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QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

Schedule of Investments

March 31, 2012 (Unaudited)


Principal		Interest			Maturity
Amount		Rate			Date	Value
Commodity Index Linked Structured Notes^{(a)(b)(c)(d)(e)} — 1.5%
JPMorgan Chase Bank, N.A.
$	15,200,000		0.140	%	03/01/13	$	16,970,800
UBS AG
	1,800,000		0.090		05/29/12		2,412,359
	5,500,000		0.090		07/27/12		6,655,433
	1,050,000		0.140		04/26/13		869,507
	3,600,000		0.090		05/06/13		3,718,892

TOTAL COMMODITY INDEX LINKED STRUCTURED NOTES						$	30,626,991


Agency Debenture^(f) — 20.5%
FHLMC
$	420,000,000		0.000	%	04/02/12	$	420,000,000

Shares

Description

Value

Exchange Traded Fund — 3.6%

1,707,193

Vanguard MSCI Emerging Markets

74,211,680


Principal		Interest			Maturity
Amount		Rate			Date	Value
U.S. Government Obligations^(f) — 77.3%
United States Treasury Bills
$	402,500,000		0.000	%	04/05/12	$	402,498,434
	290,000,000		0.000		05/03/12		289,989,691
	200,000,000		0.000		05/17/12		199,985,946
	690,000,000		0.000	^(g)	06/28/12		689,873,502

TOTAL U.S. GOVERNMENT OBLIGATIONS						$	1,582,347,573

TOTAL INVESTMENTS BEFORE REPURCHASE AGREEMENT						$	2,107,186,244


Repurchase Agreements^(h) — 22.0%
Barclays Capital, Inc.
$	143,100,000		0.150	%	04/02/12	$	143,100,000
Market Value: $143,101,789
Collateralized by FNMA, 3.000%-6.500%, due 1/1/18-4/1/42, and FHLMC, 4.000%-4.500%, due 1/1/25-4/1/30. The aggregate market value of the collateral including accrued interest was $145,962,001.
Citigroup Global Markets, Inc.
	308,000,000		0.160		04/02/12		308,000,000
Market Value: $308,004,107
Collateralized by GNMA, 2.500%-6.000%, due 2/20/25-1/20/41, FNMA, 3.500%-5.000%, due 12/1/24-2/1/42, and FHLMC, 3.500%-5.500%, due 5/1/25-11/1/41. The aggregate market value of the collateral including accrued interest was $314,160,000.

TOTAL REPURCHASE AGREEMENTS						$	451,100,000

TOTAL INVESTMENTS — 124.9%						$	2,558,286,244

LIABILITIES IN EXCESS OF OTHER ASSETS — (24.9)%							(511,132,562	)

NET ASSETS — 100.0%						$	2,047,153,682




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

(a) Security is linked to the S&P GSCI Precious Metals Total Return Index (the “GSCI Precious Metals Index”). The GSCI Precious Metals Index represents an unleveraged, long-only investment in commodity futures. The GSCI Precious Metals Index is a part of a series of sub-indices calculated by Standard and Poor’s that represents components of the S&P GSCI from a number of commodity sectors. The GSCI Precious Metals Index comprises gold and silver.

(b) Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2012.

(c) These Structured Notes take into consideration a leverage factor of 300% on the return of the underlying linked index.

(d) Interest rate disclosed is contingent upon LIBOR minus spread as of March 31, 2012.

(e) Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $30,626,991, which represents approximately 1.5% of net assets as of March 31, 2012.

(f) Issued with a zero coupon. Income is recognized through the accretion of discount.

(g) All or a portion of security is segregated as collateral for initial margin requirements on futures transactions.

(h) Unless noted, all repurchase agreements were entered into on March 30, 2012.



Investment Abbreviations:
FHLMC	—	Federal Home Loan Mortgage Corp.
FNMA	—	Federal National Mortgage Association
GNMA	—	Government National Mortgage Association

Currency Abbreviations:
EUR	—	Euro Dollar
GBP	—	British Pound
JPY	—	Japanese Yen
USD	—	United States Dollar


For information on the mutual funds, please call our toll-free Shareholder Services Line at 1-800-526-7384 or visit us on the web at www.goldmansachsfunds.com.

GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

Schedule of Investments (continued)

March 31, 2012 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION


FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At March 31, 2012, the Fund had the following forward foreign currency exchange contracts:

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN


	Contracts to	Settlement		Current		Unrealized
Counterparty	Buy/Sell	Date		Value		Gain

Deutsche Bank Securities, Inc.	EUR/USD		06/20/12	$	3,669,215	$	41,965
	GBP/USD		06/20/12		5,894,977		51,396
	JPY/USD		06/20/12		7,556,469		83,074
Societe Generale	EUR/USD		04/04/12		266,741		401
	EUR/USD		06/20/12		33,356,499		537,249
	GBP/USD		04/04/12		639,795		695
	GBP/USD		06/20/12		41,264,843		768,386
	USD/JPY		04/04/12		2,018,861		11,639

TOTAL						$	1,494,805


FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS

Contracts to

Settlement

Current

Unrealized

Counterparty

Buy/Sell

Date

Value

Loss

Societe Generale

JPY/USD

06/20/12

35,515,403

(188,898

)


FUTURES CONTRACTS — At March 31, 2012, the Fund had the following futures contracts:


	Number of
	Contracts			Expiration	Current			Unrealized
Type	Long (Short)			Date	Value			Gain (Loss)

EURO STOXX 50 Index		1,063		June 2012	$	34,152,949		$	(446,238	)
FTSE 100 Index		495		June 2012		45,363,459			(1,302,489	)
Russell 2000 Mini Index		609		June 2012		50,406,930			2,221,399
S&P 500 E-mini Index		3,414		June 2012		239,526,240			8,706,152
TSE TOPIX Index		411		June 2012		42,554,911			1,782,436
10 Year U.S. Treasury Notes		(1,785	)	June 2012		(231,129,609	)		2,237,181

TOTAL								$	13,198,441


TAX INFORMATION — At March 31, 2012, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:



Tax cost	$	2,549,159,377

Gross unrealized gain		9,312,503
Gross unrealized loss		(185,636	)

Net unrealized security gain	$	9,126,867


Additional information regarding the Fund is available in the Fund’s most recent Annual and Semi-Annual Reports to Shareholders. This information is available on the Securities and Exchange Commission’s website (www.sec.gov).

GOLDMAN SACHS COMMODITY STRATEGY FUND

Consolidated Schedule of Investments

March 31, 2012 (Unaudited)


Principal		Interest			Maturity
Amount		Rate			Date	Value
Mortgage-Backed Obligations — 7.7%
Collateralized Mortgage Obligations — 2.7%
Regular Floater^(a) — 2.2%
FDIC Structured Sale Guaranteed Notes Series 2010-S1, Class 1A^(b)
$	531,411		0.550	%	02/25/48	$	530,995
FHLMC REMIC Series 3371, Class FA
	1,320,748		0.842		09/15/37		1,328,869
FNMA REMIC Series 2007-91, Class FB
	2,082,999		0.842		10/25/37		2,095,325
National Credit Union Administration Guaranteed Notes Series 2010-A1, Class A
	1,075,237		0.593		12/07/20		1,075,830
National Credit Union Administration Guaranteed Notes Series 2010-R1, Class 1A
	1,160,050		0.693		10/07/20		1,162,815
National Credit Union Administration Guaranteed Notes Series 2010-R2, Class 1A
	1,831,150		0.613		11/06/17		1,833,439
National Credit Union Administration Guaranteed Notes Series 2011-R2, Class 1A
	3,122,172		0.643		02/06/20		3,129,734
National Credit Union Administration Guaranteed Notes Series 2011-R3, Class 1A
	2,426,368		0.642		03/11/20		2,431,676
National Credit Union Administration Guaranteed Notes Series 2011-R4, Class 1A
	2,867,107		0.623		03/06/20		2,869,458
National Credit Union Administration Guaranteed Notes Series 2011-R5, Class 1A
	2,795,786		0.623		04/06/20		2,799,171
National Credit Union Administration Guaranteed Notes Series 2011-R6, Class 1A
	2,716,625		0.643		05/07/20		2,720,127

							21,977,439

Sequential Fixed Rate — 0.5%
FNMA REMIC Series 2009-70, Class AL
	4,613,579		5.000		08/25/19		4,929,799
National Credit Union Administration Guaranteed Notes Series 2010-R1, Class 2A
	275,245		1.840		10/07/20		278,686

							5,208,485

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS						$	27,185,924

Federal Agencies — 5.0%
Adjustable Rate FNMA^(a) — 0.4%
$	2,366,597		2.675	%	05/01/33	$	2,513,499
	1,385,144		2.560		10/01/36		1,465,912

