UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-05349

Goldman Sachs Trust

(Exact name of registrant as specified in charter)

71 South Wacker Drive, Chicago, Illinois 60606

(Address of principal executive offices) (Zip code)

Caroline Kraus, Esq.	Copies to:
Goldman, Sachs & Co.	Geoffrey R.T. Kenyon, Esq.
200 West Street	Dechert LLP
New York, New York 10282	100 Oliver Street
	40th Floor
	Boston, MA 02110-2605

(Name and address of agents for service)

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

Date of fiscal year end: March 31

Date of reporting period: September 30, 2016

ITEM 1. REPORTS TO STOCKHOLDERS.

The Semi-Annual Report to Shareholders is filed herewith.

Goldman Sachs Funds

Semi-Annual Report	September 30, 2016
	Fixed Income Alternatives Funds
	Fixed Income Macro Strategies
	Long Short Credit Strategies

Goldman Sachs Fixed Income Alternatives Funds

n FIXED INCOME MACRO STRATEGIES FUND

n LONG SHORT CREDIT STRATEGIES FUND

TABLE OF CONTENTS
Investment Process	1
Portfolio Management Discussion and Performance Summaries	2
Schedules of Investments	17
Financial Statements	40
Financial Highlights	44
Notes to Financial Statements	48
Other Information	71

NOT FDIC-INSURED May Lose Value No Bank Guarantee

GOLDMAN SACHS FIXED INCOME ALTERNATIVES FUNDS

What Differentiates Goldman Sachs’ Fixed Income

Macro Strategies Fund Investment Process?

The Goldman Sachs Fixed Income Macro Strategies Fund (the “Fund”) seeks to generate long-term absolute return. Changes in global fixed income and currency markets have created opportunities for generating attractive returns through fixed income alternative and unconstrained investment strategies.

Our investment process seeks to create excess returns by:

n Adopting a global perspective to compare and contrast investment opportunities around the world

n Employing eight specialist strategy teams that each conduct very detailed fundamental and quantitative research in their search for attractive investments

n Capturing the value in the inherent diversification benefits among the different investment strategies

n Using a disciplined risk-management approach to implement the strategy

We believe the following characteristics drive the implementation and execution of the Fund’s investment process:

n The Fund invests in a portfolio of fixed income, currency, and commodities in an attempt to generate returns different from traditional asset classes.

n Alternative investments do not necessarily move in tandem with traditional asset classes, such as stocks, bonds and credit. By adding them to the portfolio the Fund seeks to enhance its overall risk/return profile of its investors.

n The Fund seeks to generate returns in up and down markets when asset classes are in or out of favor.

n The Fund employs alternative investment techniques — such as hedging, leverage and shorting that may provide an opportunity for the Fund to achieve its goal of absolute returns.

n We have over 300 investment professionals covering multiple sectors of the global fixed income market who are focused on finding investment ideas for our portfolio.

n The senior professionals on the team have an average of over 20 years of investment experience through multiple market cycles.

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PORTFOLIO RESULTS

Goldman Sachs Fixed Income Macro Strategies Fund

Investment Objective

The Fund seeks to generate long-term absolute return.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Fixed Income Investment Management Team discusses the Goldman Sachs Fixed Income Macro Strategies Fund’s (the “Fund”) performance and positioning for the six-month period ended September 30, 2016 (the “Reporting Period”).

Q How did the Fund perform during the Reporting Period?

A During the Reporting Period, the Fund’s Class A, C, Institutional, IR and R Shares generated cumulative total returns, without sales charges, of -0.57%, -0.91%, -0.34%, -0.45% and -0.68%, respectively. These returns compare to the 0.30% cumulative total return of the Fund’s benchmark, the Bank of America Merrill Lynch U.S. Dollar Three-Month LIBOR Constant Maturity Index (“the Index”) during the same time period.

Because the composition of the Index (e.g., short-term cash securities) is not comparable to the range of instruments in which the Fund may transact (e.g., various fixed income, currency and commodities instruments), references to the Index are for informational purposes only and are not an indication of how the Fund is managed.

Q What economic and market factors most influenced the fixed income market as a whole during the Reporting Period?

A During the second quarter of 2016 when the Reporting Period began, spread, or non-government bond, sectors rallied on stabilization of commodities prices as well as on declining fears about slowing Chinese economic growth and the potential for a U.S. economic recession. Global interest rates broadly declined amid continued accommodative monetary policy from the world’s central banks. In the U.S., minutes from the Federal Reserve’s (the “Fed”) April 2016 policy meeting, released in mid-May 2016, suggested to many observers that policymakers might raise interest rates in June 2016 if U.S. economic growth strengthened, employment data firmed and inflation rose toward the Fed’s 2% target. In early June 2016, however, the release of weak May 2016 employment data raised concerns about the health of the U.S. economy, pushing down market expectations of a Fed rate hike. Indeed, the Fed did not raise interest rates at its June 2016 policy meeting. In the last week of June 2016, the unexpected “leave” vote in the U.K. referendum on membership in the European Union, popularly known as Brexit, renewed investor uncertainty about the path of global economic growth. Spread sectors withstood the Brexit vote relatively well, selling off at first but then recovering most of their losses afterwards. The U.S. dollar strengthened versus most global currencies during the second calendar quarter, though it weakened against the Japanese yen.

During the third calendar quarter, spread sectors continued to advance. Overall, global interest rates remained low, as the world’s central banks remained broadly accommodative. In July 2016, however, the Fed’s policy statement was more hawkish than most observers expected, reflecting cautious optimism amid the market’s relatively muted reaction to the Brexit outcome and strengthening U.S. economic data. (Hawkish implies higher interest rates; opposite of dovish.) The July 2016 U.S. non-farm payrolls report showed 255,000 new jobs were added, exceeding market expectations and countering a disappointing second quarter 2016 gross domestic product (“GDP”) report that showed growth of 1.2%. The European Central Bank (“ECB”) kept interest rates unchanged during July 2016. The Bank of Japan (“BoJ”), meanwhile, fell short of market expectations with the announcement of an equity purchase program and the lack of key monetary measures, such as an interest rate cut and increased government bond purchases. In August 2016, the Bank of England (“BoE”) unveiled a “timely, coherent and comprehensive package,” as described by Governor Mark Carney, which included a number of measures intended to help the U.K. economy navigate a post-Brexit environment. Although the ECB kept monetary policy unchanged during the month, the European and U.K. credit markets received technical, or supply/demand, support from the ongoing corporate bond purchases of central banks. In the

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PORTFOLIO RESULTS

U.S., non-farm payroll gains moderated in August 2016 and manufacturing and services data weakened, but continued hawkish comments from the Fed boosted market expectations of a rate hike by the end of 2016. However, at its September 2016 policy meeting, the Fed kept short-term interest rates unchanged. In Japan, during September 2016, the BoJ announced a new “yield curve control” framework designed to steepen Japan’s government bond yield curve and alleviate the impact on financial institutions of low longer-term rates. (Yield curve indicates a spectrum of maturities.) During the third quarter of 2016, the U.S. dollar depreciated versus many world currencies.

For the Reporting Period overall, high yield corporate bonds outperformed U.S. Treasuries by a double-digit margin, followed at some distance by sovereign emerging markets debt and investment grade corporate bonds. Commercial mortgage-backed securities, agency securities, mortgage-backed securities and asset-backed securities also outperformed U.S. Treasuries, albeit more modestly. The U.S. Treasury yield curve, or spectrum of maturities, flattened during the Reporting Period, as yields on maturities of less than four years rose and yields on maturities of four years and longer fell. The yield on the bellwether 10-year U.S. Treasury dropped approximately 17 basis points to end the Reporting Period at 1.59%. (A basis point is 1/100th of a percentage point. A flattening yield curve is one wherein the differential in yields between longer-term and shorter-term maturities narrows.)

Q What key factors were responsible for the Fund’s performance during the Reporting Period?

A The Fund seeks long-term absolute return through the implementation of relative value, long/short, absolute return, macro and other strategies that aim to exploit disparities or inefficiencies in the global fixed income, currency and commodities markets. Relative value strategy means to simultaneously take long and short positions within an investment portfolio. A long/short strategy seeks to produce returns with risk and volatility that are uncorrelated with general global market risk and volatility by simultaneously taking long and short exposures in approximately equal amounts. Absolute return is the return of an investment and is not relative to a benchmark. We believe absolute return performance may be uncorrelated to fixed income and equity markets over the long-term. The Fund may also employ a macro hedge to seek to mitigate the risk of market movements (either up or down), potentially enabling the Fund to pursue returns in a variety of market cycles. In addition, the Fund may use derivatives instead of buying and selling bonds to manage duration, to gain exposure to or to short individual securities, or to gain exposure to an index. Duration is a measure of the Fund’s sensitivity to changes in interest rates.

Investment ideas for the Fund are generated through our specialized top-down and bottom-up strategy teams, in the following areas: Tactical Duration; Country Relative Value; Fundamental Currency; Commodities; Sector Allocation; Government and Swaps; Liquid Mortgages; and Emerging Markets Debt.

Derivatives are used in combination with cash securities to implement our views in the Fund. During the Reporting Period, the Fund underperformed the Index largely because of its Commodities and Fundamental Currency strategies. Within the Commodities strategy, the Fund’s losses were driven by its short positions in grains, natural gas and crude oil as well as by its long position in corn versus its short position in soybeans. The Commodities strategy uses a blend of commodity futures and options. Within the Fundamental Currency strategy, the Fund was hurt by its short positions in Asian currencies, including the South Korean won and the New Taiwan dollar, and by its long position in the Mexican peso. The Fundamental Currency strategy employs a mix of non-deliverable currency forwards, forward foreign currency exchange contracts and/or currency options.

Conversely, the Fund benefited during the Reporting Period from its Emerging Markets Debt strategy. More specifically, long positions in Brazilian and Colombian local debt added to results. Performance was primarily driven by the appreciation of the Brazilian real and the Colombian peso, respectively, versus the U.S. dollar. Other notable contributors were the Fund’s short positions in Turkish and Malaysian local debt and its long positions in Argentinian, Russian and Mexican local debt. The Fund was also helped by its short position in Lebanese external debt and its long position in Zambian external debt. The Emerging Markets Debt strategy is implemented using cross currency swaps. Within the Liquid Mortgages strategy, security selection and relative value positions in the coupon stack (i.e., across securities with different coupons) added to results. Agency mortgage-backed securities outperformed duration-neutral U.S. Treasuries during the Reporting Period, benefiting from low volatility and demand from both foreign investors and U.S. commercial banks looking for yield. The Liquid Mortgages strategy is implemented via agency securities, which may include mortgage-backed securities forward agreements (known as “TBAs”) as well as interest only and principal only strips.

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PORTFOLIO RESULTS

(Strips are a type of security for which the holder is only entitled to receive regular cash flows derived from incoming interest payments or principal repayments on an underlying loan pool.) Within the Government and Swaps strategy, the Fund benefited from its short position in crude oil versus its long positions in Treasury inflation protected securities (“TIPS”). The Fund also saw gains from its long positions in inflation-linked securities in the U.S., Europe and Japan. In addition, the Fund’s steepening position on the U.S. Treasury yield curve added to results. Curve steepening positions were implemented through interest rate swaps. The Fund’s swap positions, particularly in the U.S. and U.K., allowed it to profit from wider spreads (yield differentials) between swaps and sovereign government bonds. The Government and Swaps strategy is actively implemented via interest rate swaps and/ or futures.

Q How did the Fund use derivatives and similar instruments during the Reporting Period?

A During the Reporting Period, the Fund invested in interest rate futures, interest rate swaps, total return swaps, swaptions, options on futures, credit default swaps, equity index futures and options, non-deliverable forwards, forward foreign currency exchange contracts, currency options and cross currency swaps. The Fund used interest rate futures to hedge interest rate exposure, i.e., to manage exposure to fluctuations in interest rates, and to facilitate specific duration and yield curve strategies. Interest rate swaps were used to express our views on the direction of interest rates. Total return swaps were employed to manage the Fund’s yield curve exposures across various strategies. Swaptions (or options on interest rate swap contracts) were used to hedge interest rate exposure and manage the Fund’s exposure to potential market volatility. Options on futures were used within the Government/Swaps strategy to allow the Fund the right to enter into futures contracts. Credit default swaps were employed to implement specific credit-related investment strategies. Equity index futures and options were used as a means of reducing Fund volatility. Within the Fundamental Currency strategy, the Fund used non-deliverable currency forwards to gain exposure to a particular country and also to take advantage of relative value opportunities. The Fund also utilized forward foreign currency exchange contracts and currency options within the Fundamental Currency strategy to take long or short positions. Within the Emerging Markets Debt Strategy, the Fund employed cross currency swaps to express relative views on given currencies as well as our views on the direction of a country’s interest rates. Derivatives and similar instruments allow us to manage interest rate, credit and currency risks more effectively by allowing us both to apply active investment views with greater versatility and to afford greater risk management precision than we would otherwise be able to implement. Within the Liquid Mortgages strategy, the Fund used TBAs in addition to interest only and principal only strips. During the Reporting Period, the use of derivatives and similar instruments had a negative impact on the Fund’s performance.

Q Were there any notable changes in the Fund’s weightings during the Reporting Period?

A Within the Sector Allocation strategy, we reduced the Fund’s overweight in corporate credit during May 2016 based on what we viewed as meaningful rallies since February 2016, lower risk premiums due to reduced market concerns about global risk factors, and seasonal factors, which tend to be less supportive in the months of May and June. In July 2016, we shifted the Fund to an underweight position in corporate credit partly because we expected an uptick in volatility around the U.K.’s Brexit preparations and the November 2016 U.S. elections and partly because we felt corporate fundamentals were showing some signs of deterioration amid what we considered to be the later stage of the U.S. credit cycle. Within the Country Relative Value strategy, we removed the Fund’s short position in Japanese interest rates during September 2016, as we believed the rise in Japanese yields had lost momentum. Within the Fund’s macro hedge, we added exposure to volatility through a long position in S&P 500^® Index puts. (A put option is an option contract giving the owner the right, but not the obligation, to sell a specified amount of an underlying security at a specified price within a specified time.)

Q How was the Fund positioned at the end of the Reporting Period?

