gross Sales			Realized Gain (Loss)			Change in Unrealized Appreciaton (Depreciation			Value at 6/30/18		Shares	Dividend Income		Capital Gains Distributions Received1
Conservative Allocation Fund
Madison Core Bond Fund Class Y	$	33,640,397	$	–	$	–		$	–		$	(1,078,650	)	$	32,561,747	3,370,781	$	429,552	$	429,552
Madison Corporate Bond Fund Class Y		10,260,871		–		(799,281	)		(5,750	)		(474,831	)		8,981,009	814,974		143,289		143,289
Madison Dividend Income Fund Class Y		10,703,348		243,996		(1,257,700	)		219,332			(438,745	)		9,470,231	362,566		88,242		88,242
Madison Investors Fund Class Y		10,662,079		150,000		(796,927	)		91,154			3,959			10,110,265	438,243		–		–
Madison Mid Cap Fund Class Y		2,365,565		–		(1,423,057	)		313,845			(239,423	)		1,016,930	99,797		–		–
Totals	$	67,632,260	$	393,996	$	(4,276,965	)	$	618,581		$	(2,227,690	)	$	62,140,182		$	661,083	$	661,083
Moderate Allocation Fund
Madison Core Bond Fund Class Y	$	42,598,706	$	–	$	(2,997,726	)	$	(142,932	)	$	(1,201,257	)	$	38,256,791	3,960,330		520,744	$	520,744
Madison Corporate Bond Fund Class Y		5,062,324		–		–			–			(240,647	)		4,821,677	437,539		71,695		71,695
Madison Dividend Income Fund Class Y		28,866,751		122,924		(4,208,452	)		733,358			(1,287,626	)		24,226,955	927,525		236,115		236,115
Madison Investors Fund Class Y		28,749,850		–		(3,966,606	)		786,510			(507,832	)		25,061,922	1,086,343		–		–
Madison Large Cap Value Fund Class Y		7,757,239		–		(501,186	)		19,422			45,051			7,320,526	496,307		–		–
Madison Mid Cap Fund Class Y		4,849,948		–		(1,751,756	)		398,613			(228,395	)		3,268,410	320,747		–		–
Totals	$	117,884,818	$	122,924	$	(13,425,726	)	$	1,794,971		$	(3,420,706	)	$	102,956,281		$	828,554	$	828,554
Aggressive Allocation Fund
Madison Core Bond Fund Class Y	$	8,393,210	$	–	$	(1,001,037	)	$	(48,405	)	$	(214,581	)	$	7,129,187	738,011	$	100,579	$	100,579
Madison Dividend Income Fund Class Y		11,553,878		51,628		(1,901,249	)		302,107			(528,884	)		9,477,480	362,844		95,907		95,907
Madison Investors Fund Class Y		11,490,182		–		(2,002,361	)		604,380			(497,396	)		9,594,805	415,900		–		–
Madison Large Cap Value Fund Class Y		4,259,230		–		(250,170	)		340			34,256			4,043,656	274,146		–		–
Madison Mid Cap Fund Class Y		4,230,159		–		(1,641,406	)		348,458			(228,885	)		2,708,326	265,783		–		–
Totals	$	39,926,659	$	51,628	$	(6,796,223	)	$	1,206,880		$	(1,435,490	)	$	32,953,454		$	196,486	$	196,486

¹Distributions received include distributions from net investment income and from capital gains from the underlying funds.

12. SUBSEQUENT EVENTS

Management has evaluated the impact of all subsequent events on the funds through the date the financial statements were available for issue. No other events have taken place that meet the definition of subsequent event that require adjustment to, or disclosure in the financial statements.

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Ultra Series Fund | June 30, 2018

 Other Information (unaudited)

FUND EXPENSES PAID BY SHAREHOLDERS

As a shareholder of the funds, you pay no transaction costs, but do incur ongoing costs which include management fees; 12b-1 fees (Class II only); disinterested trustee fees and expenses; brokerage commissions and other expenses incurred in connection with the acquisition or disposition of investments; costs of borrowing money; expenses for independent audits, taxes, and extraordinary expenses as approved by a majority of the disinterested trustees. The examples in the table that follows are intended to help you understand your ongoing costs (in dollars) of investing in the funds and to compare these costs with the ongoing costs of investing in other mutual funds.

The examples below are based on an investment of $1,000 invested for the six-month period ended June 30, 2018. Expenses paid during the period in the table below are equal to each fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half fiscal year period).

Actual Expenses

The table below provides information about actual account values using actual expenses and actual returns for the funds. You may use the information in this table, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table for the fund you own under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

	ACTUAL EXPENSES
	CLASS I								CLASS II
Fund	Beginning Account Value		Ending Account Value		Annual Expense Ratio		Expenses Paid During Period		Ending Account Value		Annual Expense Ratio		Expenses Paid During Period
Conservative Allocation*	$	1,000	$	993.00		0.22%	$	1.09	$	991.80		0.47%	$	2.32
Moderate Allocation*		1,000		995.70		0.22%		1.09		994.50		0.47%		2.32
Aggressive Allocation*		1,000		999.20		0.22%		1.09		998.00		0.47%		2.33
Core Bond		1,000		981.70		0.57%		2.80		980.50		0.82%		4.03
High Income		1,000		989.00		0.77%		3.80		987.70		1.02%		5.03
Diversified Income		1,000		985.10		0.72%		3.54		983.90		0.97%		4.77
Large Cap Value		1,000		1,009.90		0.62%		3.09		1,008.70		0.87%		4.33
Large Cap Growth		1,000		1,007.90		0.82%		4.08		1,006.60		1.07%		5.32
Mid Cap		1,000		1,034.00		0.92%		4.64		1,032.70		1.17%		5.90
International Stock		1,000		973.40		1.17%		5.72		972.20		1.42%		6.94

* The annual expense ratio does not include the expenses of the underlying funds.

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Ultra Series Fund | Other Information (unaudited) - continued | June 30, 2018

Hypothetical Example for Comparison Purposes

The table below provides information about hypothetical account values and hypothetical expenses based on the funds’ actual expense ratios and an assumed rate of return of 5% per year before expenses, which are not the funds’ actual returns. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the funds and other funds. To do so, compare the 5% hypothetical example of the funds you own with the 5% hypothetical examples that appear in the shareholder reports of other similar funds.

	HYPOTHETICAL EXPENSES
	CLASS I								CLASS II
Fund	Beginning Account Value		Ending Account Value		Annual Expense Ratio		Expenses Paid During Period		Ending Account Value		Annual Expense Ratio		Expenses Paid During Period
Conservative Allocation*	$	1,000	$	1,023.70		0.22%	$	1.10	$	1,022.46		0.47%	$	2.36
Moderate Allocation*		1,000		1,023.70		0.22%		1.10		1,022.46		0.47%		2.36
Aggressive Allocation*		1,000		1,023.70		0.22%		1.10		1,022.46		0.47%		2.36
Core Bond		1,000		1,021.97		0.57%		2.86		1,020.73		0.82%		4.11
High Income		1,000		1,020.98		0.77%		3.86		1,019.74		1.02%		5.11
Diversified Income		1,000		1,021.22		0.72%		3.61		1,019.98		0.97%		4.86
Large Cap Value		1,000		1,021.72		0.62%		3.11		1,020.48		0.87%		4.36
Large Cap Growth		1,000		1,020.73		0.82%		4.11		1,019.49		1.07%		5.36
Mid Cap		1,000		1,020.23		0.92%		4.61		1,018.99		1.17%		5.86
International Stock		1,000		1,018.99		1.17%		5.86		1,017.75		1.42%		7.10

* The annual expense ratio does not include the expenses of the underlying funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any separate account fees, charges, or expenses imposed by the variable annuity or variable life insurance contracts, or retirement and pension plans that use the funds. The information provided in the hypothetical example table is useful in comparing ongoing fund costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these fees, charges or expenses were included, your costs would have been higher.

AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULES

The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Form N-Q is available to shareholders at no cost by calling 1-800-877-6089, or on the SEC’s website at www.sec.gov. Form N-Q may also be reviewed and copied at the Commission’s Public Reference Room in Washington, DC. More information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. Form N-Q and other information about the Trust are available on the EDGAR database on the SEC’s Internet site at www.sec.gov. Copies of this information may also be obtained, upon payment of a duplicating fee, by electronic request at the following email address: publicinfo@sec.gov, or by writing the SEC’s Public Reference Section, Washington, DC 20549-0102.

PROXY VOTING POLICIES, PROCEDURES AND RECORDS

A description of the policies and procedures used by the Trust to vote proxies related to portfolio securities is available to shareholders at no cost by calling 1-800-877-6089, or on the SEC’s website at www.sec.gov and is also located in the funds’ Statement of Additional Information. The proxy voting records for the Trust for the most recent twelve-month period ended June 30 are available to shareholders at no cost on the SEC’s website at www.sec.gov.

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Ultra Series Fund | Other Information (unaudited) - concluded | June 30, 2018

FORWARD-LOOKING STATEMENT DISCLOSURE

One of our most important responsibilities as investment company managers is to communicate with shareholders in an open and direct manner. Some of our comments in the Economic Overview and Market Outlook are based on current management expectations and are considered “forward-looking statements.” Actual future results, however, may prove to be different from our expectations. You can identify forward-looking statements by words such as “estimate,” “may,” “will,” “expect,” “believe,” “plan” and other similar terms. We cannot promise future returns. Our opinions are a reflection of our best judgment at the time this report is compiled, and we disclaim any obligation to update or after forward-looking statements as a result of new information, future events, or otherwise.

SEC File Number: 811-04815

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Semi-Annual Report  

June 30, 2018  

Ultra Series Madison Target Retirement 2020 Fund
Ultra Series Madison Target Retirement 2030 Fund
Ultra Series Madison Target Retirement 2040 Fund
Ultra Series Madison Target Retirement 2050 Fund

Ultra Series Fund | June 30, 2018

 Table of Contents

	Page
Economic Overview and Market Outlook	2
Review of Period	2
Madison Target Retirement 2020 Fund	2
Madison Target Retirement 2030 Fund	2
Madison Target Retirement 2040 Fund	3
Madison Target Retirement 2050 Fund	3
Benchmark Descriptions	4
Portfolios of Investments
Madison Target Retirement 2020 Fund	5
Madison Target Retirement 2030 Fund	5
Madison Target Retirement 2040 Fund	5
Madison Target Retirement 2050 Fund	5
Financial Statements
Statements of Assets and Liabilities	6
Statements of Operations	7
Statements of Changes in Net Assets	8
Financial Highlights for a Share of Beneficial Interest Outstanding	9
Notes to Financial Statements	11
Other Information	15

Nondeposit investment products are not federally insured, involve investment risk, may lose value and are not obligations of or guaranteed by any financial institution. For more complete information about Ultra Series Fund, including charges and expenses, request a prospectus from your plan administrator or call CUNA Mutual Retirement Solutions at 1-800-999-8786. Consider the investment objectives, risks, and charges and expenses of any fund carefully before investing. The prospectus contains this and other information about the investment company. For more current Ultra Series Fund performance information, please call 1-800-670-3600. Current performance may be lower or higher than the performance data quoted within. Past performance does not guarantee future results. Nothing in this report represents a recommendation of a security by the investment adviser. Portfolio holdings may have changed since the date of this report.

1

Ultra Series Fund | June 30, 2018

Economic Overview and Market Outlook

Volatility continued in the second quarter with both stocks and bonds experiencing large swings as investors reacted to shifting interest rates, robust corporate earnings, trade tensions and continued tightening of U.S. monetary policy. Despite the rough ride, U.S. stocks posted gains with the S&P 500^® Index advancing 3.43%, and the Russell Midcap^® Index gaining 2.82%. Bond returns were flat to negative as interest rates increased, resulting in the Bloomberg Barclays Intermediate Gov./Credit Index advancing 0.01% and the Bloomberg Barclays U.S. Aggregate Bond Index declining (0.16)% during the quarter. Although U.S. equity markets were positive, continued concerns over trade policy led to losses in overseas stocks as the MSCI EAFE^® Index (net) declined (1.24)% (+3.47% excluding currency effect).

Much of this year’s stock market gain has been fueled by technology companies. In fact, the trend has been so powerful that Amazon (up 45.4% YTD) alone has accounted for nearly one-third of the S&P 500^®’s return. The top 10 contributors to the S&P 500^® return so far in 2018 are all technology related companies. Without those companies, the Index return would be negative for the year. Somewhat reminiscent of the 2000’s tech bubble, this dominance has resulted in a skew of the S&P 500^® Index away from defensive companies leaving investors in index-tracking funds overexposed to richly valued stocks that may be vulnerable to a market pull-back.

During the quarter, trade tensions were a key source of volatility. It remains unclear whether the most extreme threats of tariffs are merely the administration’s opening salvo or legitimately likely to occur. Most recently, the administration announced potential tariffs on an additional $200 billion of imports from China, on top of the $50 billion that had already been announced. Restrictions over Chinese investments in U.S. technology and a 20% tariff on European autos were also threatened. Without doubt, these actions have impacted markets as China’s Shanghai Composite Index declined over 20%, putting it into “bear” territory. The direct impact of these tariffs may be apparent. Less clear are the second-order effects, such as, the impact on business confidence, supply-chain disruptions, a stronger dollar and retaliatory actions. As we have pointed out in the past, while there are winners and losers in global trade, aggregate trade is beneficial to global economic growth. Any significant disruption of trade will likely result in a downshift of global growth expectations.

Meanwhile, the Federal Reserve (Fed) voted to raise its short-term interest rate by 0.25% (to a range of 1.75% to 2.00%) and continued to shrink its balance sheet. Since last September, the Fed’s holdings have declined by $128 billion (to $4.1 trillion). Starting in July, the pace of unwinding is scheduled to increase to a rate of $120 billion per quarter (up from $90 billion in the current quarter). At the same time the U.S. government is increasing its sale of Treasuries to cover the larger budget deficit from recent tax cuts. Projections indicate net issuance of $1.17 trillion this year and a similar amount in 2019. All things being equal, the additional supply of debt securities should continue to pressure interest rates higher.

As we pointed out last quarter, this year’s increase in volatility is just a return to a more typical pattern of ups and downs that the market traditionally exhibits. What makes it notable is the historic lack of volatility in 2017 that lulled investors into thinking there wasn’t much “risk” in “risky” assets. The S&P 500^® first quarter earnings were excellent, with growth greater than 25% on a year-over-year basis, the best rate since 2010. While tax reform influenced these results, the biggest driver was accelerating economic growth. Data from the Manufacturing Sector indicated robust growth (ISM Index averaged near 60 on a year-to-date basis) and a 20% jump in oil prices helped drive strong results in the Energy Sector (the best performing sector in the S&P 500^® for 2Q).

As we begin the second-half of 2018, continued volatility should be expected as the market weighs accelerating U.S. economic growth, robust earnings and strong employment figures against tighter monetary policy, higher interest rates and escalating trade tensions. The near record length economic expansion will come to an end at some point and markets will likely sell off in advance. Accurately predicting that point is nearly impossible, making market timing a futile endeavor. With this in mind, we continue to believe investors are best served by choosing risk assets based upon investment time horizon and risk tolerance. This approach, along with investing in stocks of lower-risk, higher-quality companies and shorter-duration, higher-quality bonds, should allow investors to participate in the market while providing some shelter as we experience more typical market volatility.

Review of Period (unaudited)

MADISON TARGET RETIREMENT 2020 FUND

INVESTMENT STRATEGY HIGHLIGHTS

The Ultra Series Madison Target Retirement 2020 Fund invests primarily in shares of registered investment companies according to an asset allocation strategy developed by the Fund’s investment adviser for investors planning to retire in or within a few years of 2020. Over time, the Fund’s asset allocation will gradually shift until it reaches the more conservative allocation target of approximately 10-30% in stock funds and 70-90% in bond funds. The asset allocation strategy is designed to reduce the volatility of investment returns in the later years while still providing the potential for higher total returns over the target period.

PERFORMANCE

The Ultra Series Madison Target Retirement 2020 Fund (Class I) returned (0.43)% during the period, underperforming the S&P Target Date^® To 2020 Index which returned 0.02% and the Morningstar Target Date 2020 Category peer group which returned (0.22)%.

GOLDMAN SACHS: TARGET DATE 2020 PORTFOLIO - UNDERLYING TARGET DATE FUND PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/18
Alternative Funds	1.5%
Bond Funds	60.8%
Foreign Stock Funds	10.3%
Stock Funds	18.3%
Investment Companies	4.5%
Other Assets in Excess of Liabilities	4.6%

MADISON TARGET RETIREMENT 2030 FUND

INVESTMENT STRATEGY HIGHLIGHTS

The Ultra Series Madison Target Retirement 2030 Fund invests primarily in shares of registered investment companies according to an asset allocation strategy developed by the Fund’s investment adviser for investors planning to retire in or within a few years of 2030. Over time, the Fund’s asset allocation will gradually shift until it reaches the more conservative allocation target of approximately 10-30% in stock funds and 70-90% in bond funds. The asset allocation strategy is designed to reduce the volatility of investment returns in the later years while still providing the potential for higher total returns over the target period.

PERFORMANCE

The Ultra Series Madison Target Retirement 2030 Fund (Class I) returned 0.09% during the period, underperforming the S&P Target Date^® To 2030 Index, which returned 0.28%, while matching the Morningstar Target Date 2030 Category peer group, which returned 0.09%.

2

Ultra Series Fund | Review of Period (unaudited) - continued | June 30, 2018

GOLDMAN SACHS: TARGET DATE 2030 PORTFOLIO - UNDERLYING TARGET DATE FUND PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/18
Alternative Funds	2.0%
Bond Funds	34.6%
Foreign Stock Funds	20.1%
Stock Funds	36.0%
Investment Companies	2.5%
Other Assets in Excess of Liabilities	4.8%

MADISON TARGET RETIREMENT 2040 FUND

INVESTMENT STRATEGY HIGHLIGHTS

The Ultra Series Madison Target Retirement 2040 Fund invests primarily in shares of registered investment companies according to an asset allocation strategy developed by the Fund’s investment adviser for investors planning to retire in or within a few years of 2040. Over time, the Fund’s asset allocation will gradually shift until it reaches the more conservative allocation target of approximately 10-30% in stock funds and 70-90% in bond funds. The asset allocation strategy is designed to reduce the volatility of investment returns in the later years while still providing the potential for higher total returns over the target period.

PERFORMANCE

The Ultra Series Madison Target Retirement 2040 Fund (Class I) returned 0.29% during the period, underperforming the S&P Target Date^® To 2040 Index, which returned 0.60% and the Morningstar Target Date 2040 Category peer group, which returned 0.38%.

GOLDMAN SACHS: TARGET DATE 2040 PORTFOLIO - UNDERLYING TARGET DATE FUND PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/18
Alternative Funds	2.0%
Bond Funds	25.6%
Foreign Stock Funds	23.6%
Stock Funds	42.7%
Investment Companies	1.5%
Other Assets in Excess of Liabilities	4.6%

MADISON TARGET RETIREMENT 2050 FUND

INVESTMENT STRATEGY HIGHLIGHTS

The Ultra Series Madison Target Retirement 2050 Fund invests primarily in shares of registered investment companies according to an asset allocation strategy developed by the Fund’s investment adviser for investors planning to retire in or within a few years of 2050. Over time, the Fund’s asset allocation will gradually shift until it reaches the more conservative allocation target of approximately 10-30% in stock funds and 70-90% in bond funds. The asset allocation strategy is designed to reduce the volatility of investment returns in the later years while still providing the potential for higher total returns over the target period.

PERFORMANCE

The Ultra Series Madison Target Retirement 2050 Fund (Class I) returned 0.27% during the period, underperforming the S&P Target Date^® To 2050 Index which returned 0.64% and the Morningstar Target Date 2050 Category peer group, which returned 0.61%.

GOLDMAN SACHS: TARGET DATE 2050 PORTFOLIO - UNDERLYING TARGET DATE FUND PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/18
Alternative Funds	2.0%
Bond Funds	16.6%
Foreign Stock Funds	27.3%
Stock Funds	49.4%
Investment Companies	0.5%
Other Assets in Excess of Liabilities	4.2%

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Ultra Series Fund | Review of Period (unaudited) - concluded | June 30, 2018

BENCHMARK DESCRIPTIONS

The S&P Target Date^® To Index Series

The S&P Target Date^® “To” Index Series consists of multi-asset class indices, and corresponds to specific target retirement dates. The series reflects the consensus asset allocation and glide path of a subset of target date funds that generally pursue investment policies characterized by static total equity exposure after retirement and a relatively conservative total equity exposure near retirement. As the overall universe becomes more conservative with the approach of each target date year, so will the index. The asset allocation is based on market observations through an annual survey of “to” target date fund managers, and is categorized by S&P Dow Jones Indices.

• The S&P Target Date^® To 2020 Index is a benchmark for multi-class asset portfolios that corresponds to the target retirement date 2020.

• The S&P Target Date^® To 2030 Index is a benchmark for multi-class asset portfolios that corresponds to the target retirement date 2030.

• The S&P Target Date^® To 2040 Index is a benchmark for multi-class asset portfolios that corresponds to the target retirement date 2040.

• The S&P Target Date^® To 2050 Index is a benchmark for multi-class asset portfolios that corresponds to the target retirement date 2050.

MARKET INDEXES

The Bloomberg Barclays Intermediate Government Credit Index measures the investment grade, U.S. dollar-denominated, fixed-rate, taxable corporate and government related bond markets. It is composed of the U.S. corporate index and a non-corporate component that includes foreign agencies, sovereigns, supranationals and local authorities.

The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market. The index includes Treasuries, government-related and corporate securities, mortgage backed securities, asset backed securities and commercial mortgage-backed securities.

The MSCI EAFE (Europe, Australasia & Far East) Index (net) is a free float-adjusted market capitalization index that is designed to measure developed market equity performance, excluding the U.S. and Canada. The MSCI EAFE Index (net) is calculated on a total return basis with dividends reinvested after the deduction of withholding taxes.

The Russell Midcap^® Index is a mid-cap market index which measures the performance of the mid-cap segment of the U.S. equity universe.

The S&P 500^® Index is a large-cap market index which measures the performance of a representative sample of 500 leading companies in leading industries in the U.S.

© Morningstar, Inc. All rights reserved. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete, or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.

Past performance is no guarantee of future results.

Russell Investment Group is the source and owner of the trademarks, service marks and copyrights related to the Russell Indexes. Russell^® is a trademark of Russell Investment Group.

4

Ultra Series Fund | June 30, 2018

 Madison Target Retirement 2020 Fund Portfolio of Investments (unaudited)

	Shares	Value (Note 2)
INVESTMENT COMPANIES - 99.6%
Target Date Fund - 99.6%*
Goldman Sachs Target Date 2020 Portfolio, Class R6	4,685,656	$	43,529,748
TOTAL INVESTMENTS - 99.6% (Cost $42,481,263**)			43,529,748
NET OTHER ASSETS AND LIABILITIES - 0.4%			167,654
TOTAL NET ASSETS - 100.0%		$	43,697,402

*	See Appendix A for a complete listing of holdings of the underlying Target Date Fund.
**	Aggregate cost for Federal tax purposes was $42,481,263.

 Madison Target Retirement 2030 Fund Portfolio of Investments (unaudited)

	Shares	Value (Note 2)
INVESTMENT COMPANIES - 99.3%
Target Date Fund - 99.3%*
Goldman Sachs Target Date 2030 Portfolio, Class R6	7,632,544	$	72,280,190
TOTAL INVESTMENTS - 99.3% (Cost $66,415,822**)			72,280,190
NET OTHER ASSETS AND LIABILITIES - 0.7%			533,756
TOTAL NET ASSETS - 100.0%		$	72,813,946

*	See Appendix A for a complete listing of holdings of the underlying Target Date Fund.
**	Aggregate cost for Federal tax purposes was $66,415,822.

 Madison Target Retirement 2040 Fund Portfolio of Investments (unaudited)

	Shares	Value (Note 2)
INVESTMENT COMPANIES - 97.9%
Target Date Fund - 97.9%*
Goldman Sachs Target Date 2040 Portfolio, Class R6	5,265,196	$	48,755,717
TOTAL INVESTMENTS - 97.9% (Cost $44,429,818**)			48,755,717
NET OTHER ASSETS AND LIABILITIES - 2.1%			1,051,444
TOTAL NET ASSETS - 100.0%		$	49,807,161

*	See Appendix A for a complete listing of holdings of the underlying Target Date Fund.
**	Aggregate cost for Federal tax purposes was $44,429,818.

 Madison Target Retirement 2050 Fund Portfolio of Investments (unaudited)

	Shares	Value (Note 2)
INVESTMENT COMPANIES - 98.5%
Target Date Fund - 98.5%*
Goldman Sachs Target Date 2050 Portfolio, Class R6	2,688,716	$	27,908,872
TOTAL INVESTMENTS - 98.5% (Cost $23,896,905**)			27,908,872
NET OTHER ASSETS AND LIABILITIES - 1.5%			413,549
TOTAL NET ASSETS - 100.0%		$	28,322,421

*	See Appendix A for a complete listing of holdings of the underlying Target Date Fund.
**	Aggregate cost for Federal tax purposes was $23,896,905.

See accompanying Notes to Financial Statements.

5

Ultra Series Fund | June 30, 2018

 Statements of Assets and Liabilities as of June 30, 2018 (unaudited)

	Madison			Madison			Madison			Madison
		Target		Target			Target			Target
	Retirement			Retirement			Retirement			Retirement
	2020 Fund			2030 Fund			2040 Fund			2050 Fund
Assets:
Investments in unaffiliated securities, at fair value†	$	43,529,748		$	72,280,190		$	48,755,717		$	27,908,872
Cash		118,776			489,180			989,024			361,653
Receivables:
Fund shares sold		48,878			44,576			62,420			51,896
Total assets		43,697,402			72,813,946			49,807,161			28,322,421
Liabilities:
Total liabilities		–			–			–			–
Net Assets applicable to outstanding capital stock	$	43,697,402		$	72,813,946		$	49,807,161		$	28,322,421
Net Assets consist of:
Paid-in capital in excess of par	$	42,725,746		$	66,993,748		$	45,498,884		$	24,326,460
Accumulated net realized loss on investments sold		(76,829	)		(44,170	)		(17,622	)		(16,006	)
Net unrealized appreciation of investments		1,048,485			5,864,368			4,325,899			4,011,967
Net Assets	$	43,697,402		$	72,813,946		$	49,807,161		$	28,322,421
Net Assets	$	43,697,402		$	72,813,946		$	49,807,161		$	28,322,421
Shares of beneficial interest outstanding		5,545,055			8,937,988			6,594,504			2,080,655
Net Asset Value and redemption price per share	$	7.88		$	8.15		$	7.55		$	13.61
†Cost of Investments in unaffiliated securities	$	42,481,263		$	66,415,822		$	44,429,818		$	23,896,905

See accompanying Notes to Financial Statements.

6

Ultra Series Fund | June 30, 2018

 Statements of Operations for the Six-Months Ended June 30, 2018 (unaudited)

	Madison			Madison			Madison			Madison
	Target			Target			Target			Target
	Retirement			Retirement			Retirement			Retirement
	2020 Fund			2030 Fund			2040 Fund			2050 Fund
Investment Income
Total investment income	$	–		$	–		$	–		$	–
Expenses1
Total expenses		–			–			–			–
Net Investment Income		–			–			–			–
Net Realized and Unrealized Gain (Loss) on Investments
Net realized loss on investments
Unaffiliated issuers		(76,788	)		(44,100	)		(17,563	)		(15,807	)
Net change in unrealized appreciation (depreciation) on investments
Unaffiliated issuers		(141,969	)		89,744			110,461			70,347
Net Realized and Unrealized Gain (Loss) on Investments		(218,757	)		45,644			92,898			54,540
Net Increase (Decrease) in Net Assets from Operations	$	(218,757	)	$	45,644		$	92,898		$	54,540

¹ See Note 3 for information on expenses.

See accompanying Notes to Financial Statements.

7

Ultra Series Fund | June 30, 2018

 Statements of Changes in Net Assets

	Madison Target						Madison Target						Madison Target						Madison Target
	Retirement 2020 Fund						Retirement 2030 Fund						Retirement 2040 Fund						Retirement 2050 Fund
	(unaudited) Six-Months Ended 6/30/18			Year Ended 12/31/17			(unaudited) Six-Months Ended 6/30/18			Year Ended 12/31/17			(unaudited) Six-Months Ended 6/30/18			Year Ended 12/31/17			(unaudited) Six-Months Ended 6/30/18			Year Ended 12/31/17
Net Assets at beginning of period	$	47,510,099		$	51,485,211		$	74,415,412		$	75,564,099		$	49,909,305		$	49,514,964		$	28,231,062		$	23,441,816
Increase (decrease) in net assets from operations:
Net investment income		–			919,244			–			1,318,624			–			881,184			–			464,321
Net realized gain (loss)		(76,788	)		3,453,107			(44,100	)		8,237,306			(17,563	)		6,387,722			(15,807	)		1,667,011
Net change in unrealized appreciation (depreciation)		(141,969	)		(460,954	)		89,744			(360,994	)		110,461			(199,904	)		70,347			1,914,989
Net increase (decrease) in net assets from operations		(218,757	)		3,911,397			45,644			9,194,936			92,898			7,069,002			54,540			4,046,321
Distributions to shareholders from:
Net investment income		(40,702	)		(2,015,556	)		(61,709	)		(3,054,046	)		(43,427	)		(2,151,191	)		(20,690	)		(1,024,758	)
Net realized gains		(46,785	)		(2,322,168	)		(129,478	)		(6,383,202	)		(102,008	)		(5,032,525	)		(21,955	)		(1,089,381	)
Total distributions		(87,487	)		(4,337,724	)		(191,187	)		(9,437,248	)		(145,435	)		(7,183,716	)		(42,645	)		(2,114,139	)
Capital Stock transactions:
Shares sold		3,395,794			9,256,576			6,315,817			16,154,343			5,008,976			11,720,477			3,650,041			8,936,678
Issued to shareholders in reinvestment of distributions		87,487			4,337,724			191,187			9,437,248			145,435			7,183,716			42,645			2,114,139
Shares redeemed		(6,989,734	)		(17,143,085	)		(7,962,927	)		(26,497,966	)		(5,204,018	)		(18,395,138	)		(3,613,222	)		(8,193,753	)
Total increase (decrease) from capital stock transactions		(3,506,453	)		(3,548,785	)		(1,455,923	)		(906,375	)		(49,607	)		509,055			79,464			2,857,064
Total increase (decrease) in net assets		(3,812,697	)		(3,975,112	)		(1,601,466	)		(1,148,687	)		(102,144	)		394,341			91,359			4,789,246
Net Assets at end of period	$	43,697,402		$	47,510,099		$	72,813,946		$	74,415,412		$	49,807,161		$	49,909,305		$	28,322,421		$	28,231,062
Undistributed net investment income included in net assets	$	–		$	40,702		$	–		$	61,709		$	–		$	43,427		$	–		$	20,690
Capital Share transactions:
Shares sold		430,416			1,111,956			769,493			1,865,076			656,746			1,450,582			265,320			665,071
Issued to shareholders in reinvestment of distributions		11,066			546,600			23,200			1,155,850			18,974			950,506			3,074			155,502
Shares redeemed		(887,359	)		(2,058,707	)		(974,017	)		(3,051,129	)		(689,449	)		(2,252,898	)		(264,180	)		(609,415	)
Net increase (decrease) from capital share transactions		(445,877	)		(400,151	)		(181,324	)		(30,203	)		(13,729	)		148,190			4,214			211,158

See accompanying Notes to Financial Statements.

8

Ultra Series Fund | June 30, 2018

 Financial Highlights for a Share of Beneficial Interest Outstanding

MADISON TARGET RETIREMENT 2020 FUND
	(unaudited)			Year Ended December 31,
	Six-Months
	Ended 6/30/18			2017			2016			2015			2014			2013
Net Asset Value at beginning of period	$	7.93		$	8.06		$	8.04		$	8.67		$	8.76		$	8.31
Income from Investment Operations:
Net investment income		–			0.19			0.15	1		0.13	1		0.19	1		0.21	1
Net realized and unrealized gain (loss) on investments		(0.03	)		0.48			0.32			(0.15	)		0.42			0.70
Total from investment operations		(0.03	)		0.67			0.47			(0.02	)		0.61			0.91
Less Distributions From:
Net investment income		(0.01	)		(0.37	)		(0.18	)		(0.20	)		(0.24	)		(0.22	)
Capital gains		(0.01	)		(0.43	)		(0.27	)		(0.41	)		(0.46	)		(0.24	)
Total distributions		(0.02	)		(0.80	)		(0.45	)		(0.61	)		(0.70	)		(0.46	)
Net increase (decrease) in net asset value		(0.05	)		(0.13	)		0.02			(0.63	)		(0.09	)		0.45
Net Asset Value at end of period	$	7.88		$	7.93		$	8.06		$	8.04		$	8.67		$	8.76
Total Return (%)2		(0.43	)3		8.34			5.68			(0.34	)		7.11			10.94
Ratios/Supplemental Data:
Net Assets at end of period (in 000’s)	$	43,697		$	47,510		$	51,485		$	52,858		$	62,087		$	70,472
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser (%)		0.00	4,5		0.00	4		0.00	4		0.00	4,6		0.30			0.30
After reimbursement of expenses by Adviser (%)		0.00	4,5		0.00	4		0.00	4		0.00	4,6		0.21	7		0.30
Ratio of net investment income to average net assets (%)		0.00	4,5		1.89	4		1.80	4		1.51	4		2.08			2.37
Portfolio turnover (%)8		1	3		9			7			7			142			167

MADISON TARGET RETIREMENT 2030 FUND
	(unaudited)			Year Ended December 31,
	Six-Months
	Ended 6/30/18			2017			2016			2015			2014			2013
Net Asset Value at beginning of period	$	8.16		$	8.26		$	8.08		$	8.77		$	8.92		$	8.04
Income from Investment Operations:
Net investment income		–			0.19			0.16	1		0.13	1		0.18	1		0.19	1
Net realized and unrealized gain (loss) on investments		0.01			0.89			0.44			(0.21	)		0.54			1.13
Total from investment operations		0.01			1.08			0.60			(0.08	)		0.72			1.32
Less Distributions From:
Net investment income		(0.01	)		(0.38	)		(0.17	)		(0.18	)		(0.22	)		(0.18	)
Capital gains		(0.01	)		(0.80	)		(0.25	)		(0.43	)		(0.65	)		(0.26	)
Total distributions		(0.02	)		(1.18	)		(0.42	)		(0.61	)		(0.87	)		(0.44	)
Net increase (decrease) in net asset value		(0.01	)		(0.10	)		0.18			(0.69	)		(0.15	)		0.88
Net Asset Value at end of period	$	8.15		$	8.16		$	8.26		$	8.08		$	8.77		$	8.92
Total Return (%)2		0.09	3		13.18			7.35			(0.86	)		8.06			16.56
Ratios/Supplemental Data:
Net Assets at end of period (in 000’s)	$	72,814		$	74,415		$	75,564		$	74,258		$	84,935		$	93,187
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser (%)		0.00	4,5		0.00	4		0.00	4		0.00	4,6		0.30			0.30
After reimbursement of expenses by Adviser (%)		0.00	4,5		0.00	4		0.00	4		0.00	4,6		0.21	7		0.30
Ratio of net investment income to average net assets (%)		0.00	4,5		1.78	4		1.95	4		1.51	4		1.98			2.16
Portfolio turnover (%)8		2	3		13			6			7			103			136

1	Based on average shares outstanding during the year.
2	These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year.
3	Not annualized.
4	Amount does not include income or expenses of the underlying GS Target Date Portfolio, nor the underlying expenses of the funds held by the GS Target Date Portfolio. See Note 1 for an explanation of the Fund organizational structure and current prospectus for more complete information regarding the charges and expenses of the Fund.
5	Annualized.
6	Amounts represent less than 0.01%.
7	Amount includes fees waived by adviser (see Note 3).
8	Portfolio turnover is calculated at the fund level and represents the entire fiscal year or period.