							3,979,411

FHLMC — 0.2%
	1,417		5.000		09/01/16		1,509
	19,028		5.000		11/01/16		20,433
	2,914		5.000		12/01/16		3,133
	25,768		5.000		01/01/17		27,702
	19,965		5.000		01/01/18		21,466
	231,881		5.000		02/01/18		249,293
	170,148		5.000		03/01/18		182,933
	99,849		5.000		04/01/18		107,432
	65,483		5.000		05/01/18		70,425
	50,518		5.000		06/01/18		54,313
	103,465		5.000		07/01/18		111,279


Principal		Interest			Maturity
Amount		Rate			Date	Value
Mortgage-Backed Obligations — (continued)
FHLMC — (continued)
$	33,026		5.000	%	08/01/18	$	35,547
	15,214		5.000		10/01/18		16,403
	28,026		5.000		11/01/18		30,239
	4,960		5.000		02/01/19		5,358
	458,411		5.500		01/01/20		501,671

							1,439,136

FNMA — 4.4%
	151,966		5.000		03/01/18		164,046
	408,174		5.000		04/01/18		440,621
	6,248		5.500		01/01/19		6,825
	93,349		5.500		02/01/19		101,917
	95,613		5.500		03/01/19		104,453
	62,099		5.500		04/01/19		67,840
	44,605		5.500		05/01/19		48,729
	177,043		5.500		06/01/19		193,412
	581,847		5.500		07/01/19		635,656
	563,953		5.500		08/01/19		616,123
	483,727		5.500		09/01/19		528,481
	133,247		5.500		10/01/19		145,567
	157,728		5.500		11/01/19		172,311
	224,188		5.500		12/01/19		244,916
	18,041		5.500		01/01/20		19,715
	11,718		5.500		06/01/20		12,772
	2,939,210		5.500		07/01/20		3,212,343
	2,764,962		4.000		10/01/31		2,939,271
	181,418		5.000		03/01/38		195,676
	179,666		5.000		04/01/38		193,785
	179,155		4.500		11/01/40		190,753
	1,438,401		4.500		08/01/41		1,542,905
	935,059		4.500		09/01/41		997,125
	58,582		4.000		10/01/41		61,492
	117,105		4.500		10/01/41		124,877
	3,000,000		4.000		TBA-30yr^(c)		3,145,078
	25,000,000		4.500		TBA-30yr^(c)		26,589,845
	1,000,000		6.000		TBA-30yr^(c)		1,100,078

							43,796,612

TOTAL FEDERAL AGENCIES						$	49,215,159

TOTAL MORTGAGE-BACKED OBLIGATIONS						$	76,401,083


Agency Debentures — 5.7%
FHLB
$	2,800,000		1.750	%	08/22/12	$	2,817,408
	36,000,000		0.210		01/04/13		35,999,460
FNMA^(a)
	18,600,000		0.405		05/17/13		18,625,184

TOTAL AGENCY DEBENTURES						$	57,442,052


Asset-Backed Securities — 0.0%
Home Equity — 0.0%
GMAC Mortgage Corp. Loan Trust Series 2007-HE3, Class 1A1
$	154,495		7.000	%	09/25/37	$	111,993

GOLDMAN SACHS COMMODITY STRATEGY FUND

Consolidated Schedule of Investments (continued)

March 31, 2012 (Unaudited)


Principal		Interest			Maturity
Amount		Rate			Date	Value
Asset-Backed Securities — (continued)
Home Equity — (continued)
GMAC Mortgage Corp. Loan Trust Series 2007-HE3, Class 2A1
$	205,515		7.000	%	09/25/37	$	152,028

TOTAL ASSET-BACKED SECURITIES						$	264,021


Government Guarantee Obligations^(d) — 2.5%
Citigroup Funding, Inc.
$	7,400,000		0.883	%^(a)	04/30/12	$	7,404,381
	1,800,000		1.875		10/22/12		1,816,625
General Electric Capital Corp.
	7,400,000		0.658	^(a)	06/01/12		7,405,261
	7,800,000		2.625		12/28/12		7,938,115

TOTAL GOVERNMENT GUARANTEE OBLIGATIONS							$24,564,382


U.S. Treasury Obligations — 36.9%
United States Treasury Bills^(e)
$	100,000,000		0.000	%	07/05/12	$	99,980,209
	100,000,000		0.000		08/23/12		99,952,003
	100,000,000		0.000		10/18/12		99,927,780
United States Treasury Bonds
	200,000		4.750		02/15/41		254,804
United States Treasury Notes
	17,600,000		0.625		06/30/12		17,621,295
	20,200,000		0.375		07/31/13		20,225,855
	4,900,000		0.875		01/31/17		4,869,669
	15,600,000		3.125	^(f)	05/15/21		16,979,041
	3,900,000		2.125		08/15/21		3,896,529
	4,600,000		2.000		11/15/21		4,528,102

TOTAL U.S. TREASURY OBLIGATIONS						$	368,235,287


Shares		Rate	Value
Short-term Investment^(a) — 30.2%
JPMorgan U.S. Government Money Market Fund — Capital Shares
	300,793,661	0.010%	$	300,793,661

TOTAL INVESTMENTS — 83.0%			$	827,700,486

OTHER ASSETS IN EXCESS OF LIABILITIES — 17.0%				169,067,406

NET ASSETS — 100.0%			$	996,767,892


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

(a) Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2012.

(b) Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $530,995, which represents approximately 0.1% of net assets as of March 31, 2012.



(c) TBA (To Be Announced) Securities are purchased/sold on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. Total market value of TBA securities (excluding forward sales contracts, if any) amounts to $30,835,001 which represents approximately 3.1% of net assets as of March 31, 2012.

(d) Guaranteed under the Federal Deposit Insurance Corporation’s (“FDIC”) Temporary Liquidity Guarantee Program and is backed by the full faith and credit of the United States. The expiration date of the FDIC’s guarantee is the earlier of the maturity date of the debt or June 30, 2012.

(e) Issued with a zero coupon. Income is recognized through the accretion of discount.

(f) All or a portion of security is segregated as collateral for initial margin requirements on futures transactions.



Investment Abbreviations:
FDIC	—	Federal Deposit Insurance Corp.
FHLB	—	Federal Home Loan Bank
FHLMC	—	Federal Home Loan Mortgage Corp.
FNMA	—	Federal National Mortgage Association
LIBOR	—	London Interbank Offered Rate
REMIC	—	Real Estate Mortgage Investment Conduit


For information on the mutual funds, please call our toll-free Shareholder Services Line at 1-800-526-7384 or visit us on the web at www.goldmansachsfunds.com.

GOLDMAN SACHS COMMODITY STRATEGY FUND

Consolidated Schedule of Investments (continued)

March 31, 2012 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION


FUTURES CONTRACTS — At March 31, 2012, the Fund had the following futures contracts:


	Number of
	Contracts			Expiration	Current			Unrealized
Type	Long (Short)			Date	Value			Gain (Loss)

Eurodollars		5		June 2012	$	1,244,125		$	1,250
Eurodollars		5		September 2012		1,243,875			2,813
Eurodollars		5		December 2012		1,243,500			5,000
Eurodollars		5		March 2013		1,243,125			7,125
Eurodollars		5		June 2013		1,242,438			9,375
Eurodollars		359		September 2014		88,713,387			(45,966	)
Eurodollars		(359	)	September 2015		(88,058,212	)		76,678
U.S. Long Bond		(124	)	June 2012		(17,081,000	)		385,095
U.S. Ultra Long Treasury Bonds		(2	)	June 2012		(301,938	)		15,004
2 Year U.S. Treasury Notes		(291	)	June 2012		(64,060,922	)		46,906
5 Year U.S. Treasury Notes		206		June 2012		25,243,047			31,875
10 Year U.S. Treasury Notes		(51	)	June 2012		(6,603,703	)		89,790

TOTAL									$624,945


SWAP CONTRACTS — At March 31, 2012, the Fund had the following swap contracts:

INTEREST RATE SWAP CONTRACTS


					Rates Exchanged						Market Value
	Notional										Upfront
	Amount		Termination					Payments			Payments Made			Unrealized
Counterparty	(000’s)^(a)		Date		Payments Received			Made			(Received)			Gain (Loss)

Citibank, N.A.	$	3,500		06/20/27	3 Month LIBOR				2.750	%	$	(64,659	)	$	83,721
Deutsche Bank AG		4,600		06/20/17	3 Month LIBOR				1.750			(58,735	)		(25,527	)
		6,400		03/22/21		3.298	%	3 Month LIBOR				—			42,441
		2,500		03/22/31	3 Month LIBOR				3.638			—			(25,689	)
JPMorgan Chase Bank, N.A.		9,300		06/20/17	3 Month LIBOR				1.750			(126,720	)		(43,636	)

TOTAL												$(250,114	)	$	31,310


^(a) Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to March 31, 2012.