A At the end of the Reporting Period, within the Tactical Duration strategy, the Fund held a short duration position on the U.S. Treasury yield curve. In the Country Relative Value strategy, the Fund had a long position in U.S. interest rates versus a short position in U.K. interest rates and a short position in U.S. interest rates versus a long position in Canadian interest rates. In the Fundamental Currency strategy, the Fund had a short position in the New Zealand dollar relative to the U.S. dollar. It also had long positions in the Brazilian real, Russian ruble and Indonesian rupiah. In the Fund’s Commodities strategy, it had short positions in natural gas and crude oil. It had long positions in zinc and nickel versus short positions in aluminum and copper. The Fund also had a short position in corn versus a long

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PORTFOLIO RESULTS

position in soybeans. Within the Government and Swaps strategy, the Fund held relative value positions on the U.S., U.K., European and Japanese government bond yield curves. The Fund also held a long position in U.S. inflation-linked securities. Within the Emerging Markets Debt strategy, the Fund had long positions in Mexican, Polish and Brazilian local debt and a short position in Malaysian local debt. It also held a long position in Venezuelan external bonds. At the end of the Reporting Period, within the macro hedge, the Fund maintained a short position in S&P 500^® Index futures. The Fund also continued to have exposure to volatility through a long position in S&P 500^® Index puts.

Q What is the Fund’s tactical view and strategy for the months ahead?

A At the end of the Reporting Period, we expected the economic growth outlook for the U.S., Japan and China to improve. In the U.S., a strong labor market appeared to be supporting consumption, and a slower pace of monetary policy normalization should, in our view, prevent a sharp tightening of financial conditions. We also believed that positive developments in the manufacturing sector, arising from a decline in inventories as well as a boost in consumer spending due to a strengthening labor market, may further support U.S. economic growth for the rest of 2016. Despite “prudence in the removal of policy accommodation,” as described by Fed Governor Lael Brainard before the September 2016 policy meeting, we expect the Fed to raise short term rates later in 2016.

In Europe, we expect the ECB to extend its quantitative easing program beyond March 2017, when it is currently scheduled to end, to address a weak economic growth and inflation outlook. We believe Eurozone inflation will likely continue to be disappointing and that economic growth may slow in 2017. While the U.K. appears to have avoided the worst immediate near-term Brexit scenario, we expect additional easing from the BoE in the coming months. Political uncertainty arising from negotiations on issues such as immigration and access to the European Union’s single market are likely, in our view, to provide challenges for the U.K.’s economic outlook, and thus we anticipate weak economic growth in the U.K. during 2017.

In Japan, we believe the continuation and expansion of the BoJ’s accommodative monetary policy means economic growth could potentially surprise to the upside, though we believe Abenomics is running out of ammunition. (Abenomics is the nickname for the multi-pronged economic program of Japanese prime minister Shinz¯o Abe.) In China, the government’s rapid fiscal policy response to the economic slowdown earlier in 2016 suggests to us that the country’s positive growth impulses are likely to continue in the near term.

In the months ahead, political uncertainty has the potential to increase market volatility. These uncertainties include the November 2016 U.S. elections, the December 2016 Italian referendum on constitutional reform and 2017 elections in Germany and France.

Against this backdrop, we believe security selection and the Fund’s relative value strategy offer the most opportunity in the near term. Given what we consider to be growing downside risks, the Fund is likely to remain underweight both government and corporate bonds. We continue to think the corporate sector is in the late phase of the credit cycle, which is typically characterized by increased leverage, volatile credit spreads (yield differentials with U.S. Treasuries) and lower potential total returns compared to earlier phases of the credit cycle. Meanwhile, we believe the U.S. housing market remains in an expansionary phase, and at the end of the Reporting Period, we had a positive view on residential mortgage-backed securities, particularly legacy non-agency mortgage-backed securities (in general, those issued before the 2008-2009 financial crisis), which offer exposure to improving consumer balance sheets, labor market gains and rising wages.

Going forward, we continue to emphasize relative value strategies in the Fund as we seek to profit from dislocations that may be generated during the volatility spikes we expect to see in the near to medium term.

Index Definition

The Bank of America Merrill Lynch U.S. Dollar Three-Month LIBOR Constant Maturity Index (the “Index”) tracks the performance of a synthetic asset paying LIBOR to a stated maturity. The Index is based on the assumed purchase at par of a synthetic instrument having exactly its stated maturity and with a coupon equal to that day’s fixing rate. That issue is assumed to be sold the following business day (priced at yield equal to the current day fixing rate) and rolled into a new instrument.

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FUND BASICS

Fixed Income Macro Strategies Fund

as of September 30, 2016

PERFORMANCE REVIEW
April 1, 2016–September 30, 2016	Fund Total Return (based on NAV)1			Bank of America Merrill Lynch U.S. Dollar Three-Month LIBOR Constant Maturity Index2
Class A		-0.57	%		0.30	%
Class C		-0.91			0.30
Institutional		-0.34			0.30
Class IR		-0.45			0.30
Class R		-0.68			0.30

¹  The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

²  The Bank of America Merrill Lynch U.S. Dollar Three-Month LIBOR Constant Maturity Index (the “Index”) tracks the performance of a synthetic asset paying LIBOR to a stated maturity. The Index is based on the assumed purchase at par of a synthetic instrument having exactly its stated maturity and with a coupon equal to that day’s fixing rate. That issue is assumed to be sold the following business day (priced at yield equal to the current day fixing rate) and rolled into a new instrument.

STANDARDIZED TOTAL RETURNS3
For the period ended 9/30/16	One Year			Since Inception			Inception Date
Class A		-3.66	%		-3.66	%	12/16/13
Class C		-1.68			-2.72		12/16/13
Institutional		0.37			-2.06		12/16/13
Class IR		0.29			-2.23		12/16/13
Class R		-0.11			-2.47		12/16/13

³  The Standardized Total Returns are average annual total returns 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 3.75% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Class IR and Class R 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 Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted 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 Fund distributions or the redemption of Fund shares.

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FUND BASICS

EXPENSE RATIOS4
	Net Expense Ratio (Current)			Gross Expense Ratio (Before Waivers)
Class A		1.73	%		3.28	%
Class C		2.48			4.03
Institutional		1.45			2.94
Class IR		1.48			3.03
Class R		1.98			3.53

⁴  The expense ratios of the Fund, 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 Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to a contractual arrangement, the Fund’s waivers and/or expense limitations will remain in place through at least July 29, 2017, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

FUND COMPOSITION⁵ (%)

Percentage of Net Assets

⁵  The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Figures in the graph may not sum to 100% due to the exclusion of other assets and liabilities. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments.

⁶  “Agency Debentures” include agency securities offered by companies such as Federal National Mortgage Association (“FNMA”) and Federal Home Loan Mortgage Corp. (“FHLMC”), which operate under a government charter. While they are required to report to a government regulator, their assets are not explicitly guaranteed by the government and they otherwise operate like any other publicly traded company.

⁷  “Federal Agencies” are mortgage-backed securities guaranteed by the Government National Mortgage Association (“GNMA”), FNMA and FHLMC. GNMA instruments are backed by the full faith and credit of the U.S. Government.

7

GOLDMAN SACHS LONG SHORT CREDIT STRATEGIES FUND

What Differentiates Goldman Sachs’ Long Short

Credit Strategies Fund Investment Process?

The Goldman Sachs Long Short Credit Strategies Fund (the “Fund”) seeks an absolute return comprised of income and capital appreciation.

The Fund uses a bottom-up, fundamental approach with a focus on high conviction ideas across the corporate credit spectrum. Inefficiencies in the credit markets may provide attractive opportunities for investors. The Fund seeks to capitalize on these through an unconstrained approach, security selection and providing active downside management.

n The Fund is not limited by the traditional constraints of a benchmark strategy.

n The Fund uses a flexible and dynamic strategy that allows it to invest across the spectrum of corporate credit while seeking what we believe are the most attractive risk-adjusted return opportunities.

n The Fund invests across the spectrum of corporate credit including high yield, investment grade, bank loans, convertibles and preferred equity.

n The Fund seeks to identify issuers that offer compelling value through bottom-up security selection, with a focus on capital preservation.

n The Fund’s investment approach allows for flexibility in security selection, irrespective of industry, ratings and maturity constraints.

n The Fund manages long and short exposures to potentially generate absolute returns. A hedged approach allows the Fund to deploy tactical portfolio tilts via high yield index shorts.

n Dynamic portfolio management may enhance downside mitigation while providing investors access to security selection expertise.

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PORTFOLIO RESULTS

Goldman Sachs Long Short Credit Strategies Fund

Investment Objective

The Fund seeks an absolute return comprised of income and capital appreciation.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Liberty Harbor Portfolio Management Team discusses the Goldman Sachs Long Short Credit Strategies Fund’s (the “Fund”) performance and positioning for the six-month period ended September 30, 2016 (the “Reporting Period”).

Q How did the Fund perform during the Reporting Period?

A During the Reporting Period, the Fund’s Class A, C, Institutional, IR and R Shares generated cumulative total returns, without sales charges, of 2.92%, 2.53%, 3.09%, 3.05% and 2.79%, respectively. These returns compare to the 0.30% cumulative total return of the Fund’s benchmark, the Bank of America Merrill Lynch U.S. Dollar 3-Month LIBOR Constant Maturity Index (the “BofA/Merrill Lynch Index”), during the same time period.

Because the composition of the BofA/Merrill Lynch Index (e.g. short-term cash securities) is not comparable to the range of instruments in which the Fund may transact (e.g., various credit-related instruments), references to the BofA/ Merrill Lynch Index are for informational purposes only and not an indication of how the Fund is managed.

Q What economic and market factors most influenced the corporate credit markets as a whole during the Reporting Period?

A During the Reporting Period, relatively steady commodity prices, supportive Federal Reserve (“Fed”) policy, rather stable U.S. economic data and moderate to low global economic growth led to gains across much of the corporate credit market.

Although U.S. economic growth slowed marginally during the Reporting Period, the U.S. economy provided a generally favorable backdrop for U.S. corporate credit. There was a short bout of volatility during late June 2016 related to the unexpected U.K. referendum vote to leave the European Union, popularly known as Brexit. But both U.S. equity and credit markets quickly rebounded. In our view, the rally seen during the Reporting Period was largely driven by technicals, or supply/demand factors, as fundamentals remained mostly unchanged. For example, as global investors continued to search for yield in the low interest rate environment that has dominated for some time, there were inflows across credit. High yield mutual funds experienced inflows year-to-date through September 30, 2016 of more than $6.0 billion. It appears to us that such inflows were primarily driven by global investors searching for yield, further fueled by declining sovereign yields globally.

During the Reporting Period, the Fed took an accommodative, supportive approach toward interest rate hikes. Both the June 2016 and September 2016 potential U.S. interest rate hikes came and went without being implemented, driven by a sluggish May 2016 non-farm U.S. payrolls report and disappointing economic data in early September 2016, respectively. There was a persistent focus on global rates, as low and even negative rates abroad affected global long-term bond yields. Global central bank policy echoed the U.S.’s dovish, or measured, approach, as both the European Central Bank and the Bank of Japan decided not to make any meaningful rate policy change during the third quarter of 2016. We also saw some stabilizing of global economic growth during the Reporting Period, as China’s stimulus-induced plans mitigated fears of a global economic growth slowdown and a currency devaluation.

Further supporting the corporate credit market during the Reporting Period was the fact that commodities remained at weakened levels but rather consistent prices and some marginal price increases led to improved consumer and investor sentiment. At the same time, headline inflation remained subdued during the Reporting Period. (Headline inflation is the raw inflation figure as reported through the Consumer Price Index (“CPI”) that is released monthly by the Bureau of Labor Statistics.)

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PORTFOLIO RESULTS

Q What key factors were responsible for the Fund’s performance during the Reporting Period?

A As a part of our investment philosophy, we apply a value-oriented approach to credit market investing, with a focus on capital preservation via high conviction ideas. Consistent with the cornerstone of our fundamentally-based investment process focused on bottom-up security selection, the Fund’s performance during the Reporting Period was attributable to individual security selection.

We maintained our focus on corporate fundamentals and earnings during the Reporting Period. The Fund’s positive performance during the Reporting Period was broad-based, attributable to long positioning in consumer cyclicals, communications and capital goods credits. The largest individual contributors during the Reporting Period included long positions in Bombardier, Windstream Services and APX Group.

Within the Fund’s long positioning, there were no sectors that materially detracted from performance. That said, the three largest individual detractors during the Reporting Period were the Fund’s positions in Concordia International, Prairie Provident Resources and NRG Energy. The Fund’s tactical short position in a high yield credit default swap index, a position taken in an effort to mitigate risk and serve as a portfolio market hedge, detracted from its results during the Reporting Period. The Fund’s interest rate swaps, which are used to hedge duration, also modestly detracted from performance.

Importantly, since the Fund’s portfolio is constructed through bottom-up, fundamental research and not relative to a benchmark, there is no requirement to hold issues from any single company or sector.

Q Which segments of the corporate credit sector most significantly affected Fund performance?

A The corporate credit markets, as mentioned earlier, broadly rallied during the Reporting Period, driven largely, in our view, by technicals, while fundamentals remained unchanged. U.S. high yield corporate bonds were one of the strongest performers during the Reporting Period, as spreads, or yield differentials to U.S. Treasuries, narrowed to near historic average levels. Gains were broad-based across virtually all segments of the corporate credit sector. As such, our ability to identify select issuers within the corporate credit sector contributed positively to the Fund’s performance during the Reporting Period.

Q Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period?

A The Fund does not use duration and yield curve positioning as active management strategies within its investment process. However, the Fund does implement interest rate swaps, which serve as a hedge to select long positions. The Fund’s interest rate swap positions modestly detracted from performance.

Q How did the Fund use derivatives and similar instruments during the Reporting Period?

A The Fund used credit default swaps via a short position in a credit default swap high yield index to tactically hedge market risk, which modestly detracted from performance. The Fund used interest rate swaps to hedge the interest rate risk of certain bonds, thereby limiting the Fund’s exposure to changes in interest rates. Interest rate swaps modestly detracted from Fund performance during the Reporting Period. The Fund used foreign currency exchange forward contracts to hedge the currency risk in non-U.S. dollar-denominated issues to U.S. dollars. This had a rather neutral impact on the Fund’s performance during the Reporting Period.

Q Were there any notable changes in the Fund’s weightings during the Reporting Period?

A During the Reporting Period, we continued to pursue investment opportunities based on fundamental, bottom-up research, which, in our view, offered compelling risk-adjusted return potential. We believe the telecommunications sector was particularly attractive, as it provided the best risk-reward adjusted yields, in our view. We maintained the Fund’s exposure to communications credits, seeking to identify companies with what we consider to be strong balance sheets and attractive free cash flow generation.

We also saw increasingly greater investment opportunities in secured high yield, as there were what we considered to be attractive new issuances in the market. Secured high yield generally provides for enhanced protection and often more attractive terms, in our view, given its position in the capital structure. We further believe secured high yield may often provide a better risk-adjusted reward during volatile economic times. (Secured high yield are high yield bonds collateralized by an asset.)

We believe the tightening of energy credit spreads was outpacing the physical commodity price. We thus continued

10

PORTFOLIO RESULTS

to be cautious on energy credit, maintaining limited exposure in the Fund.