See accompanying Notes to Financial Statements.

9

Ultra Series Fund | June 30, 2018

 Financial Highlights for a Share of Beneficial Interest Outstanding

MADISON TARGET RETIREMENT 2040 FUND
	(unaudited)			Year Ended December 31,
	Six-Months
	Ended 6/30/18			2017			2016			2015			2014			2013
Net Asset Value at beginning of period	$	7.55		$	7.66		$	7.54		$	8.37		$	8.68		$	7.61
Income from Investment Operations:
Net investment income		–			0.19			0.16	1		0.13	1		0.17	1		0.17	1
Net realized and unrealized gain (loss) on investments		0.03			0.97			0.46			(0.20	)		0.55			1.32
Total from investment operations		0.03			1.16			0.62			(0.07	)		0.72			1.49
Less Distributions From:
Net investment income		(0.01	)		(0.38	)		(0.19	)		(0.19	)		(0.22	)		(0.16	)
Capital gains		(0.02	)		(0.89	)		(0.31	)		(0.57	)		(0.81	)		(0.26	)
Total distributions		(0.03	)		(1.27	)		(0.50	)		(0.76	)		(1.03	)		(0.42	)
Net increase (decrease) in net asset value		0.00			(0.11	)		0.12			(0.83	)		(0.31	)		1.07
Net Asset Value at end of period	$	7.55		$	7.55		$	7.66		$	7.54		$	8.37		$	8.68
Total Return (%)2		0.29	3		15.16			8.31			(1.01	)		8.27			19.63
Ratios/Supplemental Data:
Net Assets at end of period (in 000’s)	$	49,807		$	49,909		$	49,515		$	49,576		$	59,499		$	68,917
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser (%)		0.00	4,5		0.00	4		0.00	4		0.00	4.6		0.30			0.30
After reimbursement of expenses by Adviser (%)		0.00	4,5		0.00	4		0.00	4		0.00	4.6		0.21	7		0.30
Ratio of net investment income to average net assets (%)		0.00	4,5		1.76	4		2.01	4		1.52	4		1.95			2.01
Portfolio turnover (%)8		1	3		16			7			8			108			151

MADISON TARGET RETIREMENT 2050 FUND
	(unaudited)			Year Ended December 31,
	Six Months
	Ended 6/30/18			2017			2016			2015			2014			2013
Net Asset Value at beginning of period	$	13.60		$	12.57		$	12.19		$	12.97		$	12.78		$	10.69
Income from Investment Operations:
Net investment income		–			0.27			0.26	1		0.21	1		0.27	1		0.24	1
Net realized and unrealized gain (loss) on investments		0.03			1.87			0.84			(0.33	)		0.82			2.19
Total from investment operations		0.03			2.14			1.10			(0.12	)		1.09			2.43
Less Distributions From:
Net investment income		(0.01	)		(0.54	)		(0.31	)		(0.28	)		(0.27	)		(0.18	)
Capital gains		(0.01	)		(0.57	)		(0.41	)		(0.38	)		(0.63	)		(0.16	)
Total distributions		(0.02	)		(1.11	)		(0.72	)		(0.66	)		(0.90	)		(0.34	)
Net increase (decrease) in net asset value		0.01			1.03			0.38			(0.78	)		0.19			2.09
Net Asset Value at end of period	$	13.61		$	13.60		$	12.57		$	12.19		$	12.97		$	12.78
Total Return (%)2		0.27	3		16.99			8.97			(0.91	)		8.51			22.78
Ratios/Supplemental Data:
Net Assets at end of period (in 000’s)	$	28,322		$	28,231		$	23,442		$	21,173		$	22,799		$	18,123
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser (%)		0.00	4,5		0.00	4		0.00	4		0.00	4,6		0.30			0.30
After reimbursement of expenses by Adviser (%)		0.00	4,5		0.00	4		0.00	4		0.00	4,6		0.20	7		0.30
Ratio of net investment income to average net assets (%)		0.00	4,5		1.79	4		2.08	4		1.57	4		2.02			1.98
Portfolio turnover (%)8		4	3		8			6			13			133			215

1	Based on average shares outstanding during the year.
2	These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year.
3	Not annualized.
4	Amount does not include income or expenses of the underlying GS Target Date Portfolio, nor the underlying expenses of the funds held by the GS Target Date Portfolio. See Note 1 for an explanation of the Fund organizational structure and current prospectus for more complete information regarding the charges and expenses of the Fund.
5	Annualized.
6	Amounts represent less than 0.01%.
7	Amount includes fees waived by adviser (see Note 3).
8	Portfolio turnover is calculated at the fund level and represents the entire fiscal year or period.

See accompanying Notes to Financial Statements.

10

Ultra Series Fund | June 30, 2018

Notes to Financial Statements (unaudited)

1. ORGANIZATION

The Ultra Series Fund (the “Trust”), a Massachusetts business trust, is registered under the investment company Act of 1940 (the “1940 Act”), as amended, as a diversified, open-end management investment company. The Trust is a series trust with, at the end of the period covered by this report, 14 investment portfolios (individually, a “fund,” and collectively, the “funds”), each with different investment objectives and policies. The funds currently reporting within this book at the end of the period were the Madison Target Retirement 2020 Fund, Madison Target Retirement 2030 Fund, Madison Target Retirement 2040 Fund, and Madison Target Retirement 2050 Fund, (collectively, the “Target Date Funds” or “Ultra Series Madison Target Retirement Funds” or “USF Target Date Funds”).

The Declaration of Trust permits the Board of Trustees to issue an unlimited number of full and fractional shares of the Trust without par value. The Target Date Funds only offer a single class of shares, Class I shares. The shares represent an interest in the assets of the respective fund with identical voting, dividend, liquidation and other rights, and its proportional share of fund level expenses. Shares are offered to the Group Variable Annuity Separate Accounts (“GVA Separate Accounts”) of CMFG Life Insurance Company (“CMFG Life”). The purchase of shares of the USF Target Date Funds is limited to separate accounts of insurance companies that exclusively support variable contracts that qualify as pension plan contracts under section 818(a) of the Internal Revenue Code (the “Code”). The Trust does not offer shares directly to the general public.

The Trust has entered into a Management Agreement with Madison Asset Management, LLC (the “Investment Adviser” or “Madison”).

Previously, the Ultra Series Madison Target Retirement Funds aimed to achieve their investment objectives by investing in the shares of the corresponding Madison Funds Target Retirement Fund series, other than cash required to process shareholder transactions. As of August 22, 2016, the Madison Funds Target Retirement Fund series were reorganized into the Goldman Sachs Target Date 2020 Portfolio, the Goldman Sachs Target Date 2030 Portfolio, the Goldman Sachs Target Date 2040 Portfolio and the Goldman Sachs Target Date 2050 Portfolio, respectively (collectively, the “GS Target Date Portfolios”), each which was a newly formed “shell” series of the Goldman Sachs Trust II.

The GS Target Date Portfolios’ principal investment objectives and strategies are substantially similar to those of the corresponding predecessor Madison Funds Target Retirement Fund. Goldman Sachs Asset Management, L.P. serves as the investment adviser of the GS Target Date Portfolios, and Madison, serves as the subadviser of the GS Target Date Portfolios. The predecessor Madison Funds Target Retirement Funds’ portfolio managers continue to manage the GS Target Date Portfolios.

As of June 30, 2018, the Ultra Series Madison Target Retirement 2020 Fund owned approximately 94.86% of the Goldman Sachs Target Date 2020 Portfolio, the Ultra Series Madison Target Retirement 2030 Fund owned approximately 93.72% of the Goldman Sachs Target Date 2030 Portfolio, the Ultra Series Madison Target Retirement 2040 Fund owned approximately 97.22% of the Goldman Sachs Target Date 2040 Portfolio, and the Ultra Series Madison Target Retirement 2050 Fund owned approximately 92.82% of the Goldman Sachs Target Date 2050 Portfolio. See also Appendix A, page 16 for the Portfolio of Investments, and Appendix B, page 18 for the Statements of Assets and Liabilities for the respective GS Target Date Portfolios.

2. SIGNIFICANT ACCOUNTING POLICIES

The funds are investment companies that apply the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services-Investment Companies (ASC 946). The following is a summary of significant accounting policies consistently followed by each fund in the preparation of its financial statements.

Portfolio Valuation: Equity securities, including exchange-traded funds (“ETFs”) listed on any U.S. or foreign stock exchange or quoted on the National Association of Securities Dealers Automated Quotation System (“NASDAQ’’) are valued at the last quoted sale price or official closing price on that exchange or NASDAQ on the valuation day (provided that, for securities traded on NASDAQ, the funds utilize the NASDAQ Official Closing Price (“NOCP”)). If no sale occurs, equities traded on a U.S. exchange, foreign exchange or on NASDAQ are valued at the bid price.

Investments in shares of open-end mutual funds are valued at their daily net asset value (“NAV”) which is calculated as of the close of regular trading on the New York Stock Exchange ((the “NYSE”), usually 4:00 p.m. Eastern Standard Time), on each day on which the NYSE is open for business. NAV per share is determined by dividing each fund’s total net assets by the number of shares of such fund outstanding at the time of calculation. Because the assets of each Target Date Fund consist primarily of shares of other registered investment companies (the “Underlying funds”), the NAV of each fund is determined based on the NAVs of the Underlying funds. Total net assets are determined by adding the total current value of portfolio securities, cash, receivables, and other assets and subtracting liabilities.

Over-the-counter securities not listed or traded on NASDAQ are valued at the last sale price on the valuation day. If no sale occurs on the valuation day, an over-the-counter security is valued at the last bid price. Exchange traded options are valued at the mean of the best bid and ask prices across all option exchanges. Financial futures contracts generally are valued at the settlement price established by the exchange(s) on which the contracts are primarily traded. Overnight repurchase agreements are valued at cost, and term repurchase agreements (i.e., those whose maturity exceeds seven days), swaps, caps, collars and floors, if any, are valued at the average of the closing bids obtained daily from at least one dealer.

Through the end of this reporting period, the value of all assets and liabilities expressed in foreign currencies was converted into U.S. dollar values using the then-current exchange rate at the close of regular trading on the NYSE.

All other securities for which either quotations are not readily available, no other sales have occurred, or in the Investment Adviser’s opinion, do not reflect the current market value, are appraised at their fair values as determined in good faith by the Pricing Committee (the “Committee”) and under the general supervision of the Board of Trustees. When fair value pricing of securities is employed, the prices of securities used by the funds to calculate NAV may differ from market quotations or NOCP. Because the Target Date Funds primarily invest in Underlying Funds, it is not anticipated that the Investment Adviser will need to “fair value” any of the investments of these funds. However, an Underlying Fund may need to “fair value” one or more of its investments, which may, in turn, require a Target Date Fund to do the same because of delays in obtaining the Underlying Fund’s NAV.

A fund’s investments (or Underlying Fund) will be valued at fair value if, in the judgment of the Committee, an event impacting the value of an investment occurred between the closing time of a security’s primary market or exchange (for example, a foreign exchange or market) and the time the fund’s share price is calculated as of the close of regular trading on the NYSE. Significant events may include, but are not limited to, the following: (1) significant fluctuations in domestic markets, foreign markets or foreign currencies; (2) occurrences not directly tied to the securities markets such as natural disasters, armed conflicts or significant government actions; and (3) major announcements affecting a single issuer or an entire market or market sector. In responding to a significant event, the Committee would determine the fair value of affected securities considering factors including, but not limited to: fundamental analytical data relating to the investment; the

11

Ultra Series Fund | Notes to the Financial Statements (unaudited) - continued | June 30, 2018

nature and duration of any restrictions on the disposition of the investment; and the forces influencing the market(s) in which the investment is purchased or sold.

In addition to independent fair value decisions made by the Committee noted above, the Committee also engages an independent fair valuation service to adjust the valuations of foreign equity securities based on specific market-movement parameters established by the Committee and approved by the Trust. Such adjustments to the valuation of foreign securities are applied automatically upon market close if the parameters established are exceeded. A foreign security is also automatically fair valued if the exchange it is traded in is on holiday.

Security Transactions and Investment Income: Security transactions are accounted for on a trade date basis. Net realized gains or losses on sales are determined by the identified cost method. Interest income is recorded on an accrual basis. Dividend income is recorded on ex-dividend date, except that certain dividends from foreign securities may be recorded after the ex-dividend date based on when the fund is informed of the dividend. Interest income is recorded on an accrual basis and is increased by the accretion of discount and decreased by the amortization of premium. Amortization and accretion are recorded on the effective yield method.

Expenses: Expenses that are directly related to one fund are charged directly to that fund. Other operating expenses are prorated to the funds on the basis of relative net assets.

Repurchase Agreements: Each fund may engage in repurchase agreements. In a repurchase agreement, a security is purchased for a relatively short period (usually not more than seven days) subject to the obligation to sell it back to the issuer at a fixed time and price plus accrued interest. The funds will enter into repurchase agreements only with members of the Federal Reserve System and with “primary dealers” in U.S. Government securities.

The Trust has established a procedure providing that the securities serving as collateral for each repurchase agreement must be delivered to the Trust’s custodian either physically or in book-entry form and that the collateral must be marked to market daily to ensure that each repurchase agreement is fully collateralized at all times. In the event of bankruptcy or other default by a seller of a repurchase agreement, a fund could experience one of the following: delays in liquidating the underlying securities during the period in which the fund seeks to enforce its rights thereto, possible decreased levels of income, declines in value of the underlying securities, or lack of access to income during this period and the expense of enforcing its rights. As of June 30, 2018, none of the funds held open repurchase agreements.

Foreign Currency Transactions: The Trust’s books and records are maintained in U.S. dollars. Foreign currency denominated transactions (i.e., market value of investment securities, assets and liabilities, purchases and sales of investment securities, and income and expenses) are translated into U.S. dollars at the current rate of exchange. The funds enter into contracts on the trade date to settle any securities transactions denominated in foreign currencies on behalf of the funds at the spot rate at settlement.

Each fund reports certain foreign currency-related transactions as components of realized gains or losses for financial reporting purposes, whereas such components are treated as ordinary income for federal income tax purposes.

The funds do not isolate the portion of gains and losses on investments in securities that is due to changes in the foreign exchange rates from that which is due to changes in market prices of securities. Such amounts are categorized as gain or loss on investments for financial reporting purposes.

Cash Concentration: At times, the funds maintain cash balances at financial institutions in excess of federally insured limits. The funds monitor this credit risk and have not experienced any losses related to this risk.

Indemnifications: Under the funds’ organizational documents, the funds’ officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the funds. In the normal course of business, the funds enter into contracts that contain a variety of representations and provide general indemnifications. The funds’ maximum liability exposure under these arrangements is unknown, as future claims that have not yet occurred may be made against the funds. However, based on experience, management expects the risk of loss to be remote.

Fair Value Measurements:  Each fund has adopted Financial Accounting Standards Board (the “FASB”) guidance on fair value measurements. Fair value is defined as the price that each fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy is used to maximize the use of observable market data “inputs” and minimize the use of unobservable “inputs” and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk (for example, the risk inherent in a particular valuation technique used to measure fair value including such a pricing model and/or the risk inherent in the inputs used in the valuation technique). Inputs may be observable or unobservable.

Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below:

Level 1 - unadjusted quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rate volatilities, prepayment speeds, credit risk, benchmark yields, transactions, bids, offers, new issues, spreads and other relationships observed in the markets among comparable securities, underlying equity of the issuer; and proprietary pricing models such as yield measures calculated using factors such as cash flows, financial or collateral performance and other reference data, etc.)

Level 3 - significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

The valuation techniques used by the funds to measure fair value for the period ended June 30, 2018 maximized the use of observable inputs and minimized the use of unobservable inputs. The funds utilized the following fair value techniques: multi-dimensional relational pricing model and option adjusted spread pricing; the funds estimated the price that would have prevailed in a liquid market for an international equity security given information available at the time of valuation. As of June 30, 2018, none of the funds held securities deemed as a Level 3, and there were no transfers between classification levels.

The following is a summary of the inputs used as of June 30, 2018 in valuing the funds’ investments carried at fair value (please see the Portfolio of Investments for each fund for a listing of all securities within each category):

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Ultra Series Fund | Notes to the Financial Statements (unaudited) - continued | June 30, 2018

Fund	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Value at 6/30/18
Ultra Series Madison Target Retirement 2020: Goldman Sachs Target Date 2020 Portfolio1	$	43,529,748	$	–	$	–	$	43,529,748
Ultra Series Madison Target Retirement 2030: Goldman Sachs Target Date 2030 Portfolio1	$	72,280,190	$	–	$	–	$	72,280,190
Ultra Series Madison Target Retirement 2040: Goldman Sachs Target Date 2040 Portfolio1	$	48,755,717	$	–	$	–	$	48,755,717
Ultra Series Madison Target Retirement 2050: Goldman Sachs Target Date 2050 Portfolio1	$	27,908,872	$	–	$	–	$	27,908,872

¹Please refer to Appendix A of this report (page 16) for a list of underlying holdings of the GS Target Date Portfolio held by each respective Ultra Series Target Date Fund. For additional information on the underlying funds held by each respective GS Target Date Fund, including shareholder prospectuses and financial reports, please visit the GSAM website at www.GSAMFUNDS.com or visit the Securities and Exchange Commission’s website at http://www.sec.gov.

Recently Issued Accounting Pronouncements. In March 2017, the FASB issued Accounting Standards Update (ASU) 2017-08 which changes the amortization period for a callable debt security from the maturity date to the earliest call date. The ASU is effective for annual periods beginning after December 15, 2018, and interim periods within those annual periods. At this time, management is still evaluating the impacts this ASU will have on the financial statements.

3. MANAGEMENT AND SERVICES AGREEMENTS AND OTHER EXPENSES

Management Agreement: For services under the Management Agreement, the Investment Adviser is entitled to receive a management fee, which is calculated daily and paid monthly, at an annual rate of 0.25% of each fund’s average daily net assets. Effective with the launch of the Madison Funds Madison Target Date Funds (see Note 1), the funds invested substantially all of their assets in these Madison Funds. In order to avoid charging duplicate fees, from August 30, 2014 through December 31, 2014, these fees were waived by the Investment Adviser. The Investment Adviser does not have the right to recoup any of these waived fees. In that same regard, effective January 1, 2015 through August 21, 2016, while each USF Target Date Fund invested substantially all of its assets in the underlying Madison Target Date Fund discussed above, the USF Target Date Funds did not pay any management fees to the Investment Adviser in recognition of the fees paid to the Investment Adviser by the corresponding Madison Funds Madison Target Date Funds to avoid charging duplicate fees. Effective August 22, 2016, Goldman Sachs Asset Management L.P. (“GSAM”), the Investment Adviser of the GS Target Date Portfolio’s, charges 0.25% of each GS Target Date Portfolio’s average daily net assets. In order to avoid charging duplicate fees to USF Target Date Funds, for as long as the USF Target Date Fund invests substantially all of its assets in the corresponding GS Target Date Portfolio, no management fees will be paid by USF Target Date Fund. This arrangement will remain in effect through at least August 22, 2018, and prior to such date, GSAM may not terminate the arrangements without the approval of the Board of Trustees of the GS Target Date Portfolios.

Services Agreement: The Investment Adviser provides or arranges for each fund to have all of the necessary operational and support services it needs for a fee, which is calculated daily and paid monthly, at an annual rate of 0.024% of each fund’s average daily net assets. Effective with the launch of the GS Target Date Portfolios (See Note 1), the funds invested substantially all of their assets in these GS Target Date Portfolios. Prior to August 21, 2016, the funds invested substantially all their assets in the Madison Funds Madison Target Date Funds. In order to avoid charging duplicate fees, from August 30, 2014 through December 31, 2014, these fees were waived by the Investment Adviser. The Investment Adviser does not have the right to recoup any of these waived fees. In that same regard, effective January 1, 2015 through August 21, 2016, while each USF Target Date Fund invested substantially all of its assets in the underlying Madison Target Date Fund discussed above, the USF Target Date Funds did not pay any service fees to the Investment Adviser in recognition of the fees paid to the Investment Adviser by the corresponding Madison Funds Madison Target Date Funds to avoid charging duplicate fees. GSAM has agreed to limit its fees and expenses (excluding acquired (underlying) fund fees and expenses, transfer agency fees and expenses, taxes, interest, brokerage fees, shareholder meeting, litigation, indemnification and extraordinary expenses) to 0.024% of each GS Target Date Portfolio’s average daily net assets until December 29, 2018.

Other Expenses: In addition to the fees described above, the Trust is responsible for brokerage commissions and other expenses incurred in connection with the acquisition or disposition of investments, overdrafts, any potential taxes owed and extraordinary expenses as approved by a majority of independent trustees.

Certain officers and trustees of the Trust are also officers of the Investment Adviser. The funds do not compensate their officers or affiliated trustees. The Nominating and Governance Committee of the Board may change trustee fees paid at any time.

4. DIVIDENDS FROM NET INCOME AND DISTRIBUTIONS OF CAPITAL GAINS

The funds declare dividends from net investment income and net realized gains from investment transactions, if any, annually, which are reinvested in additional full and fractional shares of the respective funds.

Income and capital gain distributions, if any, are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. Taxable distributions from income and realized capital gains of the funds may differ from book amounts earned during the period due to differences in the timing of capital gains recognition, and due to the reclassification of certain gains or losses from capital to income.

5. SECURITIES TRANSACTIONS

For the period ended June 30, 2018, aggregate cost of purchases and proceeds from sales of securities, other than short-term investment, were as follows:

Fund	Purchases		Sales
Ultra Series Madison Target Retirement 2020	$	500,000	$	3,340,243
Ultra Series Madison Target Retirement 2030		1,500,000		2,439,934
Ultra Series Madison Target Retirement 2040		500,000		896,726
Ultra Series Madison Target Retirement 2050		1,525,000		1,235,674

6. FEDERAL INCOME TAX INFORMATION

It is each fund’s policy to comply with the requirements of Subchapter M of the Code applicable to regulated investment companies and to distribute all its taxable income to its shareholders. Accordingly, no provisions for federal income taxes are recorded in the accompanying statements.

The funds have not recorded any liabilities for material unrecognized tax benefits as of June 30, 2018. It is each fund’s policy to recognize accrued interest and penalties related to uncertain tax benefits in income taxes, as appropriate. Tax years that remain open to examination by major tax jurisdictions include tax years ended December 31, 2014 through December 31, 2017.

13

Ultra Series Fund | Notes to the Financial Statements (unaudited) - concluded | June 30, 2018

At June 30, 2018, the aggregate gross unrealized appreciation (depreciation) and net unrealized appreciation (depreciation) for all securities as computed on a federal income tax basis for each fund were as follows:

Fund	Appreciation		Depreciation		Net
Ultra Series Madison Target Retirement 2020	$	1,048,485	$	–	$	1,048,485
Ultra Series Madison Target Retirement 2030		5,864,368		–		5,864,368
Ultra Series Madison Target Retirement 2040		4,325,899		–		4,325,899
Ultra Series Madison Target Retirement 2050		4,011,967		–		4,011,967

7. INVESTMENT RISKS

Investing in certain financial instruments, including forward foreign currency contracts, involves certain risks. Risks associated with these instruments include potential for an illiquid secondary market for the instruments or inability of counterparties to perform under the terms of the contracts, changes in the value of foreign currency relative to the U.S. dollar and volatility resulting from an imperfect correlation between the movements in the prices of the instruments and the prices of the underlying securities and interest rates being hedged.

Investing in foreign securities involves certain risks not necessarily found in U.S. markets. These include risks associated with adverse changes in economic, political, regulatory and other conditions, changes in currency exchange rates, exchange control regulations, expropriation of assets or nationalization, imposition of withholding taxes on dividend or interest payments or capital gains, and possible difficulty in obtaining and enforcing judgments against foreign entities. Further, issuers of foreign securities are subject to different, and often less comprehensive, accounting, reporting and disclosure requirements than domestic issuers.

The Target Date Funds are fund of funds, meaning that they invest primarily in the shares of the GS Target Date Portfolios, including exchange traded funds (“ETFs”). Thus, each fund’s investment performance and its ability to achieve its investment goal are directly related to the performance of the GS Target Date Portfolios in which it invests; and the GS Target Date Portfolio’s performance, in turn, depends on the particular securities in which that GS Target Date Portfolio invests and the expenses of that GS Target Date Portfolio. Accordingly, these funds are subject to the risks of the GS Target Date Portfolios in direct proportion to the allocation of their respective assets among the GS Target Date Portfolio.

Additionally, the Target Date Funds are subject to asset allocation risk and manager risk. Manager risk (i.e., fund selection risk) is the risk that the underlying fund selected to fulfill a particular asset class underperforms its peers. Asset allocation risk is the risk that the allocation of the fund’s assets among the various asset classes and market segments will cause the fund to underperform other funds with a similar investment objective.

The funds are also subject to cybersecurity risk, which include the risks associated with computer systems, networks and devices to carry out routine business operations. These system, networks and devices employ a variety of protections that are designed to prevent cyberattacks. Despite the various cyber protections utilized by the funds, the Investment Adviser, and other service providers, their systems, networks, or devices could potentially be breached. The funds, their shareholders, and the Investment Adviser could be negatively impacted as a result of a cyber security breach. The funds cannot control the cybersecurity plans and systems put in place by service providers or any other third parties whose operations may affect the funds. The funds do monitor this risk closely.

In addition to the other risks described above and in the prospectus, you should understand what we refer to as “unknown market risks.” While investments in securities have been keystones in wealth building and management, at times these investments have produced surprises. Those who enjoyed growth and income of their investments generally were rewarded for the risks they took by investing in the markets. Although the Investment Adviser seeks to appropriately address and manage the risks identified and disclosed to you in connection with the management of the securities in the funds, you should understand that the very nature of the securities markets includes the possibility that there may be additional risks of which we are not aware. We certainly seek to identify all applicable risks and then appropriately address them, take appropriate action to reasonably manage them and to make you aware of them so you can determine if they exceed your risk tolerance. Nevertheless, the often volatile nature of the securities markets and the global economy in which we work suggests that the risk of the unknown is something to consider in connection with an investment in securities. Unforeseen events could under certain circumstances produce a material loss of the value of some or all of the securities we manage for you in the funds.

8. CAPITAL SHARES AND AFFILIATED OWNERSHIP

All capital shares outstanding at June 30, 2018 are owned by separate investment accounts and/or pension plans of CMFG Life Insurance Company. There were no affiliate’s investment for the period ended June 30, 2018.

9. SUBSEQUENT EVENTS

Management has evaluated the impact of all subsequent events on the funds through the date the financial statements were available for issue. No other events have taken place that meet the definition of subsequent event that require adjustment to, or disclosure in the financial statements.

14

Ultra Series Fund | June 30, 2018

Other Information (unaudited)

FUND EXPENSES PAID BY SHAREHOLDERS

As a shareholder of the funds, you pay no transaction costs, but may indirectly (see Note 3 to the Financial Statements) incur ongoing costs which include management fees; disinterested trustee fees; brokerage commissions and other expenses incurred in connection with the acquisition or disposition of investments; costs of borrowing money; expenses for independent audits, taxes, and extraordinary expenses as approved by a majority of the disinterested trustees. The examples in the table that follows are intended to help you understand your ongoing costs (in dollars) of investing in the funds and to compare these costs with the ongoing costs of investing in other mutual funds.

The examples below are based on an investment of $1,000 invested for the six-month period ended June 30, 2018. Expenses paid during the period in the table below are equal to each fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half fiscal year period).

Actual Expenses

The table below provides information about actual account values using actual expenses and actual returns for the funds. You may use the information in this table, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table for the fund you own under the heading entitled “Expenses Paid During Period ” to estimate the expenses you paid on your account during this period.

	Beginning		Ending		Annual			Expenses Paid
Fund	Account Value		Account Value		Expense Ratio1			During Period1
Ultra Series Target Retirement 2020 Fund		$1,000	$	995.70		0.30	%		$1.50
Ultra Series Target Retirement 2030 Fund		1,000		1,000.90		0.30	%		1.52
Ultra Series Target Retirement 2040 Fund		1,000		1,002.90		0.30	%		1.53
Ultra Series Target Retirement 2050 Fund		1,000		1,002.70		0.30	%		1.53

Hypothetical Example for Comparison Purposes

The table below provides information about hypothetical account values and hypothetical expenses based on the funds’ actual expense ratios and an assumed rate of return of 5% per year before expenses, which are not the funds’ actual returns. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the funds and other funds. To do so, compare the 5% hypothetical example of the funds you own with the 5% hypothetical examples that appear in the shareholder reports of other similar funds.

	Beginning		Ending		Annual			Expenses Paid
Fund	Account Value		Account Value		Expense Ratio1			During Period1
Ultra Series Target Retirement 2020 Fund		$1,000	$	1,024.79		0.30	%		$1.51
Ultra Series Target Retirement 2030 Fund		1,000		1,024.79		0.30	%		1.51
Ultra Series Target Retirement 2040 Fund		1,000		1,024.79		0.30	%		1.51
Ultra Series Target Retirement 2050 Fund		1,000		1,024.79		0.30	%		1.51

¹Amounts include expenses of the underlying GS Target Date Portfolio, and the underlying expense of the funds held by the GS Target Date Portfolio. See Note 1 for an explanation of the Fund organizational structure, Note 3 for a description of the expense structure, and the current prospectus for more complete information regarding the charges and expenses of the Target Date Funds.

Please note that the expenses shown in the tables are meant to highlight your ongoing costs only and do not reflect any separate account fees, charges, or expenses imposed by the group variable annuity contracts, or retirement and pension plans that use the funds. The information provided in the hypothetical example table is useful in comparing ongoing Target Date Fund costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these fees, charges or expenses were included, your costs would have been higher.

AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULES

The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Form N-Q is available to shareholders at no cost by calling 1-800-877-6089, or on the SEC’s website at www.sec.gov. Form N-Q may also be reviewed and copied at the Commission’s Public Reference Room in Washington, DC. More information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. Form N-Q and other information about the Trust are available on the EDGAR database on the SEC’s Internet site at www.sec.gov. Copies of this information may also be obtained, upon payment of a duplicating fee, by electronic request at the following email address: publicinfo@sec.gov, or by writing the SEC’s Public Reference Section, Washington, DC 20549-0102.

PROXY VOTING POLICIES, PROCEDURES AND RECORDS

A description of the policies and procedures used by the Trust to vote proxies related to portfolio securities is available to shareholders at no cost on calling 1-800-877-6089, or on the SEC’s website at www.sec.gov and is also located in the funds’ Statement of Additional Information. The proxy voting records for the Trust for the most recent twelve-month period ended June 30 are available to shareholders at no cost on the SEC’s website at www.sec.gov.

FORWARD-LOOKING STATEMENT DISCLOSURE

One of our most important responsibilities as investment company managers is to communicate with shareholders in an open and direct manner. Some of our comments in the Management’s Economic Overview are based on current management expectations and are considered “forward-looking statements.” Actual future results, however, may prove to be different from our expectations. You can identify forward-looking statements by words such as “estimate,” “may,” “will,” “expect,” “believe,” “plan” and other similar terms. We cannot promise future returns. Our opinions are a reflection of our best judgment at the time this report is compiled, and we disclaim any obligation to update or alter forward-looking statements as a result of new information, future events, or otherwise.