TOTAL RETURN SWAP CONTRACTS ON COMMODITY INDICES^(a)


		Notional
		Amount					Termination		Unrealized
Counterparty	Referenced Obligation	(000’s)		Rate Paid			Date		Gain (Loss)^(b)

Deutsche Bank AG	S&P GSCI Excess Return Index	$	10,000		0.25	%		04/30/12	$	61,396
			16,110		0.25			04/30/12		(409,667	)
Merrill Lynch International	S&P GSCI Excess Return Index		5,000		0.25			04/30/12		(105,199	)
			14,000		0.25			04/30/12		(266,377	)
			130,668		0.25			04/30/12		(3,322,667	)
			248,676		0.25			04/30/12		(6,323,404	)
UBS AG	S&P GSCI Excess Return Index		246,102		0.25			04/30/12		(6,258,132	)
			349,689		0.25			04/30/12		(8,892,231	)

TOTAL										$(25,516,281	)


^(a) The Fund receives monthly payments based on any positive monthly return of the Referenced Obligation. The Fund makes payments on any negative monthly return of such Referenced Obligation.

^(b) There are no upfront payments on the swap contracts listed above, therefore the unrealized gains (losses) on the swap contracts are equal to their market value.

GOLDMAN SACHS DYNAMIC ALLOCATION FUND

Schedule of Investments

March 31, 2012 (Unaudited)


Principal		Interest			Maturity
Amount		Rate			Date	Value
Commodity Index Linked Structured Notes^(a)(b)(c)(d) — 5.9%
Bank of America Corp.
$	2,500,000		0.240	%	01/14/13	$	2,353,365
	7,900,000		0.240		03/05/13		7,186,046
	2,800,000		0.240		03/08/13		2,570,213
	3,700,000		0.240		03/28/13		3,418,250
UBS AG^(e)
	3,780,000		0.090		11/13/12		3,900,469
	1,300,000		0.240		11/13/12		1,131,972
	3,200,000		0.240		11/29/12		2,624,412
	2,400,000		0.240		12/12/12		2,068,644
	2,700,000		0.240		01/14/13		2,475,354
	3,900,000		0.140		02/05/13		3,685,936
	2,600,000		0.140		02/15/13		2,527,409

TOTAL COMMODITY INDEX LINKED STRUCTURED NOTES						$	33,942,070


Shares		Description	Value
Exchange Traded Funds — 14.8%
	623,200	iShares MSCI Emerging Markets Index Fund	$	26,760,208
	711,913	iShares Russell 2000 Index Fund		58,981,992

TOTAL EXCHANGE TRADED FUNDS			$	85,742,200

Principal

Interest

Maturity

Amount

Rate

Date

Value

U.S. Treasury Obligation^(f) — 31.7%

United States Treasury Inflation Indexed Bond

179,361,486

0.125

01/15/22

183,761,224


Shares		Rate	Value
Short-term Investment^(a) — 43.6%
JPMorgan U.S. Government Money Market Fund — Capital Shares
	252,752,659	0.010%	$	252,752,659

TOTAL INVESTMENTS — 96.0%			$	556,198,153

OTHER ASSETS IN EXCESS OF LIABILITIES — 4.0%				23,085,394

NET ASSETS — 100.0%			$	579,283,547


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

(a) Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2012.

(b) These Structured Notes take into consideration a leverage factor of 300% on the return of the underlying linked index.



(c) Security is linked to the Dow Jones-UBS Commodity Index Total Return (the “DJ-UBSCI Total Return”). The DJ-UBSCI Total Return is a composite of commodity sector returns, representing an unleveraged, long-only investment in commodity futures that is diversified across the spectrum of commodities. The DJUBSCI Total Return is composed of nineteen commodities in eight diverse sectors: energy, petroleum, precious metals, industrial metals, grains, livestock, softs, and agriculture.

(d) Interest rate disclosed is contingent upon LIBOR minus spread as of March 31, 2012.

(e) Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $18,414,196, which represents approximately 3.2% of net assets as of March 31, 2012.

(f) All or a portion of security is segregated as collateral for initial margin requirements on futures transactions.

For information on the mutual funds, please call our toll-free Shareholder Services Line at 1-800-526-7384 or visit us on the web at www.goldmansachsfunds.com.

GOLDMAN SACHS DYNAMIC ALLOCATION FUND

Schedule of Investments (continued)

March 31, 2012 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION


FUTURES CONTRACTS — At March 31, 2012, the Fund had the following futures contracts:


	Number of
	Contracts		Expiration	Current		Unrealized
Type	Long (Short)		Date	Value		Gain (Loss)

Amsterdam Index		22	April 2012	$	1,889,293	$	(48,699	)
CAC 40 Index		154	April 2012		7,033,574		(136,789	)
DAX Index		28	June 2012		6,498,720		35,947
Euro-Bund		338	June 2012		62,429,989		154,031
FTSE 100 Index		186	June 2012		17,045,663		(499,549	)
FTSE/MIB Index		17	June 2012		1,784,924		(55,107	)
Hang Seng Index		17	April 2012		2,243,885		(51,047	)
IBEX 35 Index		21	April 2012		2,218,910		(108,993	)
Long Gilt		70	June 2012		12,821,112		(10,738	)
MSCI Singapore Index		25	April 2012		1,372,260		(2,105	)
OMX Stockholm 30 Index		150	April 2012		2,419,775		(61,650	)
S&P 500 E-mini Index		1,221	June 2012		85,665,360		159,592
S&P/TSX 60 Index		64	June 2012		9,043,220		96,178
SPI 200 Index		57	June 2012		6,413,594		116,860
TSE TOPIX Index		159	June 2012		16,462,849		703,259
10 Year Australian Treasury Bonds		19	June 2012		2,284,644		(4,292	)
10 Year Canadian Government Bonds		36	June 2012		4,736,358		(14,152	)
10 Year Japanese Government Bonds		56	June 2012		96,080,222		(179,393	)
10 Year U.S. Treasury Notes		797	June 2012		103,199,047		(609,543	)

TOTAL							$(516,190	)


SWAP CONTRACTS — At March 31, 2012, the Fund had the following swap contracts:

CREDIT DEFAULT SWAP CONTRACTS


		Notional									Market Value
	Referenced	Amount		Rates Received			Termination	Credit Spread at			Upfront Payments			Unrealized Gain
Counterparty	Obligation	(000’s)		(Paid)			Date	March 31, 2012^(a)			Made (Received)			(Loss)

Protection Sold:
Bank of America, N.A.	CDX Emerging Markets Index	$	28,600		5.000	%	06/20/17		2.453	%	$	3,460,600		$	37,154
	CDX North America High Yield Index		2,300		5.000		12/20/16		5.429			(43,755	)		9,269
Credit Suisse International	CDX North America High Yield Index		6,300		5.000		12/20/16		5.429			(659,227	)		564,765
			4,900		5.000		12/20/16		5.429			(512,732	)		439,262
			4,200		5.000		12/20/16		5.429			(306,237	)		243,263
			3,500		5.000		12/20/16		5.429			(203,383	)		150,904
			3,300		5.000		12/20/16		5.429			(257,881	)		208,402
Deutsche Bank AG	CDX North America High Yield Index		10,000		5.000		12/20/16		5.429			(177,471	)		27,532
			4,500		5.000		12/20/16		5.429			(422,411	)		354,938
			3,800		5.000		12/20/16		5.429			(190,086	)		133,109
			3,400		5.000		12/20/16		5.429			(256,430	)		205,451
Morgan Stanley Capital Services, Inc.	CDX North America High Yield Index		3,200		5.000		12/20/16		5.429			(39,955	)		(8,025	)

TOTAL											$	391,032		$	2,366,024


(a) Credit spread on the Referenced Obligation, together with the period of expiration, are indicators of payment/performance risk. The likelihood of a credit event occurring which would require a fund to make a payment or otherwise be required to perform under the swap contract is generally greater as the credit spread and term of the swap contract increase.

GOLDMAN SACHS INTERNATIONAL REAL ESTATE SECURITIES FUND

Schedule of Investments

March 31, 2012 (Unaudited)


Shares		Description	Value
Common Stocks — 98.8%
Australia — 14.3%
	1,284,398	CFS Retail Property Trust (REIT) (Retail)	$	2,379,613
	674,213	Charter Hall Group (REIT) (Diversified)		1,552,397
	10,205,022	Dexus Property Group (REIT) (Diversified)		9,222,166
	682,523	GPT Group (REIT) (Diversified)		2,208,184
	1,561,998	Stockland (REIT) (Diversified)		4,762,731
	1,119,453	Westfield Group (REIT) (Retail)		10,263,276
	4,648,870	Westfield Retail Trust (REIT) (Retail)		12,451,790

				42,840,157

Canada — 10.8%
	179,500	Allied Properties Real Estate Investment Trust (REIT) (Office)		4,662,735
	35,600	Brookfield Office Properties, Inc. (Office)		619,239
	132,600	Canadian Apartment Properties Real Estate Investment Trust (REIT) (Residential)		2,992,457
	142,300	Canadian Real Estate Investment Trust (REIT) (Diversified)		5,265,721
	156,200	Dundee Real Estate Investment Trust (REIT) (Office)		5,512,296
	375,900	InnVest Real Estate Investment Trust (REIT) (Hotels)		1,982,289
	233,300	Primaris Retail Real Estate Investment Trust (REIT) (Retail)		5,061,519
	40,500	RioCan Real Estate Investment Trust (REIT) (Retail)		1,097,514
	413,800	TransGlobe Apartment REIT (REIT) (Residential)		4,990,740