One of the key tenets of our investment philosophy is capital preservation, which leads us to take a more defensive, cautious position given certain market conditions. We also believe our hedged approach may provide for active downside management for investors seeking to mitigate market risk and volatility.

Q How was the Fund positioned at the end of September 2016?

A As of September 30, 2016, approximately 50% of the Fund’s total net assets was invested in unsecured debt obligations, 30% in secured debt obligations, 9% in bank loans, 7% in investment grade corporate bonds, less than 1% in preferred and other equity securities and 19% in cash and cash equivalents. The Fund’s notional derivative exposure, calculated as a percentage of total net assets, was -26% in a credit default swap high yield index. The Fund had a total of 120 holdings from 93 issuers at September 30, 2016, with the Fund’s top long corporate issuers, as measured by a percentage of total net assets invested, being Numericable, HCA Holdings and First Data.

Q What is the Fund’s tactical view and strategy for the months ahead?

A At the end of the Reporting Period, we still believed we were likely nearing the mid- to late stages of the credit cycle and thus took a cautious stance. Also, given the gains seen in 2016 year-to-date through September 30, 2016, we intend to closely monitor liquidity as we head into the fourth quarter of 2016.

Although we saw a bout of volatility at the end of June 2016 with the unexpected Brexit vote, we believe the full market impact of Brexit has not yet been experienced. The actual policy changes may well take months or even years to iron out and will, in our view, affect the corporate credit markets longer term. The U.K. vote may also cause a ripple effect to other countries who may want to explore an exit from the European Union. We remain watchful of any further impacts and consequences of the Brexit vote. Given this view, during the Reporting Period, we actively reduced the Fund’s positioning in select investments that had revenue exposure to countries in Europe that may be particularly affected by Brexit.

We believe we may also see heightened volatility going forward fueled by potential interest rate hikes, inflation and the U.S. presidential election as we head into the fourth quarter of 2016. We remain focused on these factors and others that may potentially impact the markets.

Given this view, we believe a sound approach, grounded in fundamentals with a focus on capital preservation, may offer a compelling means to navigate the current and anticipated market environment in the months ahead. We believe heightened volatility may lead to periods of technical dislocations in the market, which may provide for attractive single-name investing opportunities. Due to this technicals dynamic, we believe credit markets remain fragile, and we are focused on corporate earnings. We believe technical dislocations may lead to greater dispersion, or differentiation, in credits. While we continued to see value in the credit markets at the end of the Reporting Period, we believe that security selection and a focus on fundamentals will be increasingly important going forward. Further, we believe the Fund’s ability to be flexible across the corporate credit spectrum — high yield, loans, bank loans and investment grade credit — enables the Fund to step in and seek to take advantage of market opportunities when inefficiencies arise.

11

FUND BASICS

Long Short Credit Strategies Fund

as of September 30, 2016

PERFORMANCE REVIEW
April 1, 2016– September 30, 2016	Fund Total Return (based on NAV)1			Bank of America Merrill Lynch U.S. Dollar Three-Month LIBOR Constant  Maturity2			30-Day Standardized Subsidized Yield3			30-Day Standardized Unsubsidized Yield3
Class A		2.92	%		0.30	%		3.00	%		2.90	%
Class C		2.53			0.30			2.36			2.26
Institutional		3.09			0.30			3.46			3.35
Class IR		3.05			0.30			3.36			3.26
Class R		2.79			0.30			2.86			2.75

¹  The net asset value (“NAV”) represents the net assets of the Fund (ex-dividend) divided by the total number of shares outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

²  The Bank of America Merrill Lynch U.S. Dollar Three-Month LIBOR Constant Maturity Index (the “BofA/Merrill Lynch Index”) tracks the performance of a synthetic asset paying LIBOR to a stated maturity. The BofA/Merrill Lynch Index is based on the assumed purchase at par of a synthetic instrument having exactly its stated maturity and with a coupon equal to that day’s fixing rate. That issue is assumed to be sold the following business day (priced at a yield equal to the current day fixing rate) and rolled into a new instrument.

³  The method of calculation of the 30-Day Standardized Subsidized Yield is mandated by the Securities and Exchange Commission and is determined by dividing the net investment income per share earned during the last 30 days of the period by the maximum public offering price (“POP”) per share on the last day of the period. This number is then annualized. The 30-Day Standardized Subsidized Yield reflects fee waivers and/or expense reimbursements recorded by the Fund during the period. Without waivers and/or reimbursements, yields would be reduced. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. The 30-Day Standardized Unsubsidized Yield does not adjust for any fee waivers and/ or expense reimbursements in effect. If the Fund does not incur any fee waivers and/or expense reimbursements during the period, the 30-Day Standard Subsidized Yield and 30-Day Standardized Unsubsidized Yield will be identical.

The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted 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 Fund distributions or the redemption of Fund shares.

12

FUND BASICS

STANDARDIZED TOTAL RETURNS4
For the period ended 9/30/16	One Year			Five Years			Since Inception			Inception Date
Class A		0.81	%		N/A			-1.67	%	4/30/14
Class C		2.90			N/A			-0.86		4/30/14
Institutional5		4.96			4.55	%		5.68		6/15/09
Class IR		4.97			N/A			0.14		4/30/14
Class R		4.45			N/A			-0.35		4/30/14

⁴  The Standardized Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect the maximum initial sales charge of 3.75% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1.00% if redeemed within 12 months of purchase). Because Institutional, Class R and Class IR Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.

⁵  The average annual total return figures for the Fund’s Institutional Shares, which do not impose an initial sales charge, do not reflect an initial sales charge for the periods shown. Prior to March 24, 2014 (the effective date of the reorganization of the Goldman Sachs Credit Strategies Fund (“the Predecessor Fund”) into the Fund), the maximum initial sales charge applicable to sales of Common Shares of the Predecessor Fund was 2.50%, which is not reflected in the average annual total return figures shown. The Predecessor Fund commenced operations on June 15, 2009.

The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted 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 period shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

Effective at the close of business on March 21, 2014, the Goldman Sachs Credit Strategies Fund (the “Predecessor Fund”), a closed-end management investment company that was operated as an “interval fund,” was reorganized with and into the Fund. Because the Predecessor Fund was the accounting survivor, the Fund has assumed the Predecessor Fund’s historical performance. The performance information shown in this report is for the Predecessor Fund for the period prior to March 24, 2014, and reflects the Predecessor Fund’s investment strategies and policies. However, the Fund’s current investment strategies and policies, including the ability to implement short positions, are different from those of the Predecessor Fund, with shareholders of the Predecessor Fund receiving Institutional Shares of the Fund upon consummation of the reorganization. As a result, the Fund’s performance may differ substantially from what is shown for periods prior to March 24, 2014.

13

FUND BASICS

EXPENSE RATIOS6
	Net Expense Ratio (Current)			Gross Expense Ratio (Before Waivers)
Class A		1.47	%		1.59	%
Class C		2.22			2.34
Institutional Shares		1.13			1.25
Class IR		1.22			1.34
Class R		1.72			1.85

⁶  The expense ratios of the Fund, 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 Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to a contractual arrangement, the Fund’s waivers and/or expense limitations will remain in place through at least July 29, 2017, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

14

FUND BASICS

SECTOR ALLOCATIONS⁷

Percentage of Net Assets

⁷  The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Figures in the graph may not sum to 100% due to the exclusion of other assets and liabilities. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments.

15

FUND BASICS

TOP TEN INDUSTRY ALLOCATIONS8
As of September 30, 2016	Percentage of Net Assets
Health Care – Services		12.1	%
Media – Cable		8.8
Automotive		8.4
Consumer Cyclical Services		6.6
Media – Non Cable		6.2
Telecommunications – Wireless		4.0
Airlines		3.7
Packaging		2.7
Aerospace & Defense		2.6
Brokerage		2.4

⁸  The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. The above table depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments.

16

GOLDMAN SACHS FIXED INCOME MACRO STRATEGIES FUND

Consolidated Schedule of Investments

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Foreign Sovereign Debt Obligations – 6.8%
	Argentinian Peso – 0.6%
	Republic of Argentina
ARS	330,000		27.669	%(a)		03/28/17	$	21,481
	1,710,000		27.919	(a)		10/09/17		112,545
	600,000		22.750			03/05/18		39,889
	2,660,000		0.000	(b)		10/03/21		173,183
								347,098
	Brazilian Real – 2.8%
	Brazil Letras do Tesouro Nacional(b)
BRL	3,103,000		0.000			01/01/17		923,470
	Brazil Notas do Tesouro Nacional
	255,000		10.000			01/01/17		77,655
	2,231,913		6.000			08/15/50		707,154
								1,708,279
	Dominican Peso – 0.2%
	Dominican Republic
DOP	6,700,000		11.375			07/06/29		146,468
	Hungarian Forint – 0.1%
	Hungary Government Bond
HUF	15,280,000		3.250			10/22/31		56,199
	Malaysian Ringgit – 0.3%
	Malaysia Government Bond
MYR	660,000		4.245			09/30/30		163,104
	Mexican Peso – 0.1%
	United Mexican States
MXN	1,301,800		5.750			03/05/26		65,819
	178,600		7.750			11/23/34		10,471
								76,290
	Polish Zloty – 1.9%
	Poland Government Bond
PLN	4,740,000		1.750			07/25/21		1,207,294
	United States Dollar – 0.8%
	Republic of Venezuela
$	790,000		7.750			10/13/19		487,825
	TOTAL FOREIGN SOVEREIGN DEBT OBLIGATIONS
	(Cost $3,803,964)						$	4,192,557
	Mortgage-Backed Obligations – 19.9%
	Collateralized Mortgage Obligations – 10.1%
	Interest Only(c) – 1.7%
	FHLMC STRIPS Series 304, Class C45
$	490,146		3.000	%		12/15/27	$	41,500
	FNMA REMIC Series 2015-34, Class LS(a)
	843,815		5.575			06/25/45		168,045
	GNMA REMIC Series 2013-183, Class NI
	926,038		4.500			10/20/42		93,195
	GNMA REMIC Series 2014-133, Class NI
	652,229		5.000			09/20/44		112,532
	GNMA REMIC Series 2015-129, Class IC
	1,103,610		4.500			09/16/45		159,503
	Mortgage-Backed Obligations – (continued)
	Interest Only(c) – (continued)
	GNMA REMIC Series 2015-14, Class IO
$	1,221,544		5.000	%		10/20/44	$	211,834
	GNMA REMIC Series 2015-63, Class IY
	1,039,210		4.000			05/20/45		142,173
	GNMA REMIC Series 2015-95, Class GI
	768,116		4.500			07/16/45		153,487
								1,082,269
	Inverse Floaters(a) – 8.4%
	FHLMC REMIC Series 3852, Class SW
	896,790		5.476			05/15/41		145,015
	FHLMC REMIC Series 4314, Class SE
	1,753,111		5.526			03/15/44		297,060
	FHLMC REMIC Series 4372, Class SH
	1,688,258		5.576			08/15/44		285,680
	FHLMC REMIC Series 4431, Class ST
	855,196		5.576			01/15/45		188,141
	FHLMC REMIC Series 4583, Class ST
	961,342		5.476			05/15/46		190,220
	FNMA REMIC Series 2013-121, Class SA
	1,032,960		5.575			12/25/43		191,775
	FNMA REMIC Series 2013-96, Class SW
	492,202		5.575			09/25/43		89,905
	FNMA REMIC Series 2014-19, Class MS
	454,808		6.075			11/25/39		58,345
	FNMA REMIC Series 2014-74, Class SC
	1,832,118		5.575			11/25/44		313,263
	FNMA REMIC Series 2015-20, Class ES
	862,001		5.625			04/25/45		193,254
	FNMA REMIC Series 2015-22, Class DS
	874,753		5.675			04/25/45		189,207
	FNMA REMIC Series 2015-79, Class SA
	765,823		5.725			11/25/45		135,085
	FNMA REMIC Series 2015-82, Class MS
	1,055,238		5.175			11/25/45		185,819
	FNMA REMIC Series 2015-86, Class BS
	404,655		5.175			11/25/45		70,353
	GNMA REMIC Series 2010-1, Class SD
	110,313		5.258			01/20/40		18,471
	GNMA REMIC Series 2010-20, Class SE
	1,581,837		5.718			02/20/40		266,099
	GNMA REMIC Series 2010-31, Class SA
	733,654		5.218			03/20/40		112,584
	GNMA REMIC Series 2010-37, Class SG
	506,334		5.168			03/20/40		77,655
	GNMA REMIC Series 2010-68, Class SD
	844,130		6.048			06/20/40		153,124
	GNMA REMIC Series 2010-85, Class SN
	416,231		5.408			07/20/40		77,712
	GNMA REMIC Series 2010-90, Class ES
	267,729		5.418			07/20/40		42,536
	GNMA REMIC Series 2013-113, Class SA
	451,918		6.168			08/20/43		83,659
	GNMA REMIC Series 2013-134, Class DS
	245,743		5.568			09/20/43		40,997