15

Ultra Series Fund | Other Information (unaudited) - continued | June 30, 2018

APPENDIX A: GOLDMAN SACHS FUNDS: GOLDMAN SACHS TARGET DATE PORTFOLIOS SCHEDULES OF INVESTMENTS - Target Date Funds (unaudited) – June 30, 2018

Goldman Sachs Target Date 2020 Portfolio Schedule of Investments¹

	Shares	Value
EXCHANGE TRADED FUNDS - 98.4%
Bond Funds - 70.3%
iShares 20+ Year Treasury Bond ETF	9,439	$	1,148,915
iShares 7-10 Year Treasury Bond ETF	67,419		6,911,122
iShares Floating Rate Bond ETF	31,603		1,611,753
Schwab Intermediate-Term U.S. Treasury ETF	96,994		5,075,696
Schwab U.S. TIPS ETF	151,088		8,296,242
Vanguard Short-Term Corporate Bond ETF	118,064		9,220,798
			32,264,526
Foreign Stock Funds - 7.1%
iShares Edge MSCI Minimum Volatility Emerging Markets ETF	15,959		923,068
Vanguard FTSE All World ex-US Small-Cap ETF	2,004		231,282
Vanguard FTSE All-World ex-U.S. ETF	8,888		460,754
Vanguard FTSE Europe ETF	16,407		920,925
WisdomTree Japan Hedged Equity Fund	4,285		231,304
Xtrackers MSCI EAFE Hedged Equity ETF	14,712		461,957
			3,229,290
Stock Funds - 21.0%
Energy Select Sector SPDR Fund	6,043		458,906
Invesco Dynamic Pharmaceuticals ETF	6,828		458,910
Invesco Optimum Yield Diversified Commodity Strategy No. K-1 ETF	74,710		1,379,147
Invesco S&P 500 Quality ETF	7,628		228,916
iShares Core S&P 500 ETF	6,715		1,833,531
iShares Core S&P Mid-Cap ETF	3,531		687,768
iShares MSCI Japan ETF	3,944		228,397
Schwab U.S. Dividend Equity ETF	32,569		1,605,326
Vanguard Communication Services ETF	2,694		228,775
Vanguard Financials ETF	13,569		915,229
Vanguard Growth ETF	3,061		458,568
Vanguard Information Technology ETF	5,061		918,065
Vanguard Materials ETF	1,738		228,651
			9,630,189
TOTAL EXCHANGE TRADED FUNDS (Cost $43,912,310)			45,124,005

	Distribution Rate		Shares		Value
Investment Company(a) - 0.0%
Goldman Sachs Financial Square Government Fund - Institutional Shares		1.869%		8,348		8,348
Total Investment Company (Cost $8,348)
TOTAL INVESTMENTS - 98.4% (Cost $43,920,658)						45,132,353
OTHER ASSETS IN EXCESS OF IABILITIES - 1.6%						756,270
NET ASSETS - 100.0%					$	45,888,623

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

	1	Reported on a cash basis and therefore may not include unsettled shareholder trades from the feeder fund. For additional information on the underlying funds, including shareholder prospectuses and financial reports, please visit each underlying fund’s website or visit the Securities and Exchange Commission’s website at http://www.sec.gov.
	(a)	Represents an Affiliated Issuer.
Investment Abbreviations:
ETF - Exchange Traded Fund
TIPs - Treasury Inflation Protected Securities

Goldman Sachs Target Date 2030 Portfolio Schedule of Investments¹

	Shares		Value
EXCHANGE TRADED FUNDS - 98.1%
Bond Funds - 42.1%
iShares 20+ Year Treasury Bond ETF	15,825	$	1,926,219
iShares 7-10 Year Treasury Bond ETF	37,724		3,867,087
iShares Floating Rate Bond ETF	7,595		387,345
Schwab Intermediate-Term U.S. Treasury ETF	133,216		6,971,194
Schwab U.S. TIPS ETF	126,812		6,963,247
Vanguard Short-Term Corporate Bond ETF	158,551		12,382,833
			32,497,925
Foreign Stock Funds - 14.8%
iShares Edge MSCI Minimum Volatility Emerging Markets ETF	40,185		2,324,300
Vanguard FTSE All World ex-US Small-Cap ETF	6,710		774,401
Vanguard FTSE All-World ex-U.S. ETF	52,219		2,707,033
Vanguard FTSE Europe ETF	48,199		2,705,410
WisdomTree Japan Hedged Equity Fund	17,859		964,029
Xtrackers MSCI EAFE Hedged Equity ETF	61,435		1,929,059
			11,404,232
Stock Funds - 41.2%
Energy Select Sector SPDR Fund	20,290		1,540,823
Invesco Dynamic Pharmaceuticals ETF	11,462		770,361
Invesco Optimum Yield Diversified Commodity Strategy No. K-1 ETF	125,412		2,315,105
Invesco S&P 500 Quality ETF	12,790		383,828
iShares Core S&P 500 ETF	49,317		13,466,007
iShares Core S&P Mid-Cap ETF	15,804		3,078,303
iShares MSCI Japan ETF	6,616		383,133
Schwab U.S. Dividend Equity ETF	85,912		4,234,602
Vanguard Communication Services ETF	6,762		574,229
Vanguard Financials ETF	22,719		1,532,397
Vanguard Growth ETF	5,156		772,420
Vanguard Information Technology ETF	11,700		2,122,380
Vanguard Materials ETF	4,369		574,786
			31,748,374
TOTAL EXCHANGE TRADED FUNDS (Cost $69,428,579)			75,650,531

	Distribution Rate		Shares		Value
Investment Company(a) - 0.1%
Goldman Sachs Financial Square Government Fund - Institutional Shares		1.869%		56,245		56,245
Total Investment Company (Cost $56,245)
TOTAL INVESTMENTS - 98.2% (Cost $69,484,824)						75,706,776
OTHER ASSETS IN EXCESS OF IABILITIES - 1.8%						1,413,773
NET ASSETS - 100.0%					$	77,120,549

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

	1	Reported on a cash basis and therefore may not include unsettled shareholder trades from the feeder fund. For additional information on the underlying funds, including shareholder prospectuses and financial reports, please visit each underlying fund’s website or visit the Securities and Exchange Commission’s website at http://www.sec.gov.
	(a)	Represents an Affiliated Issuer.
Investment Abbreviations:
ETF - Exchange Traded Fund
TIPs - Treasury Inflation Protected Securities

16

Ultra Series Fund | Other Information (unaudited) - continued | June 30, 2018

APPENDIX A: MADISON FUNDS: MADISON TARGET DATE FUNDS PORTFOLIOS OF INVESTMENTS - Master Funds (unaudited) - June 30, 2018 - continued

Goldman Sachs Target Date 2040 Portfolio Schedule of Investments¹

	Shares		Value
EXCHANGE TRADED FUNDS - 98.2%
Bond Funds - 32.1%
iShares 20+ Year Treasury Bond ETF	10,305	$	1,254,325
iShares 7-10 Year Treasury Bond ETF	14,739		1,510,895
iShares Floating Rate Bond ETF	4,946		252,246
Schwab Intermediate-Term U.S. Treasury ETF	67,470		3,530,705
Schwab U.S. TIPS ETF	64,227		3,526,705
Vanguard Short-Term Corporate Bond ETF	77,434		6,047,595
			16,122,471
Foreign Stock Funds - 18.6%
iShares Edge MSCI Minimum Volatility Emerging Markets ETF	34,890		2,018,038
Vanguard FTSE All World ex-US Small-Cap ETF	6,550		755,935
Vanguard FTSE All-World ex-U.S. ETF	36,432		1,888,635
Vanguard FTSE Europe ETF	40,354		2,265,070
WisdomTree Japan Hedged Equity Fund	16,281		878,848
Xtrackers MSCI EAFE Hedged Equity ETF	47,977		1,506,478
			9,313,004
Stock Funds - 47.5%
Energy Select Sector SPDR Fund	16,551		1,256,883
Invesco Dynamic Pharmaceuticals ETF	7,503		504,277
Invesco Optimum Yield Diversified Commodity Strategy No. K-1 ETF	81,665		1,507,536
Invesco S&P 500 Quality ETF	8,287		248,693
iShares Core S&P 500 ETF	35,784		9,770,821
iShares Core S&P Mid-Cap ETF	12,855		2,503,897
iShares MSCI Japan ETF	4,313		249,766
Schwab U.S. Dividend Equity ETF	61,030		3,008,169
Vanguard Communication Services ETF	5,907		501,622
Vanguard Financials ETF	16,633		1,121,896
Vanguard Growth ETF	5,034		754,143
Vanguard Information Technology ETF	9,681		1,756,133
Vanguard Materials ETF	4,739		623,463
			23,807,299
TOTAL EXCHANGE TRADED FUNDS (Cost $44,520,567)			49,242,774

	Distribution Rate	Shares		Value
Investment Company(a) - 0.1%
Goldman Sachs Financial Square Government Fund - Institutional Shares	1.869%	37,127		37,127
Total Investment Company (Cost $37,127)
TOTAL INVESTMENTS - 98.3% (Cost $44,557,694)				49,279,901
OTHER ASSETS IN EXCESS OF IABILITIES - 1.7%				870,584
NET ASSETS - 100.0%			$	50,150,485

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

	1	Reported on a cash basis and therefore may not include unsettled shareholder trades from the feeder fund. For additional information on the underlying funds, including shareholder prospectuses and financial reports, please visit each underlying fund’s website or visit the Securities and Exchange Commission’s website at http://www.sec.gov.
	(a)	Represents an Affiliated Issuer.
Investment Abbreviations:
ETF - Exchange Traded Fund
TIPs - Treasury Inflation Protected Securities

Goldman Sachs Target Date 2050 Portfolio Schedule of Investments¹

	Shares	Value
EXCHANGE TRADED FUNDS - 98.3%
Bond Funds - 22.6%
iShares 20+ Year Treasury Bond ETF	6,192	$	753,690
iShares 7-10 Year Treasury Bond ETF	2,944		301,789
iShares Floating Rate Bond ETF	2,954		150,654
Schwab Intermediate-Term U.S. Treasury ETF	34,765		1,819,253
Schwab U.S. TIPS ETF	24,809		1,362,262
Vanguard Short-Term Corporate Bond ETF	31,029		2,423,365
			6,811,013
Foreign Stock Funds - 21.6%
iShares Edge MSCI Minimum Volatility Emerging Markets ETF	26,205		1,515,697
Vanguard FTSE All World ex-US Small-Cap ETF	3,938		454,484
Vanguard FTSE All-World ex-U.S. ETF	23,351		1,210,516
Vanguard FTSE Europe ETF	29,636		1,663,469
WisdomTree Japan Hedged Equity Fund	11,201		604,630
Xtrackers MSCI EAFE Hedged Equity ETF	33,669		1,057,207
			6,506,003
Stock Funds - 54.1%
Energy Select Sector SPDR Fund	11,918		905,053
Invesco Dynamic Pharmaceuticals ETF	4,485		301,437
Invesco Optimum Yield Diversified Commodity Strategy No. K-1 ETF	49,070		905,832
Invesco S&P 500 Quality ETF	7,524		225,795
iShares Core S&P 500 ETF	23,707		6,473,196
iShares Core S&P Mid-Cap ETF	8,498		1,655,241
iShares MSCI Japan ETF	5,223		302,464
Schwab U.S. Dividend Equity ETF	39,727		1,958,144
Vanguard Communication Services ETF	3,550		301,466
Vanguard Financials ETF	11,098		748,560
Vanguard Growth ETF	4,021		602,386
Vanguard Information Technology ETF	7,479		1,356,691
Vanguard Materials ETF	3,999		526,108
			16,262,373
TOTAL EXCHANGE TRADED FUNDS (Cost $26,312,981)			29,579,389

	Distribution Rate		Shares		Value
Investment Company(a) - 0.1%
Goldman Sachs Financial Square Government Fund - Institutional Shares		1.869%		20,127		20,127
Total Investment Company (Cost $20,127)
TOTAL INVESTMENTS - 98.4% (Cost $26,333,108)						29,599,516
OTHER ASSETS IN EXCESS OF IABILITIES - 1.6%						468,443
NET ASSETS - 100.0%					$	30,067,959

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

	1	Reported on a cash basis and therefore may not include unsettled shareholder trades from the feeder fund. For additional information on the underlying funds, including shareholder prospectuses and financial reports, please visit each underlying fund’s website or visit the Securities and Exchange Commission’s website at http://www.sec.gov.
	(a)	Represents an Affiliated Issuer.
Investment Abbreviations:
ETF - Exchange Traded Fund
TIPs - Treasury Inflation Protected Securities

17

Ultra Series Funds | Other Information (unaudited) - concluded | June 30, 2018

APPENDIX B: GOLDMAN SACHS FUNDS: GOLDMAN SACHS TARGET DATE FUNDS STATEMENTS OF ASSETS AND LIABILITIES (unaudited) - June 30, 2018

	Target Date			Target Date		Target Date		Target Date
	2020 Portfolio			2030 Portfolio		2040 Portfolio		2050 Portfolio
Assets:
Investments of unaffiliated issuers, at value (cost $43,912,310, $69,428,579, $44,520,567 and $26,312,981)	$	45,124,005		$	75,650,531	$	49,242,774	$	29,579,389
Investments of affiliated issuers, at value (cost $8,348, $56,245, $37,127 and $20,127)		8,348			56,245		37,127		20,127
Cash		917,133			1,540,031		1,001,038		599,936
Receivables:
Investments sold		305,268			494,152		325,407		267,783
Dividends		23,128			103,058		75,431		51,735
Fund shares sold		2,698			3,482		2,683		2,486
Other assets		25,086			26,515		25,117		23,990
Total assets		46,405,666			77,874,014		50,709,577		30,545,446
Liabilities:
Payables:
Investments purchased		310,214			539,399		354,029		282,679
Management fees		9,496			15,962		10,380		6,279
Distribution and Service fees and Transfer Agency fees		894			1,610		948		690
Fund shares redeemed		89			288		129		82
Accrued expenses		196,350			196,206		193,606		187,757
Total liabilities		517,043			753,465		559,092		477,487
Net Assets:
Paid-in capital	$	43,625,160		$	69,339,867	$	43,852,421	$	26,012,132
Undistributed net investment income		328,371			609,807		411,092		245,593
Accumulated net realized gain		723,397			948,923		1,164,765		543,826
Net unrealized gain		1,211,695			6,221,952		4,722,207		3,266,408
NET ASSETS	$	45,888,623		$	77,120,549	$	50,150,485	$	30,067,959
Net Assets:
Class A	$	31,411		$	349,589	$	45,442	$	197,585
Institutional		10,691			11,381		11,666		11,954
Service		10,592			11,275		11,557		11,843
Investor(a)		861,265			1,489,796		598,739		798,253
Class R		11,264			27,968		33,725		11,836
Class R6		44,963,400			75,230,540		49,449,356		29,036,488
Total Net Assets	$	45,888,623		$	77,120,549	$	50,150,485	$	30,067,959
Shares Outstanding $0.001 par value (unlimited number of shares authorized):
Class A		3,394			37,073		4,933		19,120
Institutional		1,151			1,202		1,261		1,151
Service		1,144			1,195		1,254		1,144
Investor(a)		92,905			157,740		64,863		77,035
Class R		1,218			2,970		3,668		1,145
Class R6		4,839,602			7,947,146		5,341,190		2,796,155
Net asset value, offering and redemption price per share:(b)
Class A	$	9.26	(c)	$	9.43	$	9.21	$	10.33
Institutional		9.29			9.47		9.25		10.38	(c)
Service		9.26			9.44		9.22		10.35
Investor(a)		9.27			9.44		9.23		10.36
Class R		9.25			9.42		9.19		10.34
Class R6		9.29			9.47		9.26		10.38

(a)	Effective October 10, 2017, Class IR Shares changed its name to Investor Shares.
(b)	Maximum public offering price per share for Class A Shares of the, Target Date 2020, Target Date 2030, Target Date 2040, and Target Date 2050 Portfolios is $9.80, $9.98, $9.75 and $10.93, respectively.
(c)	Net asset value may not recalculate due to rounding of fractional shares.

SEC File Number: 811-04815

18

Goldman Sachs Funds
		Semi-Annual Report	February 28, 2018
			Target Date Portfolios
			Target Date 2020
			Target Date 2025
			Target Date 2030
			Target Date 2035
			Target Date 2040
			Target Date 2045
			Target Date 2050
			Target Date 2055

Goldman Sachs Target Date Portfolios

• TARGET DATE 2020

• TARGET DATE 2025

• TARGET DATE 2030

• TARGET DATE 2035

• TARGET DATE 2040

• TARGET DATE 2045

• TARGET DATE 2050

• TARGET DATE 2055

TABLE OF CONTENTS
Market Review	1
Portfolio Management Discussions and Performance Summaries	4
Schedules of Investments	28
Financial Statements	36
Financial Highlights	46
Notes to Financial Statements	62
Other Information	79

  NOT FDIC-INSURED   May Lose Value   No Bank Guarantee

	MARKET REVIEW
Target Date Portfolios

Market Review

Global equities advanced during the six months ended February 28, 2018 (the “Reporting Period”), fueled by global economic growth indicators, rising corporate earnings and a general lack of negative financial headlines. U.S. stocks and emerging markets stocks posted double-digit gains, outpacing international developed markets stocks, which also generated positive returns. The fixed income markets recorded negative returns, with performance driven primarily by continuing global economic growth and shifting investor expectations about central bank monetary policy.

Equity Markets

When the Reporting Period began in September 2017, U.S. and international stocks gained. In the U.S., economic activity and labor market data showed consistent strength, with the reversal in August of five consecutive downside inflation surprises, the unemployment rate down to 4.2% in September and the Gross Domestic Product (“GDP”) growing at an annualized rate above 3% during the third calendar quarter. The European Central Bank (“ECB”) kept monetary policy unchanged at its September meeting and revised downward its inflation forecast. Investor sentiment in Japan deteriorated amid North Korean missile launches and escalating geopolitical tensions, while in Europe, the disputed independence referendum in Catalonia, Spain was negative for risk sentiment. Meanwhile, emerging markets equities underperformed developed markets equities in September 2017 for the first time during the calendar year as investors generally favored less risky assets.

During October 2017, emerging markets stocks advanced despite strength in the U.S. dollar. In Japan, the Prime Minister’s landslide victory reassured investors, signaling a continuation of current policies. Progress on U.S. tax reform and strong economic activity data was supportive of U.S. stocks during October and November 2017. In November 2017, a robust earnings season boosted emerging markets stocks, which overcame weakness driven by a global selloff in technology stocks. In December, the U.S. Federal Reserve (the “Fed”) delivered its third interest rate hike of 2017, having previously raised short-term interest rates in March and June, and maintained its projections for three hikes in 2018. U.S. equities gained additional momentum toward the end of 2017 from the passage of tax reform legislation that reduced the corporate tax rate from 35% to 21%.

U.S. and international equities saw a strong start to 2018, driven by positive economic data, the $1.5 trillion U.S. tax reform plan and robust corporate earnings across the U.S., Europe and Japan. Fourth quarter 2017 U.S. GDP came in below the economic growth rates recorded in the second and third calendar quarters but was still at a respectable annualized rate of 2.5%. In January 2018, labor market data highlighted the tightening of slack in the U.S. economy. In Japan, concerns around a strengthening yen increased, driven by the Bank of Japan’s announcement of reduced Japanese government bond purchases, which were interpreted by the markets as a withdrawal from ultra-accommodative monetary policy. Emerging markets equities outperformed developed markets equities during January 2018, bolstered by global economic growth, rising crude oil prices and a softer U.S. dollar.

In February 2018, global equities sold off on market speculation about a faster pace of Fed interest rate hikes, which led to a sharp rise in yields and volatility. Robust U.S. labor market data sparked the initial “risk-off” sentiment, or reduced risk appetite. Concerns about Fed monetary policy tightening were further exacerbated by solid U.S. inflation data. New Fed Chair Jerome Powell’s testimony before the U.S. Congress, positing a more optimistic economic outlook since the December 2017 Fed policy meeting, surprised the markets with

1

MARKET REVIEW

its hawkish tilt. (Hawkish tilt suggests higher interest rates; opposite of dovish.) Renewed concerns about increasingly hostile exchanges between North Korea and the White House – as well as heightened European political risk ahead of Italian general elections and a grand coalition referendum in Germany – also fueled volatility. On February 5, 2018, the CBOE Volatility Index^® (“VIX^®”), a measure of volatility in the U.S. equity market, recorded its largest ever one day increase. The U.S. equity markets rallied after February 8th, and the VIX^® declined from a month high of 50.30 to end the Reporting Period at 19.85.

Fixed Income Markets

In September 2017, when the Reporting Period began, government bond sectors sold off and spread (or non-government bond) sectors generally advanced. The Fed kept its monetary policy unchanged but unveiled its plans for balance sheet normalization. (Balance sheet normalization refers to the steps the Fed is taking to reverse quantitative easing and remove the substantial monetary accommodation it has provided to the economy since the financial crisis began in 2007.) This prompted some hawkish market reaction, with the U.S. dollar strengthening and yields on U.S. government bonds rising, though the move had been largely anticipated given earlier signaling by policymakers. The central banks of other developed countries also set the stage for less accommodative monetary policy. The Bank of England (“BoE”) noted “a majority” of its policymakers were in favor of tightening policy “over the coming months,” while the Bank of Canada (“BoC”) surprised the markets with its second interest rate hike of 2017. The market’s expectations for a BoE rate hike in November 2017, along with a constructive tone for Brexit negotiations, drove the British pound higher versus the U.S. dollar. (Brexit refers to the U.K.’s efforts to leave the European Union.)

During the fourth calendar quarter, spread sector performance was broadly positive, supported by ongoing strength in the global macroeconomic environment and contained market, macro and political volatility. Passage of U.S. tax legislation and solid corporate earnings were particularly supportive of U.S. corporate credit. In October 2017, the ECB announced it would reduce its monthly asset purchases from 60 billion to 30 billion for nine months beginning in January 2018, mainly by purchasing fewer sovereign government bonds. The ECB also said its policy rates would remain low for “an extended period of time, and well past the horizon of the net asset purchases.” During the same month, the BoE reversed an emergency interest rate cut, made in August 2016 following the Brexit referendum, and signaled that future monetary policy tightening would be limited, gradual and dependent on the economic reaction to the U.K.’s eventual departure from the European Union. In December 2017, the Fed delivered its third short-term interest rate hike of 2017. The Fed’s dot plot, which shows rate projections of the members of the Fed’s Open Market Committee, indicated that three rate increases were on tap for 2018 and potentially two more in 2019. The U.S. dollar weakened versus many major currencies during the fourth quarter of 2017.

Ongoing momentum in global economic growth and accommodative financial conditions supported spread sectors in January 2018, though a pickup in interest rate volatility near month end and into February tempered performance. The Fed and ECB kept their respective monetary policies unchanged, while the BoC delivered another interest rate hike. Fed policymakers noted they expect “further” gradual adjustments in monetary policy, suggesting there may be scope for upward revisions to their median projections for three rate hikes in 2018. The U.S. dollar continued to weaken relative to most developed markets currencies in January 2018, despite higher U.S. interest rates.

2

MARKET REVIEW

The equity market volatility at the start of February 2018 upset long-standing correlations between asset classes and among currencies. In this environment, spread sectors turned in mixed results. The new Fed chair, Jerome Powell, noted an improvement in the outlook for the U.S. economy since the Fed’s December 2017 policy meeting. His comments were met with a hawkish market reaction, with U.S. Treasury yields climbing amid raised investor expectations for a shift in the Fed’s dot plot at its March 2018 meeting. In the developed markets broadly, manufacturing data suggested some slowing in economic momentum, though most readings remained comfortably in expansionary territory. The U.S. dollar strengthened against most developed markets currencies, except the Japanese yen.

Looking Ahead

At the end of the Reporting Period, we were focused on three macro themes. First, we expected the global economic expansion to continue in 2018. We believed the economies of emerging markets countries were likely to outperform, which should widen the gap between their economic growth and that of developed market countries broadly. Second, we thought the tax legislation passed by the U.S. Congress in December 2017 was likely to stimulate U.S. economic growth and riskier asset classes assets in the short term, which should in turn boost optimism about corporate earnings. In the long term, however, we believe that further deterioration in the U.S.’s fiscal deficit when the economy has little slack raises the possibility of overheating. (A fiscal deficit occurs when a government’s total expenditures exceed the revenue that it generates, excluding money from borrowings. An overheating economy is one that has experienced a prolonged period of economic growth, leading to high levels of inflation.) Third, with inflation inching closer to central bank targets, it appeared more developed markets policymakers were either preparing to or were already normalizing interest rates. That said, tighter monetary policy had yet to flow through to financial conditions, in our view, which could cause economic growth to moderate. Relative to Fed policy at the end of the Reporting Period, we expected three or four interest rate hikes in 2018.

3

PORTFOLIO RESULTS

Goldman Sachs Target Date 2020 Portfolio,

Goldman Sachs Target Date 2025 Portfolio,

Goldman Sachs Target Date 2030 Portfolio,

Goldman Sachs Target Date 2035 Portfolio,

Goldman Sachs Target Date 2040 Portfolio,

Goldman Sachs Target Date 2045 Portfolio,

Goldman Sachs Target Date 2050 Portfolio and

Goldman Sachs Target Date 2055 Portfolio

Investment Process and Principal Strategies

The Goldman Sachs Target Date 2020 Portfolio, the Goldman Sachs Target Date 2025 Portfolio, the Goldman Sachs Target Date 2030 Portfolio, the Goldman Sachs Target Date 2035 Portfolio, the Goldman Sachs Target Date 2040 Portfolio, the Goldman Sachs Target Date 2045 Portfolio, the Goldman Sachs Target Date 2050 Portfolio and the Goldman Sachs Target Date 2055 Portfolio (collectively, the “Portfolios”) seek to provide capital appreciation and current income consistent with each respective Portfolio’s current asset allocation. The Portfolios employ asset allocation strategies designed for investors who plan to retire and to begin gradually withdrawing their investment beginning in or around 2020, 2025, 2030, 2035, 2040, 2045, 2050 and 2055. The Portfolios generally seek to achieve their investment objective by investing in shares of exchangetraded funds (“ETFs”) and other registered investment companies (collectively, the “Underlying Funds”), according to an asset allocation strategy developed by Madison Asset Management, LLC, the sub-adviser, who is unaffiliated with Goldman Sachs Asset Management, L.P., the investment adviser for the Portfolios.

Portfolio Management Discussion and Analysis

Below, the Madison Asset Management, LLC portfolio management team, the Goldman Sachs Target Date Portfolios’ sub-adviser, discusses the Portfolios’ performance and positioning for the six-month period ended February 28, 2018 (the “Reporting Period”).

Q	How did the Portfolios perform during the Reporting Period?
A	Goldman Sachs Target Date 2020 Portfolio — During the Reporting Period, the Target Date 2020 Portfolio’s Class A, Institutional, Service, Investor, R and R6 Shares generated cumulative total returns of 1.03%, 1.13%, 0.87%, 1.11%, 0.85% and 1.14%, respectively. These returns compare to the 3.05% cumulative total return of the Portfolio’s benchmark, the S&P Target Date To 2020 Index (Total Return, Unhedged, USD) during the same period.
	Goldman Sachs Target Date 2025 Portfolio — During the Reporting Period, the Target Date 2025 Portfolio’s Class A, Institutional, Service, Investor, R and R6 Shares generated cumulative total returns of 2.82%, 2.90%, 2.61%, 2.88%, 2.56% and 2.93%, respectively. These returns compare to the 4.05% cumulative total return of the Portfolio’s benchmark,

the S&P Target Date To 2025 Index (Total Return, Unhedged, USD) during the same period.

Goldman Sachs Target Date 2030 Portfolio — During the Reporting Period, the Target Date 2030 Portfolio’s Class A, Institutional, Service, Investor, R and R6 Shares generated cumulative total returns of 3.72%, 3.97%, 3.62%, 3.85%, 3.61% and 3.98%, respectively. These returns compare to the 5.09% cumulative total return of the Portfolio’s benchmark, the S&P Target Date To 2030 Index (Total Return, Unhedged, USD) during the same period.

Goldman Sachs Target Date 2035 Portfolio — During the Reporting Period, the Target Date 2035 Portfolio’s Class A, Institutional, Service, Investor, R and R6 Shares generated cumulative total returns of 4.22%, 4.50%, 4.22%, 4.39%, 4.17% and 4.53%, respectively. These returns compare to the 5.98% cumulative total return of the Portfolio’s benchmark,

4

PORTFOLIO RESULTS

	the S&P Target Date To 2035 Index (Total Return, Unhedged, USD) during the same period.
	Goldman Sachs Target Date 2040 Portfolio — During the Reporting Period, the Target Date 2040 Portfolio’s Class A, Institutional, Service, Investor, R and R6 Shares generated cumulative total returns of 4.81%, 4.95%, 4.83%, 4.92%, 4.72% and 5.06%, respectively. These returns compare to the 6.87% cumulative total return of the Portfolio’s benchmark, the S&P Target Date To 2040 Index (Total Return, Unhedged, USD) during the same period.
	Goldman Sachs Target Date 2045 Portfolio — During the Reporting Period, the Target Date 2045 Portfolio’s Class A, Institutional, Service, Investor, R and R6 Shares generated cumulative total returns of 5.45%, 5.55%, 5.36%, 5.53%, 5.26% and 5.58%, respectively. These returns compare to the 7.26% cumulative total return of the Portfolio’s benchmark, the S&P Target Date To 2045 Index (Total Return, Unhedged, USD) during the same period.
	Goldman Sachs Target Date 2050 Portfolio — During the Reporting Period, the Target Date 2050 Portfolio’s Class A, Institutional, Service, Investor, R and R6 Shares generated cumulative total returns of 5.97%, 6.20%, 5.85%, 6.09%, 5.80% and 6.21%, respectively. These returns compare to the 7.42% cumulative total return of the Portfolio’s benchmark, the S&P Target Date To 2050 Index (Total Return, Unhedged, USD) during the same period.
	Goldman Sachs Target Date 2055 Portfolio — During the Reporting Period, the Target Date 2055 Portfolio’s Class A, Institutional, Service, Investor, R and R6 Shares generated cumulative total returns of 6.55%, 6.73%, 6.55%, 6.72%, 6.46% and 6.76%, respectively. These returns compare to the 7.68% cumulative total return of the Portfolio’s benchmark, the S&P Target Date To 2055 Index (Total Return, Unhedged, USD) during the same period.
Q	What key factors affected the Portfolios’ performance during the Reporting Period?
A	During the Reporting Period, the Portfolios were hurt by our asset allocation decisions to favor certain asset classes through the Underlying Funds. Security selection also detracted from performance during the Reporting Period.

Q	How did the Portfolios’ asset allocations affect performance during the Reporting Period?
A	Within the Portfolios’ strategic allocations, our preference for equities over fixed income had a rather neutral impact on results. Within equities, the Portfolios were hampered by their strategic allocations to non-U.S. stocks, which lagged U.S. stocks during the Reporting Period. In particular, strategic allocations to European equities detracted from performance. Strategic allocations to long-term U.S. government bonds also dampened results. Additionally, the Portfolios were hurt — especially during February 2018 — by their exposure to the U.S. energy sector. Although crude oil prices rose approximately 25% during the Reporting Period, U.S. energy stocks did not experience a similar advance. On the positive side, the Portfolios benefited from their strategic allocations to emerging markets equities, which outpaced developed markets stocks during the Reporting Period.
	Within the Portfolio’s tactical equity allocations, our decision to modestly increase exposure to U.S. financial stocks contributed most positively. The Portfolios also benefited from their slight bias to U.S. information technology stocks. Financials and information technology were the top performing sectors in the S&P 500® Index during the Reporting Period. In addition, the Portfolios’ tactical underweights in the health care, real estate and utilities sectors bolstered results. Real estate and utilities produced negative returns within the S&P 500® Index during the Reporting Period, while the health care sector generated weak, though modestly positive, returns. Within non-U.S. equities, the Portfolios were helped by their tactical overweights in Japanese equities.
	Within tactical fixed income allocations, the Portfolios’ exposure to long-maturity U.S. Treasuries detracted from performance, as long-term U.S. Treasury yields rose during the Reporting Period. Conversely, the Portfolios were aided by their tactical exposure to corporate bonds, especially short-term maturities and investment grade floating rate corporate bonds.
Q	Did the Underlying Funds help or hurt the Portfolios’ performance during the Reporting Period?
A	During the Reporting Period, the Portfolios’ Underlying Funds detracted from performance overall.
	Within the Portfolios’ equity-related Underlying Funds, a tactical overweight to the energy sector hurt results. The Energy Select Sector SPDR® ETF, which had been up significantly between the beginning of the Reporting Period and January 31, 2018, underperformed its benchmark index during February and for the Reporting Period as a whole. Tactical exposure to European equities through the Vanguard

5

PORTFOLIO RESULTS

FTSE Europe ETF dampened returns, as Europe’s economic growth moderated and the euro strengthened. Although the Portfolios benefited from their tactical underweights in the health care sector, they were hindered by their allocations to the Vanguard Health Care ETF, which trailed its benchmark index. In addition, tactical allocations to higher quality companies (i.e., those with higher returns on equity and higher returns on assets) through the iShares^® Edge MSCI Minimum Volatility Emerging Markets ETF detracted from performance.

On the positive side, the Portfolios benefited from tactical exposure to the U.S. financial sector through the Vanguard Financials ETF, as financials stocks advanced and interest rates rose. Tactical exposure to the information technology sector through the Vanguard Information Technology ETF also added to the Portfolios’ performance. In addition, tactical exposure to Japan through the iShares^® MSCI Japan ETF and the Wisdom Tree Japan Hedged Equity ETF bolstered returns, as Japan’s economic prospects improved. The Portfolios’ broad exposure to U.S. stocks through the iShares^® Core S&P 500 ETF contributed positively.

Of the Portfolios’ fixed income-related Underlying Funds, the iShares^® 20+ Year Treasury Bond ETF, the iShares^® 7-10 Year Treasury Bond ETF and the Schwab Intermediate-Term U.S. Treasury ETF^™, all of which provide tactical exposure to U.S. government yields, detracted from results. Conversely, the Portfolios benefited from their tactical exposure to corporate bonds through the Vanguard Short- Term Corporate Bond ETF and the Vanguard Long-Term Corporate Bond ETF, as U.S. economic conditions continued to improve and credit spreads tightened. (Spreads are yield differentials between bonds of comparable maturity.) Furthermore, the iShares^® Floating Rate Bond ETF added to returns, as interest rates rose during the Reporting Period overall.

Of the Portfolios’ commodities-related Underlying Funds, the PowerShares Optimum Yield Diversified Commodity Strategy ETF contributed positively to performance, as commodity prices, especially crude oil prices, moved higher.

Q	How did the Portfolios use derivatives and similar instruments during the Reporting Period?
A	The Portfolios do not directly invest in derivatives. However, some of the Underlying Funds may have used derivatives to allow them to track their respective benchmark indices with more precision. These may have included options, forwards, futures, swaps, structured securities and other derivative instruments.
Q	What changes did you make to the Portfolios’ strategic allocations during the Reporting Period?
A	During the Reporting Period, we eliminated the Portfolios’ strategic overweights in European equities and added strategic overweights in Japanese stocks. We reduced the Portfolios’ strategic allocations to U.S. mid-cap and small-cap stocks, ending the Reporting Period with a small strategic overweight in U.S. large-cap stocks. In our view, larger companies are more internationally focused than mid-cap and small-cap companies, and we expect them to perform better given U.S. dollar weakness. Additionally, we decreased the Portfolios’ strategic allocations to international equities during the Reporting Period and increased their strategic allocations to emerging markets equities. We also reduced the Portfolios’ strategic allocations to intermediate-term U.S. Treasuries in favor of Treasury Inflation Protected Securities (“TIPS”) because we believe investors expect inflation to increase. Finally, we added to the Portfolios’ strategic allocations to corporate bonds because we think higher interest rates give them a yield advantage over U.S. Treasury securities.
Q	What is the Portfolios’ tactical view and strategy for the months ahead?
A	In the near term, we expect to see low returns from virtually all asset classes. Therefore, we believe managing risk is likely to be of greater importance going forward. We plan to maintain a modestly defensive posture in the Portfolios, with a continued emphasis on seeking to generate strong riskadjusted returns.

6

PORTFOLIO RESULTS

Index Definitions

S&P 500^® Index is the Standard & Poor’s 500 composite index of 500 stocks, an unmanaged index of common stock prices.

CBOE Volatility Index^® (“VIX^®”) is a key measure of market expectations of near-term volatility conveyed by S&P 500^® stock index option prices. Since its introduction in 1993, VIX^® has been considered by many to be the world’s premier barometer of investor sentiment and market volatility.

It is not possible to invest directly in an unmanaged index.

7

FUND BASICS

Target Date 2020 Portfolio
as of February 28, 2018

PERFORMANCE REVIEW
			S&P Target Date To 2020 (Total Return, Unhedged, USD)2
	Portfolio Total Return (based on NAV)1
September 1, 2017–February 28, 2018
Class A	1.03	%	3.05	%
Institutional	1.13		3.05
Service	0.87		3.05
Investor	1.11		3.05
Class R	0.85		3.05
Class R6	1.14		3.05
1 The net asset value (“NAV”) represents the net assets of the class of the Portfolio (ex-dividend) divided by the total number of shares of the class outstanding. The Portfolio’s performance assumes the reinvestment of dividends and other distributions. The Portfolio’s performance does not reflect the deduction of any applicable sales charges.
2 The S&P Target Date Index Series is a component of the S&P Target Allocation Index Family, and is related to the S&P Target Risk Index Series. Both series are broadly representative of the investment opportunity available to investors in target date and target risk funds, respectively. The index series reflects the market consensus for asset allocations for different target date horizons. In particular, each index is representative of the investment opportunity available to investors for the corresponding target date horizon, with asset class exposures driven by a survey of available target date funds for that horizon.
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects fee waivers and/or expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Returns less than 12 months are cumulative, not annualized.