				32,184,510

China — 4.1%
	4,478,000	China Overseas Land & Investment Ltd. (Diversified)		8,491,611
	3,601,000	Shimao Property Holdings Ltd. (Diversified)		3,850,003

				12,341,614

Finland — 0.5%
	414,858	Citycon Oyj (Retail)		1,388,500

France — 8.1%
	35,480	ICADE (REIT) (Diversified)		3,166,714
	91,846	Klepierre (REIT) (Retail)		3,186,206
	134,433	Nexity SA (Residential)		4,257,263
	68,363	Unibail-Rodamco SE (REIT) (Diversified)		13,676,401

				24,286,584

Germany — 0.9%
	245,932	Alstria Office REIT-AG (REIT) (Office)		2,766,159


Shares		Description	Value
Common Stocks — (continued)
Hong Kong — 16.8%
	2,535,000	Hang Lung Properties Ltd. (Retail)	$	9,316,758
	1,995,000	Henderson Land Development Co. Ltd. (Diversified)		11,023,220
	533,000	Hongkong Land Holdings Ltd. (Office)		3,101,854
	581,000	Kerry Properties Ltd. (Diversified)		2,626,902
	1,367,475	Sun Hung Kai Properties Ltd. (Diversified)		17,015,958
	1,904,500	The Link REIT (REIT) (Retail)		7,086,543

				50,171,235

Japan — 17.6%
	359	Japan Prime Realty Investment Corp. (REIT) (Office)		1,035,749
	738,000	Mitsubishi Estate Co. Ltd. (Diversified)		13,270,774
	964,000	Mitsui Fudosan Co. Ltd. (Office)		18,615,735
	369	Nippon Building Fund, Inc. (REIT) (Office)		3,512,767
	450	Orix JREIT, Inc. (REIT) (Office)		2,102,863
	307,000	Sumitomo Realty & Development Co. Ltd. (Office)		7,476,027
	5,900	United Urban Investment Corp. (REIT) (Diversified)		6,747,027

				52,760,942

Netherlands — 2.6%
	61,230	Corio NV (REIT) (Retail)		3,230,450
	122,914	Eurocommercial Properties NV CVA (REIT) (Retail)		4,658,094

				7,888,544

Norway — 0.5%
	975,256	Norwegian Property ASA (Diversified)		1,521,369

Russia — 0.6%
	269,155	Etalon Group Ltd. GDR (Residential)^*(a)		1,842,600

Singapore — 8.2%
	1,502,000	AIMS AMP Capital Industrial REIT (REIT) (Industrial)		1,345,349
	6,130,000	CapitaLand Ltd. (Residential)		15,229,830
	6,868,000	K-REIT Asia (REIT) (Office)		5,277,485
	2,886,000	Mapletree Industrial Trust (REIT) (Industrial)		2,522,863

				24,375,527

Sweden — 2.3%
	547,987	Castellum AB (Diversified)		6,904,356

Switzerland — 1.0%
	6,785	PSP Swiss Property AG (Registered) (Office)^*		602,745
	29,690	Swiss Prime Site AG (Registered) (Diversified)^*		2,467,121

				3,069,866

GOLDMAN SACHS INTERNATIONAL REAL ESTATE SECURITIES FUND

Schedule of Investments (continued)

March 31, 2012 (Unaudited)


Shares		Description	Value
Common Stocks — (continued)
United Kingdom — 10.5%
	407,346	British Land Co. PLC (REIT) (Diversified)	$	3,126,647
	194,357	Derwent London PLC (REIT) (Office)		5,424,004
	212,292	Great Portland Estates PLC (REIT) (Office)		1,222,110
	1,136,588	Hammerson PLC (REIT) (Retail)		7,558,964
	512,759	Land Securities Group PLC (REIT) (Diversified)		5,926,834
	2,305,437	Metric Property Investments PLC (REIT) (Retail)		3,420,199
	663,856	Segro PLC (REIT) (Industrial)		2,494,277
	271,189	Shaftesbury PLC (REIT) (Diversified)		2,136,519

				31,309,554

TOTAL INVESTMENTS — 98.8%			$	295,651,517

OTHER ASSETS IN EXCESS OF LIABILITIES — 1.2%				3,737,335

NET ASSETS — 100.0% $				299,388,852


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

* Non-income producing security.

(a) Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $1,842,600, which represents approximately 0.6% of net assets as of March 31, 2012.



Investment Abbreviations:
CVA —		Dutch Certification
GDR —		Global Depositary Receipt
REIT —		Real Estate Investment Trust


For information on the mutual funds, please call our toll-free Shareholder Services Line at 1-800-526-7384 or visit us on the web at www.goldmansachsfunds.com.

GOLDMAN SACHS INTERNATIONAL REAL ESTATE SECURITIES FUND

Schedule of Investments (continued)

March 31, 2012 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION


FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At March 31, 2012, the Fund had the following forward foreign currency exchange contracts:

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS

Contracts to

Settlement

Current

Unrealized

Counterparty

Buy/Sell

Date

Value

Loss

Royal Bank of Canada

AUD/USD

04/13/12

34,603

(717

)


TAX INFORMATION — At March 31, 2012, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:



Tax cost	$	292,357,152

Gross unrealized gain		35,642,904
Gross unrealized loss		(32,348,539	)

Net unrealized security gain	$	3,294,365


Additional information regarding the Fund is available in the Fund’s most recent Annual and Semi-Annual Reports to Shareholders. This information is available on the Securities and Exchange Commission’s website (www.sec.gov).

GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND

Schedule of Investments

March 31, 2012 (Unaudited)


FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At March 31, 2012, the Fund had the following forward foreign currency exchange contracts:

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN


	Contracts to	Settlement		Current		Unrealized
Counterparty	Buy/Sell	Date		Value		Gain

Deutsche Bank Securities, Inc.	USD/AUD		06/20/12	$	10,268	$	150
	USD/CAD		06/20/12		10,008		15
Morgan Stanley Co., Inc.	USD/BRL		04/03/12		120,518		761
Peregrine Brokerage Ltd.	USD/EUR		06/20/12		200,139		593
	USD/JPY		06/20/12		60,452		1,370
Societe Generale	CAD/USD		06/20/12		10,009		9
	CZK/USD		06/20/12		10,758		100
	EUR/USD		06/20/12		13,343		82
	GBP/USD		06/20/12		295,748		2,002
	JPY/USD		06/20/12		12,090		107
	KRW/USD		06/20/12		8,793		58
	MXN/USD		06/20/12		87,282		135
	MYR/USD		06/20/12		9,757		72
	NOK/USD		06/20/12		26,260		193
	NZD/USD		06/20/12		8,143		19
	PLN/USD		06/20/12		57,414		854
	RUB/USD		06/20/12		8,429		4
	SEK/USD		06/20/12		305,139		4,485
	TRY/USD		06/20/12		38,599		340
	USD/AUD		06/20/12		10,268		216
	USD/CAD		06/20/12		60,053		408
	USD/JPY		06/20/12		169,265		2,576
	USD/NOK		06/20/12		8,753		168
	USD/NZD		06/20/12		24,430		165
	ZAR/USD		06/20/12		27,064		84

TOTAL						$	14,966


FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS


	Contracts to	Settlement		Current		Unrealized
Counterparty	Buy/Sell	Date		Value		Loss

Deutsche Bank Securities, Inc.	AUD/USD		06/20/12	$	10,268	$	(276	)
	CAD/USD		06/20/12		20,018		(55	)
	JPY/USD		06/20/12		36,271		(195	)
	NOK/USD		06/20/12		8,753		(112	)
	NZD/USD		06/20/12		8,143		(5	)
	RUB/USD		06/20/12		8,429		(92	)
	USD/GBP		06/20/12		7,993		(67	)
	USD/IDR		06/20/12		39,036		(233	)
	ZAR/USD		06/20/12		9,022		(60	)
Morgan Stanley Co., Inc.	BRL/USD		05/03/12		119,695		(810	)
Peregrine Brokerage Ltd.	AUD/USD		06/20/12		256,704		(10,146	)
	CAD/USD		06/20/12		420,370		(5,119	)
	INR/USD		06/20/12		9,663		(283	)
	KRW/USD		06/20/12		228,630		(2,687	)
	NOK/USD		06/20/12		105,039		(2,484	)
	NZD/USD		06/20/12		252,439		(7,031	)
	SEK/USD		06/20/12		79,110		(435	)
	USD/GBP		06/20/12		127,891		(222	)
Societe Generale	AUD/USD		06/20/12		30,805		(368	)
	BRL/USD		04/03/12		142,431		(7,547	)
	CAD/USD		06/20/12		50,044		(311	)
	CLP/USD		06/20/12		182,450		(3,962	)
	COP/USD		06/20/12		243,958		(2,812	)
	CZK/USD		06/20/12		43,031		(340	)
	EUR/USD		06/20/12		133,426		(156	)

GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND

Schedule of Investments (continued)

March 31, 2012 (Unaudited)


FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)


	Contracts to	Settlement		Current		Unrealized
Counterparty	Buy/Sell	Date		Value		Loss

	KRW/USD		06/20/12	$	17,587	$	(126	)
	MXN/USD		06/20/12		87,282		(858	)
	MYR/USD		06/20/12		253,680		(5,499	)
	NOK/USD		06/20/12		175,065		(2,194	)
	NZD/USD		06/20/12		24,429		(240	)
	RUB/USD		06/20/12		160,157		(533	)
	TRY/USD		06/20/12		38,599		(638	)
	USD/BRL		04/03/12		21,912		(41	)
	USD/CZK		06/20/12		75,305		(193	)
	USD/EUR		06/20/12		160,111		(3,027	)
	USD/IDR		06/20/12		97,591		(183	)
	USD/INR		06/20/12		77,303		(513	)
	USD/JPY		06/20/12		132,993		(755	)
	USD/NOK		06/20/12		26,260		(312	)
	USD/NZD		06/20/12		8,143		(36	)
	USD/SEK		06/20/12		271,234		(5,655	)
	ZAR/USD		06/20/12		90,215		(1,556	)

TOTAL						$	(68,167	)


FUTURES CONTRACTS — At March 31, 2012, the Fund had the following futures contracts:


	Number of
	Contracts			Expiration	Current			Unrealized
Type	Long (Short)			Date	Value			Gain (Loss)

Amsterdam Index		2		April 2012	$	171,754		$	(4,236	)
CAC 40 Index		2		April 2012		91,345			(2,528	)
FTSE 100 Index		2		June 2012		183,287			(5,441	)
FTSE/JSE Top 40 Index		6		June 2012		233,453			(5,057	)
Hang Seng Index		1		April 2012		131,993			(3,165	)
IBEX 35 Index		(1	)	April 2012		(105,662	)		5,891
ISE 30 Index		13		April 2012		54,723			(65	)
KOSPI 200 Index		2		June 2012		236,309			3,430
MSCI Taiwan Index		7		April 2012		197,610			(3,111	)
OMX Stockholm 30 Index		8		April 2012		129,055			(2,973	)
S&P 500 E-mini Index		3		June 2012		210,480			6,430
S&P/TSX 60 Index		1		June 2012		141,300			1,705
SET50 Index		7		June 2012		191,280			(1,157	)
SGX S&P CNX Nifty Index		5		April 2012		53,280			522
TSE TOPIX Index		2		June 2012		207,080			3,579

TOTAL								$	(6,176	)



Currency Abbreviations:
AUD	—	Australian Dollar
BRL	—	Brazilian Real
CAD	—	Canadian Dollar
CLP	—	Chilean Peso
COP	—	Colombia Peso
CZK	—	Czech Koruna
EUR	—	Euro
GBP	—	British Pound
IDR	—	Indonesian Rupiah
INR	—	India Rupee
JPY	—	Japanese Yen
KRW	—	South Korean Won
MXN	—	Mexican Peso
MYR	—	Malaysian Ringgit
NOK	—	Norwegian Krone
NZD	—	New Zealand Dollar
PLN	—	Polish Zloty
RUB	—	Russian Ruble
SEK	—	Swedish Krona
TRY	—	Turkish Lira
USD	—	United States Dollar
ZAR	—	South African Rand

TAX INFORMATION — At March 31, 2012 the Fund did not have any aggregate security unrealized gains, losses or cost for U.S. federal income tax purposes.

GOLDMAN SACHS REAL ESTATE SECURITIES FUND

Schedule of Investments

March 31, 2012 (Unaudited)


Shares		Description	Value
Common Stocks — 97.7%
Commercial — 28.7%
	146,011	Alexandria Real Estate Equities, Inc. (REIT)	$	10,677,784
	213,659	Boston Properties, Inc. (REIT)		22,432,058
	377,644	Brandywine Realty Trust (REIT)		4,335,353
	387,030	Brookfield Office Properties, Inc.		6,753,674
	149,940	Digital Realty Trust, Inc. (REIT)		11,091,062
	285,104	Douglas Emmett, Inc. (REIT)		6,503,222
	526,168	Duke Realty Corp. (REIT)		7,545,249
	380,487	Hudson Pacific Properties, Inc. (REIT)		5,756,768
	151,146	Kilroy Realty Corp. (REIT)		7,044,915
	301,023	Liberty Property Trust (REIT)		10,752,542
	662,081	ProLogis, Inc. (REIT)		23,848,158
	138,629	SL Green Realty Corp. (REIT)		10,750,679
	194,356	Vornado Realty Trust (REIT)		16,364,775

				143,856,239

Health Care — 11.0%
	472,169	HCP, Inc. (REIT)		18,631,789
	206,734	Health Care REIT, Inc. (REIT)		11,362,100
	441,028	Ventas, Inc. (REIT)		25,182,699

				55,176,588

Leisure — 6.9%
	342,709	DiamondRock Hospitality Co. (REIT)		3,526,475
	1,271,398	Host Hotels & Resorts, Inc. (REIT)		20,876,355
	184,276	LaSalle Hotel Properties (REIT)		5,185,527
	116,577	Pebblebrook Hotel Trust (REIT)		2,632,309
	45,000	Starwood Hotels & Resorts Worldwide, Inc.		2,538,450

				34,759,116

Multifamily — 18.3%
	175,513	American Campus Communities, Inc. (REIT)		7,848,942
	242,718	Apartment Investment & Management Co. Class A (REIT)		6,410,183
	157,132	AvalonBay Communities, Inc. (REIT)		22,210,608
	178,383	Camden Property Trust (REIT)		11,728,682
	421,481	Equity Residential (REIT)		26,393,140
	66,012	Essex Property Trust, Inc. (REIT)		10,001,478
	152,898	Post Properties, Inc. (REIT)		7,164,800

				91,757,833

Other — 1.9%
	59,908	American Tower Corp. (REIT)		3,775,402
	421,645	MFA Financial, Inc. (REIT)		3,149,688
	88,934	National Retail Properties, Inc. (REIT)		2,418,116

				9,343,206

Retail — 24.5%
	349,452	CBL & Associates Properties, Inc. (REIT)		6,611,632
	476,704	DDR Corp. (REIT)		6,959,878
	74,721	Federal Realty Investment Trust (REIT)		7,232,246
	550,583	General Growth Properties, Inc. (REIT)		9,354,405


Shares		Description	Value
Common Stocks — (continued)
Retail — (continued)
	727,275	Kimco Realty Corp. (REIT)	$	14,007,317
	115,240	Regency Centers Corp. (REIT)		5,125,875
	415,649	Simon Property Group, Inc. (REIT)		60,551,746
	194,151	Tanger Factory Outlet Centers, Inc. (REIT)		5,772,109
	95,509	Taubman Centers, Inc. (REIT)		6,967,382

				122,582,590

Self Storage — 6.4%
	231,370	Public Storage (REIT)		31,968,393

TOTAL INVESTMENTS — 97.7%				$489,443,965

OTHER ASSETS IN EXCESS OF LIABILITIES — 2.3%				11,572,065

NET ASSETS — 100.0%				$501,016,030


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



Investment Abbreviation:
REIT —		Real Estate Investment Trust


For information on the mutual funds, please call our toll-free Shareholder Services Line at 1-800-526-7384 or visit us on the web at www.goldmansachsfunds.com.

GOLDMAN SACHS SELECT SATELLITE FUNDS

Schedule of Investments (continued)

March 31, 2012 (Unaudited)

NOTES TO THE SCHEDULE OF INVESTMENTS

Investment Valuation — The Fund’s valuation policy is to value investments at fair value. Debt securities for which market quotations are readily available are valued on the basis of quotations supplied by dealers or furnished by an independent pricing service approved by the trustees. The pricing services may use valuation models or matrix pricing, which consider: (i) yield or price with respect to bonds that are considered comparable in characteristics such as rating, interest rate and maturity date or (ii) quotations from securities dealers to determine current value. Short-term debt obligations that mature in sixty days or less and that do not exhibit signs of credit deterioration are valued at amortized cost, which approximates fair value.

Equity securities and investment companies traded on a United States (“U.S.”) securities exchange or the NASDAQ system are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If no sale occurs, such securities and investment companies are valued at the last bid price for long positions and at the last ask price for short positions. Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price. Investments in investment companies (other than those that are exchange traded) are valued at the net asset value per share (“NAV”) of the investment company on the valuation date.

If quotations are not readily available, or if Goldman Sachs Asset Management, L.P. (“GSAM”) believes that such quotations do not accurately reflect fair value, the fair value of the Fund’s investments may be determined under valuation procedures approved by the trustees. GSAM, consistent with their 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 they believe to be the fair value of the securities at the time of determining the Funds’ 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.