The accompanying notes are an integral part of these financial statements. 17

GOLDMAN SACHS FIXED INCOME MACRO STRATEGIES FUND

Consolidated Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Mortgage-Backed Obligations – (continued)
	Inverse Floaters(a) – (continued)
	GNMA REMIC Series 2013-91, Class SP
$	764,700		5.768	%		01/20/42	$	76,900
	GNMA REMIC Series 2014-133, Class BS
	568,387		5.068			09/20/44		84,322
	GNMA REMIC Series 2014-41, Class SA
	284,690		5.568			03/20/44		50,029
	GNMA REMIC Series 2015-110, Class MS
	1,281,418		5.178			08/20/45		181,984
	GNMA REMIC Series 2015-111, Class SM
	754,443		5.668			08/20/45		120,618
	GNMA REMIC Series 2015-112, Class SB
	732,239		5.208			08/20/45		104,703
	GNMA REMIC Series 2015-123, Class SE
	736,307		5.188			09/20/45		104,159
	GNMA REMIC Series 2015-126, Class HS
	1,486,747		5.668			09/20/45		228,495
	GNMA REMIC Series 2015-141, Class HS
	337,981		5.668			10/20/45		51,944
	GNMA REMIC Series 2015-142, Class SA
	918,377		5.188			10/20/45		130,511
	GNMA REMIC Series 2015-168, Class SD
	385,633		5.668			11/20/45		61,387
	GNMA REMIC Series 2015-64, Class SG
	1,755,993		5.068			05/20/45		312,717
	GNMA REMIC Series 2016-6, Class S
	817,125		5.118			01/20/46		122,218
	GNMA REMIC Series 2016-6, Class SB
	843,232		5.118			01/20/46		137,073
								5,173,019
	TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS						$	6,255,288
	Commercial Mortgage-Backed Securities – 3.1%
	Sequential Fixed Rate – 3.1%
	FHLMC Multifamily Structured Pass-Through Certificates Series K044, Class A2
$	1,800,000		2.811	%		01/25/25	$	1,912,856
	Federal Agencies(d) – 6.7%
	FNMA – 6.7%
	4,000,000		3.000			TBA-30yr		4,149,062
	TOTAL MORTGAGE-BACKED OBLIGATIONS
	(Cost $12,187,316)						$	12,317,206
	Agency Debenture(b) – 8.1%
	FHLB Discount Notes
$	5,000,000		0.000	%		12/09/16	$	4,997,580
	(Cost $4,995,208)
	Asset-Backed Securities(a)(e) – 0.8%
	Collateralized Loan Obligations – 0.8%
	ACIS CLO Ltd. Series 2014-4A, Class C
$	500,000		3.187	%		05/01/26	$	473,496
	TOTAL ASSET-BACKED SECURITIES
	(Cost $473,000)						$	473,496
	Corporate Obligations – 0.3%
	Energy – 0.3%
	Petroleos de Venezuela SA
$	350,000		6.000	%		05/16/24	$	147,000
	20,000		6.000			11/15/26		8,398
	40,000		5.375			04/12/27		16,652
	TOTAL CORPORATE OBLIGATIONS
	(Cost $159,741)						$	172,050
	U.S. Treasury Obligations – 42.8%
	United States Treasury Bill(b)
$	12,500,000		0.000	%		10/06/16	$	12,499,888
	United States Treasury Bond
	600,000		3.750			11/15/43		781,566
	United States Treasury Inflation Protected Securities
	348,351		2.625			07/15/17		359,237
	2,362,238		0.125			04/15/19		2,403,955
	1,130,437		0.125			04/15/20		1,153,046
	1,114,894		0.125			07/15/24		1,131,617
	1,978,919		0.375			07/15/25		2,044,163
	224,182		2.500			01/15/29		284,675
	United States Treasury Strip Coupon(b)
	1,000,000		0.000			05/15/35		660,250
	2,600,000		0.000			11/15/35		1,692,678
	1,300,000		0.000			05/15/36		834,587
	4,100,000		0.000			08/15/36		2,611,003
	TOTAL U.S. TREASURY OBLIGATIONS						$	26,456,665
	(Cost $26,515,323)

Notional Amount		Exercise Price		Expiration Date		Value
	Option Contracts Purchased – 1.0%
	Currency Options – 0.1%
	Bank of America Securities LLC
	Put USD 1,041,666
	Call BRL 3,229,163	$	3.100		10/13/16	$	353
	Bank of America Securities LLC
	Put USD 1,240,000
	Call MXN 23,436,000		18.900		11/17/16		21,566

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

GOLDMAN SACHS FIXED INCOME MACRO STRATEGIES FUND

Notional Amount		Exercise Price		Expiration Date		Value
	Option Contracts Purchased – (continued)
	Currency Options – (continued)
	BNP Paribas SA
	Call USD 999,000
	Put TWD 31,968,000	$	32.000		11/10/16	$	3,043
	BNP Paribas SA
	Put USD 989,000
	Call INR 66,757,500		67.500		12/01/16		12,759
	BNP Paribas SA
	Call USD 987,000
	Put TWD 32,077,500		32.500		12/15/16		3,078
	Citibank NA
	Call USD 1,230,000
	Put CAD 1,660,500		1.350		12/02/16		8,496
	HSBC Bank PLC
	Put USD 1,000,000
	Call BRL 3,200,000		3.200		10/28/16		8,164
	HSBC Bank PLC
	Put USD 1,227,000
	Call MXN 23,190,300		18.900		11/15/16		21,113
	HSBC Bank PLC
	Put USD 1,000,000
	Call INR 67,250,000		67.250		11/17/16		10,565
	JPMorgan Securities, Inc.
	Put EUR 517,860
	Call SEK 4,919,670	EUR	9.500		10/07/16		66
	Royal Bank of Scotland PLC
	Put EUR 842,000
	Call SEK 7,999,000		9.500		10/03/16		—
	UBS AG (London)
	Put EUR 561,000
	Call SEK 5,217,300		9.300		10/03/16		—
	UBS AG (London)
	Call EUR 561,000
	Put SEK 5,441,700		9.700		10/03/16		33
Contracts		Exercise Price		Expiration Date		Value
	Options on Futures – 0.3%
	Credit Suisse International (London) Call – Eurodollar
	252	$	99.375		12/19/16	$	3,150
	Goldman Sachs & Co. Put – Eurodollar
	130		99.000		12/19/16		9,750
	Morgan Stanley Capital Services, Inc. Call – Eurodollar
	191		99.000		12/19/16		52,525
	Morgan Stanley Capital Services, Inc. Call – Eurodollar
	126		99.125		01/13/17		14,175
	Morgan Stanley Capital Services, Inc. Call – Eurodollar
	126		99.375		01/13/17		1,575
	Morgan Stanley Capital Services, Inc. Call – S&P 500 E-Mini Index
	22		2,145.000		03/17/17		89,650
	Interest Rate Swaptions – 0.6%
	Bank of America Securities LLC Call – OTC – 1 year Interest Rate Swap
	4,200,000		1.600		05/02/17		17,407

Notional Amount		Exercise Rate			Expiration Date		Value
	Option Contracts Purchased – (continued)
	Interest Rate Swaptions – (continued)
	Deutsche Bank AG Put – OTC – 1 year Interest Rate Swap
	124,990,000		0.050	%		12/07/16	$	4,345
	JPMorgan Securities, Inc. Put – OTC – 1 year Interest Rate Swap
	2,100,000		0.638			11/10/16		6,059
	JPMorgan Securities, Inc. Put – OTC – 1 year Interest Rate Swap
	2,100,000		1.138			11/10/16		50,074
	JPMorgan Securities, Inc. Put – OTC – 1 year Interest Rate Swap
	232,840,000		0.075			01/11/17		2,034
	Morgan Stanley Capital Services, Inc. Call – OTC – 1 year Interest Rate Swap
	14,000,000		1.690			10/26/16		263
	Morgan Stanley Capital Services, Inc. Call – OTC – 1 year Interest Rate Swap
	14,000,000		1.690			10/26/16		50
	Morgan Stanley Capital Services, Inc. Call – OTC – 1 year Interest Rate Swap
	18,500,000		1.660			10/27/16		130
	Morgan Stanley Capital Services, Inc. Call – OTC – 1 year Interest Rate Swap
	18,500,000		1.660			10/27/16		586
	Morgan Stanley Capital Services, Inc. Put – OTC – 1 year Interest Rate Swap
	14,000,000		1.690			10/26/16		53,068
	Morgan Stanley Capital Services, Inc. Put – OTC – 1 year Interest Rate Swap
	14,000,000		1.690			10/26/16		69,059
	Morgan Stanley Capital Services, Inc. Put – OTC – 1 year Interest Rate Swap
	18,500,000		1.660			10/27/16		64,970
	Morgan Stanley Capital Services, Inc. Put – OTC – 1 year Interest Rate Swap
	18,500,000		1.660			10/27/16		85,877
	Morgan Stanley Capital Services, Inc. Put – OTC – 1 year Interest Rate Swap
	536,950,000		0.060			12/07/16		2,921
	TOTAL OPTION CONTRACTS PURCHASED
	(Cost $1,018,592)						$	616,904

Shares		Distribution Rate	Value
	Investment Company(a)(f) – 40.4%
	Goldman Sachs Financial Square Government Fund – Institutional Shares
	24,938,307	0.290%	$	24,938,307
	(Cost $24,938,307)
	TOTAL INVESTMENTS – 120.1%
	(Cost $74,091,451)		$	74,164,765
	LIABILITIES IN EXCESS OF     OTHER ASSETS – (20.1)%			(12,428,201	)
	NET ASSETS – 100.0%		$	61,736,564

The accompanying notes are an integral part of these financial statements. 19

GOLDMAN SACHS FIXED INCOME MACRO STRATEGIES FUND

Consolidated Schedule of Investments (continued)

September 30, 2016 (Unaudited)

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 or distribution rate disclosed is that which is in effect on September 30, 2016.
(b)	Issued with a zero coupon. Income is recognized through the accretion of discount.
(c)	Security with a notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate.
(d)	TBA (To Be Announced) Securities are purchased 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 $4,149,062 which represents approximately 6.7% of net assets as of September 30, 2016.
(e)	Exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be deemed 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 $473,496, which represents approximately 0.8% of net assets as of September 30, 2016.
(f)	Represents an affiliated fund.

Currency Abbreviations:
ARS	—Argentine Peso
AUD	—Australian Dollar
BRL	—Brazilian Real
CAD	—Canadian Dollar
CHF	—Swiss Franc
CNH	—Chinese Yuan Renminbi Offshore
CNY	—Chinese Yuan Renminbi
COP	—Colombian Peso
CZK	—Czech Koruna
DOP	—Dominican Peso
EUR	—Euro
GBP	—British Pound
HKD	—Hong Kong Dollar
HUF	—Hungarian Forint
IDR	—Indonesian Rupiah
ILS	—Israeli Shekel
INR	—Indian Rupee
JPY	—Japanese Yen
KRW	—South Korean Won
MXN	—Mexican Peso
MYR	—Malaysian Ringgit
NOK	—Norwegian Krone
NZD	—New Zealand Dollar
PEN	—Peruvian Nuevo Sol
PHP	—Philippine Peso
PLN	—Polish Zloty
RUB	—Russian Ruble
SEK	—Swedish Krona
SGD	—Singapore Dollar
THB	—Thai Baht
TRY	—Turkish Lira
TWD	—Taiwan Dollar
USD	—U.S. Dollar
ZAR	—South African Rand
Investment Abbreviations:
AUDOR	—Australian Dollar Offered Rate
BUBOR	—Budapest Interbank Offered Rate
CDOR	—Canadian Dollar Offered Rate
CLO	—Collateralized Loan Obligation
EURO	—Euro Offered Rate
FHLB	—Federal Home Loan Bank
FHLMC	—Federal Home Loan Mortgage Corp.
FNMA	—Federal National Mortgage Association
GNMA	—Government National Mortgage Association
HIBOR	—Hong Kong Interbank Offered Rate
JIBAR	—Johannesburg Interbank Agreed Rate
JYOR	—Japanese Yen Offered Rate
KLIBOR	—Kuala Lumpur Interbank Offered Rate
KWCDC	—South Korean Won Certificate of Deposit
LIBOR	—London Interbank Offered Rate
LLC	—Limited Liability Company
MIBOR	—MIBOR - Mumbai Interbank Offered Rate
NIBOR	—Norwegian Interbank Offered Rate
NZDOR	—New Zealand Dollar Offered Rate
OTC	—Over the Counter
PLC	—Public Limited Company
PRIBOR	—Prague Interbank Offered Rate
REMIC	—Real Estate Mortgage Investment Conduit
SHIBOR	—Shanghai Interbank Offered Rate
STIBOR	—Stockholm Interbank Offered Rate
STRIPS	—Separate Trading of Registered Interest and Principal of Securities
TIIE	—La Tasa de Interbank Equilibrium Interest Rate
UK-RPI	—United Kingdom Retail Price Index
WIBOR	—Warsaw Interbank Offered Rate

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

GOLDMAN SACHS FIXED INCOME MACRO STRATEGIES FUND

ADDITIONAL INVESTMENT INFORMATION

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At September 30, 2016, the Fund had the following forward foreign currency exchange contracts:

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Gain
Citibank NA	ARS	1,810,400	USD	113,969	$	116,593		10/21/16	$	2,624
	AUD	603,000	NZD	624,663		460,644		12/21/16		7,239
	AUD	2,495,764	USD	1,867,185		1,906,561		12/21/16		39,376
	BRL	3,001,498	USD	914,227		921,811		10/04/16		7,583
	BRL	831,272	USD	252,000		253,140		11/03/16		1,140
	CAD	408,853	USD	309,960		311,782		12/02/16		1,822
	CAD	1,090,668	USD	828,808		831,837		12/21/16		3,029
	CHF	115,000	USD	118,461		118,569		10/27/16		107
	CHF	150,281	USD	155,000		155,486		12/21/16		486
	CNH	12,279,954	USD	1,827,786		1,838,726		10/11/16		10,940
	CNH	7,278,098	USD	1,081,000		1,085,125		12/21/16		4,125
	COP	182,063,000	USD	62,000		62,762		10/31/16		762
	CZK	14,895,375	EUR	552,717		630,508		06/21/17		1,905
	CZK	2,013,000	USD	83,222		83,775		10/27/16		552
	EUR	138,000	CHF	149,952		155,624		12/21/16		479
	EUR	26,962	CZK	720,748		30,664		06/21/17		155
	EUR	138,202	PLN	595,367		155,851		12/21/16		392
	EUR	138,000	USD	155,604		155,624		12/21/16		20
	GBP	153,242	EUR	176,089		198,975		12/21/16		398
	HUF	43,183,311	EUR	139,000		157,594		12/21/16		842
	HUF	119,320,000	USD	432,021		435,174		10/07/16		3,152
	IDR	10,066,666,452	USD	753,888		770,952		10/27/16		17,065
	IDR	2,713,741,860	USD	204,965		207,542		11/08/16		2,577
	IDR	5,326,679,470	USD	402,317		407,270		11/10/16		4,952
	INR	31,155,684	USD	463,112		466,140		10/26/16		3,029
	INR	10,390,395	USD	154,000		155,436		10/27/16		1,436
	INR	10,335,679	USD	154,000		154,481		11/03/16		481
	INR	16,587,731	USD	246,000		246,713		12/05/16		713
	JPY	165,856,992	USD	1,623,408		1,635,977		10/06/16		12,571
	JPY	95,106,527	USD	936,884		941,425		12/21/16		4,541
	KRW	412,891,890	USD	370,000		374,818		10/04/16		4,818
	KRW	171,420,788	USD	154,000		155,575		10/19/16		1,575
	KRW	345,010,820	USD	308,000		313,116		10/20/16		5,116
	KRW	69,424,458	USD	62,577		63,003		10/26/16		427
	KRW	171,643,125	USD	155,000		155,766		10/28/16		766
	MYR	1,150,082	USD	277,449		278,327		11/18/16		878
	NOK	6,601,647	EUR	709,749		825,954		12/21/16		25,563
	NOK	1,081,000	USD	131,071		135,234		11/09/16		4,163
	NZD	212,643	AUD	201,000		154,344		12/21/16		797
	NZD	736,283	USD	532,443		535,085		11/17/16		2,642
	NZD	708,672	USD	512,073		514,382		12/21/16		2,309
	PEN	510,972	USD	150,454		150,846		10/12/16		392
	PLN	3,333,324	EUR	764,281		870,376		12/21/16		8,492
	PLN	594,000	HUF	42,302,940		155,102		12/21/16		721
	PLN	466,000	USD	120,683		121,786		10/27/16		1,104
	PLN	6,627,137	USD	1,712,668		1,730,437		12/21/16		17,769
	RUB	9,926,609	USD	154,000		157,648		10/11/16		3,648
	RUB	36,163,861	USD	550,607		572,907		10/21/16		22,300
	RUB	22,540,329	USD	345,899		356,554		10/27/16		10,654