8

FUND BASICS

STANDARDIZED TOTAL RETURNS³

For the period ended 12/31/17

One Year

Five Years

Ten Years

Since Inception

Inception Date

Class A

1.92

%

N/A

N/A

0.64

%

8/22/16

Institutional

8.44

N/A

N/A

5.38

8/22/16

Service

7.83

N/A

N/A

4.81

8/22/16

Investor

8.30

N/A

N/A

5.24

8/22/16

Class R

7.70

N/A

N/A

4.68

8/22/16

Class R6

8.44

6.30

%

3.31

%

3.01

10/01/07

3	The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares. Because Institutional, Service, Investor, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.
	Effective August 22, 2016, the Madison Target Retirement 2020 Fund (the “Predecessor Fund”) was reorganized into the Portfolio. The Portfolio has assumed the Predecessor Fund’s historical performance. The returns for the Predecessor Fund for periods prior to August 29, 2014 reflect the performance of the Madison Target Retirement 2020 Fund’s Class I Shares, a series of Ultra Series Fund (the “Ultra Predecessor Fund”). As of August 29, 2014, the inception date of the Predecessor Fund, the Ultra Predecessor Fund exchanged in kind substantially all of its portfolio holdings for Class R6 shares of the Predecessor Fund. As a result, the Predecessor Fund assumed the performance of the Ultra Predecessor Fund. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. Past performance does not guarantee future results, which may vary. The value of investments and the income derived from investments will fluctuate and can go down as well as up. A loss of principal may occur.
	The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Returns less than 12 months are cumulative, not annualized.

EXPENSE RATIOS⁴

	Net Expense Ratio (Current)		Gross Expense Ratio (Before Waivers)
Class A	0.87	%		1.52	%
Institutional	0.48			1.13
Service	0.98			1.63
Investor	0.62			1.27
Class R	1.12			1.77
Class R6	0.47			1.12

⁴ The expense ratios of the Portfolio, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Portfolio and will differ from the expense ratios disclosed in the Financial Highlights in this report due to the inclusion of Underlying Fund fees and expenses, which are not included in the operating expenses of the Portfolio reflected in the Financial Highlights. Pursuant to a contractual arrangement, the Portfolio’s waivers and/or expense limitations will remain in place through at least December 29, 2018, and prior to such date, the Investment Adviser may not terminate the arrangements without the approval of the Portfolio’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

9

FUND BASICS

TOP TEN HOLDINGS AS OF 2/28/18⁵

Holding	% of Net Assets		Line of Business
iShares 7-10 Year Treasury Bond ETF	20.1	%	Exchange Traded Funds
Vanguard Short-Term Corporate Bond ETF	18.1		Exchange Traded Funds
Schwab U.S. TIPs ETF	15.1		Exchange Traded Funds
Schwab Intermediate-Term U.S. Treasury ETF	9.1		Exchange Traded Funds
iShares Floating Rate Bond ETF	6.0		Exchange Traded Funds
iShares Core S&P 500 ETF	5.0		Exchange Traded Funds
iShares 20+ Year Treasury Bond ETF	2.5		Exchange Traded Funds
iShares Edge MSCI Minimum Volatility	2.5		Exchange Traded Funds
Emerging Markets ETF Vanguard FTSE Europe ETF	2.0		Exchange Traded Funds
Vanguard FTSE All-World ex-U.S. ETF	2.0		Exchange Traded Funds

⁵ The top 10 holdings may not be representative of the Portfolio’s future investments. The top 10 holdings exclude investments in money market funds.

PORTFOLIO COMPOSITION ⁶

Holding	As of February 28, 2018		As of August 31, 2017
Bond Funds	71.5	%		65.1	%
Stock Funds	17.3			20.3
Foreign Stock Funds	7.5			7.8
Investment Companies	1.1			3.2
Alternative Funds	1.0			3.0

⁶ The Portfolio is actively managed and, as such, its composition may differ over time. The percentage shown for each fund type reflects the value of that fund type as a percentage of the Portfolio’s net assets. Figures above may not sum to 100% due to rounding and/or exclusion of other assets and liabilities.

10

FUND BASICS

Target Date 2025 Portfolio
as of February 28, 2018

PERFORMANCE REVIEW

			S&P Target Date To
	Portfolio Total Return		2025 (Total Return,
September 1, 2017–February 28, 2018	(based on NAV)1		Unhedged, USD)2
Class A	2.82	%		4.05	%
Institutional	2.90			4.05
Service	2.61			4.05
Investor	2.88			4.05
Class R	2.56			4.05
Class R6	2.93			4.05

1

The net asset value (“NAV”) represents the net assets of the class of the Portfolio (ex-dividend) divided by the total number of shares of the class outstanding. The Portfolio’s performance assumes the reinvestment of dividends and other distributions. The Portfolio’s performance does not reflect the deduction of any applicable sales charges.

2

The S&P Target Date Index Series is a component of the S&P Target Allocation Index Family, and is related to the S&P Target Risk Index Series. Both series are broadly representative of the investment opportunity available to investors in target date and target risk funds, respectively. The index series reflects the market consensus for asset allocations for different target date horizons. In particular, each index is representative of the investment opportunity available to investors for the corresponding target date horizon, with asset class exposures driven by a survey of available target date funds for that horizon.

STANDARDIZED TOTAL RETURNS³

For the period ended 12/31/17	One Year		Since Inception		Inception Date
Class A	4.87	%	3.42	%	8/22/16
Institutional	11.41		8.18		8/22/16
Service	10.89		7.67		8/22/16
Investor	11.29		8.05		8/22/16
Class R	10.74		7.52		8/22/16
Class R6	11.44		8.20		8/22/16

3

The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares. Because Institutional, Service, Investor, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.

The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Returns less than 12 months are cumulative, not annualized.

11

FUND BASICS

EXPENSE RATIOS⁴

	Net Expense Ratio (Current)		Gross Expense Ratio (Before Waivers)
Class A	0.87	%	3.29	%
Institutional	0.48		2.90
Service	0.98		3.40
Investor	0.62		3.04
Class R	1.12		3.54
Class R6	0.47		2.89

⁴ The expense ratios of the Portfolio, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Portfolio and will differ from the expense ratios disclosed in the Financial Highlights in this report due to the inclusion of Underlying Fund fees and expenses, which are not included in the operating expenses of the Portfolio reflected in the Financial Highlights. Pursuant to a contractual arrangement, the Portfolio’s waivers and/or expense limitations will remain in place through at least December 29, 2018, and prior to such date, the Investment Adviser may not terminate the arrangements without the approval of the Portfolio’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

TOP TEN HOLDINGS AS OF 2/28/18⁵

Holding	% of Net Assets		Line of Business
Vanguard Short-Term Corporate Bond ETF	16.2	%	Exchange Traded Funds
iShares Core S&P 500 ETF	14.9		Exchange Traded Funds
iShares 7-10 Year Treasury Bond ETF	13.6		Exchange Traded Funds
Schwab U.S. TIPs ETF	11.1		Exchange Traded Funds
Schwab Intermediate-Term U.S. Treasury ETF	8.1		Exchange Traded Funds
Vanguard FTSE All-World ex-U.S. ETF	5.0		Exchange Traded Funds
iShares Edge MSCI Minimum Volatility	3.5		Exchange Traded Funds
Emerging Markets ETF iShares Floating Rate Bond ETF	3.0		Exchange Traded Funds
Vanguard FTSE Europe ETF	3.0		Exchange Traded Funds
iShares 20+ Year Treasury Bond ETF	2.5		Exchange Traded Funds

⁵ The top 10 holdings may not be representative of the Portfolio’s future investments. The top 10 holdings exclude investments in money market funds.

PORTFOLIO COMPOSITION⁶

Holding	As of February 28, 2018		As of August 31, 2017
Bond Funds	54.5	%	48.5	%
Stock Funds	28.9		31.5
Foreign Stock Funds	12.5		13.1
Alternative Funds	1.5		3.5
Investment Companies	1.2		3.0

⁶ The Portfolio is actively managed and, as such, its composition may differ over time. The percentage shown for each fund type reflects the value of that fund type as a percentage of the Portfolio’s net assets. Figures above may not sum to 100% due to rounding and/or exclusion of other assets and liabilities.

12

FUND BASICS

Target Date 2030 Portfolio
as of February 28, 2018

PERFORMANCE REVIEW

			S&P Target Date To
	Portfolio Total Return		2030 (Total Return,
September 1, 2017–February 28, 2018	(based on NAV)1		Unhedged, USD)2
Class A	3.72	%		5.09	%
Institutional	3.97			5.09
Service	3.62			5.09
Investor	3.85			5.09
Class R	3.61			5.09
Class R6	3.98			5.09

1	The net asset value (“NAV”) represents the net assets of the class of the Portfolio (ex-dividend) divided by the total number of shares of the class outstanding. The Portfolio’s performance assumes the reinvestment of dividends and other distributions. The Portfolio’s performance does not reflect the deduction of any applicable sales charges.
2	The S&P Target Date Index Series is a component of the S&P Target Allocation Index Family, and is related to the S&P Target Risk Index Series. Both series are broadly representative of the investment opportunity available to investors in target date and target risk funds, respectively. The index series reflects the market consensus for asset allocations for different target date horizons. In particular, each index is representative of the investment opportunity available to investors for the corresponding target date horizon, with asset class exposures driven by a survey of available target date funds for that horizon.
	The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects fee waivers and/or expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Returns less than 12 months are cumulative, not annualized.

13

FUND BASICS

STANDARDIZED TOTAL RETURNS³

For the period ended 12/31/17	One Year		Five Years		Ten Years		Since Inception		Inception Date
Class A	6.68	%	N/A		N/A		4.91	%	8/22/16
Institutional	13.49		N/A		N/A		9.95		8/22/16
Service	12.89		N/A		N/A		9.39		8/22/16
Investor	13.25		N/A		N/A		9.74		8/22/16
Class R	12.65		N/A		N/A		9.17		8/22/16
Class R6	13.38		8.75	%	4.21	%	3.85		10/01/07

3	The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares. Because Institutional, Service, Investor, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.
	Effective August 22, 2016, the Madison Target Retirement 2030 Fund (the “Predecessor Fund”) was reorganized into the Portfolio. The Portfolio has assumed the Predecessor Fund’s historical performance. The returns for the Predecessor Fund for periods prior to August 29, 2014 reflect the performance of the Madison Target Retirement 2030 Fund’s Class I Shares, a series of Ultra Series Fund (the “Ultra Predecessor Fund”). As of August 29, 2014, the inception date of the Predecessor Fund, the Ultra Predecessor Fund exchanged in kind substantially all of its portfolio holdings for Class R6 shares of the Predecessor Fund. As a result, the Predecessor Fund assumed the performance of the Ultra Predecessor Fund. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. Past performance does not guarantee future results, which may vary. The value of investments and the income derived from investments will fluctuate and can go down as well as up. A loss of principal may occur.
	The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Returns less than 12 months are cumulative, not annualized.

EXPENSE RATIOS⁴

	Net Expense Ratio (Current)		Gross Expense Ratio (Before Waivers)
Class A	0.87	%	1.34	%
Institutional	0.48		0.95
Service	0.98		1.45
Investor	0.62		1.09
Class R	1.12		1.59
Class R6	0.47		0.94

⁴ The expense ratios of the Portfolio, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Portfolio and will differ from the expense ratios disclosed in the Financial Highlights in this report due to the inclusion of Underlying Fund fees and expenses, which are not included in the operating expenses of the Portfolio reflected in the Financial Highlights. Pursuant to a contractual arrangement, the Portfolio’s waivers and/or expense limitations will remain in place through at least December 29, 2018, and prior to such date, the Investment Adviser may not terminate the arrangements without the approval of the Portfolio’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

14

FUND BASICS

TOP TEN HOLDINGS AS OF 2/28/18⁵

Holding	% of Net Assets		Line of Business
iShares Core S&P 500 ETF	19.9	%	Exchange Traded Funds
Vanguard Short-Term Corporate Bond ETF	14.1		Exchange Traded Funds
Schwab U.S. TIPs ETF	8.1		Exchange Traded Funds
Schwab Intermediate-Term U.S. Treasury ETF	7.6		Exchange Traded Funds
Vanguard FTSE All-World ex-U.S. ETF	7.5		Exchange Traded Funds
iShares 7-10 Year Treasury Bond ETF	7.1		Exchange Traded Funds
iShares Edge MSCI Minimum Volatility	4.0		Exchange Traded Funds
Emerging Markets ETF Vanguard FTSE Europe ETF	3.5		Exchange Traded Funds
iShares Floating Rate Bond ETF	3.0		Exchange Traded Funds
iShares 20+ Year Treasury Bond ETF	2.5		Exchange Traded Funds

⁵ The top 10 holdings may not be representative of the Portfolio’s future investments. The top 10 holdings exclude investments in money market funds.

PORTFOLIO COMPOSITION⁶

Holding	As of February 28, 2018		As of August 31, 2017
Bond Funds	42.4	%	39.3	%
Stock Funds	36.8		36.3
Foreign Stock Funds	16.0		16.4
Alternative Funds	2.0		3.0
Investment Companies	1.0		2.0

⁶ The Portfolio is actively managed and, as such, its composition may differ over time. The percentage shown for each fund type reflects the value of that fund type as a percentage of the Portfolio’s net assets. Figures above may not sum to 100% due to rounding and/or exclusion of other assets and liabilities.

15

FUND BASICS

Target Date 2035 Portfolio
as of February 28, 2018

PERFORMANCE REVIEW

			S&P Target Date To
	Portfolio Total Return		2035 (Total Return,
September 1, 2017–February 28, 2018	(based on NAV)1		Unhedged, USD)2
Class A	4.22	%		5.98	%
Institutional	4.50			5.98
Service	4.22			5.98
Investor	4.39			5.98
Class R	4.17			5.98
Class R6	4.53			5.98

1

The net asset value (“NAV”) represents the net assets of the class of the Portfolio (ex-dividend) divided by the total number of shares of the class outstanding. The Portfolio’s performance assumes the reinvestment of dividends and other distributions. The Portfolio’s performance does not reflect the deduction of any applicable sales charges.

2

The S&P Target Date Index Series is a component of the S&P Target Allocation Index Family, and is related to the S&P Target Risk Index Series. Both series are broadly representative of the investment opportunity available to investors in target date and target risk funds, respectively. The index series reflects the market consensus for asset allocations for different target date horizons. In particular, each index is representative of the investment opportunity available to investors for the corresponding target date horizon, with asset class exposures driven by a survey of available target date funds for that horizon.

STANDARDIZED TOTAL RETURNS³

For the period ended 12/31/17	One Year		Since Inception		Inception Date
Class A	7.67	%	5.91	%	8/22/16
Institutional	14.35		10.79		8/22/16
Service	13.83		10.28		8/22/16
Investor	14.13		10.59		8/22/16
Class R	13.67		10.12		8/22/16
Class R6	14.38		10.82		8/22/16

3

The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares. Because Institutional, Service, Investor, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.

The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Returns less than 12 months are cumulative, not annualized.

16

FUND BASICS

EXPENSE RATIOS⁴

	Net Expense Ratio (Current)		Gross Expense Ratio (Before Waivers)
Class A	0.87	%	3.26	%
Institutional	0.48		2.87
Service	0.98		3.37
Investor	0.62		3.01
Class R	1.12		3.51
Class R6	0.47		2.86

⁴ The expense ratios of the Portfolio, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Portfolio and will differ from the expense ratios disclosed in the Financial Highlights in this report due to the inclusion of Underlying Fund fees and expenses, which are not included in the operating expenses of the Portfolio reflected in the Financial Highlights. Pursuant to a contractual arrangement, the Portfolio’s waivers and/or expense limitations will remain in place through at least December 29, 2018, and prior to such date, the Investment Adviser may not terminate the arrangements without the approval of the Portfolio’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

TOP TEN HOLDINGS AS OF 2/28/18⁵

Holding	% of Net Assets		Line of Business
iShares Core S&P 500 ETF	20.9	%	Exchange Traded Funds
Vanguard Short-Term Corporate Bond ETF	12.1		Exchange Traded Funds
Vanguard FTSE All-World ex-U.S. ETF	8.1		Exchange Traded Funds
Schwab U.S. TIPs ETF	7.1		Exchange Traded Funds
Schwab Intermediate-Term U.S. Treasury ETF	7.1		Exchange Traded Funds
iShares 7-10 Year Treasury Bond ETF	6.1		Exchange Traded Funds
iShares Edge MSCI Minimum Volatility	4.5		Exchange Traded Funds
Emerging Markets ETF Vanguard FTSE Europe ETF	4.0		Exchange Traded Funds
iShares Floating Rate Bond ETF	3.0		Exchange Traded Funds
iShares Core S&P Mid-Cap ETF	3.0		Exchange Traded Funds

⁵ The top 10 holdings may not be representative of the Portfolio’s future investments. The top 10 holdings exclude investments in money market funds.

PORTFOLIO COMPOSITION⁶

Holding	As of February 28, 2018		As of August 31, 2017
Bond Funds	37.9	%	34.5	%
Stock Funds	36.9		39.6
Foreign Stock Funds	20.1		18.5
Alternative Funds	2.5		3.0
Investment Companies	1.2		3.5

⁶ The Portfolio is actively managed and, as such, its composition may differ over time. The percentage shown for each fund type reflects the value of that fund type as a percentage of the Portfolio’s net assets. Figures above may not sum to 100% due to rounding and/or exclusion of other assets and liabilities.

17

FUND BASICS

Target Date 2040 Portfolio
as of February 28, 2018

PERFORMANCE REVIEW

			S&P Target Date To
	Portfolio Total Return		2040 (Total Return,
September 1, 2017–February 28, 2018	(based on NAV)1		Unhedged, USD)2
Class A	4.81	%		6.87	%
Institutional	4.95			6.87
Service	4.83			6.87
Investor	4.92			6.87
Class R	4.72			6.87
Class R6	5.06			6.87

1	The net asset value (“NAV”) represents the net assets of the class of the Portfolio (ex-dividend) divided by the total number of shares of the class outstanding. The Portfolio’s performance assumes the reinvestment of dividends and other distributions. The Portfolio’s performance does not reflect the deduction of any applicable sales charges.
2	The S&P Target Date Index Series is a component of the S&P Target Allocation Index Family, and is related to the S&P Target Risk Index Series. Both series are broadly representative of the investment opportunity available to investors in target date and target risk funds, respectively. The index series reflects the market consensus for asset allocations for different target date horizons. In particular, each index is representative of the investment opportunity available to investors for the corresponding target date horizon, with asset class exposures driven by a survey of available target date funds for that horizon.
	The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects fee waivers and/or expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Returns less than 12 months are cumulative, not annualized.

18

FUND BASICS

STANDARDIZED TOTAL RETURNS³

For the period ended 12/31/17	One Year		Five Years		Ten Years		Since Inception		Inception Date
Class A	8.59	%	N/A		N/A		6.87	%	8/22/16
Institutional	15.44		N/A		N/A		11.87		8/22/16
Service	14.85		N/A		N/A		11.31		8/22/16
Investor	15.18		N/A		N/A		11.64		8/22/16
Class R	14.62		N/A		N/A		11.11		8/22/16
Class R6	15.44		9.92	%	4.26	%	3.86		10/01/07

3	The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares. Because Institutional, Service, Investor, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.
	Effective August 22, 2016, the Madison Target Retirement 2040 Fund (the “Predecessor Fund”) was reorganized into the Portfolio. The Portfolio has assumed the Predecessor Fund’s historical performance. The returns for the Predecessor Fund for periods prior to August 29, 2014 reflect the performance of the Madison Target Retirement 2040 Fund’s Class I Shares, a series of Ultra Series Fund (the “Ultra Predecessor Fund”). As of August 29, 2014, the inception date of the Predecessor Fund, the Ultra Predecessor Fund exchanged in kind substantially all of its portfolio holdings for Class R6 shares of the Predecessor Fund. As a result, the Predecessor Fund assumed the performance of the Ultra Predecessor Fund. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. Past performance does not guarantee future results, which may vary. The value of investments and the income derived from investments will fluctuate and can go down as well as up. A loss of principal may occur.
	The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Returns less than 12 months are cumulative, not annualized.

EXPENSE RATIOS⁴

	Net Expense Ratio (Current)		Gross Expense Ratio (Before Waivers)
Class A	0.88	%	1.45	%
Institutional	0.49		1.06
Service	0.99		1.56
Investor	0.63		1.20
Class R	1.13		1.70
Class R6	0.48		1.05

⁴ The expense ratios of the Portfolio, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Portfolio and will differ from the expense ratios disclosed in the Financial Highlights in this report due to the inclusion of Underlying Fund fees and expenses, which are not included in the operating expenses of the Portfolio reflected in the Financial Highlights. Pursuant to a contractual arrangement, the Portfolio’s waivers and/or expense limitations will remain in place through at least December 29, 2018, and prior to such date, the Investment Adviser may not terminate the arrangements without the approval of the Portfolio’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

19

FUND BASICS

TOP TEN HOLDINGS AS OF 2/28/18⁵

Holding	% of Net Assets		Line of Business
iShares Core S&P 500 ETF	21.9	%	Exchange Traded Funds
Vanguard Short-Term Corporate Bond ETF	10.1		Exchange Traded Funds
Vanguard FTSE All-World ex-U.S. ETF	8.5		Exchange Traded Funds
Schwab U.S. TIPs ETF	6.1		Exchange Traded Funds
Schwab Intermediate-Term U.S. Treasury ETF	6.1		Exchange Traded Funds
iShares 7-10 Year Treasury Bond ETF	5.1		Exchange Traded Funds
iShares Edge MSCI Minimum Volatility	5.0		Exchange Traded Funds
Emerging Markets ETF Vanguard FTSE Europe ETF	4.5		Exchange Traded Funds
iShares Core S&P Mid-Cap ETF	3.5		Exchange Traded Funds
iShares Floating Rate Bond ETF	3.0		Exchange Traded Funds

⁵ The top 10 holdings may not be representative of the Portfolio’s future investments. The top 10 holdings exclude investments in money market funds.

PORTFOLIO COMPOSITION⁶

Holding	As of February 28, 2018		As of August 31, 2017
Stock Funds	42.9	%	43.1	%
Bond Funds	32.9		29.6
Foreign Stock Funds	19.0		20.0
Alternative Funds	2.5		3.0
Investment Companies	1.1		2.3

⁶ The Portfolio is actively managed and, as such, its composition may differ over time. The percentage shown for each fund type reflects the value of that fund type as a percentage of the Portfolio’s net assets. Figures above may not sum to 100% due to rounding and/or exclusion of other assets and liabilities.

20

FUND BASICS

Target Date 2045 Portfolio
as of February 28, 2018

PERFORMANCE REVIEW

			S&P Target Date To
	Portfolio Total Return		2045 (Total Return,
September 1, 2017–February 28, 2018	(based on NAV)1		Unhedged, USD)2
Class A	5.45	%		7.26	%
Institutional	5.55			7.26
Service	5.36			7.26
Investor	5.53			7.26
Class R	5.26			7.26
Class R6	5.58			7.26

1

The net asset value (“NAV”) represents the net assets of the class of the Portfolio (ex-dividend) divided by the total number of shares of the class outstanding. The Portfolio’s performance assumes the reinvestment of dividends and other distributions. The Portfolio’s performance does not reflect the deduction of any applicable sales charges.

2

The S&P Target Date Index Series is a component of the S&P Target Allocation Index Family, and is related to the S&P Target Risk Index Series. Both series are broadly representative of the investment opportunity available to investors in target date and target risk funds, respectively. The index series reflects the market consensus for asset allocations for different target date horizons. In particular, each index is representative of the investment opportunity available to investors for the corresponding target date horizon, with asset class exposures driven by a survey of available target date funds for that horizon.

STANDARDIZED TOTAL RETURNS³

For the period ended 12/31/17	One Year		Since Inception		Inception Date
Class A	9.62	%	7.77	%	8/22/16
Institutional	16.38		12.75		8/22/16
Service	15.76		12.16		8/22/16
Investor	16.15		12.54		8/22/16
Class R	15.64		12.04		8/22/16
Class R6	16.31		12.70		8/22/16

3

The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares. Because Institutional, Service, Investor, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.

The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Returns less than 12 months are cumulative, not annualized.

21

FUND BASICS

EXPENSE RATIOS⁴

	Net Expense Ratio (Current)		Gross Expense Ratio (Before Waivers)
Class A	0.88	%	3.23	%
Institutional	0.49		2.84
Service	0.99		3.34
Investor	0.63		2.98
Class R	1.13		3.48
Class R6	0.48		2.83

⁴ The expense ratios of the Portfolio, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Portfolio and will differ from the expense ratios disclosed in the Financial Highlights in this report due to the inclusion of Underlying Fund fees and expenses, which are not included in the operating expenses of the Portfolio reflected in the Financial Highlights. Pursuant to a contractual arrangement, the Portfolio’s waivers and/or expense limitations will remain in place through at least December 29, 2018, and prior to such date, the Investment Adviser may not terminate the arrangements without the approval of the Portfolio’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

TOP TEN HOLDINGS AS OF 2/28/18⁵

Holding	% of Net Assets		Line of Business
iShares Core S&P 500 ETF	23.0	%	Exchange Traded Funds
Vanguard FTSE All-World ex-U.S. ETF	9.0		Exchange Traded Funds
Vanguard Short-Term Corporate Bond ETF	8.1		Exchange Traded Funds
Vanguard FTSE Europe ETF	5.3		Exchange Traded Funds
Schwab U.S. TIPs ETF	5.1		Exchange Traded Funds
Schwab Intermediate-Term U.S. Treasury ETF	5.1		Exchange Traded Funds
iShares Edge MSCI Minimum Volatility	4.8		Exchange Traded Funds
Emerging Markets ETF iShares 7-10 Year Treasury Bond ETF	4.1		Exchange Traded Funds
iShares Core S&P Mid-Cap ETF	4.0		Exchange Traded Funds
iShares MSCI Japan ETF	3.3		Exchange Traded Funds

⁵ The top 10 holdings may not be representative of the Portfolio’s future investments. The top 10 holdings exclude investments in money market funds.

PORTFOLIO COMPOSITION⁶

Holding	As of February 28, 2018		As of August 31, 2017
Stock Funds	46.2	%	45.3	%
Bond Funds	27.9		25.5
Foreign Stock Funds	20.8		21.7
Alternative Funds	2.5		3.0
Investment Companies	1.2		3.5

⁶ The Portfolio is actively managed and, as such, its composition may differ over time. The percentage shown for each fund type reflects the value of that fund type as a percentage of the Portfolio’s net assets. Figures above may not sum to 100% due to rounding and/or exclusion of other assets and liabilities.

22

FUND BASICS

Target Date 2050 Portfolio
as of February 28, 2018

PERFORMANCE REVIEW

			S&P Target Date To
	Portfolio Total Return		2050 (Total Return,
September 1, 2017–February 28, 2018	(based on NAV)1		Unhedged, USD)2
Class A	5.97	%	7.42	%
Institutional	6.20		7.42
Service	5.85		7.42
Investor	6.09		7.42
Class R	5.80		7.42
Class R6	6.21		7.42

1	The net asset value (“NAV”) represents the net assets of the class of the Portfolio (ex-dividend) divided by the total number of shares of the class outstanding. The Portfolio’s performance assumes the reinvestment of dividends and other distributions. The Portfolio’s performance does not reflect the deduction of any applicable sales charges.
2	The S&P Target Date Index Series is a component of the S&P Target Allocation Index Family, and is related to the S&P Target Risk Index Series. Both series are broadly representative of the investment opportunity available to investors in target date and target risk funds, respectively. The index series reflects the market consensus for asset allocations for different target date horizons. In particular, each index is representative of the investment opportunity available to investors for the corresponding target date horizon, with asset class exposures driven by a survey of available target date funds for that horizon.
	The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects fee waivers and/or expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Returns less than 12 months are cumulative, not annualized.

23

FUND BASICS

STANDARDIZED TOTAL RETURNS³

For the period ended 12/31/17	One Year		Five Years		Since Inception		Inception Date
Class A	10.48	%	N/A		8.75	%	8/22/16
Institutional	17.43		N/A		13.81		8/22/16
Service	16.82		N/A		13.23		8/22/16
Investor	17.31		N/A		13.68		8/22/16
Class R	16.66		N/A		13.08		8/22/16
Class R6	17.44		11.11	%	9.42		1/3/11

3	The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares. Because Institutional, Service, Investor, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.
	Effective August 22, 2016, the Madison Target Retirement 2050 Fund (the “Predecessor Fund”) was reorganized into the Portfolio. The Portfolio has assumed the Predecessor Fund’s historical performance. The returns for the Predecessor Fund for periods prior to August 29, 2014 reflect the performance of the Madison Target Retirement 2050 Fund’s Class I Shares, a series of Ultra Series Fund (the “Ultra Predecessor Fund”). As of August 29, 2014, the inception date of the Predecessor Fund, the Ultra Predecessor Fund exchanged in kind substantially all of its portfolio holdings for Class R6 shares of the Predecessor Fund. As a result, the Predecessor Fund assumed the performance of the Ultra Predecessor Fund. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. Past performance does not guarantee future results, which may vary. The value of investments and the income derived from investments will fluctuate and can go down as well as up. A loss of principal may occur.
	The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Returns less than 12 months are cumulative, not annualized.

EXPENSE RATIOS⁴

	Net Expense Ratio (Current)		Gross Expense Ratio (Before Waivers)
Class A	0.87	%	2.16	%
Institutional	0.48		1.77
Service	0.98		2.27
Investor	0.62		1.91
Class R	1.12		2.41
Class R6	0.47		1.76

⁴ The expense ratios of the Portfolio, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Portfolio and will differ from the expense ratios disclosed in the Financial Highlights in this report due to the inclusion of Underlying Fund fees and expenses, which are not included in the operating expenses of the Portfolio reflected in the Financial Highlights. Pursuant to a contractual arrangement, the Portfolio’s waivers and/or expense limitations will remain in place through at least December 29, 2018, and prior to such date, the Investment Adviser may not terminate the arrangements without the approval of the Portfolio’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

24

FUND BASICS

TOP TEN HOLDINGS AS OF 2/28/18⁵

Holding	% of Net Assets		Line of Business
iShares Core S&P 500 ETF	24.0	%	Exchange Traded Funds
Vanguard FTSE All-World ex-U.S. ETF	9.6		Exchange Traded Funds
Vanguard Short-Term Corporate Bond ETF	6.1		Exchange Traded Funds
Vanguard FTSE Europe ETF	6.0		Exchange Traded Funds
iShares Edge MSCI Minimum Volatility	4.8		Exchange Traded Funds
Emerging Markets ETF iShares Core S&P Mid-Cap ETF	4.5		Exchange Traded Funds
Schwab U.S. TIPs ETF	4.1		Exchange Traded Funds
Schwab Intermediate-Term U.S. Treasury ETF	4.1		Exchange Traded Funds
iShares MSCI Japan ETF	3.5		Exchange Traded Funds
Vanguard Growth ETF	3.5		Exchange Traded Funds

⁵ The top 10 holdings may not be representative of the Portfolio’s future investments. The top 10 holdings exclude investments in money market funds.

PORTFOLIO COMPOSITION⁶

Holding	As of February 28, 2018		As of August 31, 2017
Stock Funds	49.5	%	48.4	%
Bond Funds	22.8		20.5
Foreign Stock Funds	22.6		23.8
Alternative Funds	2.5		3.0
Investment Companies	1.1		3.5

⁶ The Portfolio is actively managed and, as such, its composition may differ over time. The percentage shown for each fund type reflects the value of that fund type as a percentage of the Portfolio’s net assets. Figures above may not sum to 100% due to rounding and/or exclusion of other assets and liabilities.

25

FUND BASICS

Target Date 2055 Portfolio
as of February 28, 2018

PERFORMANCE REVIEW

			S&P Target Date To
	Portfolio Total Return		2055 (Total Return,
September 1, 2017–February 28, 2018	(based on NAV)1		Unhedged, USD)2
Class A	6.55	%	7.68	%
Institutional	6.73		7.68
Service	6.55		7.68
Investor	6.72		7.68
Class R	6.46		7.68
Class R6	6.76		7.68

1

The net asset value (“NAV”) represents the net assets of the class of the Portfolio (ex-dividend) divided by the total number of shares of the class outstanding. The Portfolio’s performance assumes the reinvestment of dividends and other distributions. The Portfolio’s performance does not reflect the deduction of any applicable sales charges.

2

The S&P Target Date Index Series is a component of the S&P Target Allocation Index Family, and is related to the S&P Target Risk Index Series. Both series are broadly representative of the investment opportunity available to investors in target date and target risk funds, respectively. The index series reflects the market consensus for asset allocations for different target date horizons. In particular, each index is representative of the investment opportunity available to investors for the corresponding target date horizon, with asset class exposures driven by a survey of available target date funds for that horizon.

STANDARDIZED TOTAL RETURNS³

For the period ended 12/31/17	One Year		Since Inception		Inception Date
Class A	11.34	%	9.60	%	8/22/16
Institutional	18.37		14.69		8/22/16
Service	17.75		14.10		8/22/16
Investor	18.25		14.56		8/22/16
Class R	17.64		13.98		8/22/16
Class R6	18.30		14.64		8/22/16

3

The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares. Because Institutional, Service, Investor, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.

The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Returns less than 12 months are cumulative, not annualized.

26

FUND BASICS

EXPENSE RATIOS⁴

	Net Expense Ratio (Current)		Gross Expense Ratio (Before Waivers)
Class A	0.86	%	3.44	%
Institutional	0.47		3.05
Service	0.97		3.55
Investor	0.61		3.19
Class R	1.11		3.69
Class R6	0.46		3.04

⁴ The expense ratios of the Portfolio, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Portfolio and will differ from the expense ratios disclosed in the Financial Highlights in this report due to the inclusion of Underlying Fund fees and expenses, which are not included in the operating expenses of the Portfolio reflected in the Financial Highlights. Pursuant to a contractual arrangement, the Portfolio’s waivers and/or expense limitations will remain in place through at least December 29, 2018, and prior to such date, the Investment Adviser may not terminate the arrangements without the approval of the Portfolio’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

TOP TEN HOLDINGS AS OF 2/28/18⁵

Holding	% of Net Assets		Line of Business
iShares Core S&P 500 ETF	25.0	%	Exchange Traded Funds
Vanguard FTSE All-World ex-U.S. ETF	10.1		Exchange Traded Funds
Vanguard FTSE Europe ETF	7.0		Exchange Traded Funds
iShares Core S&P Mid-Cap ETF	5.0		Exchange Traded Funds
iShares Edge MSCI Minimum Volatility	4.5		Exchange Traded Funds
Emerging Markets ETF Vanguard Short-Term Corporate Bond ETF	4.1		Exchange Traded Funds
iShares MSCI Japan ETF	4.0		Exchange Traded Funds
Vanguard Growth ETF	4.0		Exchange Traded Funds
Schwab U.S. Dividend Equity ETF	4.0		Exchange Traded Funds
Schwab U.S. TIPs ETF	3.0		Exchange Traded Funds

⁵ The top 10 holdings may not be representative of the Portfolio’s future investments. The top 10 holdings exclude investments in money market funds.

PORTFOLIO COMPOSITION⁶

Holding	As of February 28, 2018		As of August 31, 2017
Stock Funds	53.0	%	51.5	%
Foreign Stock Funds	24.1		25.5
Bond Funds	17.8		15.5
Alternative Funds	2.5		3.0
Investment Companies	1.2		3.5

⁶ The Portfolio is actively managed and, as such, its composition may differ over time. The percentage shown for each fund type reflects the value of that fund type as a percentage of the Portfolio’s net assets. Figures above may not sum to 100% due to rounding and/or exclusion of other assets and liabilities.