Fair Value of Investments — The fair value of a financial instrument is 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). Accounting principles generally accepted in the United States of America (“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

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March 31, 2012 (Unaudited)

NOTES TO THE SCHEDULE OF INVESTMENTS (continued)

(Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy are described below:

Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;

Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;

Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).

The levels used for classifying investments are not necessarily an indication of the risk associated with investing in those investments.

The following is a summary of the Funds’ investments and derivatives categorized in the fair value hierarchy as of March 31, 2012:

ABSOLUTE RETURN TRACKER


Investment Type	Level 1			Level 2			Level 3

Assets
Fixed Income
Commodity Index Linked Structured Notes	$	—		$	30,626,991		$	—
U.S. Treasury Obligations and/or Other U.S. Government Agencies		1,582,347,573			420,000,000			—
Common Stock and/or Other Equity Investments		74,211,680			—			—
Repurchase Agreements		—			451,100,000			—

Total	$	1,656,559,253		$	901,726,991		$	—


Derivative Type

Assets^(a)
Futures Contracts	$	14,947,168		$	—		$	—
Forward Foreign Currency Exchange Contracts		—			1,494,805			—

Liabilities^(a)
Futures Contracts	$	(1,748,727	)	$	—		$	—
Forward Foreign Currency Exchange Contracts		—			(188,898	)		—


COMMODITY STRATEGY
Investment Type	Level 1			Level 2			Level 3

Assets
Fixed Income
Mortgage-Backed Obligations	$	—		$	76,401,083		$	—
U.S. Treasury Obligations and/or Other U.S. Government Agencies		368,235,287			57,442,052			—
Asset-Backed Securities		—			264,021			—
Government Guarantee Obligations		—			24,564,382			—
Short-term Investment		300,793,661			—			—

Total	$	669,028,948		$	158,671,538		$	—


Derivative Type

Assets^(a)
Futures Contracts	$	670,911		$	—		$	—
Interest Rate Swap Contracts		—			126,162			—
Total Return Swap Contracts		—			61,396			—

Total	$	670,911		$	187,558		$	—

Liabilities^(a)
Futures Contracts	$	(45,966	)	$	—		$	—
Interest Rate Swap Contracts		—			(94,852	)		—
Total Return Swap Contracts		—			(25,577,677	)		—

Total	$	(45,966	)	$	(25,672,529	)	$	—

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Schedule of Investments (continued)

March 31, 2012 (Unaudited)

NOTES TO THE SCHEDULE OF INVESTMENTS (continued)


DYNAMIC ALLOCATION
Investment Type	Level 1			Level 2			Level 3

Assets
Fixed Income
Commodity Index Linked Structured Notes	$	—		$	33,942,070		$	—
U.S. Treasury Obligations and/or Other U.S. Government Agencies		183,761,224			—			—
Common Stock and/or Other Equity Investments		85,742,200			—			—
Short-term Investment		252,752,659			—			—

Total	$	522,256,083		$	33,942,070		$	—


Derivative Type

Assets^(a)
Futures Contracts	$	1,265,867		$	—		$	—
Credit Default Swap Contracts		—			2,374,049			—

Liabilities^(a)
Futures Contracts	$	(1,782,057	)	$	—		$	—
Credit Default Swap Contracts		—			(8,025	)		—


INTERNATIONAL REAL ESTATE SECURITIES
Investment Type	Level 1			Level 2			Level 3

Assets
Common Stock and/or Other Equity Investments	$	32,184,509		$	263,467,008	^(b)	$	—


Derivative Type

Liabilities^(a)
Forward Foreign Currency Exchange Contracts	$	—		$	(717	)	$	—


MANAGED FUTURES STRATEGY
Derivative Type

Assets^(a)
Futures Contracts	$	21,557		$	—		$	—
Forward Foreign Currency Exchange Contracts		—			14,966			—

Liabilities^(a)
Futures Contracts	$	(27,733	)	$	—		$	—
Forward Foreign Currency Exchange Contracts		—			(68,167	)		—


REAL ESTATE SECURITIES
Investment Type	Level 1			Level 2			Level 3

Assets
Common Stock and/or Other Equity Investments	$	489,443,965		$	—		$	—


(a) Amount shown represents unrealized gain (loss) at period end.

(b) To adjust for the time difference between local market close and the calculation of net asset value, the Funds utilize fair value model prices for international equities provided by an independent fair value service resulting in a Level 2 classification.

Investments in Derivatives — The Funds may make investments in derivative instruments, including, but not limited to options, futures, swaps, swaptions and other derivatives relating to foreign currency transactions. A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. Derivative instruments may be privately negotiated contracts (often referred to as over the counter (“OTC”) derivatives) or they may be listed and traded on an exchange. Derivative contracts may involve future commitments to purchase or sell financial instruments or commodities at specified terms on a specified date, or to exchange interest payment streams or currencies based on a notional or contractual amount. Derivative instruments may involve a high degree of financial risk. The use of derivatives also involves the risk of loss if the investment adviser is incorrect in its expectation of the timing or level of fluctuations in securities prices, interest rates or currency prices. Investments in derivative instruments also include the risk of default by the counterparty, the risk that the investment may not be liquid and/or the risk that a small movement in the price of the underlying security or benchmark may result in a disproportionately large movement, unfavorable or favorable, in the price of the derivative instrument.

During the period ended March 31, 2012, the Absolute Return Tracker, Commodity Strategy, Dynamic Allocation and Managed Futures Strategy Funds entered into certain derivative contract types. These instruments were used to meet the Funds’ investment objectives and to obtain and/or manage exposure related to the risks below. The following table sets forth, by certain risk types, the gross value of these derivative contracts for trading activities as of March 31, 2012. The values in the table below exclude the effects of cash collateral received or posted pursuant to these derivative contracts, and therefore are not representative of the Funds’ net exposure.

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Schedule of Investments (continued)

March 31, 2012 (Unaudited)

NOTES TO THE SCHEDULE OF INVESTMENTS (continued)

Absolute Return Tracker


Risk	Assets			Liabilities

Currency	$	1,494,805		$	(188,898	)

Equity		12,709,987	^(a)		(1,748,727	)^(a)

Interest Rate		2,237,181	^(a)		—

Total	$	16,441,973		$	(1,937,625	)


Commodity Strategy

Risk	Assets			Liabilities

Commodity	$	61,396		$	(25,577,677	)^(b)

Interest Rate		797,073	^(a)		(140,818	)^(a)(b)

Total	$	858,469		$	(25,718,495	)


Dynamic Allocation

Risk	Assets			Liabilities

Credit	$	2,374,049		$	(8,025	)^(b)

Equity		1,111,836	^(a)		(963,939	)^(a)

Interest Rate		154,031	^(a)		(818,118	)^(a)

Total	$	3,639,916		$	(1,790,082	)


International Real Estate Securities

Risk				Liabilities

Currency				$	(717	)


Managed Futures Strategy

Risk	Assets			Liabilities

Currency	$	14,966		$	(68,167	)

Equity		21,557	^(a)		(27,733	)^(a)

Total	$	36,523		$	(95,900	)


(a) Includes unrealized gain (loss) on futures contracts described in the Additional Investment Information sections of the Schedules of Investments.

(b) Aggregate of amounts include $25,672,529 and $8,025 for the Commodity Strategy and Dynamic Allocation Funds, respectively, which represents the payments to be made pursuant to bilateral agreements should counterparties exercise their “right to terminate” provisions based on, among others, the Funds’ performance, their failure to pay on its obligations or failure to pledge collateral. Such amounts do not include incremental charges directly associated with the close-out of the agreements. They also do not reflect the fair value of any assets pledged as collateral which, through the daily margining process, substantially offsets the aforementioned amounts and for which the Funds are entitled to a full return.

Commodity Index-Linked Structured Notes — The Absolute Return Tracker, Commodity Strategy, Dynamic Allocation and Managed Futures Strategy Funds may invest in structured notes whose values are based on the price movements of a commodity index. These commodity index-linked structured notes are valued daily by the issuing counterparties under procedures approved by the trustees. The value of these notes will rise and fall in response to changes in the underlying commodity or related index or investment. These notes are often leveraged, increasing the volatility of each note’s value relative to the change in the underlying linked index. Commodity index-linked investments may be more volatile and less liquid than the underlying index and their value may be affected by the performance of commodities as well as other factors including liquidity, quality, maturity and other economic variables. These notes are subject to prepayment, credit and interest rate risks.

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Schedule of Investments (continued)

March 31, 2012 (Unaudited)

NOTES TO THE SCHEDULE OF INVESTMENTS (continued)

These notes have an automatic redemption feature if the underlying index declines from the entrance date by the amount specified in the agreement. The Funds have the option to request prepayment from the issuer at any time. Interim payments received/(paid) are recorded as net realized gains (losses), and at maturity, or when a structured note is sold, the Funds record a realized gain or loss.