The accompanying notes are an integral part of these financial statements. 21

GOLDMAN SACHS FIXED INCOME MACRO STRATEGIES FUND

Consolidated Schedule of Investments (continued)

September 30, 2016 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN (continued)

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Gain
Citibank NA (continued)	RUB	15,907,748	USD	242,173	$	250,365		11/17/16	$	8,192
	RUB	69,720,000	USD	996,000		1,071,852		02/27/17		75,852
	RUB	71,009,820	USD	1,031,595		1,071,790		05/26/17		40,195
	TWD	4,660,246	USD	148,503		148,963		10/07/16		461
	TWD	4,660,246	USD	148,818		149,136		10/21/16		318
	TWD	4,882,823	USD	154,000		156,298		10/24/16		2,298
	USD	464,994	AUD	608,208		464,971		11/18/16		23
	USD	1,390,590	BRL	4,495,741		1,380,717		10/04/16		9,874
	USD	154,000	BRL	500,589		152,440		11/03/16		1,560
	USD	1,077,254	CAD	1,386,000		1,056,662		10/26/16		20,592
	USD	1,573,307	CAD	2,054,185		1,566,697		12/21/16		6,610
	USD	155,000	CHF	148,950		154,109		12/21/16		891
	USD	3,733,290	EUR	3,311,460		3,726,923		11/10/16		6,367
	USD	285,254	EUR	252,881		285,176		12/21/16		78
	USD	5,087,321	GBP	3,817,106		4,951,973		11/16/16		135,348
	USD	1,015,104	GBP	766,773		995,611		12/21/16		19,493
	USD	28,454	HKD	220,538		28,447		11/17/16		7
	USD	28,726	HUF	7,863,053		28,677		10/07/16		49
	USD	154,000	IDR	1,997,309,160		152,910		10/31/16		1,090
	USD	310,000	JPY	31,133,749		308,181		12/21/16		1,819
	USD	921,311	KRW	1,005,427,050		912,479		10/20/16		8,832
	USD	454,726	MXN	8,319,000		428,380		10/13/16		26,346
	USD	154,000	MXN	2,847,674		145,527		12/21/16		8,473
	USD	164,526	MYR	677,190		163,926		11/09/16		600
	USD	1,753,910	NZD	2,410,636		1,749,731		12/21/16		4,179
	USD	1,255,291	SEK	10,686,115		1,248,123		11/09/16		7,168
	USD	1,273,753	SGD	1,733,187		1,271,345		12/21/16		2,408
	USD	36,658	TRY	109,000		36,262		10/07/16		397
	USD	785,278	TRY	2,377,586		779,345		12/21/16		5,933
	USD	330,934	TWD	10,249,674		328,089		10/24/16		2,844
	USD	478,307	ZAR	6,454,855		469,768		10/07/16		8,538
	USD	155,000	ZAR	2,143,934		153,737		12/21/16		1,262
	ZAR	682,222	USD	48,015		49,651		10/07/16		1,635
	ZAR	11,702,877	USD	809,366		839,188		12/21/16		29,819
TOTAL									$	688,178

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Loss
Citibank NA	ARS	2,377,180	USD	154,012	$	153,808		10/12/16	$	(204	)
	ARS	6,251,055	USD	406,536		404,245		10/13/16		(2,290	)
	ARS	4,009,945	USD	261,787		259,183		10/14/16		(2,604	)
	ARS	1,630,827	USD	106,277		105,191		10/18/16		(1,086	)
	ARS	2,300,550	USD	149,144		147,703		10/27/16		(1,441	)
	ARS	892,608	USD	57,625		57,279		10/28/16		(346	)
	ARS	1,575,575	USD	101,650		99,881		11/21/16		(1,769	)
	ARS	1,358,433	USD	87,079		86,070		11/22/16		(1,009	)
	ARS	1,091,511	USD	69,812		68,903		11/29/16		(909	)
	ARS	1,754,751	USD	111,767		110,102		12/12/16		(1,665	)
	AUD	906,224	USD	692,836		692,803		11/18/16		(34	)

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

GOLDMAN SACHS FIXED INCOME MACRO STRATEGIES FUND

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Loss
Citibank NA (continued)	BRL	1,494,242	USD	463,719	$	458,906		10/04/16	$	(4,813	)
	BRL	4,449,361	USD	1,361,714		1,354,922		11/03/16		(6,792	)
	CAD	1,480,737	USD	1,150,887		1,128,887		10/26/16		(22,000	)
	CAD	891,092	USD	683,801		679,623		12/21/16		(4,178	)
	CHF	150,278	EUR	138,000		155,483		12/21/16		(141	)
	CNH	2,064,854	USD	308,000		307,859		12/21/16		(141	)
	CNH	732,678	USD	109,368		109,006		02/03/17		(362	)
	COP	244,947,934	USD	84,475		84,399		11/03/16		(76	)
	COP	252,422,670	USD	87,000		86,960		11/04/16		(40	)
	CZK	3,701,740	EUR	137,970		156,691		06/21/17		(221	)
	EUR	137,000	JPY	15,670,909		154,496		12/21/16		(625	)
	EUR	972,328	NOK	8,888,367		1,096,502		12/21/16		(15,549	)
	EUR	138,000	PLN	596,220		155,624		12/21/16		(58	)
	EUR	3,355,043	USD	3,782,382		3,775,975		11/10/16		(6,407	)
	EUR	1,242,118	USD	1,400,968		1,400,747		12/21/16		(222	)
	GBP	469,642	EUR	547,997		609,801		12/21/16		(8,179	)
	GBP	3,865,593	USD	5,151,941		5,014,875		11/16/16		(137,068	)
	GBP	393,867	USD	514,280		511,414		12/21/16		(2,866	)
	HKD	239,000	USD	30,836		30,828		11/17/16		(8	)
	JPY	48,635,937	USD	486,073		479,734		10/06/16		(6,338	)
	JPY	88,327,428	USD	879,173		874,320		12/21/16		(4,853	)
	MXN	6,833,039	USD	373,502		351,862		10/13/16		(21,641	)
	MXN	63,837,231	USD	3,342,358		3,262,331		12/21/16		(80,027	)
	MYR	1,150,082	USD	284,568		278,686		10/07/16		(5,882	)
	MYR	1,104,240	USD	275,083		267,470		10/19/16		(7,614	)
	MYR	2,007,515	USD	497,204		486,245		10/20/16		(10,959	)
	MYR	1,443,266	USD	353,456		349,494		10/27/16		(3,961	)
	MYR	2,082,815	USD	509,393		504,183		11/09/16		(5,210	)
	NZD	212,391	AUD	202,000		154,161		12/21/16		(150	)
	NZD	421,000	USD	307,090		305,578		12/21/16		(1,512	)
	PEN	520,537	USD	154,000		153,670		10/12/16		(330	)
	PHP	14,562,873	USD	304,106		301,323		10/17/16		(2,783	)
	PHP	14,411,312	USD	304,325		297,973		10/27/16		(6,353	)
	PHP	14,259,907	USD	297,298		294,377		11/18/16		(2,921	)
	PLN	1,182,351	EUR	274,000		308,728		12/21/16		(263	)
	SEK	57,958,498	EUR	6,077,924		6,784,851		12/21/16		(69,276	)
	SEK	2,637,584	NOK	2,515,000		308,766		12/21/16		(5,893	)
	SEK	10,803,000	USD	1,270,947		1,261,775		11/09/16		(9,173	)
	SGD	1,049,806	USD	772,000		770,064		12/21/16		(1,936	)
	TRY	10,613,000	USD	3,560,931		3,530,688		10/07/16		(30,244	)
	TRY	1,398,517	USD	464,000		458,418		12/21/16		(5,582	)
	TWD	5,755,671	USD	184,958		184,039		10/11/16		(919	)
	USD	154,858	AUD	203,000		155,076		12/21/16		(218	)
	USD	2,148,444	BRL	7,251,000		2,208,079		11/03/16		(59,634	)
	USD	309,960	CAD	408,078		311,191		12/02/16		(1,231	)
	USD	1,029,714	CAD	1,357,199		1,035,115		12/21/16		(5,401	)
	USD	114,906	CHF	111,549		115,010		10/27/16		(104	)
	USD	1,782,804	CNH	12,279,954		1,838,726		10/11/16		(55,922	)
	USD	463,349	CNH	3,116,484		464,651		12/21/16		(1,302	)
	USD	106,116	CNH	732,678		109,006		02/03/17		(2,890	)
	USD	103,655	CZK	2,507,217		104,343		10/27/16		(688	)
	USD	67,803	EUR	60,225		67,916		12/21/16		(113	)

The accompanying notes are an integral part of these financial statements. 23

GOLDMAN SACHS FIXED INCOME MACRO STRATEGIES FUND

Consolidated Schedule of Investments (continued)

September 30, 2016 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Loss
Citibank NA (continued)	USD	453,982	HUF	125,325,500	$	457,076		10/07/16	$	(3,094	)
	USD	295,501	HUF	81,620,280		297,866		12/21/16		(2,365	)
	USD	154,000	ILS	580,725		155,311		12/21/16		(1,311	)
	USD	153,571	INR	10,364,485		155,048		10/27/16		(1,477	)
	USD	266,940	INR	18,021,119		268,032		12/05/16		(1,092	)
	USD	2,005,219	JPY	204,865,214		2,020,747		10/06/16		(15,527	)
	USD	747,491	JPY	76,098,493		753,271		12/21/16		(5,780	)
	USD	370,595	KRW	412,891,890		374,819		10/04/16		(4,223	)
	USD	722,444	KRW	799,381,407		725,488		10/19/16		(3,043	)
	USD	301,641	KRW	342,170,381		310,535		10/21/16		(8,896	)
	USD	499,215	KRW	558,509,267		506,861		10/24/16		(7,646	)
	USD	155,000	KRW	171,161,850		155,331		10/26/16		(331	)
	USD	308,000	MXN	6,077,882		310,604		12/21/16		(2,604	)
	USD	277,798	MYR	1,150,082		278,686		10/07/16		(889	)
	USD	122,918	NOK	1,013,761		126,823		11/09/16		(3,904	)
	USD	346,594	NOK	2,822,147		353,088		12/21/16		(6,494	)
	USD	513,437	NZD	710,000		515,984		11/17/16		(2,548	)
	USD	719,192	NZD	991,989		720,024		12/21/16		(831	)
	USD	1,241,875	PLN	4,790,068		1,251,855		10/27/16		(9,980	)
	USD	154,000	RUB	9,989,980		158,654		10/11/16		(4,654	)
	USD	154,000	RUB	10,134,047		160,543		10/21/16		(6,543	)
	USD	154,000	RUB	9,885,753		156,416		10/26/16		(2,416	)
	USD	155,000	RUB	9,975,025		157,790		10/27/16		(2,790	)
	USD	1,032,124	RUB	69,720,000		1,071,852		02/27/17		(39,728	)
	USD	996,000	RUB	71,009,820		1,071,790		05/26/17		(75,790	)
	USD	1,982,499	SGD	2,705,223		1,984,363		12/21/16		(1,863	)
	USD	70,315	THB	2,437,669		70,330		10/20/16		(15	)
	USD	148,652	TWD	4,660,246		148,963		10/07/16		(311	)
	USD	946,067	TWD	29,616,688		947,787		10/21/16		(1,719	)
	USD	476,466	TWD	15,025,160		480,951		10/24/16		(4,484	)
	USD	1,131,475	TWD	35,731,979		1,144,418		11/01/16		(12,943	)
	USD	497,931	TWD	15,734,606		504,260		11/10/16		(6,330	)
	USD	1,118,652	TWD	34,962,249		1,121,399		11/22/16		(2,748	)
	USD	219,803	ZAR	3,129,000		227,721		10/07/16		(7,919	)
	USD	494,000	ZAR	7,033,326		504,345		12/21/16		(10,347	)
	ZAR	8,891,477	USD	649,883		647,101		10/07/16		(2,786	)
TOTAL									$	(899,847	)

FORWARD SALES CONTRACTS — At September 30, 2016, the Fund had the following forward sales contracts:

Description	Interest Rate	Maturity Date(a)		Settlement Date		Principal Amount			Value
FNMA (Proceeds Receivable: $(1,029,375))	3.000%		TBA-30yr		10/13/16	$	(1,000,000	)	$	(1,039,531	)

(a) TBA (To Be Announced) Securities are purchased or 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.