27

GOLDMAN SACHS TARGET DATE 2020 PORTFOLIO

Schedule of Investments

February 28, 2018 (Unaudited)

Value Description Shares

Exchange Traded Funds – 97.3%
Alternative Funds – 1.0%
27,193	PowerShares Optimum Yield Diversified Commodity Strategy No. K-1 Portfolio	$	473,158
Bond Funds – 71.5%
10,064	iShares 20+ Year Treasury Bond ETF		1,195,100
93,489	iShares 7-10 Year Treasury Bond ETF		9,551,771
56,129	iShares Floating Rate Bond ETF		2,863,140
82,203	Schwab Intermediate-Term U.S. Treasury ETF		4,295,107
131,612	Schwab U.S. TIPS ETF		7,163,641
109,459	Vanguard Short-Term Corporate Bond ETF		8,588,153
27,306	Virtus Seix Floating Rate High Income Fund		238,383
			33,895,295
Foreign Stock Funds – 7.5%
19,308	iShares Edge MSCI Minimum Volatility Emerging Markets ETF		1,181,843
1,991	Vanguard FTSE All World ex-US Small-Cap ETF		236,929
17,272	Vanguard FTSE All-World ex-U.S. ETF		945,987
16,153	Vanguard FTSE Europe ETF		947,212
4,134	WisdomTree Japan Hedged Equity Fund		236,175
			3,548,146
Stock Funds – 17.3%
3,521	Energy Select Sector SPDR ETF		234,992
8,605	iShares Core S&P 500 ETF		2,352,091
3,780	iShares Core S&P Mid-Cap ETF		704,819
7,745	iShares MSCI Japan ETF		472,987
15,319	PowerShares S&P 500 Quality Portfolio		470,446
18,627	Schwab U.S. Dividend Equity ETF		940,477
13,008	Vanguard Financials ETF		936,966
6,434	Vanguard Growth ETF		938,463
1,650	Vanguard Industrials ETF		234,927
2,655	Vanguard Information Technology ETF		470,838
1,747	Vanguard Materials ETF		234,378
2,712	Vanguard Telecommunication Services ETF		235,727
			8,227,111
TOTAL EXCHANGE TRADED FUNDS
(Cost $44,635,426)		$	46,143,710

Distribution

Rate

Investment Company(a) – 1.1%
Goldman Sachs Financial Square Government Fund – Institutional Shares
508,521	1.262	%	$	508,521
(Cost $508,521)
TOTAL INVESTMENTS – 98.4%
(Cost $45,143,947)			$	46,652,231
OTHER ASSETS IN EXCESS OF LIABILITIES – 1.6%				756,574
NET ASSETS – 100.0%			$	47,408,805

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 fund.

Investment Abbreviations:

ETF —Exchange Traded Fund

TIPS—Treasury Inflation Protected Securities

28 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS TARGET DATE 2025 PORTFOLIO

Schedule of Investments

February 28, 2018 (Unaudited)

Shares Description Value

Exchange Traded Funds – 97.4%
Alternative Funds – 1.5%
10,068	PowerShares Optimum Yield Diversified Commodity Strategy No. K-1 Portfolio	$	175,183
Bond Funds – 54.5%
2,478	iShares 20+ Year Treasury Bond ETF		294,262
15,540	iShares 7-10 Year Treasury Bond ETF		1,587,722
6,911	iShares Floating Rate Bond ETF		352,530
17,994	Schwab Intermediate-Term U.S. Treasury ETF		940,186
23,767	Schwab U.S. TIPS ETF		1,293,638
23,960	Vanguard Short-Term Corporate Bond ETF		1,879,902
			6,348,240
Foreign Stock Funds – 12.5%
6,657	iShares Edge MSCI Minimum Volatility Emerging Markets ETF		407,475
489	Vanguard FTSE All World ex-US Small-Cap ETF		58,191
10,633	Vanguard FTSE All-World ex-U.S. ETF		582,370
5,967	Vanguard FTSE Europe ETF		349,905
1,009	WisdomTree Japan Hedged Equity Fund		57,644
			1,455,585
Stock Funds – 28.9%
1,302	Energy Select Sector SPDR Fund		86,895
6,357	iShares Core S&P 500 ETF		1,737,622
1,241	iShares Core S&P Mid-Cap ETF		231,397
2,858	iShares MSCI Japan ETF		174,538
3,765	PowerShares S&P 500 Quality Portfolio		115,623
4,587	Schwab U.S. Dividend Equity ETF		231,598
3,204	Vanguard Financials ETF		230,784
1,587	Vanguard Growth ETF		231,480
406	Vanguard Industrials ETF		57,806
655	Vanguard Information Technology ETF		116,158
649	Vanguard Materials ETF		87,070
663	Vanguard Telecommunication Services ETF		57,628
			3,358,599
TOTAL EXCHANGE TRADED FUNDS
(Cost $10,776,253)		$	11,337,607

Distribution

Rate

Investment Company(a) – 1.2%
Goldman Sachs Financial Square Government Fund – Institutional Shares
139,695	1.262	%	$	139,695
(Cost $139,695)
TOTAL INVESTMENTS – 98.6%
(Cost $10,915,948)			$	11,477,302
OTHER ASSETS IN EXCESS OF LIABILITIES – 1.4%				159,275
NET ASSETS – 100.0%			$	11,636,577

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 fund.

Investment Abbreviations:

ETF —Exchange Traded Fund

TIPS—Treasury Inflation Protected Securities

The accompanying notes are an integral part of these financial statements. 29

GOLDMAN SACHS TARGET DATE 2030 PORTFOLIO

Schedule of Investments

February 28, 2018 (Unaudited)

Shares Description Value

Exchange Traded Funds – 97.2%
Alternative Funds – 2.0%
90,636	PowerShares Optimum Yield Diversified Commodity Strategy No. K-1 Portfolio	$	1,577,066
Bond Funds – 42.4%
16,808	iShares 20+ Year Treasury Bond ETF		1,995,950
54,682	iShares 7-10 Year Treasury Bond ETF		5,586,860
46,873	iShares Floating Rate Bond ETF		2,390,992
114,413	Schwab Intermediate-Term U.S. Treasury ETF		5,978,079
117,236	Schwab U.S. TIPS ETF		6,381,156
142,192	Vanguard Short-Term Corporate Bond ETF		11,156,384
			33,489,421
Foreign Stock Funds – 16.0%
51,598	iShares Edge MSCI Minimum Volatility Emerging Markets ETF		3,158,313
3,322	Vanguard FTSE All World ex-US Small-Cap ETF		395,318
108,179	Vanguard FTSE All-World ex- U.S. ETF		5,924,964
47,213	Vanguard FTSE Europe ETF		2,768,570
6,851	WisdomTree Japan Hedged Equity Fund		391,398
			12,638,563
Stock Funds – 36.8%
11,761	Energy Select Sector SPDR Fund		784,929
57,489	iShares Core S&P 500 ETF		15,714,043
10,523	iShares Core S&P Mid-Cap ETF		1,962,119
25,870	iShares MSCI Japan ETF		1,579,881
38,379	PowerShares S&P 500 Quality Portfolio		1,178,619
35,000	Schwab U.S. Dividend Equity ETF		1,767,150
24,442	Vanguard Financials ETF		1,760,557
12,124	Vanguard Growth ETF		1,768,407
2,756	Vanguard Industrials ETF		392,399
5,558	Vanguard Information Technology ETF		985,655
5,822	Vanguard Materials ETF		781,080
4,529	Vanguard Telecommunication Services ETF		393,661
			29,068,500
TOTAL EXCHANGE TRADED FUNDS
(Cost $69,768,064)		$	76,773,550

Distribution

Rate

Investment Company(a) – 1.0%
Goldman Sachs Financial Square Government Fund – Institutional Shares
805,000	1.262	%	$	805,000
(Cost $805,000)
TOTAL INVESTMENTS – 98.2%
(Cost $70,573,064)			$	77,578,550
OTHER ASSETS IN EXCESS OF LIABILITIES – 1.8%				1,415,549
NET ASSETS – 100.0%			$	78,994,099

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 fund.

Investment Abbreviations:

ETF —Exchange Traded Fund

TIPS—Treasury Inflation Protected Securities

30 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS TARGET DATE 2035 PORTFOLIO

Schedule of Investments

February 28, 2018 (Unaudited)

Shares Description Value

Exchange Traded Funds – 97.4%
Alternative Funds – 2.5%
17,898	PowerShares Optimum Yield Diversified Commodity Strategy No. K-1 Portfolio	$	311,425
Bond Funds – 37.9%
2,654	iShares 20+ Year Treasury Bond ETF		315,162
7,398	iShares 7-10 Year Treasury Bond ETF		755,854
7,402	iShares Floating Rate Bond ETF		377,576
16,864	Schwab Intermediate-Term U.S. Treasury ETF		881,144
16,200	Schwab U.S. TIPS ETF		881,766
19,248	Vanguard Short-Term Corporate Bond ETF		1,510,198
			4,721,700
Foreign Stock Funds – 20.1%
9,167	iShares Edge MSCI Minimum Volatility Emerging Markets ETF		561,112
5,104	iShares MSCI Japan ETF		311,701
524	Vanguard FTSE All World ex-US Small-Cap ETF		62,356
18,223	Vanguard FTSE All-World ex-U.S. ETF		998,074
8,521	Vanguard FTSE Europe ETF		499,671
1,082	WisdomTree Japan Hedged Equity Fund		61,815
			2,494,729
Stock Funds – 36.9%
1,857	Energy Select Sector SPDR Fund		123,936
9,533	iShares Core S&P 500 ETF		2,605,750
1,994	iShares Core S&P Mid-Cap ETF		371,801
6,063	PowerShares S&P 500 Quality Portfolio		186,195
6,142	Schwab U.S. Dividend Equity ETF		310,110
3,864	Vanguard Financials ETF		278,324
2,128	Vanguard Growth ETF		310,390
435	Vanguard Industrials ETF		61,935
878	Vanguard Information Technology ETF		155,705
924	Vanguard Materials ETF		123,964
713	Vanguard Telecommunication Services ETF		61,974
			4,590,084
TOTAL EXCHANGE TRADED FUNDS
(Cost $11,148,558)		$	12,117,938

Distribution

Rate

Investment Company(a) – 1.2%
Goldman Sachs Financial Square Government Fund – Institutional Shares
150,485	1.262	%	$	150,485
(Cost $150,485)
TOTAL INVESTMENTS – 98.6%
(Cost $11,299,043)			$	12,268,423
OTHER ASSETS IN EXCESS OF LIABILITIES – 1.4%				174,518
NET ASSETS – 100.0%			$	12,442,941

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 fund.

Investment Abbreviations:

ETF —Exchange Traded Fund

TIPS—Treasury Inflation Protected Securities

The accompanying notes are an integral part of these financial statements. 31

GOLDMAN SACHS TARGET DATE 2040 PORTFOLIO

Schedule of Investments

February 28, 2018 (Unaudited)

Shares Description Value

Exchange Traded Funds – 97.3%
Alternative Funds – 2.5%
73,004	PowerShares Optimum Yield Diversified Commodity Strategy No. K-1 Portfolio	$	1,270,269
Bond Funds – 32.9%
10,807	iShares 20+ Year Treasury Bond ETF		1,283,331
25,099	iShares 7-10 Year Treasury Bond ETF		2,564,365
30,137	iShares Floating Rate Bond ETF		1,537,288
58,850	Schwab Intermediate-Term U.S. Treasury ETF		3,074,913
56,533	Schwab U.S. TIPS ETF		3,077,091
65,302	Vanguard Short-Term Corporate Bond ETF		5,123,595
			16,660,583
Foreign Stock Funds – 19.0%
41,469	iShares Edge MSCI Minimum Volatility Emerging Markets ETF		2,538,317
2,133	Vanguard FTSE All World ex-US Small-Cap ETF		253,827
78,828	Vanguard FTSE All-World ex-U.S. ETF		4,317,409
39,029	Vanguard FTSE Europe ETF		2,288,661
4,413	WisdomTree Japan Hedged Equity Fund		252,115
			9,650,329
Stock Funds – 42.9%
9,452	Energy Select Sector SPDR Fund		630,826
40,659	iShares Core S&P 500 ETF		11,113,731
9,473	iShares Core S&P Mid-Cap ETF		1,766,336
24,950	iShares MSCI Japan ETF		1,523,697
24,718	PowerShares S&P 500 Quality Portfolio		759,090
27,465	Schwab U.S. Dividend Equity ETF		1,386,708
17,489	Vanguard Financials ETF		1,259,733
9,521	Vanguard Growth ETF		1,388,733
1,772	Vanguard Industrials ETF		252,297
4,268	Vanguard Information Technology ETF		756,887
4,702	Vanguard Materials ETF		630,820
2,912	Vanguard Telecommunication Services ETF		253,111
			21,721,969
TOTAL EXCHANGE TRADED FUNDS
(Cost $43,853,376)		$	49,303,150

Distribution

Rate

Investment Company(a) – 1.1%
Goldman Sachs Financial Square Government Fund – Institutional Shares
532,728	1.262	%	$	532,728
(Cost $532,728)
TOTAL INVESTMENTS – 98.4%
(Cost $44,386,104)			$	49,835,878
OTHER ASSETS IN EXCESS OF LIABILITIES – 1.6%				835,764
NET ASSETS – 100.0%			$	50,671,642

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 fund.

Investment Abbreviations:

ETF —Exchange Traded Fund

TIPS—Treasury Inflation Protected Securities

32 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS TARGET DATE 2045 PORTFOLIO

Schedule of Investments

February 28, 2018 (Unaudited)

Shares Description Value

Exchange Traded Funds – 97.4%
Alternative Funds – 2.5%
18,051	PowerShares Optimum Yield Diversified Commodity Strategy No. K-1 Portfolio	$	314,087
Bond Funds – 27.9%
2,670	iShares 20+ Year Treasury Bond ETF		317,063
4,961	iShares 7-10 Year Treasury Bond ETF		506,865
7,446	iShares Floating Rate Bond ETF		379,820
12,116	Schwab Intermediate-Term U.S. Treasury ETF		633,061
11,639	Schwab U.S. TIPS ETF		633,511
12,907	Vanguard Short-Term Corporate Bond ETF		1,012,683
			3,483,003
Foreign Stock Funds – 20.8%
9,733	iShares Edge MSCI Minimum Volatility Emerging Markets ETF		595,757
792	Vanguard FTSE All World ex-US Small-Cap ETF		94,248
20,620	Vanguard FTSE All-World ex-U.S. ETF		1,129,358
1,315	Vanguard FTSE Emerging Markets ETF		62,029
11,249	Vanguard FTSE Europe ETF		659,641
1,103	WisdomTree Japan Hedged Equity Fund		63,014
			2,604,047
Stock Funds – 46.2%
2,335	Energy Select Sector SPDR Fund		155,838
10,502	iShares Core S&P 500 ETF		2,870,617
2,676	iShares Core S&P Mid-Cap ETF		498,967
6,678	iShares MSCI Japan ETF		407,825
6,094	PowerShares S&P 500 Quality Portfolio		187,147
7,405	Schwab U.S. Dividend Equity ETF		373,878
4,755	Vanguard Financials ETF		342,503
2,566	Vanguard Growth ETF		374,277
651	Vanguard Industrials ETF		92,689
1,230	Vanguard Information Technology ETF		218,128
1,162	Vanguard Materials ETF		155,894
1,079	Vanguard Telecommunication Services ETF		93,787
			5,771,550
TOTAL EXCHANGE TRADED FUNDS
(Cost $11,018,762)		$	12,172,687

Distribution

Rate

Investment Companies(a) – 1.2%
Goldman Sachs Financial Square Government Fund – Institutional Shares
155,607	1.262	%	$	155,607
(Cost $155,607)
TOTAL INVESTMENTS – 98.6%
(Cost $11,174,369)			$	12,328,294
OTHER ASSETS IN EXCESS OF LIABILITIES – 1.4%				170,220
NET ASSETS – 100.0%			$	12,498,514

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 fund.

Investment Abbreviations:

ETF —Exchange Traded Fund

TIPS—Treasury Inflation Protected Securities

The accompanying notes are an integral part of these financial statements. 33

GOLDMAN SACHS TARGET DATE 2050 PORTFOLIO

Schedule of Investments

February 28, 2018 (Unaudited)

Shares Description Value

Exchange Traded Funds – 97.4%
Alternative Funds – 2.5%
44,373	PowerShares Optimum Yield Diversified Commodity Strategy No. K-1 Portfolio	$	772,090
Bond Funds – 22.8%
6,579	iShares 20+ Year Treasury Bond ETF		781,256
9,167	iShares 7-10 Year Treasury Bond ETF		936,592
18,346	iShares Floating Rate Bond ETF		935,830
23,884	Schwab Intermediate-Term U.S. Treasury ETF		1,247,939
22,944	Schwab U.S. TIPS ETF		1,248,842
23,852	Vanguard Short-Term Corporate Bond ETF		1,871,428
			7,021,887
Foreign Stock Funds – 22.6%
23,983	iShares Edge MSCI Minimum Volatility Emerging Markets ETF		1,467,999
2,601	Vanguard FTSE All World ex-US Small-Cap ETF		309,519
53,633	Vanguard FTSE All-World ex-U.S. ETF		2,937,479
4,895	Vanguard FTSE Emerging Markets ETF		230,897
31,679	Vanguard FTSE Europe ETF		1,857,657
2,704	WisdomTree Japan Hedged Equity Fund		154,480
			6,958,031
Stock Funds – 49.5%
5,754	Energy Select Sector SPDR Fund		384,022
27,002	iShares Core S&P 500 ETF		7,380,727
7,420	iShares Core S&P Mid-Cap ETF		1,383,533
17,720	iShares MSCI Japan ETF		1,082,160
15,026	PowerShares S&P 500 Quality Portfolio		461,448
21,295	Schwab U.S. Dividend Equity ETF		1,075,185
12,756	Vanguard Financials ETF		918,815
7,376	Vanguard Growth ETF		1,075,863
1,618	Vanguard Industrials ETF		230,371
3,464	Vanguard Information Technology ETF		614,306
2,863	Vanguard Materials ETF		384,100
2,659	Vanguard Telecommunication Services ETF		231,120
			15,221,650
TOTAL EXCHANGE TRADED FUNDS
(Cost $26,217,928)		$	29,973,658

Distribution

Rate

Investment Companies(a) – 1.1%
Goldman Sachs Financial Square Government Fund – Institutional Shares
329,162	1.262	%	$	329,162
(Cost $329,162)
TOTAL INVESTMENTS – 98.5%
(Cost $26,547,090)			$	30,302,820
OTHER ASSETS IN EXCESS OF LIABILITIES – 1.5%				446,723
NET ASSETS – 100.0%			$	30,749,543

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 fund.

Investment Abbreviations:

ETF —Exchange Traded Fund

TIPS—Treasury Inflation Protected Securities

34 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS TARGET DATE 2055 PORTFOLIO

Schedule of Investments

February 28, 2018 (Unaudited)

Shares Description Value

Exchange Traded Funds – 97.4%
Alternative Funds – 2.5%
18,163	PowerShares Optimum Yield Diversified Commodity Strategy No. K-1 Portfolio	$	316,036
Bond Funds – 17.8%
2,692	iShares 20+ Year Treasury Bond ETF		319,675
2,501	iShares 7-10 Year Treasury Bond ETF		255,527
7,507	iShares Floating Rate Bond ETF		382,932
7,330	Schwab Intermediate-Term U.S. Treasury ETF		382,993
7,041	Schwab U.S. TIPS ETF		383,242
6,507	Vanguard Short-Term Corporate Bond ETF		510,539
			2,234,908
Foreign Stock Funds – 24.1%
9,297	iShares Edge MSCI Minimum Volatility Emerging Markets ETF		569,069
1,061	Vanguard FTSE All World ex-US Small-Cap ETF		126,259
23,102	Vanguard FTSE All-World ex-U.S. ETF		1,265,297
2,671	Vanguard FTSE Emerging Markets ETF		125,991
15,124	Vanguard FTSE Europe ETF		886,871
1,114	WisdomTree Japan Hedged Equity Fund		63,643
			3,037,130
Stock Funds – 53.0%
2,355	Energy Select Sector SPDR Fund		157,173
11,510	iShares Core S&P 500 ETF		3,146,144
3,374	iShares Core S&P Mid-Cap ETF		629,116
8,287	iShares MSCI Japan ETF		506,087
6,147	PowerShares S&P 500 Quality Portfolio		188,774
9,962	Schwab U.S. Dividend Equity ETF		502,981
5,233	Vanguard Financials ETF		376,933
3,450	Vanguard Growth ETF		503,217
876	Vanguard Industrials ETF		124,725
1,418	Vanguard Information Technology ETF		251,468
1,171	Vanguard Materials ETF		157,101
1,451	Vanguard Telecommunication Services ETF		126,121
			6,669,840
TOTAL EXCHANGE TRADED FUNDS
(Cost $10,856,464)		$	12,257,914

Distribution

Rate

Investment Company(a) – 1.2%
Goldman Sachs Financial Square Government Fund – Institutional Shares
149,465	1.262	%	$	149,465
(Cost $149,465)
TOTAL INVESTMENTS – 98.6%
(Cost $11,005,929)			$	12,407,379
OTHER ASSETS IN EXCESS OF LIABILITIES – 1.4%				181,107
NET ASSETS – 100.0%			$	12,588,486

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 fund.

Investment Abbreviations:

ETF —Exchange Traded Fund

TIPS—Treasury Inflation Protected Securities

The accompanying notes are an integral part of these financial statements. 35

GOLDMAN SACHS TARGET DATE PORTFOLIOS

Statements of Assets and Liabilities

February 28, 2018 (Unaudited)

	Target Date 2020
	Portfolio
Assets:
Investments of unaffiliated issuers, at value (Cost $44,635,426, $10,776,253, $69,768,064, $11,148,558, $43,853,376,
$11,018,762, $26,217,928 and $10,856,464)	$	46,143,710
Investments of affiliated issuers, at value (Cost $508,521, $139,695, $805,000, $150,485, $532,728, $155,607, $329,162 and $149,465)		508,521
Cash		950,008
Receivables:
Investments sold		382,564
Reimbursement from investment adviser		17,740
Dividends		1,587
Portfolio shares sold		1,121
Other assets		2,752
Total assets		48,008,003
Liabilities:
Payables:
Investments purchased		407,091
Management fees		9,140
Distribution and Service fees and Transfer Agency fees		1,218
Offering expense		–
Accrued expenses		181,749
Total liabilities		599,198
NET ASSETS:
Paid-in capital		45,477,919
Undistributed (distributions in excess of) net investment income		(6,485	)
Accumulated net realized gain		429,087
Net unrealized gain		1,508,284
NET ASSETS	$	47,408,805

Net Assets:
Class A	$	16,963
Institutional		10,617
Service		10,535
Investor(b)		870,790
Class R		10,513
Class R6		46,489,387
Total Net Assets	$	47,408,805
Shares Outstanding $0.001 par value (unlimited number of shares authorized):
Class A		1,843
Institutional		1,151
Service		1,144
Investor(b)		94,552
Class R		1,142
Class R6		5,039,709
Net asset value, offering and redemption price per share:(a)
Class A	$	9.21
Institutional		9.22
Service		9.21
Investor(b)		9.21
Class R		9.21
Class R6		9.22

(a)	Maximum public offering price per share for Class A Shares of the Target Date 2020, Target Date 2025, Target Date 2030, Target Date 2035, Target Date 2040, Target Date 2045, Target Date 2050, and Target Date 2055 Portfolios is $9.75, $11.28, $9.94, $11.63, $9.72, $11.87, $10.93 and $12.12, respectively.
(b)	Effective October 10, 2017, Class IR Shares changed its name to Investor Shares.

36 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS TARGET DATE PORTFOLIOS

Target Date 2025 Portfolio		Target Date 2030 Portfolio			Target Date 2035 Portfolio			Target Date 2040 Portfolio			Target Date 2045 Portfolio			Target Date 2050 Portfolio			Target Date 2055 Portfolio
$	11,337,607	$	76,773,550		$	12,117,938		$	49,303,150		$	12,172,687		$	29,973,658		$	12,257,914
	139,695		805,000			150,485			532,728			155,607			329,162			149,465
	233,714		1,589,073			250,412			1,020,561			251,891			620,068			254,006
	91,414		779,040			114,171			494,465			170,765			420,712			198,372
	15,629		17,284			15,604			17,653			15,511			16,743			15,597
	113		3,815			111			434			105			392			355
	—		1,021			1,206			1,202			—			2,208			160
	859		4,598			920			3,052			925			2,002			935
	11,819,031		79,973,381			12,650,847			51,373,245			12,767,491			31,364,945			12,876,804
	111,672		779,167			137,044			509,474			198,565			433,176			219,139
	2,217		15,103			2,375			9,691			2,389			5,750			2,409
	440		2,104			488			1,264			490			842			476
	37,870		—			37,871			—			37,871			—			36,473
	30,255		182,908			30,128			181,174			29,662			175,634			29,821
	182,454		979,282			207,906			701,603			268,977			615,402			288,318
	10,989,357		71,634,990			11,429,705			44,574,516			11,238,989			26,782,857			11,081,292
	509		(8,104	)		(1,061	)		(9,279	)		(2,304	)		(20,562	)		(4,245	)
	85,357		361,727			44,917			656,631			107,904			231,518			109,989
	561,354		7,005,486			969,380			5,449,774			1,153,925			3,755,730			1,401,450
$	11,636,577	$	78,994,099		$	12,442,941		$	50,671,642		$	12,498,514		$	30,749,543		$	12,588,486

$	139,718	$	320,235	$	41,440	$	27,252	$	94,517	$	127,297	$	98,580
	10,995,845		11,320		11,402,068		11,619		11,698,255		11,927		12,004,790
	10,969		11,233		11,373		11,530		11,669		11,836		11,975
	367,967		1,450,934		791,622		584,003		534,896		840,756		359,342
	10,944		26,201		11,419		30,367		35,108		11,836		34,014
	111,134		77,174,176		185,019		50,006,871		124,069		29,745,891		79,785
$	11,636,577	$	78,994,099	$	12,442,941	$	50,671,642	$	12,498,514	$	30,749,543	$	12,588,486
	13,111		34,095		3,769		2,966		8,427		12,329		8,607
	1,033,072		1,202		1,036,269		1,261		1,040,529		1,151		1,045,472
	1,032		1,195		1,035		1,254		1,039		1,144		1,044
	34,612		154,372		72,092		63,495		47,635		81,279		31,334
	1,030		2,791		1,040		3,309		3,132		1,145		2,976
	10,441		8,196,836		16,815		5,424,060		11,040		2,871,155		6,950
$	10.66	$	9.39	$	10.99	$	9.19	$	11.22	$	10.33	$	11.45
	10.64		9.42		11.00		9.21		11.24		10.36		11.48
	10.63		9.40		10.99		9.20		11.23		10.34		11.47
	10.63		9.40		10.98		9.20		11.23		10.34		11.47
	10.63		9.39		10.99		9.18		11.21		10.34		11.43
	10.64		9.42		11.00		9.22		11.24		10.36		11.48

The accompanying notes are an integral part of these financial statements. 37

GOLDMAN SACHS TARGET DATE PORTFOLIOS

Statements of Operations

For the Six Months Ended February 28, 2018 (Unaudited)

	Target Date 2020
	Portfolio
Investment income:
Dividends — unaffiliated issuers	$	530,177
Dividends — affiliated issuers		2,096
Total investment income		532,273
Expenses:
Registration fees		65,727
Management fees		60,174
Professional fees		33,730
Custody, accounting and administrative services		29,166
Trustee fees		11,729
Printing and mailing costs		8,856
Transfer Agency fees(a)		7,360
Distribution and Service fees(a)		73
Other		7,077
Total expenses		223,892
Less — expense reductions		(150,847	)
Net expenses		73,045
NET INVESTMENT INCOME		459,228
Realized and unrealized gain (loss):
Net realized gain (loss) from investments		1,214,579
Net change in unrealized gain (loss) from investments		(1,126,043	)
Net realized and unrealized gain		88,536
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	547,764

(a) Class specific Distribution and Service and Transfer Agency fees were as follows:

	Distribution and Service Fees							Transfer Agency Fees
Portfolio	Class A		Service		Class R		Class A		Institutional		Service		Investor(b)		Class R		Class R6
Target Date 2020	$	21	$	26	$	26	$	15	$	2	$	2	$	723	$	9	$	6,609
Target Date 2025		70		27		27		51		2,173		2		289		10		11
Target Date 2030		305		28		62		223		2		2		1,206		22		10,614
Target Date 2035		42		28		28		31		2,241		2		601		11		13
Target Date 2040		23		28		67		16		2		2		452		24		6,963
Target Date 2045		112		29		80		82		2,292		2		395		29		10
Target Date 2050		104		29		29		76		2		2		688		11		3,883
Target Date 2055		117		29		70		85		2,343		2		273		25		8

(b) Effective October 10, 2017, Class IR Shares changed its name to Investor Shares.

38 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS TARGET DATE PORTFOLIOS

Target Date 2025 Portfolio			Target Date 2030 Portfolio			Target Date 2035 Portfolio			Target Date 2040 Portfolio			Target Date 2045 Portfolio			Target Date 2050 Portfolio			Target Date 2055 Portfolio
$	122,994		$	827,009		$	128,483		$	528,511		$	127,824		$	297,023		$	126,897
	394			4,201			632			2,815			627			1,980			603
	123,388			831,210			129,115			531,326			128,451			299,003			127,500
	37,032			65,730			37,033			65,727			37,035			65,727			37,119
	14,178			96,888			15,024			62,915			15,120			35,693			15,253
	33,112			33,730			33,112			33,730			33,112			33,730			33,112
	20,851			28,716			20,762			28,954			20,393			22,532			20,625
	11,044			12,208			11,051			11,734			11,052			11,321			11,053
	4,341			10,034			4,307			8,796			4,308			7,539			4,346
	2,536			12,069			2,899			7,459			2,810			4,662			2,736
	124			395			98			118			221			162			216
	3,130			8,704			3,133			6,699			3,137			4,786			3,142
	126,348			268,474			127,419			226,132			127,188			186,152			127,602
	(108,782	)		(150,505	)		(108,662	)		(150,058	)		(108,295	)		(142,510	)		(108,643	)
	17,566			117,969			18,757			76,074			18,893			43,642			18,959
	105,822			713,241			110,358			455,252			109,558			255,361			108,541
	222,457			1,691,859			170,214			1,571,277			226,925			632,572			245,633
	(8,433	)		546,400			238,479			442,472			312,206			770,765			436,821
	214,024			2,238,259			408,693			2,013,749			539,131			1,403,337			682,454
$	319,846		$	2,951,500		$	519,051		$	2,469,001		$	648,689		$	1,658,698		$	790,995

The accompanying notes are an integral part of these financial statements. 39

GOLDMAN SACHS TARGET DATE PORTFOLIOS

Statements of Changes in Net Assets

	Target Date 2020 Portfolio
	For the Six Months Ended February 28, 2018 (Unaudited)			For the Period November 1, 2016 – August 31, 2017*			For the Fiscal Year Ended October 31, 2016
From operations:
Net investment income	$	459,228		$	749,850		$	969,310
Net realized gain (loss)		1,214,579			2,911,207			2,304,750
Net change in unrealized gain (loss)		(1,126,043	)		(350,687	)		(1,317,333	)
Net increase (decrease) in net assets resulting from operations		547,764			3,310,370			1,956,727
Distributions to shareholders:
From net investment income
Class A Shares(a)		(282	)		(167	)		—
Institutional Shares(a)		(211	)		(182	)		—
Service Shares(a)		(159	)		(164	)		—
Investor Shares(a)(b)		(16,543	)		(177	)		—
Class R Shares(a)		(145	)		(159	)		—
Class R6 Shares		(936,697	)		(1,005,896	)		(899,589	)
From net realized gains
Class A Shares(a)		(1,090	)		(373	)		—
Institutional Shares(a)		(708	)		(373	)		—
Service Shares(a)		(707	)		(373	)		—
Investor Shares(a)(b)		(55,965	)		(373	)		—
Class R Shares(a)		(707	)		(373	)		—
Class R6 Shares		(3,132,674	)		(2,022,264	)		(1,764,331	)
Total distributions to shareholders		(4,145,888	)		(3,030,874	)		(2,663,920	)
From share transactions:
Proceeds from sales of shares		1,893,707			1,740,467			5,445,589
Reinvestment of distributions		4,145,888			3,030,874			2,663,920
Cost of shares redeemed		(2,992,527	)		(10,811,559			(7,300,343	)
Net increase (decrease) in net assets resulting from share transactions		3,047,068			(6,040,218	)		809,166
Total INCREASE (DECREASE)		(551,056	)		(5,760,722	)		101,973
Net assets:
Beginning of period		47,959,861			53,720,583			53,618,610
End of period	$	47,408,805		$	47,959,861		$	53,720,583
Undistributed (distributions in excess of) net investment income	$	(6,485	)	$	488,324		$	747,818

*	The Portfolios changed their fiscal year end from October 31 to August 31.
(a)	Commenced operations on August 22, 2016.
(b)	Effective October 10, 2017, Class IR Shares changed its name to Investor Shares.