Foreign Currency Translation — The accounting records and reporting currency of the Funds are maintained in U.S. dollars. Investments and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using the current exchange rates at the close of each business day. The effect of changes in foreign currency exchange rates on investments is included within net realized and unrealized gain (loss) on investments. Changes in the value of other assets and liabilities as a result of fluctuations in foreign exchange rates are included in the Statements of Operations within unrealized gain (loss) on foreign currency translations. Transactions denominated in foreign currencies are translated into U.S. dollars on the date the transaction occurred, the effects of which are included within realized gain (loss) on foreign currency transactions.

Forward Foreign Currency Exchange Contracts — All forward foreign currency exchange contracts are marked to market daily at the applicable forward rate. Unrealized gains or losses on forward foreign currency exchange contracts are recorded by the Funds on a daily basis, and realized gains or losses are recorded on the settlement date of a contract.

Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.

The contractual amounts of forward foreign currency exchange contracts do not necessarily represent the amounts potentially subject to risk, and the overall risk at the portfolio level may be mitigated by any applicable related and offsetting transactions. The Funds must set aside liquid assets, or engage in other appropriate measures, to cover their obligations under these contracts.

Futures Contracts — Futures contracts are valued at the last settlement price, or in the absence of a sale, the last bid price for long positions and the last ask price for short positions, at the end of each day on the board of trade or exchange upon which they are traded. Upon entering into a futures contract, the Funds deposit cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by the Funds equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset in unrealized gains or losses. The Funds recognize a realized gain or loss when a contract is closed or expires.

The use of futures contracts involves, to varying degrees, elements of market and counterparty risk which may exceed the amounts recognized in the Statements of Assets and Liabilities. Futures contracts may be illiquid, and exchanges may limit fluctuations in futures contract prices during a single day. Changes in the value of a futures contract may not directly correlate with changes in the value of the underlying securities. These risks may decrease the effectiveness of the Funds’ strategies and potentially result in a loss. The Funds must set aside liquid assets, or engage in other appropriate measures, to cover their obligations under these contracts.

Mortgage-Backed and Asset-Backed Securities — The Commodity Strategy, Dynamic Allocation, Real Estate Securities, International Real Estate Securities and Managed Futures Strategy Funds may invest in mortgage-backed and/or asset-backed securities. Mortgage-backed securities represent direct or indirect participations in, or are collateralized by and payable from, mortgage loans secured by residential and/or commercial real property. These securities may include mortgage pass-through securities, collateralized mortgage obligations, real estate mortgage investment conduit pass-through or participation certificates and stripped mortgage-backed securities. Asset-backed securities include securities whose principal and interest payments are collateralized by pools of assets such as auto loans, credit card receivables, leases, installment contracts and personal property. Asset-backed securities also include home equity line of credit loans and other second-lien mortgages.

GOLDMAN SACHS SELECT SATELLITE FUNDS

Schedule of Investments (continued)

March 31, 2012 (Unaudited)

NOTES TO THE SCHEDULE OF INVESTMENTS (continued)

The value of certain mortgage-backed and asset-backed securities (including adjustable rate mortgage loans) may be particularly sensitive to changes in prevailing interest rates. The value of these securities may also fluctuate in response to the market’s perception of the creditworthiness of the issuers. Early repayment of principal on mortgage-backed or asset-backed securities may expose a Fund to the risk of earning a lower rate of return upon reinvestment of principal. Asset-backed securities may present credit risks that are not presented by mortgage-backed securities because they generally do not have the benefit of a security interest in collateral that is comparable to mortgage assets. Some asset-backed securities may only have a subordinated claim on collateral. In addition, while mortgage-backed and asset-backed securities may be supported by some form of government or private guarantee and/or insurance, there is no assurance that private guarantors or insurers, if any, will meet their obligations.

Stripped mortgage-backed securities are usually structured with two different classes: one that receives substantially all of the interest payments (the interest-only, or “IO” and/or the high coupon rate with relatively low principal amount, or “IOette”), and the other that receives substantially all of the principal payments (the principal-only, or “PO”) from a pool of mortgage loans. Little to no principal will be received at the maturity of an IO; as a result, periodic adjustments are recorded to reduce the cost of the security through maturity. These adjustments are included in interest income. Payments received for PO’s are treated as a proportionate reduction to the cost basis of the securities and excess amounts are recorded as gains.

Mortgage Dollar Rolls — The Absolute Return Tracker, Commodity Strategy, Dynamic Allocation, International Real Estate Securities and Real Estate Securities Funds may enter into mortgage dollar rolls (“dollar rolls”) in which the Funds sell securities in the current month for delivery and simultaneously contract with the same counterparty to repurchase similar (same type, coupon and maturity) but not identical securities on a specified future date. The Funds treat dollar rolls as two separate transactions: one involving the purchase of a security and a separate transaction involving a sale.

During the settlement period between sale and repurchase, the Funds will not be entitled to accrue interest and principal payments on the securities sold. Dollar roll transactions involve the risk that the market value of the securities sold by the Funds may decline below the repurchase price of those securities. In the event the buyer of the securities in a dollar roll transaction files for bankruptcy or becomes insolvent, the Funds’ use of proceeds from the transaction may be restricted pending a determination by, or with respect to, the other counterparty.

Repurchase Agreements — The Funds may enter into repurchase agreements which involve the purchase of securities subject to the seller’s agreement to repurchase the securities at a mutually agreed upon date and price. During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of the Funds, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. If the seller defaults or becomes insolvent, realization of the collateral by the Funds may be delayed or limited and there may be a decline in the value of the collateral during the period while the Funds seek to assert their rights. The underlying securities for all repurchase agreements are held at the Funds’ custodians or designated sub-custodians under tri-party repurchase agreements.

Short Sales — The Absolute Return Tracker, Dynamic Allocation and Managed Futures Strategy Funds may engage in short selling. In these transactions, the Funds sell a financial instrument they do not own in anticipation of a decline in the market value of the instrument, then must borrow the instrument to make delivery to the buyer. The Funds are obligated to deliver the financial instrument at the market price at the time the short position is closed. The price at such time may be more or less than the price at which the instrument was sold by the Funds, which may result in a loss or gain, respectively. Unlike purchasing a financial instrument like a stock, where potential losses are limited to

GOLDMAN SACHS SELECT SATELLITE FUNDS

Schedule of Investments (continued)

March 31, 2012 (Unaudited)

NOTES TO THE SCHEDULE OF INVESTMENTS (continued)

the purchase price and there is no upside limit on potential gain, short sales involve no cap on maximum losses, while gains are limited to the price of the stock at the time of the short sale. Liabilities for securities sold short are reported at market value on the Statements of Assets and Liabilities and the change in market value is recorded as unrealized gain or loss on the Statements of Operations. The Funds will record a realized loss if the price of the security increases between the date of the short sale and the date on which the Funds close the short position. The Funds will record a realized gain if the price of the security declines between those dates.

The Funds may, during the term of any short sale, withdraw the cash proceeds of such short sale and use these cash proceeds to purchase additional securities or for any other purposes of the Funds. Because cash proceeds are Fund assets which are typically used to satisfy the collateral requirements for the short sale, the reinvestment of these cash proceeds may require the Funds to post as collateral other securities that it owns. If the Funds reinvest the cash proceeds, the Funds might be required to post an amount greater than their net assets (but less than their total assets) as collateral. For these or other reasons, the Funds might be required to liquidate long and short positions at times that may be disadvantageous to the Funds. Cash collateral posted by the Funds is recorded as an asset on the Statements of Assets and Liabilities. Securities segregated as collateral are denoted in the Schedule of Investments.

Short sales involve other costs. The Funds must normally repay to the lender an amount equal to any dividend and financing cost that accrues while the loan is outstanding. Dividends on short positions are recorded on the Statements of Operations as dividend expense on securities sold short on ex-dividend date. In addition, to borrow the security, the Funds may be required to pay a premium. The Funds will also incur transaction costs in effecting short sales. These costs incurred by the Funds are recorded as interest expense on securities sold short in the Statements of Operations. The amount of any ultimate gain for the Funds resulting from a short sale will be decreased, and the amount of any ultimate loss will be increased, by the amount of premiums, dividends, interest or expenses the Funds may be required to pay in connection with short sale.

Swap Contracts — Swaps are marked to market daily using either pricing vendor quotations, counterparty prices or model prices, and the change in value, if any, is recorded as an unrealized gain or loss. Upfront payments made and/or received by the Funds are recorded as an asset and/or liability, and realized gains or losses are recognized ratably over the contract’s term/event, with the exception of forward starting interest rate swaps, whose realized gains or losses are recognized ratably from the effective start date. Periodic payments received or made on swap contracts are recorded as realized gains or losses. Gains or losses are realized upon termination of a swap contract and are recorded on the Statements of Operations.