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

GOLDMAN SACHS FIXED INCOME MACRO STRATEGIES FUND

ADDITIONAL INVESTMENT INFORMATION (continued)

FUTURES CONTRACTS — At September 30, 2016, the Fund had the following futures contracts:

Type	Number of Contracts Long (Short)			Expiration Date		Current Value			Unrealized Gain (Loss)
S&P 500 E-Mini Index		(16	)		December 2016	$	(1,728,320	)	$	12,847
Ultra Long U.S. Treasury Bonds		(9	)		December 2016		(1,654,875	)		7,171
Ultra 10 Year U.S. Treasury Notes		(15	)		December 2016		(2,162,344	)		(379	)
2 Year U.S. Treasury Notes		(153	)		December 2016		(33,425,719	)		(8,423	)
5 Year U.S. Treasury Notes		(68	)		December 2016		(8,263,063	)		(9,369	)
10 Year U.S. Treasury Notes		(1	)		December 2016		(131,125	)		(705	)
20 Year U.S. Treasury Bonds		26			December 2016		4,372,063			59,701
TOTAL									$	60,843

SWAP CONTRACTS — At September 30, 2016, the Fund had the following swap contracts:

OVER THE COUNTER INTEREST RATE SWAP CONTRACTS

							Rates Exchanged		Market Value
Counterparty	Notional Amount (000s)				Termination Date		Payments Received	Payments Made	Upfront Payments Made (Received)			Unrealized Gain (Loss)
Bank of America Securities LLC		COP	1,611,010			12/11/16	Colombia IBR Overnight Interbank	4.340%	$	—		$	4,303
		BRL	10,770			01/02/17	1 month Brazilian Interbank Deposit Average	14.220		—			(4,689	)
		COP	2,405,250			04/06/17	Columbia IBR Overnight Interbank	6.590		—			4,481
		KRW	1,179,110			11/04/17	2.060%	3 month KWCDC		—			10,527
		BRL	6,660	(b)		01/02/18	11.830	1 month Brazilian Interbank Deposit Average		—			896
		KRW	1,469,620			08/12/18	1.205	3 month KWCDC		—			(1,003	)
			1,486,990			08/12/18	1.213	3 month KWCDC		—			(813	)
			1,468,540			08/29/18	1.226	3 month KWCDC		—			(308	)
		MYR	10,000			01/22/19	3 month KLIBOR	4.060		—			(43,117	)
			1,150			09/21/21	3 month KLIBOR	3.700		227			(3,528	)
		INR	77,200			09/21/21	12 month MIBOR	6.421		—			(5,887	)
			41,070	(b)		12/21/21	12 month MIBOR	6.235		—			1,671
		GBP	1,290			12/09/24	12 month UK-RPI	3.150		—			(60,047	)
			1,290			12/09/29	3.377	12 month UK-RPI		—			110,789
			1,000			12/09/39	3.568	12 month UK-RPI		—			196,538
			1,000			12/09/44	12 month UK-RPI	3.565		—			(275,418	)
Barclays Bank PLC		KRW	1,198,490			11/07/17	2.034	3 month KWCDC		—			10,302
		CNY	3,800	(b)		12/21/21	2.800	3 month SHIBOR		(928	)		88
Citibank NA		COP	1,592,820			12/11/16	Colombia IBR Overnight Interbank	4.330		—			4,268
		KRW	1,805,420			03/07/17	2.875	3 month KWCDC		—			12,756
		COP	2,293,200			06/13/17	Columbia IBR Overnight Interbank	7.220		—			943
		KRW	909,000			10/14/17	2.240	3 month KWCDC		—			9,904
			1,486,130			10/28/17	2.173	3 month KWCDC		—			15,140
			1,472,970			08/30/18	1.240	3 month KWCDC		—			63
			1,866,850			09/01/18	1.272	3 month KWCDC		—			1,191

The accompanying notes are an integral part of these financial statements. 25

GOLDMAN SACHS FIXED INCOME MACRO STRATEGIES FUND

Consolidated Schedule of Investments (continued)

September 30, 2016 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION (continued)

OVER THE COUNTER INTEREST RATE SWAP CONTRACTS (continued)

							Rates Exchanged		Market Value
Counterparty	Notional Amount (000s)				Termination Date		Payments Received	Payments Made	Upfront Payments Made (Received)			Unrealized Gain (Loss)
Citibank NA (continued)		KRW	2,402,970			09/22/18	1.277%	3 month KWCDC	$	—		$	1,945
		BRL	3,360			01/02/19	12.645	1 month Brazilian Interbank Deposit Average		—			13,887
		THB	20,440			04/11/19	1.523	6 month Thai Reuters		—			(1,478	)
			34,940			06/15/19	1.550	6 month Thai Reuters		(453	)		(2,051	)
		COP	1,113,460			08/04/19	6.665	Colombia IBR Overnight Interbank		—			6,883
		THB	15,390			09/21/19	1.641	6 month Thai Reuters		—			455
		INR	61,900			09/21/21	6 month MIBOR	6.421%		(372	)		1,575
			24,810	(b)		12/21/21	6 month MIBOR	6.235		622			388
		MYR	5,210			01/15/24	3 month KLIBOR	4.575		—			(79,732	)
Credit Suisse International (London)		BRL	1,370			01/02/18	11.120	1 month Brazilian Interbank Deposit Average		—			(19,340	)
Deutsche Bank AG		KRW	640,300			03/03/17	2.850	3 month KWCDC		—			4,389
			2,224,900			10/13/17	2.248	3 month KWCDC		—			24,306
			704,320			11/04/17	2.075	3 month KWCDC		—			6,409
		BRL	50			01/02/18	11.750	1 month Brazilian Interbank Deposit Average		—			(436	)
			1,220			01/02/18	11.150	1 month Brazilian Interbank Deposit Average		—			(16,901	)
			1,520			01/02/18	11.450	1 month Brazilian Interbank Deposit Average		—			(17,034	)
		KRW	1,617,300			09/09/18	1.235	3 month KWCDC		—			(1	)
		BRL	1,100			01/02/19	14.358	1 month Brazilian Interbank Deposit Average		—			15,128
			2,150			01/02/19	11.993	1 month Brazilian Interbank Deposit Average		—			4,284
			2,280			01/02/19	11.796	1 month Brazilian Interbank Deposit Average		—			2,173
		THB	17,480			06/15/19	1.645	6 month Thai Reuters		—			777
		COP	2,311,520			09/24/19	Colombia IBR Overnight Interbank	5.340		—			13,235
		BRL	2,700	(b)		01/02/20	11.840	1 month Brazilian Interbank Deposit Average		—			3,933
			2,100			01/04/21	1 month Brazilian Interbank Deposit Average	13.927		—			(40,943	)
			490			01/02/23	1 month Brazilian Interbank Deposit Average	13.602		—			(10,281	)

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

GOLDMAN SACHS FIXED INCOME MACRO STRATEGIES FUND

ADDITIONAL INVESTMENT INFORMATION (continued)

OVER THE COUNTER INTEREST RATE SWAP CONTRACTS (continued)

							Rates Exchanged		Market Value
Counterparty	Notional Amount (000s)				Termination Date		Payments Received	Payments Made	Upfront Payments Made (Received)			Unrealized Gain (Loss)
Deutsche Bank AG (continued)		BRL	1,260			01/02/23	1 month Brazilian Interbank Deposit Average	13.855%	$	—		$	(29,520	)
		MXN	13,080			12/05/23	6.710%	Mexico Interbank TIIE 28 Days		—			19,236
		MYR	1,270			08/18/24	3 month KLIBOR	3.460		—			(17,380	)
		BRL	1,680			01/02/25	1 month Brazilian Interbank Deposit Average	12.340		—			(13,269	)
			2,600			01/02/25	14.335	1 month Brazilian Interbank Deposit Average		—			82,568
		ZAR	14,640	(b)		02/27/35	9.040	3 month JIBAR		—			26,619
			45,320	(b)		02/27/45	3 month JIBAR	6.765		—			(21,671	)
JPMorgan Securities, Inc.		KRW	1,696,930			09/12/18	1.265	3 month KWCDC		—			937
			1,154,150			02/02/19	1.473	3 month KWCDC		—			6,177
		THB	30,790			04/19/19	1.554	6 month Thai Reuters		—			(1,487	)
		$	600			04/21/19	3 month LIBOR	1.623		—			4,368
		BRL	3,880	(b)		01/02/20	11.870	1 month Brazilian Interbank Deposit Average		—			5,892
			7,960			01/02/20	12.480	1 month Brazilian Interbank Deposit Average		—			44,966
		MYR	1,660			11/02/20	3 month KLIBOR	4.235		—			(13,411	)
		BRL	3,810			01/04/21	1 month Brazilian Interbank Deposit Average	13.720		—			(66,234	)
			8,930			01/04/21	1 month Brazilian Interbank Deposit Average	15.568		—			(294,409	)
		MYR	1,100			01/06/21	3 month KLIBOR	4.250		—			(9,320	)
		THB	25,850			02/03/21	1.888	6 Month Thai Reuters		—			4,813
			22,290			02/19/21	1.875	6 Month Thai Reuters		—			3,618
		INR	35,600			09/21/21	6 month MIBOR	6.421		(951	)		(1,763	)
			49,720	(b)		12/21/21	6 month MIBOR	6.235		(1,704	)		3,727
		BRL	1,690			01/02/23	13.760	1 month Brazilian Interbank Deposit Average		—			37,490
			3,690			01/02/23	15.470	1 month Brazilian Interbank Deposit Average		—			142,860
		KRW	2,791,220	(b)		09/19/24	3 month KWCDC	3.126		—			(232,898	)
Morgan Stanley & Co. International PLC		COP	4,401,090			11/24/16	Colombia IBR Overnight Interbank	6.060		—			12,871
			1,755,890			03/31/17	Colombia IBR Overnight Interbank	6.570		—			3,326
			1,755,890			04/03/17	Colombia IBR Overnight Interbank	6.550		—			4,387

The accompanying notes are an integral part of these financial statements. 27

GOLDMAN SACHS FIXED INCOME MACRO STRATEGIES FUND

Consolidated Schedule of Investments (continued)

September 30, 2016 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION (continued)

OVER THE COUNTER INTEREST RATE SWAP CONTRACTS (continued)

							Rates Exchanged				Market Value
Counterparty	Notional Amount (000s)				Termination Date		Payments Received		Payments Made		Upfront Payments Made (Received)			Unrealized Gain (Loss)
Morgan Stanley & Co. International PLC (continued)		COP	7,575,200	(b)		04/03/17		Colombia IBR Overnight Interbank		7.360%	$	—		$	(210	)
			2,209,860			05/04/17		Columbia IBR Overnight Interbank		7.040		—			2,220
			4,758,470			08/01/17		7.339%		Colombia IBR Overnight Interbank		—			1,922
		KRW	387,270			10/13/17		2.250		3 month KWCDC		—			4,242
			833,730			10/14/17		2.245		3 month KWCDC		—			9,131
			833,730			10/14/17		2.250		3 month KWCDC		—			9,179
			565,220			10/28/17		2.168		3 month KWCDC		—			5,723
			963,930			10/29/17		2.175		3 month KWCDC		—			9,750
		BRL	7,200			01/02/18		1 month Brazilian Interbank Deposit Average		13.380		—			(19,648	)
		KRW	4,769,180			09/09/18		1.235		3 month KWCDC		—			(47	)
			1,460,310			09/28/18		1.253		3 month KWCDC		—			559
		BRL	410			01/02/19		12.610		1 month Brazilian Interbank Deposit Average		—			1,612
			2,600			01/02/19		14.080		1 month Brazilian Interbank Deposit Average		—			31,605
			4,220			01/02/19		15.475		1 month Brazilian Interbank Deposit Average		—			85,730
			4,320			01/02/19		11.913		1 month Brazilian Interbank Deposit Average		—			6,787
			8,480			01/02/19		12.018		1 month Brazilian Interbank Deposit Average		—			18,103
		KRW	564,220			02/03/19		1.461		3 month KWCDC		—			2,932
		BRL	2,260			01/04/21		1 month Brazilian Interbank Deposit Average		11.410		—			15,830
		MYR	2,920			01/12/21		3 month KLIBOR		4.195		—			(23,043	)
		INR	19,550			09/21/21		6 month MIBOR		6.420		(182	)		(1,309	)
			19,170	(b)		12/21/21		6 month MIBOR		6.235		614			166
TOTAL											$	(3,127	)	$	(235,653	)

(b) Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to September 30, 2016.

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

GOLDMAN SACHS FIXED INCOME MACRO STRATEGIES FUND

ADDITIONAL INVESTMENT INFORMATION (continued)

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS

				Rates Exchanged		Market Value
Notional Amount (000s)			Termination Date	Payments Received	Payments Made	Upfront Payments Made (Received)			Unrealized Gain (Loss)
$	500		03/19/17	3 month LIBOR	0.750%	$	572		$	(190	)
	700		04/14/18	3 month LIBOR	1.655		4			4,009
HUF	130,750		06/09/18	6 month BUBOR	1.860		1			(9,522	)
SEK	44,000	(b)	06/15/18	0.050%	3 month STIBOR		42,737			3,968
	35,870	(b)	09/15/18	(0.330)	3 month STIBOR		197			1,497
PLN	39,370		09/21/18	1.614	6 month WIBOR		(22,316	)		(1,368	)
EUR	26,700	(b)	09/21/18	6 month EURO	(0.400)		(347,357	)		377,348
MXN	17,800		11/22/18	Mexico Interbank TIIE 28 Days	4.620		6			22,097
$	8,540	(b)	12/21/18	3 month LIBOR	1.250		(29,804	)		(5,575	)
MXN	107,350	(b)	08/19/19	5.800	Mexico Interbank TIIE 28 Days		35			(19,390	)
	21,960		09/23/19	Mexico Interbank TIIE 28 Days	5.480		7			13,370
GBP	2,240	(b)	12/21/19	0.353	6 month GBP		453			3,933
MXN	21,460	(b)	03/11/20	5.250	Mexico Interbank TIIE 28 Days		(20,798	)		(3,806	)
HUF	763,240		12/16/20	2.415	6 month BUBOR		(4,362	)		(205,857	)
MXN	57,660	(b)	08/16/21	Mexico Interbank TIIE 28 Days	6.010		449			17,026
$	1,800		09/06/21	3 month LIBOR	1.515		16			16,121
	900		09/13/21	3 month LIBOR	1.579		8			5,627
HUF	92,840		09/21/21	1.380	6 month BUBOR		4			(4,905	)
PLN	7,370		09/21/21	1.771	6 month WIBOR		(10,093	)		(4,270	)
SEK	15,310	(b)	12/21/21	0.100	3 month STIBOR		7,536			2,545
CAD	30,820	(b)	12/21/21	1.000	6 month CDOR		(42,882	)		63,099
NOK	40,060	(b)	12/21/21	1.250	3 month NIBOR		14,889			(15,338	)
NZD	2,750	(b)	12/21/21	2.250	3 month NZDOR		8,127			3,254
HKD	8,020	(b)	12/21/21	3 month HIBOR	1.200		3,831			(4,745	)
$	25,250	(b)	12/21/21	3 month LIBOR	1.500		(312,216	)		(46,880	)
SEK	68,160	(b)	12/21/21	3 month STIBOR	0.100		(24,775	)		(20,102	)
EUR	1,740	(b)	12/21/21	6 month EURO	0.250		(32,182	)		(5,322	)
CZK	20,830	(b)	12/21/21	6 month PRIBOR	0.368		324			(551	)
MXN	8,790	(b)	03/09/22	5.500	Mexico Interbank TIIE 28 Days		(9,988	)		(3,900	)
PLN	10,160	(b)	03/15/22	1.820	6 month WIBOR		(4,718	)		(17,389	)
MXN	16,560	(b)	08/11/22	7.370	Mexico Interbank TIIE 28 Days		7			11,253
	99,680	(b)	09/15/22	7.500	Mexico Interbank TIIE 28 Days		(22,321	)		98,778
GBP	2,780		09/15/23	3.075	6 month GBP		(4,440	)		(19,467	)
EUR	3,620		09/15/23	6 month EURO	0.847		17,314			10,357
ZAR	8,860		09/21/23	8.350	3 month JIBAR		7,779			10,485
MXN	20,000	(b)	03/06/24	5.750	Mexico Interbank TIIE 28 Days		(12,432	)		(22,911	)
	16,740	(b)	07/24/24	Mexico Interbank TIIE 28 Days	7.370		7			(7,104	)
EUR	330	(b)	08/16/24	0.250	6 month EURO		(110	)		23
MXN	3,320		11/20/24	Mexico Interbank TIIE 28 Days	5.955		2			3,909