40 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS TARGET DATE PORTFOLIOS

Target Date 2025 Portfolio									Target Date 2030 Portfolio
For the Six Months Ended February 28, 2018 (Unaudited)			For the Period November 1, 2016 – August 31, 2017*			For the Period Ended October 31, 2016(a)			For the Six Months Ended February 28, 2018 (Unaudited)			For the Period November 1, 2016 – August 31, 2017*			For the Fiscal Year Ended October 31, 2016
$	105,822		$	145,466		$	26,825		$	713,241		$	1,094,982		$	1,461,869
	222,457			59,137			(57,510	)		1,691,859			7,588,451			2,737,159
	(8,433	)		706,788			(137,001	)		546,400			(771,447	)		(1,710,529	)
	319,846			911,391			(167,686	)		2,951,500			7,911,986			2,488,499
	(375	)		(375	)		–			(3,123	)		(306	)		–
	(190,671	)		(79,700	)		–			(204	)		(198	)		–
	(139	)		(62	)		–			(150	)		(181	)		–
	(5,981	)		(75	)		–			(25,079	)		(193	)		–
	(123	)		(57	)		–			(332	)		(175	)		–
	(1,700	)		(80	)		–			(1,365,572	)		(1,529,883	)		(1,258,551	)
	(407	)		–			–			(21,854	)		(317	)		–
	(132,503	)		–			–			(1,138	)		(317	)		–
	(133	)		–			–			(1,136	)		(317	)		–
	(4,127	)		–			–			(140,985	)		(317	)		–
	(133	)		–			–			(2,546	)		(317	)		–
	(1,090	)		–			–			(7,582,810	)		(2,407,010	)		(2,672,152	)
	(337,382	)		(80,349	)		–			(9,144,929	)		(3,939,531	)		(3,930,703	)
	611,389			84,579			10,000,066			3,758,691			3,528,594			2,761,285
	337,382			80,349			–			9,144,928			3,939,531			3,930,703
	(122,867	)		(76	)		(65	)		(3,652,178	)		(9,777,634	)		(9,983,568	)
	825,904			164,852			10,000,001			9,251,441			(2,309,509	)		(3,291,580	)
	808,368			995,894			9,832,315			3,058,012			1,662,946			(4,733,784	)
	10,828,209			9,832,315			–			75,936,087			74,273,141			79,006,925
$	11,636,577		$	10,828,209		$	9,832,315		$	78,994,099		$	75,936,087		$	74,273,141
$	509		$	93,676		$	27,333		$	(8,104	)	$	673,115		$	1,109,790

The accompanying notes are an integral part of these financial statements. 41

GOLDMAN SACHS TARGET DATE PORTFOLIOS

Statements of Changes in Net Assets (continued)

	Target Date 2035 Portfolio
	For the Six Months Ended February 28, 2018 (Unaudited)			For the Period November 1, 2016 – August 31, 2017*			For the Period Ended October 31, 2016(a)
From operations:
Net investment income	$	110,358		$	147,635		$	27,283
Net realized gain (loss)		170,214			118,829			(56,337	)
Net change in unrealized gain (loss)		238,479			888,166			(157,265	)
Net increase (decrease) in net assets resulting from operations		519,051			1,154,630			(186,319	)
Distributions to shareholders:
From net investment income
Class A Shares(a)		(389	)		(71	)		–
Institutional Shares(a)		(188,851	)		(84,675	)		–
Service Shares(a)		(136	)		(67	)		–
Investor Shares(a)(b)		(11,788	)		(80	)		–
Class R Shares(a)		(120	)		(62	)		–
Class R6 Shares		(1,665	)		(85	)		–
From net realized gains
Class A Shares(a)		(461	)		–			–
Institutional Shares(a)		(174,407	)		–			–
Service Shares(a)		(175	)		–			–
Investor Shares(a)(b)		(10,932	)		–			–
Class R Shares(a)		(176	)		–			–
Class R6 Shares		(1,394	)		–			–
Total distributions to shareholders		(390,494	)		(85,040	)		–
From share transactions:
Proceeds from sales of shares		815,907			180,035			10,000,066
Reinvestment of distributions		390,494			85,040			–
Cost of shares redeemed		(40,274	)		(90	)		(65	)
Net increase (decrease) in net assets resulting from share transactions		1,166,127			264,985			10,000,001
TOTAL INCREASE (DECREASE)		1,294,684			1,334,575			9,813,682
Net assets:
Beginning of period		11,148,257			9,813,682			–
End of period	$	12,442,941		$	11,148,257		$	9,813,682
Undistributed (distributions in excess of) net investment income	$	(1,061	)	$	91,530		$	27,791

*	The Portfolios changed their fiscal year end from October 31 to August 31.
(a)	Commenced operations on August 22, 2016.
(b)	Effective October 10, 2017, Class IR Shares changed its name to Investor Shares.

42 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS TARGET DATE PORTFOLIOS

Target Date 2040 Portfolio									Target Date 2045 Portfolio
For the Six Months Ended February 28, 2018 (Unaudited)			For the Period November 1, 2016 – August 31, 2017*			For the Fiscal Year Ended October 31, 2016			For the Six Months Ended February 28, 2018 (Unaudited)			For the Period November 1, 2016 – August 31, 2017*			For the Period Ended October 31, 2016(a)
$	455,252		$	718,594		$	983,035		$	109,558		$	149,139		$	27,097
	1,571,277			5,848,943			2,200,742			226,925			175,421			(57,327	)
	442,472			(625,537	)		(1,495,190	)		312,206			1,006,023			(164,304	)
	2,469,001			5,942,000			1,688,587			648,689			1,330,583			(194,534	)
	(317	)		(256	)		–			(1,331	)		(73	)		–
	(208	)		(211	)		–			(191,700	)		(87,162	)		–
	(154	)		(193	)		–			(139	)		(70	)		–
	(9,199	)		(206	)		–			(7,286	)		(82	)		–
	(369	)		(188	)		–			(390	)		(65	)		–
	(890,648	)		(1,022,650	)		(839,070	)		(1,489	)		(88	)		–
	(2,341	)		(571	)		–			(1,765	)		–			–
	(1,349	)		(442	)		–			(224,124	)		–			–
	(1,347	)		(443	)		–			(225	)		–			–
	(60,128	)		(442	)		–			(8,463	)		–			–
	(3,188	)		(442	)		–			(635	)		–			–
	(5,740,865	)		(2,134,309	)		(2,209,026	)		(1,542	)		–			–
	(6,710,113	)		(3,160,353	)		(3,048,096	)		(439,089	)		(87,540	)		–
	1,874,002			2,044,481			1,187,738			647,418			251,712			10,000,066
	6,710,113			3,160,353			3,048,096			439,087			87,540			–
	(2,766,525	)		(6,283,037	)		(5,514,019	)		(109,860	)		(75,493	)		(65	)
	5,817,590			(1,078,203	)		(1,278,185	)		976,645			263,759			10,000,001
	1,576,478			1,703,444			(2,637,694	)		1,186,245			1,506,802			9,805,467
	49,095,164			47,391,720			50,029,414			11,312,269			9,805,467			–
$	50,671,642		$	49,095,164		$	47,391,720		$	12,498,514		$	11,312,269		$	9,805,467
$	(9,279	)	$	436,364		$	738,785		$	(2,304	)	$	90,473		$	27,605

The accompanying notes are an integral part of these financial statements. 43

GOLDMAN SACHS TARGET DATE PORTFOLIOS

Statements of Changes in Net Assets (continued)

	Target Date 2050 Portfolio
	For the Six Months Ended February 28, 2018 (Unaudited)			For the Period November 1, 2016 – August 31, 2017*			For the Fiscal Year Ended October 31, 2016
From operations:
Net investment income	$	255,361		$	350,541		$	446,501
Net realized gain (loss)		632,572			1,845,973			844,921
Net change in unrealized gain (loss)		770,765			1,087,414			(529,507	)
Net increase (decrease) in net assets resulting from operations		1,658,698			3,283,928			761,915
Distributions to shareholders:
From net investment income
Class A Shares(a)		(1,493	)		(196	)		–
Institutional Shares(a)		(200	)		(210	)		–
Service Shares(a)		(144	)		(192	)		–
Investor Shares(a)(b)		(13,606	)		(205	)		–
Class R Shares(a)		(127	)		(187	)		–
Class R6 Shares		(474,938	)		(470,084	)		(348,249	)
From net realized gains
Class A Shares(a)		(5,788	)		(404	)		–
Institutional Shares(a)		(713	)		(404	)		–
Service Shares(a)		(712	)		(404	)		–
Investor Shares(a)(b)		(48,815	)		(404	)		–
Class R Shares(a)		(714	)		(404	)		–
Class R6 Shares		(1,685,988	)		(892,169	)		(629,298	)
Total distributions to shareholders		(2,233,238	)		(1,365,263	)		(977,547	)
From share transactions:
Proceeds from sales of shares		3,189,749			3,007,855			1,728,932
Reinvestment of distributions		2,233,239			1,365,263			977,547
Cost of shares redeemed		(491,890	)		(1,604,503	)		(1,267,315	)
Net increase in net assets resulting from share transactions		4,931,098			2,768,615			1,439,164
TOTAL INCREASE		4,356,558			4,687,280			1,223,532
Net assets:
Beginning of period		26,392,985			21,705,705			20,482,173
End of period	$	30,749,543		$	26,392,985		$	21,705,705
Undistributed (distributions in excess of) net investment income	$	(20,562	)	$	214,585		$	333,260

*	The Portfolios changed their fiscal year end from October 31 to August 31.
(a)	Commenced operations on August 22, 2016.
(b)	Effective October 10, 2017, Class IR Shares changed its name to Investor Shares.

44 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS TARGET DATE PORTFOLIOS

Target Date 2055 Portfolio
	For the Six Months Ended February 28, 2018 (Unaudited)			For the Period November 1, 2016 – August 31, 2017*			For the Period Ended October 31, 2016(a)
		$    108,541			$    151,195			$     26,977
		245,633			224,897			(64,343	)
		436,821			1,129,809			(165,180	)
		790,995			1,505,901			(202,546	)
		(1,292	)		(98	)		—
		(193,278	)		(91,043	)		—
		(139	)		(74	)		—
		(5,284	)		(86	)		—
		(440	)		(69	)		—
		(1,022	)		(92	)		—
		(2,272	)		—			—
		(283,232	)		—			—
		(284	)		—			—
		(7,710	)		—			—
		(778	)		—			—
		(1,378	)		—			—
		(497,109	)		(91,462	)		—
		321,037			176,911			10,000,066
		497,109			91,462			—
		(3,760	)		(53	)		(65	)
		814,386			268,320			10,000,001
		1,108,272			1,682,759			9,797,455
		11,480,214			9,797,455			—
		$12,588,486			$11,480,214			$9,797,455
		$        (4,245	)		$       88,669			$     27,485

The accompanying notes are an integral part of these financial statements.    45

GOLDMAN SACHS TARGET DATE 2020 PORTFOLIO

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

				From Investment operations								Distributions to shareholders
		Net asset value, beginning of period		Net investment income(a)		Net realized and unrealized gain (loss)			Total from investment operations			From net investment income			From net realized gains
																		Total distributions
Year - Share Class
FOR THE SIX MONTHS ENDED FEBRUARY 28, (UNAUDITED)
2018 - A	$	9.93	$	0.07	$	0.04		$	0.11		$	(0.16	)	$	(0.67	)	$	(0.83	)
2018 - Institutional		9.96		0.09		0.03			0.12			(0.19	)		(0.67	)		(0.86	)
2018 - Service		9.93		0.07		0.02			0.09			(0.14	)		(0.67	)		(0.81	)
2018 - Investor(e)		9.95		0.08		0.03			0.11			(0.18	)		(0.67	)		(0.85	)
2018 - R		9.92		0.06		0.03			0.09			(0.13	)		(0.67	)		(0.80	)
2018 - R6		9.96		0.09		0.03			0.12			(0.19	)		(0.67	)		(0.86	)
FOR THE PERIOD NOVEMBER 1, 2016 – AUGUST 31,*
2017 - A		9.90		0.10		0.47			0.57			(0.16	)		(0.38	)		(0.54	)
2017 - Institutional		9.91		0.13		0.48			0.61			(0.18	)		(0.38	)		(0.56	)
2017 - Service		9.90		0.09		0.48			0.57			(0.16	)		(0.38	)		(0.54	)
2017 - Investor(e)		9.91		0.09		0.50			0.59			(0.17	)		(0.38	)		(0.55	)
2017 - R		9.90		0.08		0.47			0.55			(0.15	)		(0.38	)		(0.53	)
2017 - R6		9.91		0.14		0.47			0.61			(0.18	)		(0.38	)		(0.56	)
FOR THE FISCAL YEARS ENDED OCTOBER 31,
2016 - A (Commenced August 29, 2014)		10.05		0.02		(0.17	)		(0.15	)		—			—			—
2016 - Institutional (Commenced August 29, 2014)		10.05		0.03		(0.17	)		(0.14	)		—			—			—
2016 - Service (Commenced August 29, 2014)		10.05		0.02		(0.17	)		(0.15	)		—			—			—
2016 - Investor(e) (Commenced August 29, 2014)		10.05		0.02		(0.16	)		(0.14	)		—			—			—
2016 - R (Commenced August 29, 2014)		10.05		0.01		(0.16	)		(0.15	)		—			—			—
2016 - R6 (Commenced August 29, 2014)		10.07		0.18		0.16			0.34			(0.17	)		(0.33	)		(0.50	)
2015 - R6		10.00		0.16		0.10			0.26			(0.09	)		(0.10	)		(0.19	)
FOR THE PERIOD ENDED OCTOBER 31,
2014 - R6 (Commenced August 29, 2014)		10.00		0.03		(0.03	)		—			—			—			—

*	The Portfolio changed its fiscal year end from October 31 to August 31.
(a)	Calculated based on the average shares outstanding methodology.
(b)	Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges. Total returns would 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. The Goldman Sachs Target Date 2020 Portfolio’s predecessor was the Madison Target Retirement 2020 Fund (the “Predecessor Fund”). On August 22, 2016, the Predecessor Fund was reorganized as a new series of Goldman Sachs Trust II. Performance prior to August 22, 2016 is that of the Predecessor Fund. Total return information of the Predecessor Fund is included in the above table because the Predecessor Fund is considered the accounting survivor of the reorganization.
(c)	The Portfolio’s 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 turnover rate may be higher.
(d)	Annualized.
(e)	Effective October 10, 2017, Class IR Shares changed its name to Investor Shares.
(f)	Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests.

46      The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS TARGET DATE 2020 PORTFOLIO

	Net asset value, end of period				Net assets, end of period (in 000s)	Ratio of      net expenses to average  net assets		Ratio of      total expenses to average  net assets		Ratio of      net investment income     to average  net assets		Portfolio turnover rate
		Total            return
			(b)				(f)		(f)		(f)		(c)
$	9.21	1.03	%	$	17	0.70	%(d)	1.32	%(d)	1.50	%(d)	117	%
	9.22	1.13			11	0.29	(d)	0.91	(d)	1.93	(d)	117
	9.21	0.87			11	0.78	(d)	1.41	(d)	1.43	(d)	117
	9.21	1.11			871	0.45	(d)	1.07	(d)	1.74	(d)	117
	9.21	0.85			11	0.92	(d)	1.54	(d)	1.30	(d)	117
	9.22	1.14			46,489	0.30	(d)	0.93	(d)	1.91	(d)	117
	9.93	6.06			16	0.72	(d)	1.26	(d)	1.21	(d)	189
	9.96	6.42			10	0.32	(d)	0.96	(d)	1.66	(d)	189
	9.93	6.02			10	0.82	(d)	1.46	(d)	1.16	(d)	189
	9.95	6.26			323	0.46	(d)	1.07	(d)	1.08	(d)	189
	9.92	5.86			10	0.97	(d)	1.61	(d)	1.01	(d)	189
	9.96	6.42			47,589	0.30	(d)	0.94	(d)	1.69	(d)	189
	9.90	(1.49	)		10	0.74	(d)	3.01	(d)	0.94	(d)	204
	9.91	(1.39	)		10	0.34	(d)	2.61	(d)	1.34	(d)	204
	9.90	(1.49	)		10	0.84	(d)	3.11	(d)	0.84	(d)	204
	9.91	(1.39	)		10	0.48	(d)	2.75	(d)	1.19	(d)	204
	9.90	(1.49	)		10	0.98	(d)	3.25	(d)	0.69	(d)	204
	9.91	3.65			53,671	0.31		0.76		1.79		204
	10.07	2.61			53,619	0.30		0.30		1.46		207
	10.00	—			61,964	0.32	(d)	0.32	(d)	1.82	(d)	48

The accompanying notes are an integral part of these financial statements.    47

GOLDMAN SACHS TARGET DATE 2025 PORTFOLIO

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

				From Investment operations								Distributions to shareholders
		Net asset value, beginning of period		Net investment income(a)		Net realized and unrealized gain (loss)			Total from investment operations			From net investment income			From net realized gains			Total distributions
Year - Share Class
FOR THE SIX MONTHS ENDED FEBRUARY 28, (UNAUDITED)
2018 - A	$	10.61	$	0.06	$	0.24		$	0.30		$	(0.12	)	$	(0.13	)	$	(0.25	)
2018 - Institutional		10.65		0.10		0.21			0.31			(0.19	)		(0.13	)		(0.32	)
2018 - Service		10.62		0.07		0.21			0.28			(0.14	)		(0.13	)		(0.27	)
2018 - Investor(e)		10.64		0.09		0.22			0.31			(0.19	)		(0.13	)		(0.32	)
2018 - R		10.61		0.07		0.20			0.27			(0.12	)		(0.13	)		(0.25	)
2018 - R6		10.65		0.09		0.22			0.31			(0.19	)		(0.13	)		(0.32	)
FOR THE PERIOD NOVEMBER 1, 2016 – AUGUST 31,*
2017 - A		9.82		0.12		0.75			0.87			(0.08	)		—			(0.08	)
2017 - Institutional		9.83		0.14		0.76			0.90			(0.08	)		—			(0.08	)
2017 - Service		9.82		0.10		0.76			0.86			(0.06	)		—			(0.06	)
2017 - Investor(e)		9.83		0.12		0.76			0.88			(0.07	)		—			(0.07	)
2017 - R		9.82		0.09		0.76			0.85			(0.06	)		—			(0.06	)
2017 - R6		9.83		0.14		0.76			0.90			(0.08	)		—			(0.08	)
FOR THE PERIOD ENDED OCTOBER 31,
2016 - A (Commenced August 29, 2014)		10.00		0.02		(0.20	)		(0.18	)		—			—			—
2016 - Institutional (Commenced August 29, 2014)		10.00		0.03		(0.20	)		(0.17	)		—			—			—
2016 - Service (Commenced August 29, 2014)		10.00		0.02		(0.20	)		(0.18	)		—			—			—
2016 - Investor(e) (Commenced August 29, 2014)		10.00		0.02		(0.19	)		(0.17	)		—			—			—
2016 - R (Commenced August 29, 2014)		10.00		0.01		(0.19	)		(0.18	)		—			—			—
2016 - R6 (Commenced August 29, 2014)		10.00		0.03		(0.20	)		(0.17	)		—			—			—

*	The Portfolio changed its fiscal year end from October 31 to August 31.
(a)	Calculated based on the average shares outstanding methodology.
(b)	Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges. Total returns would 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.
(c)	Annualized.
(d)	The Portfolio’s 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 turnover rate may be higher.
(e)	Effective October 10, 2017, Class IR Shares changed its name to Investor Shares.
(f)	Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests.

48      The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS TARGET DATE 2025 PORTFOLIO

	Net asset value, end of period				Net assets, end of period (in 000s)	Ratio of      net expenses to average net    assets		Ratio of      total expenses to average  net assets		Ratio of      net investment income   to average net assets		Portfolio turnover rate
		Total  return
			(b)				(c)(f)		(c)(f)		(c)(f)		(d)
$	10.66	2.82	%	$	140	0.70	%	2.60	%	1.16	%	94	%
	10.64	2.90			10,996	0.30		2.22		1.88		94
	10.63	2.61			11	0.79		2.70		1.39		94
	10.63	2.88			368	0.44		2.34		1.71		94
	10.63	2.56			11	0.94		2.85		1.24		94
	10.64	2.93			111	0.30		2.18		1.75		94
	10.61	8.77			75	0.71		4.54		1.39		167
	10.65	9.22			10,687	0.32		3.92		1.69		167
	10.62	8.83			11	0.81		4.40		1.20		167
	10.64	9.06			35	0.46		5.20		1.37		167
	10.61	8.67			11	0.95		4.54		1.06		167
	10.65	9.22			11	0.31		3.95		1.69		167
	9.82	(1.70	)		10	0.75		4.23		1.01		33
	9.83	(1.70	)		9,783	0.34		3.85		1.42		33
	9.82	(1.80	)		10	0.84		4.32		0.91		33
	9.83	(1.70	)		10	0.49		3.97		1.27		33
	9.82	(1.80	)		10	0.99		4.47		0.77		33
	9.83	(1.70	)		10	0.33		3.92		1.43		33

The accompanying notes are an integral part of these financial statements.    49

GOLDMAN SACHS TARGET DATE 2030 PORTFOLIO

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

				From Investment operations								Distributions to shareholders
		Net asset value, beginning of period		Net investment income(a)		Net realized and unrealized gain (loss)			Total from investment operations			From net investment income			From net realized gains			Total distributions
Year - Share Class
FOR THE SIX MONTHS ENDED FEBRUARY 28, (UNAUDITED)
2018 - A	$	10.22	$	0.06	$	0.32		$	0.38		$	(0.14	)	$	(1.07	)	$	(1.21	)
2018 - Institutional		10.26		0.09		0.31			0.40			(0.17	)		(1.07	)		(1.24	)
2018 - Service		10.23		0.07		0.30			0.37			(0.13	)		(1.07	)		(1.20	)
2018 - Investor(e)		10.25		0.08		0.31			0.39			(0.17	)		(1.07	)		(1.24	)
2018 - R		10.22		0.06		0.30			0.36			(0.12	)		(1.07	)		(1.19	)
2018 - R6		10.26		0.09		0.31			0.40			(0.17	)		(1.07	)		(1.24	)
FOR THE PERIOD NOVEMBER 1 , 2016 – AUGUST 31,*
2017 - A		9.74		0.08		0.90			0.98			(0.18	)		(0.32	)		(0.50	)
2017 - Institutional		9.75		0.14		0.88			1.02			(0.19	)		(0.32	)		(0.51	)
2017 - Service		9.74		0.10		0.88			0.98			(0.17	)		(0.32	)		(0.49	)
2017 - Investor(e)		9.75		0.11		0.90			1.01			(0.19	)		(0.32	)		(0.51	)
2017 - R		9.74		0.09		0.88			0.97			(0.17	)		(0.32	)		(0.49	)
2017 - R6		9.75		0.14		0.88			1.02			(0.19	)		(0.32	)		(0.51	)
FOR THE FISCAL YEARS ENDED OCTOBER 31,
2016 - A (Commenced August 22, 2016)		9.93		0.02		(0.21	)		(0.19	)		—			—			—
2016 - Institutional (Commenced August 22, 2016)		9.93		0.03		(0.21	)		(0.18	)		—			—			—
2016 - Service (Commenced August 22, 2016)		9.93		0.02		(0.21	)		(0.19	)		—			—			—
2016 - Investor(e) (Commenced August 22, 2016)		9.93		0.02		(0.20	)		(0.18	)		—			—			—
2016 - R (Commenced August 22, 2016)		9.93		0.02		(0.21	)		(0.19	)		—			—			—
2016 - R6		9.97		0.19		0.11			0.30			(0.17	)		(0.35	)		(0.52	)
2015 - R6		9.99		0.15		0.12			0.27			(0.09	)		(0.20	)		(0.29	)
FOR THE PERIOD ENDED OCTOBER 31,
		10.00		0.03		(0.04	)		(0.01	)		—			—			—

*	The Portfolio changed its fiscal year end from October 31 to August 31.
(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 dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total returns would 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. The Goldman Sachs Target Date 2030 Portfolio’s predecessor was the Madison Target Retirement 2030 Fund (the “Predecessor Fund”). On August 22, 2016, the Predecessor Fund was reorganized as a new series of Goldman Sachs Trust II. Performance prior to August 22, 2016 is that of the Predecessor Fund. Total return information of the Predecessor Fund is included in the above table because the Predecessor Fund is considered the accounting survivor of the reorganization.
(c)	The Portfolio’s 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 turnover rate may be higher.
(d)	Annualized.
(e)	Effective October 10, 2017, Class IR Shares changed its name to Investor Shares.
(f)	Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests.

50      The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS TARGET DATE 2030 PORTFOLIO

	Net asset value, end of period				Net assets, end of period (in 000s)	Ratio of      net expenses to average  net assets		Ratio of      total expenses to average  net assets		Ratio of      net investment income   to average net assets		Portfolio turnover rate
		Total  return
			(b)				(f)		(f)		(f)		(c)
$	9.39	3.72	%	$	320	0.70	%(d)	1.08	%(d)	1.21	%(d)	89	%
	9.42	3.97			11	0.29	(d)	0.67	(d)	1.86	(d)	89
	9.40	3.62			11	0.78	(d)	1.17	(d)	1.36	(d)	89
	9.40	3.85			1,451	0.45	(d)	0.84	(d)	1.70	(d)	89
	9.39	3.61			26	0.96	(d)	1.34	(d)	1.18	(d)	89
	9.42	3.98			77,174	0.30	(d)	0.69	(d)	1.85	(d)	89
	10.22	10.47			205	0.72	(d)	0.99	(d)	0.99	(d)	143
	10.26	10.87			11	0.31	(d)	0.75	(d)	1.69	(d)	143
	10.23	10.47			11	0.82	(d)	1.26	(d)	1.19	(d)	143
	10.25	10.71			625	0.46	(d)	0.82	(d)	1.30	(d)	143
	10.22	10.30			23	0.97	(d)	1.28	(d)	1.04	(d)	143
	10.26	10.88			75,061	0.30	(d)	0.76	(d)	1.72	(d)	143
	9.74	(1.91	)		10	0.74	(d)	2.33	(d)	1.01	(d)	176
	9.75	(1.81	)		10	0.34	(d)	1.93	(d)	1.41	(d)	176
	9.74	(1.91	)		10	0.83	(d)	2.43	(d)	0.92	(d)	176
	9.75	(1.81	)		10	0.48	(d)	2.08	(d)	1.27	(d)	176
	9.74	(1.91	)		10	0.98	(d)	2.57	(d)	0.77	(d)	176
	9.75	3.23			74,224	0.31		0.62		1.91		176
	9.97	2.76			79,007	0.30		0.30		1.49		156
	9.99	(0.10	)		82,852	0.32	(d)	0.32	(d)	1.87	(d)	44

The accompanying notes are an integral part of these financial statements.   51

GOLDMAN SACHS TARGET DATE 2035 PORTFOLIO

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

				From Investment operations								Distributions to shareholders
		Net asset value, beginning of period		Net investment income(a)		Net realized and unrealized gain (loss)			Total from investment operations			From net investment income			From net realized gains			Total distributions
Year - Share Class
FOR THE SIX MONTHS ENDED FEBRUARY 28, (UNAUDITED)
2018 - A	$	10.85	$	0.07	$	0.38		$	0.45		$	(0.14	)	$	(0.17	)	$	(0.31	)
2018 - Institutional		10.87		0.10		0.39			0.49			(0.19	)		(0.17	)		(0.36	)
2018 - Service		10.84		0.07		0.38			0.45			(0.13	)		(0.17	)		(0.30	)
2018 - Investor(e)		10.86		0.09		0.38			0.47			(0.18	)		(0.17	)		(0.35	)
2018 - R		10.83		0.07		0.38			0.45			(0.12	)		(0.17	)		(0.29	)
2018 - R6		10.87		0.08		0.41			0.49			(0.19	)		(0.17	)		(0.36	)
FOR THE PERIOD NOVEMBER 1, 2016 – AUGUST 31,*
2017 - A		9.81		0.10		1.01			1.11			(0.07	)		—			(0.07	)
2017 - Institutional		9.81		0.15		1.00			1.15			(0.09	)		—			(0.09	)
2017 - Service		9.80		0.10		1.01			1.11			(0.07	)		—			(0.07	)
2017 - Investor(e)		9.81		0.08		1.05			1.13			(0.08	)		—			(0.08	)
2017 - R		9.80		0.09		1.00			1.09			(0.06	)		—			(0.06	)
2017 - R6		9.81		0.14		1.01			1.15			(0.09	)		—			(0.09	)
FOR THE FISCAL YEARS ENDED OCTOBER 31,
2016 - A (Commenced August 22, 2016)		10.00		0.02		(0.21	)		(0.19	)		—			—			—
2016 - Institutional (Commenced August 22, 2016)		10.00		0.03		(0.22	)		(0.19	)		—			—			—
2016 - Service (Commenced August 22, 2016)		10.00		0.02		(0.22	)		(0.20	)		—			—			—
2016 - Investor(e) (Commenced August 22, 2016)		10.00		0.02		(0.21	)		(0.19	)		—			—			—
2016 - R (Commenced August 22, 2016)		10.00		0.02		(0.22	)		(0.20	)		—			—			—
2016 - R6 (Commenced August 22, 2016)		10.00		0.03		(0.22	)		(0.19	)		—			—			—

*	The Portfolio changed its fiscal year end from October 31 to August 31.
(a)	Calculated based on the average shares outstanding methodology.
(b)	Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges. Total returns would 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.
(c)	Annualized.
(d)	The Portfolio’s 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 turnover rate may be higher.
(e)	Effective October 10, 2017, Class IR Shares changed its name to Investor Shares.
(f)	Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests.

52      The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS TARGET DATE 2035 PORTFOLIO

	Net asset value, end of period				Net assets, end of period (in 000s)	Ratio of      net expenses to average  net assets		Ratio of      total expenses to average  net assets		Ratio of      net investment income   to average net assets		Portfolio turnover rate
		Total  return
			(b)				(c)(f)		(c)(f)		(c)(f)		(d)
$	10.99	4.22	%	$	41	0.69	%	2.47	%	1.25	%	78	%
	11.00	4.50			11,402	0.30		2.11		1.85		78
	10.99	4.22			11	0.80		2.59		1.35		78
	10.98	4.39			792	0.44		2.23		1.72		78
	10.99	4.17			11	0.96		2.75		1.19		78
	11.00	4.53			185	0.30		2.04		1.53		78
	10.85	11.39			29	0.71		4.28		1.11		137
	10.87	11.75			10,911	0.32		3.86		1.69		137
	10.84	11.36			11	0.81		4.34		1.20		137
	10.86	11.59			152	0.45		7.23		0.89		137
	10.83	11.20			11	0.98		4.50		1.04		137
	10.87	11.75			35	0.30		4.22		1.64		137
	9.81	(1.90	)		10	0.75		4.23		1.03		29
	9.81	(1.90	)		9,765	0.34		3.85		1.44		29
	9.80	(2.00	)		10	0.84		4.33		0.94		29
	9.81	(1.90	)		10	0.49		3.97		1.29		29
	9.80	(2.00	)		10	0.99		4.47		0.79		29
	9.81	(1.90	)		10	0.32		3.93		1.46		29

The accompanying notes are an integral part of these financial statements.    53

GOLDMAN SACHS TARGET DATE 2040 PORTFOLIO

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

				From Investment operations								Distributions to shareholders
		Net asset value, beginning of period		Net investment income(a)		Net realized and unrealized gain (loss)			Total from investment operations			From net investment income			From net realized gains			Total distributions
Year - Share Class
FOR THE SIX MONTHS ENDED FEBRUARY 28, (UNAUDITED)
2018 - A	$	10.09	$	0.07	$	0.40		$	0.47		$	(0.14	)	$	(1.23	)	$	(1.37	)
2018 - Institutional		10.12		0.09		0.40			0.49			(0.17	)		(1.23	)		(1.40	)
2018 - Service		10.08		0.07		0.40			0.47			(0.12	)		(1.23	)		(1.35	)
2018 - Investor(e)		10.11		0.08		0.41			0.49			(0.17	)		(1.23	)		(1.40	)
2018 - R		10.07		0.06		0.40			0.46			(0.12	)		(1.23	)		(1.35	)
2018 - R6		10.12		0.09		0.41			0.50			(0.17	)		(1.23	)		(1.40	)
FOR THE PERIOD NOVEMBER 1, 2016 – AUGUST 31,*
2017 - A		9.58		0.10		1.03			1.13			(0.19	)		(0.43	)		(0.62	)
2017 - Institutional		9.58		0.14		1.03			1.17			(0.20	)		(0.43	)		(0.63	)
2017 - Service		9.58		0.10		1.01			1.11			(0.18	)		(0.43	)		(0.61	)
2017 - Investor(e)		9.58		0.09		1.06			1.15			(0.19	)		(0.43	)		(0.62	)
2017 - R		9.57		0.09		1.02			1.11			(0.18	)		(0.43	)		(0.61	)
2017 - R6		9.59		0.14		1.02			1.16			(0.20	)		(0.43	)		(0.63	)
FOR THE FISCAL YEARS ENDED OCTOBER 31,
2016 - A (Commenced August 22, 2016)		9.77		0.02		(0.21	)		(0.19	)		—			—			—
2016 - Institutional (Commenced August 22, 2016)		9.77		0.03		(0.22	)		(0.19	)		—			—			—
2016 - Service (Commenced August 22, 2016)		9.77		0.02		(0.21	)		(0.19	)		—			—			—
2016 - Investor(e) (Commenced August 22, 2016)		9.77		0.02		(0.21	)		(0.19	)		—			—			—
2016 - R (Commenced August 22, 2016)		9.77		0.01		(0.21	)		(0.20	)		—			—			—
2016 - R6		9.90		0.19		0.11			0.30			(0.17	)		(0.44	)		(0.61	)
2015 - R6		9.98		0.15		0.13			0.28			(0.10	)		(0.26	)		(0.36	)
FOR THE PERIOD ENDED OCTOBER 31,
2014 - R6 (Commenced August 29, 2014)		10.00		0.03		(0.05	)		(0.02	)		—			—			—

*	The Portfolio changed its fiscal year end from October 31 to August 31.
(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 dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total returns would 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. The Goldman Sachs Target Date 2040 Portfolio’s predecessor was the Madison Target Retirement 2040 Fund (the “Predecessor Fund”). On August 22, 2016, the Predecessor Fund was reorganized as a new series of Goldman Sachs Trust II. Performance prior to August 22, 2016 is that of the Predecessor Fund. Total return information of the Predecessor Fund is included in the above table because the Predecessor Fund is considered the accounting survivor of the reorganization.
(c)	The Portfolio’s 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 turnover rate may be higher.
(d)	Annualized.
(e)	Effective October 10, 2017, Class IR Shares changed its name to Investor Shares.
(f)	Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests.