Risks may arise as a result of the failure of the counterparty to the swap contract to comply with the terms of the swap contract. The loss incurred by the failure of a counterparty is generally limited to the net payment to be received by the Funds and/or the termination value at the end of the contract. Therefore, GSAM considers the creditworthiness of each counterparty to a contract in evaluating potential credit risk. Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying reference asset or index. Entering into these agreements involves, to varying degrees, market risk, liquidity risk and elements of credit, legal and documentation risk in excess of amounts recognized in the Statements of Assets and Liabilities. The Funds may pay or receive cash as collateral on these contracts which is recorded as an asset and/or liability. The Funds must set aside liquid assets, or engage in other appropriate measures, to cover their obligations under these contracts. The Funds may invest in the following types of swaps:

An interest rate swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals, based upon or calculated by reference to changes in specified prices, rates or indices for a specified amount of an underlying asset or notional principal amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.

GOLDMAN SACHS SELECT SATELLITE FUNDS

Schedule of Investments (continued)

March 31, 2012 (Unaudited)

NOTES TO THE SCHEDULE OF INVESTMENTS (continued)

A credit default swap is an agreement that involves one party making a stream of payments to another party in exchange for the right to receive protection on a reference security or obligation. A Fund may use credit default swaps to provide a measure of protection against defaults of the reference security or obligation or to take a short position with respect to the likelihood of default. A Fund’s investment in credit default swaps may involve greater risks than if the Fund had invested in the referenced obligation directly. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. If a Fund buys protection through a credit default swap and no credit event occurs, its payments are limited to the periodic payments previously made to the counterparty. Upon the occurrence of a specified credit event, a Fund, as a buyer of credit protection, is entitled to receive an amount equal to the notional amount of the swap and deliver to the seller the defaulted reference obligation in a physically settled trade. A Fund may also receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in a cash settled trade.

As a seller of protection, a Fund generally receives a payment stream throughout the term of the swap, provided that there is no credit event. In addition, if the Fund sells protection through a credit default swap, the Fund could suffer a loss because the value of the referenced obligation may be less than the premium payments received. Upon the occurrence of a specified credit event, a Fund, as a seller of credit protection, may be required to take possession of the defaulted reference obligation and pay the buyer an amount equal to the notional amount of the swap in a physically settled trade. A Fund may also pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in a cash settled trade. Recovery values are at times established through the credit event auction process in which market participants are ensured that a transparent price has been set for the defaulted security or obligation. In addition, a Fund is entitled to a return of any assets, which have been pledged as collateral to the counterparty.

The maximum potential amount of future payments (undiscounted) that the Funds as sellers of protection could be required to make under a credit default swap would be an amount equal to the notional amount of the agreement. These potential amounts would be partially offset by any recovery values of the respective referenced obligations or net amounts received from a settlement of a credit default swap for the same reference security or obligation where the Funds bought credit protection.

A total return swap is an agreement that gives a Fund the right to receive the appreciation in the value of a specified security, index or other instrument in return for a fee paid to the counterparty, which will typically be an agreed upon interest rate. If the underlying asset declines in value over the term of the swap, a Fund may also be required to pay the dollar value of that decline to the counterparty.

Treasury Inflation Protected Securities — The Funds may invest in treasury inflation protected securities (“TIPS”), including structured bonds in which the principal amount is adjusted daily to keep pace with inflation, as measured by the U.S. Consumer Pricing Index for Urban Consumers. The adjustments to principal due to inflation/deflation are reflected as increases/decreases to interest income with a corresponding adjustment to cost. Such adjustments may have a significant impact on the Funds’ distributions and may result in a return of capital to shareholders. The repayment of the original bond principal upon maturity is guaranteed by the full faith and credit of the U.S. Government.

When-Issued Securities and Forward Commitments — The Absolute Return Tracker, Commodity Strategy, Dynamic Allocation, International Real Estate Securities and Real Estate Securities Funds may purchase when-issued securities, including TBA (“To Be Announced”) securities that have been authorized, but not yet issued in the market. When-issued securities are purchased in order to secure what is considered to be an advantageous price or yield to the Fund at the time of entering into the transaction. A forward commitment involves entering into a contract to purchase or sell securities, typically on an extended settlement basis, for a fixed price at a future date. The purchase of securities on a when-issued or forward commitment basis involves a risk of loss if the value of the security to be purchased declines before the settlement date. Conversely, the sale of securities on a forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. Although the Funds will generally purchase securities on a when-issued or forward commitment basis with

GOLDMAN SACHS SELECT SATELLITE FUNDS

Schedule of Investments (continued)

March 31, 2012 (Unaudited)

NOTES TO THE SCHEDULE OF INVESTMENTS (continued)

the intention of acquiring the securities for their portfolios, the Funds may dispose of when-issued securities or forward commitments prior to settlement which may result in a realized gain or loss. When purchasing a security on a when-issued basis or entering into a forward commitment, the Funds must set aside liquid assets, or engage in other appropriate measures to cover their obligations under these contracts.

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

Foreign Custody Risk — A Fund that invests in foreign securities may hold such securities and foreign currency with foreign banks, agents, and securities depositories appointed by the Fund’s custodian (each a “Foreign Custodian”). In some countries, Foreign Custodians may be subject to little or no regulatory oversight or independent evaluation of their operations. Further, the laws of certain countries may place limitations on a Fund’s ability to recover its assets if a Foreign Custodian enters into bankruptcy. Investments in emerging markets may be subject to greater custody risks than investments in more developed markets. Custody services in emerging market countries are often undeveloped and may be less regulated than in more developed countries, and thus may not afford the same level of investor protection as would apply in developed countries.

Funds’ Shareholder Concentration Risk — Certain funds, accounts, individuals or Goldman Sachs affiliates may from time to time own (beneficially or of record) or control a significant percentage of the Funds’ shares. Redemptions by these entities of their holdings in the Funds may impact the Funds’ liquidity and NAV. These redemptions may also force the Funds to sell securities.

Investments in Other Investment Companies — As a shareholder of another investment company, including an exchange trade fund (“ETF”), a Fund will indirectly bear its proportionate share of any management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Fund. ETFs are subject to risks that do not apply to conventional funds, including but not limited to: (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.

Liquidity Risk — The Funds may make investments that may be illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Liquidity risk may also refer to the risk that a Fund 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 Fund 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 Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, the Funds may also be exposed to credit risk in the event that an issuer fails to perform or that an institution or entity with which the Funds have unsettled or open transaction defaults.

Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. These risks include revaluation of currencies, high rates of inflation, repatriation restrictions on income and capital, and adverse political and economic developments. Moreover, securities issued in these markets may be less liquid, be subject to government ownership controls, have delayed settlements and their prices may be more volatile than those of comparable securities in the U.S.

Portfolio Concentration Risk — The Real Estate Securities Fund and the International Real Estate Securities Fund invest primarily in securities of issuers (non-U.S. issuers, in the case of International Real Estate Securities Fund) that are primarily engaged in or related to the real estate industry, and each Fund has a policy of concentrating its investments in the real estate industry. Therefore, investments in the Funds are subject to certain risks associated with the real estate industry in general. Such risks include, but are not limited to, declines in property values, increases in property taxes, operating expenses, interest rates or competition, zoning changes, and losses from casualty and condemnation.

Item 2. Controls and Procedures.

(a) The Registrant’s President/Principal Executive Officer and Principal Financial Officer concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) were effective as of a date within 90 days prior to the filing date of this report (the “Evaluation Date”), based on their evaluation of the effectiveness of the Registrant’s disclosure controls and procedures as of the Evaluation Date.

(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the Registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 3. Exhibits.

(a) Separate certifications for the President/Principal Executive Officer and the Principal Financial Officer of the Registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)) are filed herewith.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.


(Registrant)	Goldman Sachs Trust

By (Signature and Title)*		/s/ JAMES A. McNAMARA, PRESIDENT/PRINCIPAL EXECUTIVE OFFICER

Date	May 29, 2012

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.


By (Signature and Title)*		/s/ JAMES A. McNAMARA, PRESIDENT/PRINCIPAL EXECUTIVE OFFICER

Date	May 29, 2012

By (Signature and Title)*		/s/ GEORGE F. TRAVERS, PRINCIPAL FINANCIAL OFFICER

Date	May 29, 2012

* Print the name and title of each signing officer under his or her signature.


Peter V. Bonanno, Esq. Goldman, Sachs & Co. 200 West Street New York, New York 10282		Copies to: Geoffrey R.T. Kenyon, Esq. Dechert LLP 200 Clarendon Street 27^th Floor Boston, MA 02116-5021


Registrant’s telephone number, including area code:		(312) 655-4400



Tax cost	$	827,526,542

Gross unrealized gain		586,001
Gross unrealized loss		(412,057	)

Net unrealized security gain	$	173,944



Tax cost	$	555,328,738

Gross unrealized gain		6,329,170
Gross unrealized loss		(5,459,755	)

Net unrealized security gain	$	869,415



Tax cost	$	363,621,228

Gross unrealized gain		128,248,222
Gross unrealized loss		(2,425,485	)

Net unrealized security gain	$	125,822,737