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

GOLDMAN SACHS FIXED INCOME MACRO STRATEGIES FUND

Consolidated Schedule of Investments (continued)

September 30, 2016 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION (continued)

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS (continued)

					Rates Exchanged				Market Value
Notional Amount (000s)			Termination Date		Payments Received		Payments Made		Upfront Payments Made (Received)			Unrealized Gain (Loss)
CZK	8,440			06/16/25		6 month PRIBOR		1.365%	$	4		$	(30,574	)
HUF	51,240			06/19/25		6 month BUBOR		3.580		2			(29,267	)
	79,720			07/09/25		6 month BUBOR		3.280		3			(37,701	)
CZK	8,450			07/15/25		6 month PRIBOR		1.295		4			(28,145	)
MXN	7,150	(b)		08/07/25		Mexico Interbank TIIE 28 Days		7.430		4			(9,864	)
	43,410	(b)		09/11/25		Mexico Interbank TIIE 28 Days		7.600		(10,771	)		(61,541	)
CZK	7,040			10/09/25		6 month PRIBOR		0.930		4			(15,188	)
	7,000			11/20/25		6 month PRIBOR		0.850		3			(12,295	)
	5,630			12/04/25		6 month PRIBOR		0.760		3			(7,585	)
	4,460			12/08/25		6 month PRIBOR		0.935		2			(9,483	)
PLN	1,510	(b)		01/22/26		3.125%		6 month WIBOR		4			9,535
	1,075	(b)		06/16/26		2.972		6 month WIBOR		3			4,327
$	1,800			09/06/26		1.740		3 month LIBOR		22			(20,588	)
	900			09/13/26		1.780		3 month LIBOR		11			(7,120	)
GBP	350	(b)		09/27/26		6 month GBP		1.000		(730	)		2,473
AUD	620	(b)		09/28/26		2.500		6 month AUDOR		3,341			(352	)
PLN	980	(b)		09/29/26		2.598		6 month WIBOR		3			(549	)
JPY	91,020	(b)		12/15/26		0.250		6 month JYOR		(683	)		2,675
$	2,970	(b)		12/15/26		2.500		3 month LIBOR		74,989			23,977
SEK	2,230	(b)		12/15/26		3 month STIBOR		2.750		(16,673	)		(469	)
GBP	4,250	(b)		12/15/26		6 month GBP		2.250		(314,158	)		7,762
EUR	1,840	(b)		12/21/26		0.750		6 month EURO		72,257			20,214
AUD	490	(b)		12/21/26		2.750		6 month AUDOR		22,663			(2,174	)
SEK	15,810	(b)		12/21/26		3 month STIBOR		0.750		3,760			(16,652	)
CZK	12,960	(b)		12/21/26		6 month PRIBOR		0.475		618			2,463
MXN	63,120	(b)		03/03/27		6.000		Mexico Interbank TIIE 28 Days		(76,302	)		(48,137	)
ZAR	14,640	(b)		03/15/27		8.250		3 month JIBAR		1,183			5,778
MXN	7,390	(b)		07/21/27		7.660		Mexico Interbank TIIE 28 Days		4			8,983
GBP	2,810			09/15/31		3.230		6 month GBP		(10,008	)		(76,418	)
	1,210	(b)		12/21/31		6 month GBP		1.500		(143,917	)		27,329
	1,400	(b)		12/17/35		6 month GBP		2.500		(206,927	)		12,121
$	6,300			09/09/36		3 month LIBOR		1.231		38,460			64,072
JPY	267,180	(b)		12/16/36		0.750		6 month JYOR		(405	)		13,504
	64,930	(b)		12/21/36		6 month JYOR		0.500		3,446			(19,653	)
	81,260	(b)		12/17/46		0.750		6 month JYOR		4,566			1,909
GBP	850	(b)		12/17/46		6 month GBP		1.000		(18,842	)		20,369
$	2,480	(b)		12/21/46		2.250		3 month LIBOR		231,730			43,387
GBP	1,450	(b)		12/21/46		6 month GBP		1.750		(341,299	)		(20,088	)
	TOTAL								$	(1,480,115	)	$	67,142

(b) Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to September 30, 2016.

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

GOLDMAN SACHS FIXED INCOME MACRO STRATEGIES FUND

ADDITIONAL INVESTMENT INFORMATION (continued)

OVER THE COUNTER CROSS CURRENCY SWAP CONTRACTS

									Rates Exchanged				Market Value
Counterparty	Notional Amount of Currency Received			Notional Amount of Currency Delivered			Termination Date		Receive		Pay		Upfront Payments made (Received)			Unrealized Gain (Loss)
Bank of America Securities LLC		$	400,771		TRY	1,040,000		04/07/20		3 month LIBOR		8.770%	$	(1,597	)	$	42,453
			558,793			1,630,000		11/13/20		3 month LIBOR		10.480		(364	)		(62,722	)
Barclays Bank PLC			628,308			1,840,000		12/15/20		3 month LIBOR		10.660		11,066			(84,013	)
Citibank NA			931,649			1,935,500		05/16/19		3 month LIBOR		9.370		(3,037	)		258,293
		TRY	4,019,700		$	1,357,090		12/21/21		9.270%		3 month LIBOR		—			(10,356	)
		$	820,000		TRY	2,428,840		12/21/26		3 month LIBOR		9.325		—			9,567
JPMorgan Securities, Inc.		TRY	7,241,700		$	2,453,566		12/21/18		9.040		3 month LIBOR		—			(27,436	)
		$	1,000,000		TRY	3,030,000		09/17/20		3 month LIBOR		11.040		(479	)		(82,386	)
			330,000			993,630		12/21/21		3 month LIBOR		9.290		—			(3,155	)
			670,000			1,977,505		12/21/26		3 month LIBOR		9.240		—			13,695
Morgan Stanley & Co. International PLC		TRY	990,000		$	394,422		03/03/20		8.930		3 month LIBOR		204			(47,123	)
		$	280,586		TRY	805,000		11/20/20		3 month LIBOR		10.420		(691	)		(24,532	)
			680,000			2,040,680		12/21/21		3 month LIBOR		9.410		—			(7,378	)
			520,000			1,550,900		12/21/21		3 month LIBOR		9.295		—			(103	)
TOTAL													$	5,102		$	(25,196	)

OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS ON COMMODITY INDICES

Counterparty	Referenced Obligation(c)	Notional Amount (000s)		Paid Rate			Termination Date		Unrealized Gain (Loss)*
Merrill Lynch & Co., Inc.	Dow Jones-UBS Aluminum Subindex	$	458		0.000	%		10/07/16	$	—
	Dow Jones-UBS Soybeans Subindex		3		0.000			10/07/16		(35	)
	Dow Jones-UBS WTI Crude Oil Subindex		341		0.000			10/07/16		—
	Dow Jones-UBS Zinc Subindex		14		0.000			10/07/16		(149	)
	Jones-UBS Copper Subindex		599		0.000			10/07/16		—
	Jones-UBS Corn Subindex		677		0.000			10/07/16		—
TOTAL									$	(184	)

(c) The Fund receives quarterly payments based on any positive monthly return of the Referenced Obligation. The Fund makes payments on any negative monthly return of such referenced obligation.

* There are no upfront payments on the swap contracts , therefore the unrealized gain (loss) on the swap contracts is equal to their market value.

NON-DELIVERABLE BOND FORWARD CONTRACTS^#

Counterparty	Notional Amount (000s)		Reference Obligation	Settlement Date	Unrealized Gain (Loss)*
JPMorgan Securities, Inc.		COP 259,000	Titulos de Tesoreria 7.500% 10/20/16	10/20/16	$	1,674
Bank of America Securities LLC		COP     3,100	Titulos de Tesoreria 3.500% 10/19/16	10/19/16		174
TOTAL					$	1,848

# Represents a short term forward contract to purchase the referenced obligation denominated in a non-deliverable foreign currency.

* There are no upfront payments on the swap contracts, therefore the unrealized gain (loss) on the swap contracts is equal to their market value.

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

GOLDMAN SACHS FIXED INCOME MACRO STRATEGIES FUND

Consolidated Schedule of Investments (continued)

September 30, 2016 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION (continued)

WRITTEN OPTIONS CONTRACTS — For the six months ended September 30, 2016 the Fund had the following written options:

WRITTEN OPTION CURRENCY CONTRACTS

Counterparty	Description	Notional Amount (000s)		Expiration Date		Exercise Price		Value
Bank of America Securities LLC	Put USD/Call BRL	$	1,562		10/13/16	$	2.95	$	(2	)
	Put USD/Call MXN		1,240		10/17/16		19.45		(17,823	)
BNP Paribas SA	Put USD/Call INR		1,483		12/01/16		66.00		(4,059	)
Citibank NA	Call USD/Put CNH		717		01/25/17		7.55		(153	)
HSBC Bank PLC	Put USD/Call MXN		1,227		10/18/16		19.45		(18,147	)
	Put USD/Call BRL		1,493		10/28/16		3.05		(1,127	)
	Put USD/Call INR		1,500		11/17/16		65.50		(1,698	)
JPMorgan Securities, Inc.	Put EUR/Call SEK	EUR	776		10/07/16	EUR	9.35		(1	)
Royal Bank of Scotland PLC	Call EUR/Put SEK		561		10/03/16		9.70		(33	)
	Put EUR/Call SEK		1,403		10/03/16		9.30		—
TOTAL (Premium Received $79,188)								$	(43,043	)

For the six months ended September 30, 2016, the Fund had the following currency written options activities:

OPTIONS ON CURRENCY CONTRACTS

	Notional Amount (000s)			Premiums Received
Contracts Outstanding March 31, 2016		2,429		$	56,076
Contracts Written		26,582			207,156
Contracts Bought to Close		(3,211	)		(44,367	)
Contracts Expired		(13,838	)		(139,677	)
Contracts Outstanding September 30, 2016		11,962		$	79,188

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

GOLDMAN SACHS FIXED INCOME MACRO STRATEGIES FUND

ADDITIONAL INVESTMENT INFORMATION (continued)

INTEREST RATE SWAPTION CONTRACTS

Counterparty	Description	Notional Amount (000s)		Expiration Date		Strike Price			Value
Bank of America Securities LLC	Call - OTC - 1 year Swap for the obligation to pay a fixed rate of 1.980% versus the 3 month LIBOR maturing on August 08, 2016	$	4,200		05/02/17		1.980	%	$	(5,429	)
	Call - OTC - 1 year Swap for the obligation to pay a fixed rate of 1.550% versus the 3 month LIBOR maturing on August 08, 2016		10,500		05/02/17		1.550			(7,239	)
Deutsche Bank AG	Put - OTC - 5 year Swap for the obligation to pay a fixed rate of 0.130% versus the 3 month LIBOR maturing on October 05, 2021	JPY	46,290		12/07/16		0.130			(678	)
JPMorgan Securities, Inc.	Put - OTC - 5 year Swap for the obligation to pay a fixed rate of 0.888% versus the 3 month LIBOR maturing on October 05, 2021	EUR	4,200		11/10/16		0.888			(47,465	)
	Put - OTC - 20 year Swap for the obligation to pay a fixed rate of 0.130% versus the 3 month LIBOR maturing on January 13, 2037	JPY	86,330		01/11/17		0.130			(2,509	)
Morgan Stanley Capital Services, Inc.	Call - OTC - 2 year Swap for the obligation to pay a fixed rate of 1.690% versus the 3 month LIBOR maturing on October 29, 2020	$	14,000		10/26/16		1.690			(209	)
	Call - OTC - 2 year Swap for the obligation to pay a fixed rate of 1.690% versus the 3 month LIBOR maturing on October 29, 2020		14,000		10/26/16		1.690			(122,024	)
	Put - OTC - 20 year Swap for the obligation to pay a fixed rate of 0.125% versus the 3 month LIBOR maturing on December 9, 2036	JPY	184,250		12/07/16		0.125			(2,569	)
	Put - OTC - 2 year Swap for the obligation to pay a fixed rate of 1.660% versus the 3 month LIBOR maturing on October 29, 2020	$	18,500		10/27/16		1.660			(150,638	)
	Call - OTC - 2 year Swap for the obligation to pay a fixed rate of 1.660% versus the 3 month LIBOR maturing on October 29, 2020		18,500		10/27/16		1.660			(507	)
TOTAL (Premium Received $676,006)									$	(339,267	)

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

GOLDMAN SACHS FIXED INCOME MACRO STRATEGIES FUND

Consolidated Schedule of Investments (continued)

September 30, 2016 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION (continued)

For the six months ended September 30, 2016, the Fund had the following interest rate swaptions activities:

INTEREST RATE SWAPTION CONTRACTS

	Notional Amount (000s)			Premiums Received
Contracts Outstanding March 31, 2016		130,700		$	1,069,853
Contracts Written		340,970			192,190
Contracts Bought to Close		(58,000	)		(530,567	)
Contracts Expired		(12,900	)		(55,470	)
Contracts Outstanding September 30, 2016		400,770		$	676,006

OPTIONS ON FUTURES CONTRACTS

Counterparty	Description	Contracts		Expiration Date		Strike Price		Value
Goldman Sachs & Co.	Put - 4 Year Eurodollar Futures		130		12/19/16	$	98.875	$	(2,437	)
Morgan Stanley Capital Services, Inc.	Call - 4 Year Eurodollar Futures		187		12/19/16		99.25		(4,675	)
	Call - 4 Year Eurodollar Futures		256		12/19/16		99.125		(28,800	)
	Call - 4 Year Eurodollar Futures		252		01/13/17		9.25		(9,450	)
TOTAL (Premium Received $59,057)			825					$	(45,362	)

For the six months ended September 30, 2016, the Fund had the following futures written options activities:

OPTIONS ON FUTURE CONTRACTS

	Contracts			Premiums Received
Contracts Outstanding March 31, 2016		228		$	31,587
Contracts Written		1,274			120,882
Contracts Bought to Close		(677	)		(93,412	)
Contracts Outstanding September 30, 2016		825		$	59,057