54      The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS TARGET DATE 2040 PORTFOLIO

	Net asset value, end of period				Net assets, end of period (in 000s)	Ratio of      net expenses to average  net assets		Ratio of      total expenses to average  net assets		Ratio of      net investment income   to average net assets		Portfolio turnover rate
		Total  return
			(b)				(f)		(f)		(f)		(c)
$	9.19	4.81	%	$	27	0.71	%(d)	1.28	%(d)	1.37	%(d)	83	%
	9.21	4.95			12	0.29	(d)	0.89	(d)	1.83	(d)	83
	9.20	4.83			12	0.79	(d)	1.39	(d)	1.33	(d)	83
	9.20	4.92			584	0.45	(d)	1.04	(d)	1.68	(d)	83
	9.18	4.72			30	0.96	(d)	1.54	(d)	1.14	(d)	83
	9.22	5.06			50,007	0.30	(d)	0.90	(d)	1.81	(d)	83
	10.09	12.37			13	0.73	(d)	1.41	(d)	1.27	(d)	142
	10.12	12.85			11	0.32	(d)	0.98	(d)	1.70	(d)	142
	10.08	12.21			11	0.82	(d)	1.48	(d)	1.20	(d)	142
	10.11	12.68			130	0.46	(d)	0.98	(d)	1.11	(d)	142
	10.07	12.16			24	0.97	(d)	1.42	(d)	1.05	(d)	142
	10.12	12.73			48,905	0.30	(d)	0.98	(d)	1.73	(d)	142
	9.58	(1.94	)		13	0.74	(d)	3.23	(d)	0.98	(d)	174
	9.58	(1.94	)		10	0.34	(d)	2.82	(d)	1.41	(d)	174
	9.58	(1.94	)		10	0.83	(d)	3.31	(d)	0.92	(d)	174
	9.58	(1.94	)		10	0.48	(d)	2.96	(d)	1.27	(d)	174
	9.57	(2.05	)		10	0.98	(d)	3.46	(d)	0.77	(d)	174
	9.59	3.33			47,340	0.31		0.80		1.97		174
	9.90	2.86			50,029	0.30		0.30		1.50		160
	9.98	(0.20	)		58,903	0.32	(d)	0.32	(d)	1.84	(d)	46

The accompanying notes are an integral part of these financial statements.   55

GOLDMAN SACHS TARGET DATE 2045 PORTFOLIO

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

				From Investment operations								Distributions to shareholders
		Net asset value, beginning of period		Net investment income(a)		Net realized and unrealized gain (loss)			Total from investment operations			From net investment income			From net realized gains			Total distributions
Year - Share Class
FOR THE SIX MONTHS ENDED FEBRUARY 28, (UNAUDITED)
2018 - A	$	11.01	$	0.08	$	0.51		$	0.59		$	(0.16	)	$	(0.22	)	$	(0.38	)
2018 - Institutional		11.04		0.10		0.51			0.61			(0.19	)		(0.22	)		(0.41	)
2018 - Service		11.00		0.07		0.52			0.59			(0.14	)		(0.22	)		(0.36	)
2018 - Investor(e)		11.03		0.10		0.50			0.60			(0.18	)		(0.22	)		(0.40	)
2018 - R		10.99		0.07		0.50			0.57			(0.13	)		(0.22	)		(0.35	)
2018 - R6		11.04		0.09		0.52			0.61			(0.19	)		(0.22	)		(0.41	)
FOR THE PERIOD NOVEMBER 1, 2016 – AUGUST 31,*
2017 - A		9.80		0.08		1.20			1.28			(0.07	)		—			(0.07	)
2017 - Institutional		9.81		0.15		1.17			1.32			(0.09	)		—			(0.09	)
2017 - Service		9.80		0.10		1.17			1.27			(0.07	)		—			(0.07	)
2017 - Investor(e)		9.80		0.10		1.21			1.31			(0.08	)		—			(0.08	)
2017 - R		9.79		0.09		1.17			1.26			(0.06	)		—			(0.06	)
2017 - R6		9.81		0.15		1.17			1.32			(0.09	)		—			(0.09	)
FOR THE PERIOD ENDED OCTOBER 31,
2016 - A (Commenced August 22, 2016)		10.00		0.02		(0.22	)		(0.20	)		—			—			—
2016 - Institutional (Commenced August 22, 2016)		10.00		0.03		(0.22	)		(0.19	)		—			—			—
2016 - Service (Commenced August 22, 2016)		10.00		0.02		(0.22	)		(0.20	)		—			—			—
2016 - Investor(e) (Commenced August 22, 2016)		10.00		0.02		(0.22	)		(0.20	)		—			—			—
2016 - R (Commenced August 22, 2016)		10.00		0.01		(0.22	)		(0.21	)		—			—			—
2016 - R6 (Commenced August 22, 2016)		10.00		0.03		(0.22	)		(0.19	)		—			—			—

*	The Portfolio changed its fiscal year end from October 31 to August 31.
(a)	Calculated based on the average shares outstanding methodology.
(b)	Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges. Total returns would 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.
(c)	Annualized.
(d)	The Portfolio’s 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 turnover rate may be higher.
(e)	Effective October 10, 2017, Class IR Shares changed its name to Investor Shares.
(f)	Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests.

56      The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS TARGET DATE 2045 PORTFOLIO

	Net asset value, end of period				Net assets, end of period (in 000s)	Ratio of      net expenses to average  net assets		Ratio of      total expenses to average  net assets		Ratio of      net investment income  to average net assets		Portfolio turnover rate
		Total  return
			(b)				(c)(f)		(c)(f)		(c)(f)		(d)
$	11.22	5.45	%	$	95	0.69	%	2.48	%	1.42	%	81	%
	11.24	5.55			11,698	0.30		2.09		1.82		81
	11.23	5.36			12	0.80		2.57		1.32		81
	11.23	5.53			535	0.44	(f)	2.22		1.72		81
	11.21	5.26			35	0.94		2.72		1.16		81
	11.24	5.58			124	0.29		2.02		1.59		81
	11.01	13.17			84	0.71		5.43		0.90		143
	11.04	13.52			11,077	0.32		3.82		1.69		143
	11.00	13.03			11	0.81		4.30		1.20		143
	11.03	13.48			97	0.46		6.16		1.13		143
	10.99	12.98			29	0.95		4.63		1.07		143
	11.04	13.64			14	0.31		4.00		1.68		143
	9.80	(2.00	)		10	0.75		4.23		1.02		29
	9.81	(1.90	)		9,756	0.34		3.85		1.43		29
	9.80	(2.00	)		10	0.84		4.33		0.93		29
	9.80	(2.00	)		10	0.49		3.97		1.28		29
	9.79	(2.10	)		10	0.99		4.48		0.78		29
	9.81	(2.00	)		10	0.32		3.93		1.45		29

The accompanying notes are an integral part of these financial statements.      57

GOLDMAN SACHS TARGET DATE 2050 PORTFOLIO

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

				From Investment operations								Distributions to shareholders
		Net asset value, beginning of period		Net investment income(a)		Net realized and unrealized gain (loss)			Total from investment operations			From net investment income			From net realized gains			Total distributions
Year - Share Class
FOR THE SIX MONTHS ENDED FEBRUARY 28, (UNAUDITED)
2018 - A	$	10.54	$	0.07	$	0.55		$	0.62		$	(0.16	)	$	(0.67	)	$	(0.83	)
2018 - Institutional		10.56		0.10		0.55			0.65			(0.18	)		(0.67	)		(0.85	)
2018 - Service		10.53		0.07		0.54			0.61			(0.13	)		(0.67	)		(0.80	)
2018 - Investor(e)		10.55		0.09		0.54			0.63			(0.17	)		(0.67	)		(0.84	)
2018 - R		10.52		0.06		0.54			0.60			(0.11	)		(0.67	)		(0.78	)
2018 - R6		10.56		0.10		0.55			0.65			(0.18	)		(0.67	)		(0.85	)
FOR THE PERIOD NOVEMBER 1, 2016 – AUGUST 31,*
2017 - A		9.80		0.12		1.21			1.33			(0.19	)		(0.40	)		(0.59	)
2017 - Institutional		9.80		0.14		1.22			1.36			(0.20	)		(0.40	)		(0.60	)
2017 - Service		9.79		0.10		1.22			1.32			(0.18	)		(0.40	)		(0.58	)
2017 - Investor(e)		9.80		0.11		1.24			1.35			(0.20	)		(0.40	)		(0.60	)
2017 - R		9.79		0.09		1.22			1.31			(0.18	)		(0.40	)		(0.58	)
2017 - R6		9.80		0.14		1.22			1.36			(0.20	)		(0.40	)		(0.60	)
FOR THE FISCAL YEARS ENDED OCTOBER 31,
2016 - A (Commenced August 22, 2016)		10.00		0.02		(0.22	)		(0.20	)		—			—			—
2016 - Institutional (Commenced August 22, 2016)		10.00		0.03		(0.23	)		(0.20	)		—			—			—
2016 - Service (Commenced August 22, 2016)		10.00		0.02		(0.23	)		(0.21	)		—			—			—
2016 - Investor(e) (Commenced August 22, 2016)		10.00		0.02		(0.22	)		(0.20	)		—			—			—
2016 - R (Commenced August 22, 2016)		10.00		0.02		(0.23	)		(0.21	)		—			—			—
2016 - R6		9.95		0.20		0.11			0.31			(0.16	)		(0.30	)		(0.46	)
2015 - R6		9.98		0.15		0.13			0.28			(0.10	)		(0.21	)		(0.31	)
FOR THE PERIOD ENDED OCTOBER 31,
2014 - R6 (Commenced August 29, 2014)		10.00		0.03		(0.05	)		(0.02	)		—			—			—

*	The Portfolio changed its fiscal year end from October 31 to August 31.
(a)	Calculated based on the average shares outstanding methodology.
(b)	Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges. Total returns would 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. The Goldman Sachs Target Date 2050 Portfolio’s predecessor was the Madison Target Retirement 2050 Fund (the “Predecessor Fund”). On August 22, 2016, the Predecessor Fund was reorganized as a new series of Goldman Sachs Trust II. Performance prior to August 22, 2016 is that of the Predecessor Fund. Total return information of the Predecessor Fund is included in the above table because the Predecessor Fund is considered the accounting survivor of the reorganization.
(c)	The Portfolio’s 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 turnover rate may be higher.
(d)	Annualized.
(e)	Effective October 10, 2017, Class IR Shares changed its name to Investor Shares.
(f)	Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests.

58      The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS TARGET DATE 2050 PORTFOLIO

	Net asset value, end of period				Net assets, end of period (in 000s)	Ratio of      net expenses to average  net assets		Ratio of      total expenses to average  net assets		Ratio of      net investment income  to average net assets		Portfolio turnover rate
		Total  return
			(b)				(f)		(f)		(f)		(C)
$	10.33	5.97	%	$	127	0.70	%(d)	1.63	%(d)	1.30	%(d)	84	%
	10.36	6.20			12	0.31	(d)	1.31	(d)	1.79	(d)	84
	10.34	5.85			12	0.80	(d)	1.80	(d)	1.29	(d)	84
	10.34	6.09			841	0.45	(d)	1.43	(d)	1.74	(d)	84
	10.34	5.80			12	0.96	(d)	1.96	(d)	1.14	(d)	84
	10.36	6.21			29,746	0.30	(d)	1.30	(d)	1.79	(d)	84
	10.54	14.21			49	0.71	(d)	1.34	(d)	1.38	(d)	139
	10.56	14.58			11	0.32	(d)	1.63	(d)	1.71	(d)	139
	10.53	14.18			11	0.82	(d)	2.13	(d)	1.21	(d)	139
	10.55	14.42			156	0.47	(d)	1.45	(d)	1.31	(d)	139
	10.52	14.02			11	0.98	(d)	2.29	(d)	1.05	(d)	139
	10.56	14.59			26,154	0.30	(d)	1.58	(d)	1.71	(d)	139
	9.80	(2.00	)		10	0.74	(d)	6.30	(d)	1.04	(d)	191
	9.80	(2.00	)		10	0.34	(d)	5.90	(d)	1.44	(d)	191
	9.79	(2.10	)		10	0.83	(d)	6.40	(d)	0.95	(d)	191
	9.80	(2.00	)		10	0.48	(d)	6.04	(d)	1.30	(d)	191
	9.79	(2.10	)		10	0.98	(d)	6.54	(d)	0.80	(d)	191
	9.80	3.37			21,657	0.31		1.45		2.07		191
	9.95	2.87			20,482	0.30		0.30		1.51		204
	9.98	(0.20	)		21,266	0.32	(d)	0.32	(d)	1.72	(d)	52

The accompanying notes are an integral part of these financial statements.    59

GOLDMAN SACHS TARGET DATE 2055 PORTFOLIO

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

				From Investment operations								Distributions to shareholders
		Net asset value, beginning of period		Net investment income(a)		Net realized and unrealized gain (loss)			Total from investment operations			From net investment income			From net realized gains			Total distributions
Year - Share Class
FOR THE SIX MONTHS ENDED FEBRUARY 28, (UNAUDITED)
2018 - A	$	11.16	$	0.08	$	0.65		$	0.73		$	(0.16	)	$	(0.28	)	$	(0.44	)
2018 - Institutional		11.20		0.10		0.65			0.75			(0.19	)		(0.28	)		(0.47	)
2018 - Service		11.16		0.07		0.66			0.73			(0.14	)		(0.28	)		(0.42	)
2018 - Investor(e)		11.19		0.10		0.65			0.75			(0.19	)		(0.28	)		(0.47	)
2018 - R		11.15		0.05		0.66			0.71			(0.15	)		(0.28	)		(0.43	)
2018 - R6		11.20		0.09		0.66			0.75			(0.19	)		(0.28	)		(0.47	)
FOR THE PERIOD NOVEMBER 1, 2016 – AUGUST 31,*
2017 - A		9.79		0.09		1.36			1.45			(0.08	)		—			(0.08	)
2017 - Institutional		9.80		0.15		1.34			1.49			(0.09	)		—			(0.09	)
2017 - Service		9.79		0.11		1.33			1.44			(0.07	)		—			(0.07	)
2017 - Investor(e)		9.79		0.07		1.42			1.49			(0.09	)		—			(0.09	)
2017 - R		9.79		0.09		1.34			1.43			(0.07	)		—			(0.07	)
2017 - R6		9.80		0.15		1.34			1.49			(0.09	)		—			(0.09	)
FOR THE FISCAL YEARS ENDED OCTOBER 31,
2016 - A (Commenced August 29, 2014)		10.00		0.02		(0.23	)		(0.21	)		—			—			—
2016 - Institutional (Commenced August 29, 2014)		10.00		0.03		(0.23	)		(0.20	)		—			—			—
2016 - Service (Commenced August 29, 2014)		10.00		0.02		(0.23	)		(0.21	)		—			—			—
2016 - Investor(e) (Commenced August 29, 2014)		10.00		0.02		(0.23	)		(0.21	)		—			—			—
2016 - R (Commenced August 29, 2014)		10.00		0.01		(0.22	)		(0.21	)		—			—			—
2016 - R6 (Commenced August 29, 2014)		10.00		0.03		(0.23	)		(0.20	)		—			—			—

*	The Portfolio changed its fiscal year end from October 31 to August 31.
(a)	Calculated based on the average shares outstanding methodology.
(b)	Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges. Total returns would 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.
(c)	Annualized.
(d)	The Portfolio’s 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 turnover rate may be higher.
(e)	Effective October 10, 2017, Class IR Shares changed its name to Investor Shares.
(f)	Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests.

60      The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS TARGET DATE 2055 PORTFOLIO

	Net asset value, end of period				Net assets, end of period (in 000s)	Ratio of      net expenses to average  net assets		Ratio of      total expenses to average  net assets		Ratio of      net investment income  to average net assets		Portfolio turnover rate
		Total  return
			(b)				(c)(f)		(c)(f)		(c)(f)		(d)
$	11.45	6.55	%	$	99	0.70	%	2.47	%	1.39	%	92	%
	11.48	6.73			12,005	0.30		2.08		1.79		92
	11.47	6.55			12	0.79		2.56		1.29		92
	11.47	6.72			359	0.44		2.20		1.66		92
	11.43	6.46			34	0.94		2.69		0.93		92
	11.48	6.76			80	0.29		2.04		1.64		92
	11.16	14.90			87	0.71		4.43		1.01		182
	11.20	15.32			11,242	0.32		3.78		1.70		182
	11.16	14.83			11	0.81		4.26		1.20		182
	11.19	15.16			101	0.46		6.85		0.77		182
	11.15	14.66			11	0.97		4.42		1.05		182
	11.20	15.32			27	0.29		3.99		1.68		182
	9.79	(2.10	)		10	0.75		4.23		1.02		34
	9.80	(2.00	)		9,748	0.34		3.85		1.43		34
	9.79	(2.10	)		10	0.84		4.33		0.92		34
	9.79	(2.00	)		10	0.49		3.97		1.28		34
	9.79	(2.10	)		10	0.99		4.48		0.77		34
	9.80	(2.00	)		10	0.32		3.92		1.45		34

The accompanying notes are an integral part of these financial statements.    61

GOLDMAN SACHS TARGET DATE PORTFOLIOS

Notes to Financial Statements
February 28, 2018 (Unaudited)

1. ORGANIZATION

Goldman Sachs Trust II (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The following table lists those series of the Trust that are included in this report (collectively, the “Portfolios” or individually a “Portfolio”), along with their corresponding share classes and respective diversification status under the Act:

		Diversified/
Portfolio	Share Classes Offered	Non-diversified
All Portfolios	A, Institutional, Service, Investor*, R, R6	Diversified

* Effective October 10, 2017, Class IR Shares changed its name to Investor Shares.

Class A Shares are sold with a front-end sales charge of up to 5.50%. Institutional, Service, Investor, Class R and Class R6 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. Madison Asset Management, LLC, (the “Sub-Adviser”) serves as the subadviser to the Portfolios.

GSAM compensates the Sub-Adviser directly in accordance with the terms of the Sub-Advisory Agreement. The Portfolios are 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.

A. Investment Valuation — The Portfolios’ 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. 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. 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 Portfolios 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.

C. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), 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 (“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.

D. Offering Costs — Offering costs paid in connection with the offering of shares of Target Date 2025, Target Date 2035, Target Date 2045 and Target Date 2055 were amortized on a straight-line basis over 12 months from the date of commencement of operations.

62

GOLDMAN SACHS TARGET DATE PORTFOLIOS

2. SIGNIFICANT ACCOUNTING POLICIES (continued)

E. 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 (mutual funds) 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 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 net investment income, net realized gain 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.

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 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).

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Portfolios’ policy, transfers between different levels of the fair value hierarchy resulting from such changes are deemed to have occurred as of the beginning of the reporting period.

The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Portfolios, including investments for which market quotations are not readily available. The Trustees have delegated to GSAM day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Portfolios’ investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.

A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:

Underlying Funds — Underlying Funds include other investment companies and exchange-traded funds (“ETFs”). Investments in the Underlying Funds (except ETFs) are valued at the NAV per share of the Institutional Share class 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 Portfolios invest in Underlying Funds that fluctuate in value, the Portfolios’ shares will correspondingly

63

GOLDMAN SACHS TARGET DATE PORTFOLIOS

Notes to Financial Statements (continued)
February 28, 2018 (Unaudited)

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

fluctuate in value. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2. For information regarding an Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report

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 Portfolios’ investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining a Portfolio’s NAV. Significant events which could affect a large number of securities in a particular market may include, but are not limited to: significant fluctuations in U.S. or foreign markets; market dislocations; market disruptions; or unscheduled market closings. Significant events which could also affect a single issuer may include, but are not limited to: corporate actions such as reorganizations, mergers and buy-outs; ratings downgrades; and bankruptcies.

C. Fair Value Hierarchy — The following is a summary of the Portfolios’ investments and derivatives classified in the fair value hierarchy as of February 28, 2018:

TARGET DATE 2020 PORTFOLIO

Investment Type	Level 1		Level 2		Level 3
Assets
Exchange Traded Funds	$	46,143,710	$	–	$	–
Investment Company		508,521		–		–
Total	$	46,652,231	$	–	$	–
TARGET DATE 2025 PORTFOLIO
Investment Type	Level 1		Level 2		Level 3
Assets
Exchange Traded Funds	$	11,337,607	$	–	$	–
Investment Company		139,695		–		–
Total	$	11,477,302	$	–	$	–
TARGET DATE 2030 PORTFOLIO
Investment Type	Level 1		Level 2		Level 3
Assets
Exchange Traded Funds	$	76,773,550	$	–	$	–
Investment Company		805,000		–		–
Total	$	77,578,550	$	–	$	–

64

GOLDMAN SACHS TARGET DATE PORTFOLIOS

3.  INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

TARGET DATE 2035 PORTFOLIO

Investment Type	Level 1		Level 2		Level 3
Assets
Exchange Traded Funds	$	12,117,938	$	–	$	–
Investment Company		150,485		–		–
Total	$	12,268,423	$	–	$	–
TARGET DATE 2040 PORTFOLIO
Investment Type	Level 1		Level 2		Level 3
Assets
Exchange Traded Funds	$	49,303,150	$	–	$	–
Investment Company		532,728		–		–
Total	$	49,835,878	$	–	$	–
TARGET DATE 2045 PORTFOLIO
Investment Type	Level 1		Level 2		Level 3
Assets
Exchange Traded Funds	$	12,172,687	$	–	$	–
Investment Company		155,607		–		–
Total	$	12,328,294	$	–	$	–
TARGET DATE 2050 PORTFOLIO
Investment Type	Level 1		Level 2		Level 3
Assets
Exchange Traded Funds	$	29,973,658	$	–	$	–
Investment Company		329,162		–		–
Total	$	30,302,820	$	–	$	–
TARGET DATE 2055 PORTFOLIO
Investment Type	Level 1		Level 2		Level 3
Assets
Exchange Traded Funds	$	12,257,914	$	–	$	–
Investment Company		149,465		–		–
Total	$	12,407,379	$	–	$	–

    For further information regarding security characteristics, see the Schedules of Investments.

65

GOLDMAN SACHS TARGET DATE PORTFOLIOS

Notes to Financial Statements (continued)
February 28, 2018 (Unaudited)

4. 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 each Portfolio’s average daily net assets.

For the six months ended February 28, 2018, contractual and effective net management fees with GSAM were at the following rates:

	Contractual Management Rate		Contractual
First	Next	Over	Management Fee
$2 billion	$3 billion	$5 billion	Annual Rate
0.25%	0.23%	0.21%	0.25%

The Portfolios invest in Institutional Shares of the Goldman Sachs Financial Square Government Fund (“Government Money Market Fund”), which is an affiliated Underlying Fund. GSAM has agreed to waive a portion of its management fee payable by the Portfolios in an amount equal to the management fee it earns as an investment adviser to the affiliated Underlying Fund in which the Portfolios invest. For the six months ended February 28, 2018, the management fee waived by GSAM for each Portfolio was as follows:

	Management
Fund	Fee Waived
Target Date 2020		$338
Target Date 2025		67
Target Date 2030		683
Target Date 2035		105
Target Date 2040		457
Target Date 2045		104
Target Date 2050		303
Target Date 2055		100

B. Distribution and/or Service (12b-1) Plans — The Trust, on behalf of Class A and Class R Shares of each applicable Portfolio, has adopted Distribution and Service Plans subject to Rule 12b-1 under the Act. Under the Distribution and Service Plans, Goldman Sachs, which serves as distributor (the “Distributor”), is entitled to a fee accrued daily and paid monthly, for distribution services and personal and account maintenance services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class A or Class R Shares of the Portfolios, as applicable, as set forth below.

The Trust, on behalf of Services 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 account maintenance to their customers who are beneficial owners of such shares. The Service Plan provides for compensation to the

66

GOLDMAN SACHS TARGET DATE PORTFOLIOS

4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

service organizations equal to an annual percentage rate of the average daily net assets attributable to the Service Shares of the Portfolios, as set forth below.

	Distribution and Service Plan Rates
	Class A*	Class R*	Service
Distribution and/or Service Plan	0.25%	0.50%	0.25%

* With respect to Class A and Class R Shares, the Distributor at its discretion may use compensation for distribution services paid under the Distribution Plan to compensate service organizations for personal and account maintenance services and expenses as long as such total compensation does not exceed the maximum cap on “service fees” imposed by the Financial Industry Regulatory Authority.

C. Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Portfolios pursuant to a Distribution Agreement, may retain a portion of the Class A Shares’ front end sales charge. For the six months ended February 28, 2018, Goldman Sachs did not retain any of the Class A Shares’ front end sales charge.

D. Shareholder Administration Plan — The Trust, on behalf of the Portfolios, has adopted a Shareholder Administration Plan to allow Service Shares to compensate service organizations (including Goldman Sachs) for providing varying levels of shareholder administration services to their customers who are beneficial owners of such shares. The Shareholder Administration 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 Service Shares of the Portfolios.

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: 0.18% of the average daily net assets of Class A, Investor and Class R Shares; 0.03% of the average daily net assets of Class R6 Shares; and 0.04% of the average daily net assets of Institutional and Service Shares. Prior to October 8, 2017 the annual rates were as follows: 0.19% of the average daily net assets of Class A, Investor and Class R Shares and 0.02% of the average daily net assets of Class R6 Shares. Goldman Sachs has agreed to waive a portion of its transfer agency fee (a component of “Other Expenses”) equal to 0.01% as an annual percentage rate of the average daily net assets attributable to Class R6 Shares of each Portfolio through at least December 29, 2018, and prior to such date, Goldman Sachs may not terminate the arrangement without the approval of the Board of Trustees.

F. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to limit certain “Other Expenses” of the Portfolios (excluding acquired (underlying) 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 for Target Date 2020, Target Date 2030, Target Date 2040 and Target Date 2050 are each 0.024%, and Target Date 2025, Target Date 2035, Target Date 2045 and Target Date 2055 are each 0.014%. These Other Expense limitations will remain in place through at least December 29, 2018, 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 February 28, 2018, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:

Portfolio	Management Fee Waiver		Other Expense Reimbursements		Total Expense Reductions
Target Date 2020		$338		$150,509		$150,847
Target Date 2025		67		108,715		108,782
Target Date 2030		683		149,822		150,505

67

GOLDMAN SACHS TARGET DATE PORTFOLIOS

Notes to Financial Statements (continued)
February 28, 2018 (Unaudited)

4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

Portfolio	Management Fee Waiver		Other Expense Reimbursements		Total Expense Reductions
Target Date 2035		$105		$108,557		$108,662
Target Date 2040		457		149,601		150,058
Target Date 2045		104		108,191		108,295
Target Date 2050		303		142,207		142,510
Target Date 2055		100		108,543		108,643

G. Line of Credit Facility — As of February 28, 2018, the Portfolios participated in a $1,100,000,000 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 February 28, 2018, the Portfolios did not have any borrowings under the facility.

H. Other Transactions with Affiliates — For the six months ended February 28, 2018, Goldman Sachs did not earn any brokerage commissions from portfolio transactions, on behalf of the Portfolios.

The table below provides information about the Portfolios’ investments in the Goldman Sachs Financial Square Government Fund for the six months ended February 28, 2018:

Portfolio	Beginning Value as of August 31, 2017		Purchases at Cost		Proceeds from Sales February 28, 2018		Net Realized Gain (Loss) on Sales of Affiliated Investment Companies	Net Change in Unrealized Appreciation/ Depreciation	Ending Value as of February 28, 2018		Shares as of February 28, 2018		Dividend Income from Affiliated Investment Companies
Target Date 2020	$	1,542,601	$	2,185,030	$	3,219,110	$–	$–	$	508,521		508,521	$	2,096
Target Date 2025		381,305		835,823		1,077,433	–	–		139,695		139,695		394
Target Date 2030		1,170,153		4,409,356		4,774,509	–	–		805,000		805,000		4,201
Target Date 2035		333,517		844,286		1,027,318	–	–		150,485		150,485		632
Target Date 2040		882,582		2,264,874		2,614,728	–	–		532,728		532,728		2,815
Target Date 2045		336,673		582,590		763,656	–	–		155,607		155,607		627
Target Date 2050		791,555		2,268,503		2,730,896	–	–		329,162		329,162		1,980
Target Date 2055		342,191		420,752		613,478	–	–		149,465		149,465		603

68

GOLDMAN SACHS TARGET DATE PORTFOLIOS

4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

As of February 28, 2018, The Goldman Sachs Group, Inc. was the beneficial owner of 5% or more of total outstanding shares of the following Portfolios:

Portfolio	Class A	Institutional	Service	Class R	Class R6
Target Date 2020	62%	100%	100%	100%	–%
Target Date 2025	8	100	100	100	10
Target Date 2030	–	100	100	43	–
Target Date 2035	27	100	100	99	6
Target Date 2040	42	100	100	38	–
Target Date 2045	12	100	100	33	9
Target Date 2050	9	100	100	100	–
Target Date 2055	12	100	100	35	15

5. PORTFOLIO SECURITIES TRANSACTIONS

The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended February 28, 2018, were:

Portfolio	Purchases		Sales and Maturities
Target Date 2020	$	55,246,376	$	55,297,312
Target Date 2025		11,231,497		10,509,240
Target Date 2030		69,732,236		67,721,449
Target Date 2035		10,154,906		9,154,660
Target Date 2040		41,164,742		41,128,220
Target Date 2045		10,435,286		9,668,197
Target Date 2050		26,723,196		23,546,971
Target Date 2055		11,642,822		11,094,862

6. TAX INFORMATION

As of the Portfolios’ most recent fiscal year end, August 31, 2017, there were no capital loss carryforwards nor timing differences on a tax basis.

As of February 28, 2018, the Portfolios’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:

	Target Date			Target Date			Target Date			Target Date			Target Date			Target Date			Target Date			Target Date
	2020			2025			2030			2035			2040			2045			2050			2055
Tax Cost	$	45,556,960		$	10,988,617		$	71,286,269		$	11,359,255		$	44,972,070		$	11,240,802		$	26,801,931		$	11,083,717
Gross unrealized gain		2,103,049			686,972			7,584,218			1,056,919			5,754,805			1,218,424			3,874,076			1,437,356
Gross unrealized loss		(1,007,778	)		(198,287	)		(1,291,937	)		(147,751	)		(890,997	)		(130,932	)		(373,187	)		(113,694	)
Net unrealized gains (losses)	$	1,095,271		$	488,685		$	6,292,281		$	909,168		$	4,863,808		$	1,087,492		$	3,500,889		$	1,323,662

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Notes to Financial Statements (continued)
February 28, 2018 (Unaudited)

6. TAX INFORMATION (continued)

The difference between GAAP-basis and tax basis unrealized gains (losses) is attributable primarily to wash sales.
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.

7. OTHER RISKS

The Portfolios’ risks include, but are not limited to, the following:

Foreign Countries Risk — Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of more or less foreign government regulation, less public information and less economic, political and social stability in the countries in which a Portfolio or an Underlying Fund invests. The imposition of exchange controls (including repatriation restrictions), confiscations, trade restrictions (including tariffs) and other government restrictions by the U.S. or other governments, or from problems in share registration, settlement or custody, may also result in losses. Foreign risk also involves the risk of negative foreign currency rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which a Portfolio or an Underlying Fund has exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time. To the extent that a Portfolio or an Underlying Fund also invests in securities of issuers located in emerging markets, these risks may be more pronounced.

Investments in Other Investment Companies Risk — As a shareholder of another investment company, including an ETF, a Portfolio 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 Portfolio. 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.

The Portfolios may be indirectly exposed to the following risks through their investments in the Underlying Funds. For more information regarding the risks of an Underlying Fund, please see the Underlying Fund’s shareholder report.

Liquidity Risk — A Portfolio may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that a Portfolio will not be able to pay redemption proceeds within the allowable time period because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, a Portfolio may be forced to sell investments at an unfavorable time and/or under unfavorable conditions.

Market and Credit Risks — In the normal course of business, the Portfolios trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, the Portfolios may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolios have unsettled or open transactions defaults.

8. INDEMNIFICATIONS

Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the 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.

9. SUBSEQUENT EVENTS

Subsequent events after the Statements of Assets and Liabilities date have been evaluated, and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.

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10. SUMMARY OF SHARE TRANSACTIONS

Share activity is as follows:

	Target Date 2020 Portfolio
	For the Six Months Ended February 28, 2018 (Unaudited)						For the Period November 1, 2016 – August 31, 2017(a)						For the Fiscal Year Ended October 31, 2016
		Shares			Dollars			Shares			Dollars			Shares			Dollars
Class A Shares(b)
Shares sold		75		$	701			571		$	5,508			996		$	10,010
Reinvestment of distributions		146			1,373			57			540			–			–
Shares redeemed		(1	)		(10	)		–			–			(1	)		(11	)
		220			2,064			628			6,048			995			9,999
Institutional Shares(b)
Shares sold		1			5			1			5			996			10,010
Reinvestment of distributions		97			919			59			555			–			–
Shares redeemed		(1	)		(5	)		(1	)		(5	)		(1	)		(10	)
		97			919			59			555			995			10,000
Service Shares(b)
Shares sold		–			–			–			–			996			10,010
Reinvestment of distributions		92			866			57			537			–			–
Shares redeemed		–			–			–			–			(1	)		(11	)
		92			866			57			537			995			9,999
Investor Shares(b)(c)
Shares sold		71,588			712,688			31,422			311,469			996			10,010
Reinvestment of distributions		7,699			72,509			58			550			–			–
Shares redeemed		(17,209	)		(172,623	)		(1	)		(10	)		(1	)		(11	)
		62,078			612,574			31,479			312,009			995			9,999
Class R Shares(b)
Shares sold		–			–			–			–			996			10,010
Reinvestment of distributions		91			851			56			532			–			–
Shares redeemed		–			–			–			–			(1	)		(11	)
		91			851			56			532			995			9,999
Class R6 Shares
Shares sold		121,879			1,180,313			148,501			1,423,485			556,157			5,395,539
Reinvestment of distributions		431,304			4,069,370			319,101			3,028,160			282,195			2,663,920
Shares redeemed		(289,739	)		(2,819,889	)		(1,106,730	)		(10,811,544	)		(745,292	)		(7,300,289	)
		263,444			2,429,794			(639,128	)		(6,359,899	)		93,060			759,170
NET INCREASE (DECREASE)		326,022		$	3,047,068			(606,849	)	$	(6,040,218	)		98,035		$	809,166

(a)	The Portfolios changed their fiscal year end from October 31 to August 31.
(b)	Commenced operations on August 22, 2016.
(c)	Effective October 10, 2017, Class IR Shares changed its name to Investor Shares.

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Notes to Financial Statements (continued)
February 28, 2018 (Unaudited)

10. SUMMARY OF SHARE TRANSACTIONS (continued)

Share activity is as follows:

	Target Date 2025 Portfolio
	For the Six Months Ended February 28, 2018 (Unaudited)						For the Period November 1, 2016 – August 31, 2017(a)						For the Period Ended October 31, 2016(b)
		Shares			Dollars			Shares			Dollars			Shares			Dollars
Class A Shares
Shares sold		10,491		$	112,246			5,992		$	60,856			1,001		$	10,011
Reinvestment of distributions		73			782			38			375			–			–
Shares redeemed		(4,483	)		(48,236	)		–			–			(1	)		(11	)
		6,081			64,792			6,030			61,231			1,000			10,000
Institutional Shares
Shares sold		–			–			1			5			995,001			9,950,011
Reinvestment of distributions		30,021			323,174			8,051			79,700			–			–
Shares redeemed		–			–			(1	)		(5	)		(1	)		(10	)
		30,021			323,174			8,051			79,700			995,000			9,950,001
Service Shares
Shares sold		–			–			–			–			1,001			10,011
Reinvestment of distributions		26			272			6			62			–			–
Shares redeemed		–			–			–			–			(1	)		(11	)
		26			272			6			62			1,000			10,000
Investor Shares(c)
Shares sold		37,077			397,135			2,241			23,671			1,001			10,011
Reinvestment of distributions		940			10,108			8			75			–			–
Shares redeemed		(6,651	)		(71,397	)		(3	)		(25	)		(1	)		(11	)
		31,366			335,846			2,246			23,721			1,000			10,000
Class R Shares
Shares sold		–			–			3			36			1,001			10,011
Reinvestment of distributions		24			256			6			57			–			–
Shares redeemed		–			–			(3	)		(36	)		(1	)		(11	)
		24			256			6			57			1,000			10,000
Class R6 Shares
Shares sold		9,471			102,008			1			11			1,001			10,011
Reinvestment of distributions		259			2,790			8			80			–			–
Shares redeemed		(297	)		(3,234	)		(1	)		(10	)		(1	)		(11	)
		9,433			101,564			8			81			1,000			10,000
NET INCREASE		76,951		$	825,904			16,347		$	164,852			1,000,000		$	10,000,001

(a)	The Portfolios changed their fiscal year end from October 31 to August 31.
(b)	Commenced operations on August 22, 2016.
(c)	Effective October 10, 2017, Class IR Shares changed its name to Investor Shares.

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10. SUMMARY OF SHARE TRANSACTIONS (continued)

Share activity is as follows:

	Target Date 2030 Portfolio
	For the Six Months Ended February 28, 2018 (Unaudited)						For the Period November 1, 2016 – August 31, 2017(a)						For the Fiscal Year Ended October 31, 2016
		Shares			Dollars			Shares			Dollars			Shares			Dollars
Class A Shares(b)
Shares sold		11,430		$	108,321			19,953		$	189,739			1,008		$	10,010
Reinvestment of distributions		2,629			24,977			65			623			–			–
Shares redeemed		(4	)		(41	)		(985	)		(9,998	)		(1	)		(11	)
		14,055			133,257			19,033			180,364			1,007			9,999
Institutional Shares(b)
Shares sold		–			–			1			5			1,008			10,010
Reinvestment of distributions		141			1,342			54			515			–			–
Shares redeemed		–			–			(1	)		(5	)		(1	)		(10	)
		141			1,342			54			515			1,007			10,000
Service Shares(b)
Shares sold		–			–			–			–			1,008			10,010
Reinvestment of distributions		136			1,286			52			498			–			–
Shares redeemed		–			–			–			–			(1	)		(11	)
		136			1,286			52			498			1,007			9,999
Investor Shares(b)(c)
Shares sold		76,517			784,817			59,937			613,794			1,008			10,010
Reinvestment of distributions		17,435			166,064			53			510			–			–
Shares redeemed		(568	)		(5,958	)		(9	)		(90	)		(1	)		(11	)
		93,384			944,923			59,981			614,214			1,007			9,999
Class R Shares(b)
Shares sold		250			2,503			1,182			11,639			1,008			10,010
Reinvestment of distributions		304			2,878			52			492			–			–
Shares redeemed		(2	)		(19	)		(2	)		(16	)		(1	)		(11	)
		552			5,362			1,232			12,115			1,007			9,999
Class R6 Shares
Shares sold		289,773			2,863,050			276,954			2,713,417			284,587			2,711,235
Reinvestment of distributions		937,533			8,948,381			412,273			3,936,893			422,202			3,930,703
Shares redeemed		(347,357	)		(3,646,160	)		(988,092	)		(9,767,525	)		(1,015,250	)		(9,983,514	)
		879,949			8,165,271			(298,865	)		(3,117,215	)		(308,461	)		(3,341,576	)
NET INCREASE (DECREASE)		988,217		$	9,251,441			(218,513	)	$	(2,309,509	)		(303,426	)	$	(3,291,580	)

(a)	The Portfolios changed their fiscal year end from October 31 to August 31.
(b)	Commenced operations on August 22, 2016.
(c)	Effective October 10, 2017, Class IR Shares changed its name to Investor Shares.

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Notes to Financial Statements (continued)
February 28, 2018 (Unaudited)

10. SUMMARY OF SHARE TRANSACTIONS (continued)

Share activity is as follows:

	Target Date 2035 Portfolio
	For the Six Months Ended February 28, 2018 (Unaudited)						For the Period November 1, 2016 – August 31, 2017(a)						For the Period Ended October 31, 2016(b)
		Shares			Dollars			Shares			Dollars			Shares			Dollars
Class A Shares
Shares sold		2,132		$	24,173			1,645		$	16,616			1,001		$	10,011
Reinvestment of distributions		77			850			7			71			–			–
Shares redeemed		(1,092	)		(12,000	)		–			–			(1	)		(11	)
		1,117			13,023			1,652			16,687			1,000			10,000
Institutional Shares
Shares sold		–			5			–			5			995,001			9,950,011
Reinvestment of distributions		32,776			363,258			8,493			84,675			–			–
Shares redeemed		–			(5	)		–			(5	)		(1	)		(10	)
		32,776			363,258			8,493			84,675			995,000			9,950,001
Service Shares
Shares sold		–			–			–			–			1,001			10,011
Reinvestment of distributions		28			311			7			67			–			–
Shares redeemed		–			–			–			–			(1	)		(11	)
		28			311			7			67			1,000			10,000
Investor Shares(c)
Shares sold		58,538			641,261			12,990			140,121			1,001			10,011
Reinvestment of distributions		2,054			22,720			8			80			–			–
Shares redeemed		(2,492	)		(27,476	)		(6	)		(69	)		(1	)		(11	)
		58,100			636,505			12,992			140,132			1,000			10,000
Class R Shares
Shares sold		–			–			7			67			1,001			10,011
Reinvestment of distributions		27			296			6			62			–			–
Shares redeemed		–			–			–			–			(1	)		(11	)
		27			296			13			129			1,000			10,000
Class R6 Shares
Shares sold		13,394			150,468			2,209			23,226			1,001			10,011
Reinvestment of distributions		276			3,059			9			85			–			–
Shares redeemed		(71	)		(793	)		(2	)		(16	)		(1	)		(11	)
		13,599			152,734			2,216			23,295			1,000			10,000
NET INCREASE		105,647		$	1,166,127			25,373		$	264,985			1,000,000		$	10,000,001

(a)	The Portfolios changed their fiscal year end from October 31 to August 31.
(b)	Commenced operations on August 22, 2016.
(c)	Effective October 10, 2017, Class IR Shares changed its name to Investor Shares.

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10. SUMMARY OF SHARE TRANSACTIONS (continued)

Share activity is as follows:

	Target Date 2040 Portfolio
	For the Six Months Ended February 28, 2018 (Unaudited)						For the Period November 1, 2016 – August 31, 2017(a)						For the Fiscal Year Ended October 31, 2016
		Shares			Dollars			Shares			Dollars			Shares			Dollars
Class A Shares(b)
Shares sold		1,365		$	13,287			227		$	2,223			1,323		$	12,879
Reinvestment of distributions		287			2,658			88			827			–			–
Shares redeemed		(4	)		(42	)		(319	)		(3,121	)		(1	)		(11	)
		1,648			15,903			(4	)		(71	)		1,322			12,868
Institutional Shares(b)
Shares sold		–			–			1			5			1,025			10,010
Reinvestment of distributions		167			1,557			70			654			–			–
Shares redeemed		–			–			(1	)		(5	)		(1	)		(10	)
		167			1,557			70			654			1,024			10,000
Service Shares(b)
Shares sold		–			–			–			–			1,025			10,010
Reinvestment of distributions		162			1,501			68			636			–			–
Shares redeemed		–			–			–			–			(1	)		(11	)
		162			1,501			68			636			1,024			9,999
Investor Shares(b)(c)
Shares sold		46,036			463,611			11,815			118,889			1,025			10,010
Reinvestment of distributions		7,463			69,327			69			648			–			–
Shares redeemed		(2,906	)		(29,995	)		(6	)		(55	)		(1	)		(11	)
		50,593			502,943			11,878			119,482			1,024			9,999
Class R Shares(b)
Shares sold		529			5,129			1,308			12,647			1,025			10,010
Reinvestment of distributions		385			3,557			67			630			–			–
Shares redeemed		(2	)		(22	)		(2	)		(16	)		(1	)		(11	)
		912			8,664			1,373			13,261			1,024			9,999
Class R6 Shares
Shares sold		141,368			1,391,975			200,436			1,910,717			121,810			1,134,819
Reinvestment of distributions		712,362			6,631,513			337,128			3,156,958			333,125			3,048,096
Shares redeemed		(261,802	)		(2,736,466	)		(642,379	)		(6,279,840	)		(572,414	)		(5,513,965	)
		591,928			5,287,022			(104,815	)		(1,212,165	)		(117,479	)		(1,331,050	)
NET INCREASE (DECREASE)		645,410		$	5,817,590			(91,430	)	$	(1,078,203	)		(112,061	)	$	(1,278,185	)

(a)	The Portfolios changed their fiscal year end from October 31 to August 31.
(b)	Commenced operations on August 22, 2016.
(c)	Effective October 10, 2017, Class IR Shares changed its name to Investor Shares.

75

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Notes to Financial Statements (continued)
February 28, 2018 (Unaudited)

10. SUMMARY OF SHARE TRANSACTIONS (continued)

Share activity is as follows:

	Target Date 2045 Portfolio
	For the Six Months Ended February 28, 2018 (Unaudited)						For the Period November 1, 2016 – August 31, 2017(a)						For the Period Ended October 31, 2016(b)
		Shares			Dollars			Shares			Dollars			Shares			Dollars
Class A Shares
Shares sold		538		$	6,107			6,611		$	71,383			1,001		$	10,011
Reinvestment of distributions		275			3,096			7			73			–			–
Shares redeemed		(3	)		(35	)		(1	)		(10	)		(1	)		(11	)
		810			9,168			6,617			71,446			1,000			10,000
Institutional Shares
Shares sold		–			–			–			5			995,001			9,950,011
Reinvestment of distributions		36,839			415,824			8,690			87,162			–			–
Shares redeemed		–			–			–			(5	)		(1	)		(10	)
		36,839			415,824			8,690			87,162			995,000			9,950,001
Service Shares
Shares sold		–			–			–			–			1,001			10,011
Reinvestment of distributions		32			363			7			70			–			–
Shares redeemed		–			–			–			–			(1	)		(11	)
		32			363			7			70			1,000			10,000
Investor Shares(c)
Shares sold		46,922			526,031			14,630			160,250			1,001			10,011
Reinvestment of distributions		1,397			15,748			8			82			–			–
Shares redeemed		(9,470	)		(107,052	)		(6,852	)		(75,444	)		(1	)		(11	)
		38,849			434,727			7,786			84,888			1,000			10,000
Class R Shares
Shares sold		394			4,458			1,645			17,338			1,001			10,011
Reinvestment of distributions		91			1,025			6			65			–			–
Shares redeemed		(2	)		(28	)		(2	)		(23	)		(1	)		(11	)
		483			5,455			1,649			17,380			1,000			10,000
Class R6 Shares
Shares sold		9,755			110,822			250			2,736			1,001			10,011
Reinvestment of distributions		269			3,031			9			88			–			–
Shares redeemed		(242	)		(2,745	)		(1	)		(11	)		(1	)		(11	)
		9,782			111,108			258			2,813			1,000			10,000
NET INCREASE		86,795		$	976,645			25,007		$	263,759			1,000,000		$	10,000,001

(a)	The Portfolios changed their fiscal year end from October 31 to August 31.
(b)	Commenced operations on August 22, 2016.
(c)	Effective October 10, 2017, Class IR Shares changed its name to Investor Shares.

76

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10. SUMMARY OF SHARE TRANSACTIONS (continued)

Share activity is as follows:

	Target Date 2050 Portfolio
	For the Six Months Ended February 28, 2018 (Unaudited)						For the Period November 1, 2016 – August 31, 2017(a)						For the Fiscal Year Ended October 31, 2016
		Shares			Dollars			Shares			Dollars			Shares			Dollars
Class A Shares(b)
Shares sold		6,961		$	74,858			3,615		$	37,062			1,001		$	10,010
Reinvestment of distributions		703			7,281			62			600			–			–
Shares redeemed		(11	)		(118	)		(1	)		(12	)		(1	)		(11	)
		7,653			82,021			3,676			37,650			1,000			9,999
Institutional Shares(b)
Shares sold		–			–			1			5			1,001			10,010
Reinvestment of distributions		88			913			63			614			–			–
Shares redeemed		–			–			(1	)		(5	)		(1	)		(10	)
		88			913			63			614			1,000			10,000
Service Shares(b)
Shares sold		–			–			–			–			1,001			10,010
Reinvestment of distributions		82			857			62			596			–			–
Shares redeemed		–			–			–			–			(1	)		(11	)
		82			857			62			596			1,000			9,999
Investor Shares(b)(c)
Shares sold		73,279			780,413			14,233			149,919			1,001			10,010
Reinvestment of distributions		6,010			62,421			63			609			–			–
Shares redeemed		(12,811	)		(136,480	)		(495	)		(5,184	)		(1	)		(11	)
		66,478			706,354			13,801			145,344			1,000			9,999
Class R Shares(b)
Shares sold		–			–			3			25			1,001			10,010
Reinvestment of distributions		81			841			61			591			–			–
Shares redeemed		–			–			–			–			(1	)		(11	)
		81			841			64			616			1,000			9,999
Class R6 Shares
Shares sold		220,561			2,334,478			284,037			2,820,844			175,129			1,678,882
Reinvestment of distributions		207,646			2,160,926			140,583			1,362,253			104,550			977,547
Shares redeemed		(32,846	)		(355,292	)		(157,962	)		(1,599,302	)		(128,796	)		(1,267,261	)
		395,361			4,140,112			266,658			2,583,795			150,883			1,389,168
NET INCREASE		469,743		$	4,931,098			284,324		$	2,768,615			155,883		$	1,439,164

(a)	The Portfolios changed their fiscal year end from October 31 to August 31.
(b)	Commenced operations on August 22, 2016.
(c)	Effective October 10, 2017, Class IR Shares changed its name to Investor Shares.

77

GOLDMAN SACHS TARGET DATE PORTFOLIOS

Notes to Financial Statements (continued)
February 28, 2018 (Unaudited)

10. SUMMARY OF SHARE TRANSACTIONS (continued)

Share activity is as follows:

	Target Date 2055 Portfolio
	For the Six Months Ended February 28, 2018 (Unaudited)						For the Fiscal Year Ended August 31, 2017(a)						For the Period Ended October 31, 2016(b)
		Shares			Dollars			Shares			Dollars			Shares			Dollars
Class A Shares
Shares sold		494		$	5,725			6,796		$	71,928			1,001		$	10,011
Reinvestment of distributions		311			3,564			10			98			–			–
Shares redeemed		(3	)		(30	)		(1	)		(10	)		(1	)		(11	)
		802			9,259			6,805			72,016			1,000			10,000
Institutional Shares
Shares sold		–			5			–			5			995,001			9,950,011
Reinvestment of distributions		41,458			476,510			9,014			91,043			–			–
Shares redeemed		–			(5	)		–			(5	)		(1	)		(10	)
		41,458			476,510			9,014			91,043			995,000			9,950,001
Service Shares
Shares sold		–			–			–			–			1,001			10,011
Reinvestment of distributions		37			423			7			74			–			–
Shares redeemed		–			–			–			–			(1	)		(11	)
		37			423			7			74			1,000			10,000
Investor Shares(c)
Shares sold		21,193			241,072			8,035			89,578			1,001			10,011
Reinvestment of distributions		1,132			12,994			9			86			–			–
Shares redeemed		(34	)		(391	)		(1	)		(13	)		(1	)		(11	)
		22,291			253,675			8,043			89,651			1,000			10,000
Class R Shares
Shares sold		1,865			21,309			–			–			1,001			10,011
Reinvestment of distributions		106			1,218			7			69			–			–
Shares redeemed		(2	)		(28	)		–			–			(1	)		(11	)
		1,969			22,499			7			69			1,000			10,000
Class R6 Shares
Shares sold		4,566			52,926			1,444			15,400			1,001			10,011
Reinvestment of distributions		209			2,400			9			92			–			–
Shares redeemed		(276	)		(3,306	)		(2	)		(25	)		(1	)		(11	)
		4,499			52,020			1,451			15,467			1,000			10,000
NET INCREASE		71,056		$	814,386			25,327		$	268,320			1,000,000		$	10,000,001

(a)	The Portfolios changed their fiscal year end from October 31 to August 31.
(b)	Commenced operations on August 22, 2016.
(c)	Effective October 10, 2017, Class IR Shares changed its name to Investor Shares.

78

GOLDMAN SACHS TARGET DATE PORTFOLIOS

Fund Expenses — Six Months Ended February 28, 2018 (Unaudited)

As a shareholder of Class A, Institutional, Service, Investor, Class R, and Class R6 Shares of the Portfolios, you incur two types of costs: (1) transaction costs, including sales charges on purchase payments (with respect to Class A Shares), and (2) ongoing costs, including management fees; distribution and/or service (12b-1) fees (with respect to Class A, Service and Class R Shares); and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in Class A, Institutional, Service, Investor, Class R or Class R6 Shares of the Portfolios and to compare these costs with the ongoing costs of investing in other mutual funds.

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from September 1, 2017 through February 28, 2018, which represents a period of 181 days of a 365 day year.

Actual Expenses – The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes – The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolios’ actual net expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Portfolios’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolios and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Target Date 2020 Portfolio			Target Date 2025 Portfolio			Target Date 2030 Portfolio			Target Date 2035 Portfolio
Share Class	Beginning Account Value 9/1/17	Ending Account Value 2/28/18	Expenses Paid for the 6 months ended 2/28/18*	Beginning Account Value 9/1/17	Ending Account Value 2/28/18	Expenses Paid for the 6 months ended 2/28/18*	Beginning Account Value 9/1/17	Ending Account Value 2/28/18	Expenses Paid for the 6 months ended 2/28/18*	Beginning Account Value 9/1/17	Ending Account Value 2/28/18	Expenses Paid for the 6 months ended 2/28/18*
Class A Actual Hypothetical 5% return	$1,000.00 1,000.00	$1,010.30   1,021.32+	$3.49 3.51	$1,000.00 1,000.00	$1,028.20   1,021.32+	$3.52 3.51	$1,000.00 1,000.00	$1,037.20   1,021.32+	$3.54 3.51	$1,000.00 1,000.00	$1,042.20   1,021.37+	$3.49 3.46
Institutional Actual Hypothetical 5% return	1,000.00 1,000.00	1,011.30   1,023.36+	1.45 1.45	1,000.00 1,000.00	1,029.00   1,023.31+	1.51 1.51	1,000.00 1,000.00	1,039.70   1,023.36+	1.47 1.45	1,000.00 1,000.00	1,045.00   1,023.31+	1.52 1.51
Service Actual Hypothetical 5% return	1,000.00 1,000.00	1,008.70   1,020.93+	3.88 3.91	1,000.00 1,000.00	1,026.10   1,020.88+	3.97 3.96	1,000.00 1,000.00	1,036.20   1,020.93+	3.94 3.91	1,000.00 1,000.00	1,042.20   1,020.83+	4.05 4.01
Investor(a) Actual Hypothetical 5% return	1,000.00 1,000.00	1,011.10   1,022.56+	2.24 2.26	1,000.00 1,000.00	1,028.80   1,022.61+	2.21 2.21	1,000.00 1,000.00	1,038.50   1,022.56+	2.27 2.26	1,000.00 1,000.00	1,043.90   1,022.61+	2.23 2.21
Class R Actual Hypothetical 5% return	1,000.00 1,000.00	1,008.50   1,020.23+	4.58 4.61	1,000.00 1,000.00	1,025.60   1,020.13+	4.72 4.71	1,000.00 1,000.00	1,036.10   1,020.03+	4.85 4.81	1,000.00 1,000.00	1,041.70   1,020.03+	4.86 4.81
Class R6 Actual Hypothetical 5% return	1,000.00 1,000.00	1,011.40   1,023.31+	1.50 1.51	1,000.00 1,000.00	1,029.30   1,023.31+	1.51 1.51	1,000.00 1,000.00	1,039.80   1,023.31+	1.52 1.51	1,000.00 1,000.00	1,045.30   1,023.31+	1.52 1.51

79

Fund Expenses — Six Months Ended February 28, 2018 (Unaudited) (continued)

	Target Date 2040 Portfolio			Target Date 2045 Portfolio			Target Date 2050 Portfolio			Target Date 2055 Portfolio
Share Class	Beginning Account Value 9/1/17	Ending Account Value 2/28/18	Expenses Paid for the 6 months ended 2/28/18*	Beginning Account Value 9/1/17	Ending Account Value 2/28/18	Expenses Paid for the 6 months ended 2/28/18*	Beginning Account Value 9/1/17	Ending Account Value 2/28/18	Expenses Paid for the 6 months ended 2/28/18*	Beginning Account Value 9/1/17	Ending Account Value 2/28/18	Expenses Paid for the 6 months ended 2/28/18*
Class A Actual Hypothetical 5% return	$1,000.00 1,000.00	$1,048.10   1,021.27+	$3.61 3.56	$1,000.00 1,000.00	$1,054.50   1,021.37+	$3.51 3.46	$1,000.00 1,000.00	$1,059.70   1,021.32+	$3.57 3.51	$1,000.00   1,000.00	$1,065.50 1,021.32+	$3.58 3.51
Institutional Actual Hypothetical 5% return	1,000.00 1,000.00	1,049.50   1,023.36+	1.47 1.45	1,000.00 1,000.00	1,055.50   1,023.31+	1.53 1.51	1,000.00 1,000.00	1,062.00   1,023.26+	1.58 1.56	1,000.00 1,000.00	1,067.30   1,023.31+	1.54 1.51
Service Actual Hypothetical 5% return	1,000.00 1,000.00	1,048.30   1,020.88+	4.01 3.96	1,000.00 1,000.00	1,053.60   1,020.83+	4.07 4.01	1,000.00   1,000.00	1,058.50 1,020.83+	4.08 4.01	1,000.00   1,000.00	1,065.50 1,020.88+	4.05 3.96
Investor (a) Actual Hypothetical 5% return	1,000.00 1,000.00	1,049.20   1,022.56+	2.29 2.26	1,000.00 1,000.00	1,055.30   1,022.61+	2.24 2.21	1,000.00   1,000.00	1,060.90 1,022.56+	2.30 2.26	1,000.00   1,000.00	1,067.20 1,022.61+	2.26 2.21
Class R Actual Hypothetical 5% return	1,000.00 1,000.00	1,047.20   1,020.03+	4.87 4.81	1,000.00 1,000.00	1,052.60   1,020.13+	4.78 4.71	1,000.00   1,000.00	1,058.00 1,020.03+	4.90 4.81	1,000.00 1,000.00	1,064.60   1,020.13+	4.81 4.71
Class R6 Actual Hypothetical 5% return	1,000.00 1,000.00	1,050.60   1,023.31+	1.53 1.51	1,000.00 1,000.00	1,055.80   1,023.36+	1.48 1.45	1,000.00 1,000.00	1,062.10   1,023.31+	1.53 1.51	1,000.00 1,000.00	1,067.60   1,023.36+	1.49 1.45

+

Hypothetical expenses are based on each Portfolio’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses.

*

Expenses for each share class are calculated using each Portfolio’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended February 28, 2018. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows:

Portfolio	Class A	Institutional	Service	Investor (a)	Class R	Class R6
Target Date 2020	0.70	0.29	0.78	0.45	0.92	0.30
Target Date 2025	0.70	0.30	0.79	0.44	0.94	0.30
Target Date 2030	0.70	0.29	0.78	0.45	0.96	0.30
Target Date 2035	0.69	0.30	0.80	0.44	0.96	0.30
Target Date 2040	0.71	0.29	0.79	0.45	0.96	0.30
Target Date 2045	0.69	0.30	0.80	0.44	0.94	0.29
Target Date 2050	0.70	0.31	0.80	0.45	0.96	0.30
Target Date 2055	0.70	0.30	0.79	0.44	0.94	0.29

(a) Effective October 10, 2017, Class IR Shares changed its name to Investor Shares.

80

Goldman Sachs Funds

Goldman Sachs is a premier financial services firm, known since 1869 for creating thoughtful and customized investment solutions in complex global markets.

Today, the Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $1.29 trillion in assets under supervision as of December 31, 2017, Goldman Sachs Asset Management (“GSAM”) has portfolio management teams located around the world and our investment professionals bring firsthand knowledge of local markets to every investment decision. Assets under supervision includes assets under management and other client assets for which Goldman Sachs does not have full discretion. GSAM leverages the resources of Goldman Sachs & Co. LLC subject to legal, internal and regulatory restrictions.

Money Market	Single Sector	n International Equity Dividend and Premium Fund	Total Portfolio Solutions
Financial Square FundsSM	n Investment Grade Credit Fund		n Global Managed Beta Fund
n Financial Square Treasury Solutions Fund1	n U.S. Mortgages Fund	Equity Insights	n Multi-Manager Non-Core Fixed Income Fund
n Financial Square Government Fund1	n High Yield Fund	n Small Cap Equity Insights Fund	n Multi-Manager U.S. Dynamic Equity Fund
n Financial Square Money Market Fund2	n High Yield Floating Rate Fund	n U.S. Equity Insights Fund	n Multi-Manager Global Equity Fund
n Financial Square Prime Obligations Fund2	n Emerging Markets Debt Fund	n Small Cap Growth Insights Fund_	n Multi-Manager International Equity Fund
n Financial Square Treasury Instruments Fund1	n Local Emerging Markets Debt Fund	n Large Cap Growth Insights Fund	n Tactical Tilt Overlay Fund
n Financial Square Treasury Obligations Fund1	n Total Emerging Markets Income Fund4	n Large Cap Value Insights Fund	n Balanced Strategy Portfolio
n Financial Square Federal Instruments Fund1		n Small Cap Value Insights Fund	n Multi-Manager U.S. Small Cap Equity Fund
	Fixed Income Alternatives	n International Small Cap Insights Fund	n Multi-Manager Real Assets Strategy Fund
Investor FundsSM	n Long short Credit Strategies Fund	n International Equity Insights Fund	n Growth and Income Strategy Portfolio
n Investor Money Market Fund3		n Emerging Markets Equity Insights Fund	n Growth Strategy Portfolio
n Investor Tax-Exempt Money Market Fund3	Fundamental Equity		n Equity Growth Strategy Portfolio
	n Equity Income Fund5	Fundamental Equity International	n Satellite Strategies Portfolio
Fixed Income	n Small Cap Value Fund	n International Equity Income Fund9	n Enhanced Dividend Global Equity Portfolio
Short Duration and Government	n Small/Mid Cap Value Fund	n International Equity ESG Fund10	n Tax-Advantaged Global Equity Portfolio
n Enhanced Income Fund	n Mid Cap Value Fund	n Asia Equity Fund	n Strategic Factor Allocation Fund
n High Quality Floating Rate Fund	n Large Cap Value Fund	n Emerging Markets Equity Fund	n Target Date 2020 Portfolio
n Short-Term Conservative Income Fund	n Focused Value Fund	n N-11 Equity Fund	n Target Date 2025 Portfolio
n Short Duration Government Fund	n Capital Growth Fund	n ESG Emerging Markets Equity Fund	n Target Date 2030 Portfolio
n Short Duration Income Fund	n Strategic Growth Fund		n Target Date 2035 Portfolio
n Government Income Fund	n Small/Mid Cap Growth Fund	Select Satellite	n Target Date 2040 Portfolio
n Inflation Protected Securities Fund	n Flexible Cap Fund6	n Real Estate Securities Fund	n Target Date 2045 Portfolio
	n Concentrated Growth Fund7	n International Real Estate Securities Fund	n Target Date 2050 Portfolio
Multi-Sector	n Technology Opportunities Fund	n Commodity Strategy Fund	n Target Date 2055 Portfolio
n Bond Fund	n Growth Opportunities Fund	n Global Real Estate Securities Fund	n Target Date 2060 Portfolio
n Core Fixed Income Fund	n Rising Dividend Growth Fund	n Alternative Premia Fund11	n GQG Partners International Opportunities Fund
n Global Income Fund	n Blue Chip Fund8	n Absolute Return Tracker Fund	n Tactical Exposure Fund
n Strategic Income Fund	n Income Builder Fund	n Managed Futures Strategy Fund
		n MLP Energy Infrastructure Fund
Municipal and Tax-Free	Tax-Advantaged Equity	n MLP & Energy Fund
n High Yield Municipal Fund	n U.S. Tax-Managed Equity Fund	n Multi- Manager Alternatives Fund
n Dynamic Municipal Income Fund	n International Tax-Managed Equity Fund	n Absolute Return Multi-Asset Fund
n Short Duration Tax-Free Fund	n U.S. Equity Dividend and Premium Fund	n Global Infrastructure Fund

1	You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.
2	You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.
3	You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.
4	Effective after the close of business on December 26, 2017, the Goldman Sachs Dynamic Emerging Markets Debt Fund was renamed the Goldman Sachs Total Emerging Markets Income Fund.
5	Effective on June 20, 2017, the Goldman Sachs Growth and Income Fund was renamed the Goldman Sachs Equity Income Fund.
6	Effective after the close of business on August 31, 2017, the Goldman Sachs Flexible Cap Growth Fund was renamed the Goldman Sachs Flexible Cap Fund.
7	Effective on July 28, 2017, the Goldman Sachs Focused Growth Fund was reorganized with and into the Goldman Sachs Concentrated Growth Fund.
8	Effective after the close of business on October 31, 2017, the Goldman Sachs Dynamic U.S. Equity Fund was renamed the Goldman Sachs Blue Chip Fund.
9	Effective after the close of business on February 27, 2018, the Goldman Sachs Strategic International Equity Fund was renamed the Goldman Sachs International Equity Income Fund.
10	Effective after the close of business on February 27, 2018, the Goldman Sachs Focused International Equity Fund was renamed the Goldman Sachs International Equity ESG Fund.
11	Effective after the close of business on October 30, 2017, the Goldman Sachs Dynamic Allocation Fund was renamed the Goldman Sachs Alternative Premia Fund. Financial Square FundsSM and Investor FundsSM are registered service marks of Goldman Sachs & Co. LLC.
*	This list covers open-end funds only. Please visit our website at www.GSAMFUNDS.com to learn about our closed-end funds and exchange-traded funds.

TRUSTEES	OFFICERS
Cheryl K. Beebe, Chair	James A. McNamara, President
Lawrence Hughes	Scott M. McHugh, Treasurer, Senior Vice President and
John F. Killian    Steven D. Krichmar	Principal Financial Officer Joseph F. DiMaria, Assistant Treasurer and Principal
James A. McNamara	Accounting Officer
	Caroline L. Kraus, Secretary
GOLDMAN SACHS & CO. LLC	GOLDMAN SACHS ASSET MANAGEMENT, L.P.
Distributor and Transfer Agent	Investment Adviser
Visit our Web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.

Goldman Sachs Asset Management, L.P. 200 West Street, New York, New York 10282

The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk.

The reports concerning the Portfolios included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Portfolios in the future. These statements are based on Portfolio management’s predictions and expectations concerning certain future events and their expected impact on the Portfolios, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Portfolios. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.

Views and opinions expressed are for informational purposes only and do not constitute a recommendation by GSAM to buy, sell, or hold any security. Views and opinions are current as of the date of this presentation and may be subject to change, they should not be construed as investment advice.

A description of the policies and procedures that the Portfolios use to determine how to vote proxies relating to portfolio securities and information regarding how a Portfolio voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (ii) on the Securities and Exchange Commission (“SEC”) web site at http://www.sec.gov.

References to indices, benchmarks or other measures of relative market performance over a specified period of time are provided for your information only and do not imply that the portfolio will achieve similar results. The index composition may not reflect the manner in which a portfolio is constructed. While an adviser seeks to design a portfolio which reflects appropriate risk and return features, portfolio characteristics may deviate from those of the benchmark.

The Portfolios file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Qs. The Portfolios’ Form N-Qs are available on the SEC’s website at http://www.sec.gov within 60 days after the Portfolios’ first and third fiscal quarters. The Portfolios’ Form N-Qs may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. When available, Form N-Qs may be obtained upon request and without charge by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders).

Economic and market forecasts presented herein reflect a series of assumptions and judgments as of the date of this presentation and are subject to change without notice. These forecasts do not take into account the specific investment objectives, restrictions, tax and financial situation or other needs of any specific client. Actual data will vary and may not be reflected here. These forecasts are subject to high levels of uncertainty that may affect actual performance. Accordingly, these forecasts should be viewed as merely representative of a broad range of possible outcomes. These forecasts are estimated, based on assumptions, land are subject to significant revision and may change materially as economic and market conditions change. Goldman Sachs has no obligation to provide updates or changes to these forecasts. Case studies and examples are for illustrative purposes only.

Portfolio holdings and allocations shown are as of February 28, 2018 and may not be representative of future investments. Portfolio holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.

THIS MATERIAL IS FOR INFORMATIONAL PURPOSES ONLY AND IS PROVIDED SOLELY ON THE BASIS THAT IT WILL NOT CONSTITUTE INVESTMENT OR OTHER ADVICE OR A RECOMMENDATION RELATING TO ANY PERSON’S OR PLAN’S INVESTMENT OR OTHER DECISIONS, AND GOLDMAN SACHS IS NOT A FIDUCIARY OR ADVISOR WITH RESPECT TO ANY PERSON OR PLAN BY REASON OF PROVIDING THE MATERIAL OR CONTENT HEREIN INCLUDING UNDER THE EMPLOYEE RETIREMENT INCOME SECURITY ACT OF 1974 OR DEPARTMENT OF LABOR REGULATIONS. PLAN SPONSORS AND OTHER FIDUCIARIES SHOULD CONSIDER THEIR OWN CIRCUMSTANCES IN ASSESSING ANY POTENTIAL COURSE OF ACTION.

This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus or summary prospectus, if applicable. Investors should consider a Portfolio’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the Prospectus carefully before investing or sending money. The summary prospectus, if available, and the Prospectus contain this and other information about a Portfolio and may be obtained from your authorized dealer or from Goldman Sachs & Co. LLC by calling (retail – 1-800-526-7384) (institutional – 1-800-621-2550).

©2018 Goldman Sachs. All rights reserved 126644-OTU-744859 TARGDATESAR-18/392

Item 2. Code of Ethics.

Not applicable in semi-annual report.

Item 3. Audit Committee Financial Expert.

Not applicable in semi-annual report.

Item 4. Principal Accountant Fees and Services.

Not applicable in semi-annual report.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Schedule of Investments

Included in report to shareholders (Item 1) above.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

Included in report to shareholders (Item 1) above. Otherwise, no changes. The Trust does not normally hold shareholder meetings.

Item 11. Controls and Procedures.

(a) The Trust’s principal executive officer and principal financial officers determined that the Trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) are effective, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 within 90 days of the date of this report. There were no significant changes in the Trust’s internal controls or in other factors that could significantly affect these controls subsequent to the date of their evaluation. The officers identified no significant deficiencies or material weaknesses.

(b) There were no changes in the Trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust’s internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable.

Item 13. Exhibits.

(a)(1) Not applicable in semi-annual report.

(a)(2) Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Act.

(b) Certification of principal executive and principal financial officers as required by Rule 30a-2(b) under the Act.

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.

Ultra Series Fund

/s/ Kevin S. Thompson
Kevin S. Thompson, Chief Legal Officer
Date: September 6, 2018

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.

/s/ Katherine L. Frank
Katherine L. Frank, Principal Executive Officer
Date: September 6, 2018

/s/ Greg Hoppe
Greg Hoppe, Principal Financial Officer
Date: September 6, 2018

EX-99.CERT

Financial Statement Certifications

I, Greg Hoppe, certify that:

1. I have reviewed this report on Form N-CSRS of Ultra Series Fund;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: September 6, 2018

/s/ Greg Hoppe
Greg Hoppe
Principal Financial Officer

I, Katherine L. Frank, certify that:

1. I have reviewed this report on Form N-CSRS of Ultra Series Fund;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: September 6, 2018

/s/ Katherine L. Frank
Katherine L. Frank
Principal Executive Officer

EX-99.906 CERT

Certification under Section 906 of Sarbanes Oxley (18 USC 1350)

Ultra Series Fund
Semi-Annual Report dated June 30, 2018

The undersigned certify that this periodic report containing the financial statements fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934 (15 U.S.C 78m or 78o(d)) and the information contained in this periodic report fairly presents, in all material respects, the financial condition and results of operations of the issuer.

/s/ Katherine L. Frank	/s/ Greg Hoppe
Katherine L. Frank	Greg Hoppe
Principal Executive Officer	Principal Accounting Officer

Dated this 6th day of September, 2018

A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906, has been provided to Ultra Series Fund and will be retained by Ultra Series Fund and furnished to the SEC or its staff upon request.