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

GOLDMAN SACHS LONG SHORT CREDIT STRATEGIES FUND

Schedule of Investments

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Secured Debt Obligations – 32.6%
	Bank Loans(a) – 8.6%
	Airlines – 2.5%
	Air Canada (BB+/Ba3)
$	844,000		2.750	%		09/21/23	$	844,633
	XPO Logistics, Inc. (NR/NR)
	4,426,526		4.250			10/30/21		4,449,588
								5,294,221
	Automotive – 0.5%
	Tectum Holdings, Inc. (NR/NR)
	1,028,000		5.750			08/24/23		1,028,000
	Chemicals – 0.3%
	Kraton Polymers LLC (NR/NR)
	528,000		6.000			01/06/22		531,960
	Commercial Services – 0.2%
	Monitronics International, Inc. (NR/NR)
	530,000		5.500			09/22/22		527,684
	Health Care – Medical Products – 1.3%
	Cengage Learning Acquisitions, Inc. (NR/NR)
	1,481,288		5.250			06/07/23		1,479,436
	JC Penney Corp., Inc. (NR/NR)
	1,397,213		5.250			06/23/23		1,401,698
								2,881,134
	Healthcare – Services – 1.8%
	ATI Holdings Acquisition, Inc. (NR/NR)
	322,193		5.500			05/10/23		324,409
	Concordia Healthcare Corp. (B+/B1)
	524,040		5.250			10/21/21		466,977
	Precyse Acquisition Corp. (NR/NR)
	548,625		6.500			10/20/22		552,054
	Quorum Health Corp. (NR/NR)
	965,150		6.750			04/29/22		934,815
	Select Medical Corp. (NR/NR)
	1,243,750		6.000			03/03/21		1,251,524
	Vizient, Inc. (NR/NR)
	404,732		6.250			02/13/23		409,035
								3,938,814
	Media – Non Cable – 0.6%
	McGraw-Hill Global Education Holdings LLC (B+/Ba3)
	1,284,780		5.000			05/04/22		1,291,525
	Univision Communications, Inc. (B+/B2)
	91		4.000			03/01/20		91
								1,291,616
	Property/Casualty Insurance – 0.3%
	Hyperion Insurance Group Ltd. (NR/NR)
	543,491		5.500			04/29/22		530,752
	Telecommunications – Wireless – 0.7%
	Fairpoint Communications, Inc. (B/B2)
	764,854		7.500			02/14/19		764,441
	Intelsat Jackson Holdings SA (BB-/Ba3)
	872,200		3.750			06/30/19		828,389
								1,592,830
	Secured Debt Obligations – (continued)
	Telecommunications-Wirelines – 0.4%
	Windstream Services LLC (NR/NR)
$	413,000		5.750	%		03/16/21	$	414,032
	497,500		5.750			03/29/21		498,122
								912,154
	TOTAL BANK LOANS						$	18,529,165
	Other Secured Debt Obligations – 24.0%
	Automotive(b)(c)(d) – 0.3%
	IHO Verwaltungs GmbH (BB-/Ba1)
$	555,566		4.125	%		09/15/21	$	566,677
	Building Materials(b)(c) – 0.8%
	Builders FirstSource, Inc. (B+/B3)
	1,753,000		5.625			09/01/24		1,796,825
	Chemicals(b)(c) – 0.3%
	PQ Corp. (B+/B2)
	650,000		6.750			11/15/22		690,625
	Consumer Cyclical Services(b) – 5.7%
	APX Group, Inc. (B/B1)
	1,247,000		6.375			12/01/19		1,271,940
	3,777,000		7.875			12/01/22		3,956,407
	APX Group, Inc. (B/NR)(c)
	781,000		7.875			12/01/22		818,098
	First Data Corp. (BB/Ba3)(c)
	6,069,000		5.000			01/15/24		6,175,207
								12,221,652
	Health Care – Services – 4.6%
	HCA, Inc. (BBB-/Ba1)
	4,214,000		5.250			04/15/25		4,493,177
	1,876,000		4.500	(b)		02/15/27		1,887,725
	Tenet Healthcare Corp. (BB-/Ba3)
	1,041,000		6.000			10/01/20		1,100,858
	Universal Health Services, Inc. (BBB-/Ba1)(b)(c)
	2,305,000		4.750			08/01/22		2,379,913
								9,861,673
	Media – Cable(b)(c) – 7.4%
	SFR Group SA (B+/B1)
	3,128,000		6.000			05/15/22		3,182,740
	3,844,000		7.375			05/01/26		3,920,880
	Virgin Media Secured Finance PLC (BB-/Ba3)
	2,813,000		5.500			08/15/26		2,869,260
	Ziggo Secured Finance BV (BB-/NR)
	6,000,000		5.500			01/15/27		5,985,000
								15,957,880
	Media – Non Cable(b)(c) – 0.2%
	Univision Communications, Inc. (B+/B2)
	430,000		5.125			05/15/23		435,375
	Packaging(b)(c) – 2.7%
	ARD Finance SA (CCC+/Caa2)(d)
	EUR 362,000		6.625	%		09/15/23		389,471

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

GOLDMAN SACHS LONG SHORT CREDIT STRATEGIES FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Secured Debt Obligations – (continued)
	Packaging – (continued)
	Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (B+/Ba3)
$	3,339,000		4.625	%		05/15/23	$	3,347,348
	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/ Reynolds Group Issuer Lu (B+/B2)
	1,065,000		4.127	(e)		07/15/21		1,082,306
	866,000		5.125			07/15/23		893,063
								5,712,188
	Retailers(b)(c) – 0.2%
	JC Penney Corp., Inc. (B+/Ba2)
	349,000		5.875			07/01/23		362,960
	Telecommunications – Wireless(c) – 1.1%
	Hughes Satellite Systems Corp. (BB+/Ba2)
	1,407,000		5.250			08/01/26		1,392,930
	Intelsat Jackson Holdings SA (B-/B1)(b)
	878,000		8.000			02/15/24		880,195
								2,273,125
	Transportation(b) – 0.7%
	Jack Cooper Holdings Corp. (CCC+/Caa1)
	2,103,000		9.250			06/01/20		1,440,555
	TOTAL OTHER SECURED DEBT OBLIGATIONS						$	51,319,535
	TOTAL SECURED DEBT OBLIGATIONS
	(Cost $69,628,435)						$	69,848,700
	Unsecured Debt Obligations – 48.8%
	Aerospace & Defense(c) – 2.6%
	Bombardier, Inc. (B-/B3)
$	1,440,000		5.500	%		09/15/18	$	1,463,400
	3,816,000		7.750			03/15/20		3,911,400
	160,000		7.500	(b)		03/15/25		147,200
								5,522,000
	Airlines(c) – 1.2%
	Air Canada (BB-/B3)
	2,314,000		7.750			04/15/21		2,499,814
	Apparel(b)(c) – 0.7%
	Hanesbrands, Inc. (BB/Ba2)
	980,000		4.625			05/15/24		1,005,725
	490,000		4.875			05/15/26		503,475
								1,509,200
	Automotive – 7.6%
	Adient Global Holdings Ltd. (BB/Ba3)(b)(c)
	4,253,000		4.875			08/15/26		4,268,991
	Allison Transmission, Inc. (BB/Ba3)(b)(c)
	602,000		5.000			10/01/24		617,050
	Dana Financing Luxembourg Sarl (BB+/B1)(b)(c)
	723,000		6.500			06/01/26		757,343
	Dana, Inc. (BB+/B1)(b)
	3,471,000		5.375			09/15/21		3,601,162

Principal Amount		Interest Rate			Maturity Date		Value
	Unsecured Debt Obligations – (continued)
	Automotive – (continued)
	Fiat Chrysler Automobiles NV (BB/B1)
$	1,683,000		5.250	%		04/15/23	$	1,729,283
	Lear Corp. (BBB-/Baa3)(b)
	1,773,000		4.750			01/15/23		1,848,353
	1,957,000		5.250			01/15/25		2,108,667
	Navistar International Corp. (CCC-/Caa1)(b)
	263,000		8.250			11/01/21		261,685
	Tenneco, Inc. (BB/Ba3)(b)
	1,015,000		5.000			07/15/26		1,028,956
								16,221,490
	Brokerage – 2.4%
	E*Trade Financial Corp. (BBB-/Baa3)(b)
	1,329,000		4.625			09/15/23		1,375,515
	Navient Corp. (BB-/Ba3)
	133,000		8.000			03/25/20		143,398
	1,694,000		6.625			07/26/21		1,700,632
	1,822,000		7.250			09/25/23		1,818,844
								5,038,389
	Building Materials(b) – 0.2%
	WESCO Distribution, Inc. (BB-/B1)
	431,000		5.375			12/15/21		441,775
	Captive Auto – 0.8%
	General Motors Financial Co., Inc. (BBB-/Ba1)
	1,673,000		4.375			09/25/21		1,786,848
	Chemicals(b) – 1.0%
	Ashland LLC (BB/Ba1)
	558,000		4.750			08/15/22		583,110
	INEOS Group Holdings SA (B-/B3)(c)
	1,651,000		5.625			08/01/24		1,615,916
								2,199,026
	Consumer Cyclical Services(b) – 0.9%
	Avis Budget Car Rental LLC/Avis Budget Finance, Inc. (B+/B1)(c)
	787,000		5.125			06/01/22		788,968
	Equinix, Inc. (BB+/B1)
	941,000		5.750			01/01/25		999,812
	XPO Logistics, Inc. (B/B2)(c)
	202,000		6.125			09/01/23		207,050
								1,995,830
	Consumer Products(b) – 0.7%
	Tempur Sealy International, Inc. (BB/B1)
	663,000		5.625			10/15/23		701,122
	719,000		5.500	(c)		06/15/26		740,570
								1,441,692
	Consumer Products – Household & Leisure(b)(c) – 0.2%
	Serta Simmons Bedding LLC (CCC+/B3)
	357,000		8.125			10/01/20		373,065
	Diversified Manufacturing(b)(c) – 0.5%
	Cortes NP Acquisition Corp. (B/B3)
	1,167,000		9.250			10/15/24		1,167,000

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

GOLDMAN SACHS LONG SHORT CREDIT STRATEGIES FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Unsecured Debt Obligations – (continued)
	Electric(b)(c) – 1.3%
	NRG Energy, Inc. (BB-/B1)
$	2,883,000		6.625	%		01/15/27	$	2,810,925
	Energy – Exploration & Production(b) – 1.0%
	Callon Petroleum Co. (B+/B3)(c)
	382,000		6.125			10/01/24		396,325
	Endeavor Energy Resources LP/EER Finance, Inc. (B-/Caa2)(c)
	994,000		7.000			08/15/21		1,018,850
	Murphy Oil Corp. (BBB-/B1)
	210,000		6.875			08/15/24		217,078
	PDC Energy, Inc. (B+/B2)(c)
	395,000		6.125			09/15/24		408,331
								2,040,584
	Entertainment(b) – 0.7%
	AMC Entertainment, Inc. (B/B2)
	335,000		5.875			02/15/22		345,888
	Cinemark USA, Inc. (BB/B2)
	1,020,000		5.125			12/15/22		1,048,050
								1,393,938
	Food & Beverage(b)(c) – 1.4%
	Dean Foods Co. (BB-/B2)
	2,769,000		6.500			03/15/23		2,942,062
	Food & Drug Retailers(b)(c) – 1.5%
	Rite Aid Corp. (CCC+/B3)
	2,896,000		6.125			04/01/23		3,127,680
	Gaming(b) – 0.3%
	MGM Resorts International (BB-/B1)
	351,000		4.625			09/01/26		343,102
	Mohegan Tribal Gaming Authority (CCC+/B3)(c)
	202,000		7.875			10/15/24		201,748
								544,850
	Health Care – Medical Products(b) – 0.6%
	Alere, Inc. (CCC+/Caa1)
	1,313,000		6.500			06/15/20		1,311,359
	Health Care – Services(b) – 5.7%
	Acadia Healthcare Co., Inc. (B/B3)
	2,901,000		5.625			02/15/23		2,937,262
	Amsurg Corp. (B-/B3)
	2,284,000		5.625			07/15/22		2,329,680
	DaVita, Inc. (B+/B1)
	295,000		5.125			07/15/24		300,531
	1,594,000		5.000			05/01/25		1,599,978
	Double Eagle Acquisition Sub, Inc. (CCC+/Caa2)(c)
	395,000		7.500			10/01/24		399,444
	Team Health, Inc. (B/B2)(c)
	741,000		7.250			12/15/23		796,575
	Tenet Healthcare Corp. (CCC+/Caa1)
	3,889,000		8.000			08/01/20		3,947,335
								12,310,805
	Home Builders(b) – 0.1%
	TRI Pointe Group, Inc. (BB-/B1)
	221,000		4.875			07/01/21		225,973
	Unsecured Debt Obligations – (continued)
	Lodging(b)(c) – 0.7%
	Hilton Domestic Operating Co., Inc. (BB+/Ba3)
$	1,501,000		4.250	%		09/01/24	$	1,529,144
	Media – Cable(b)(c) – 1.4%
	Cequel Communications Holdings I LLC/Cequel Capital Corp. (B-/Caa1)
	1,803,000		6.375			09/15/20		1,857,090
	1,237,000		5.125			12/15/21		1,237,000
								3,094,090
	Media – Non Cable(b) – 5.4%
	Gray Television, Inc. (B+/B2)(c)
	1,014,000		5.125			10/15/24		993,720
	Lamar Media Corp. (BB-/Ba1)
	2,350,000		5.375			01/15/24		2,482,187
	McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance (CCC+/B3)(c)
	668,000		7.875			05/15/24		721,440
	Nexstar Broadcasting, Inc. (B+/B3)
	1,227,000		6.875			11/15/20		1,274,546
	Nexstar Escrow Corp. (B+/B3)(c)
	982,000		5.625			08/01/24		986,910
	Sinclair Television Group, Inc. (B+/B1)
	1,206,000		5.375			04/01/21		1,251,225
	549,000		5.125	(c)		02/15/27		536,648
	Sirius XM Radio, Inc. (BB/Ba3)(c)
	3,249,000		5.375			07/15/26		3,342,409
								11,589,085
	Oil Field Services(b) – 1.8%
	Transocean, Inc. (BB-/B1)(c)
	2,719,000		9.000			07/15/23		2,630,632
	Weatherford International Ltd. (BB-/B2)
	1,313,000		7.750			06/15/21		1,299,870
								3,930,502
	Pharmaceuticals(b) – 1.3%
	Concordia International Corp. (CCC+/Caa2)(c)
	1,517,000		9.500			10/21/22		1,046,730
	1,257,000		7.000			04/15/23		804,480
	Grifols Worldwide Operations Ltd. (B+/B1)
	947,000		5.250			04/01/22		980,145
								2,831,355
	Pipelines(b)(c) – 0.6%
	Antero Midstream Partners LP/Antero Midstream Finance Corp. (BB/B1)
	1,176,000		5.375			09/15/24		1,186,290
	Technology – Hardware(b)(c) – 2.1%
	Cengage Learning, Inc. (CCC+/Caa1)
	3,386,000		9.500			06/15/24		3,445,255
	CommScope, Inc. (B/B1)
	1,094,000		5.500			06/15/24		1,151,435
								4,596,690

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

GOLDMAN SACHS LONG SHORT CREDIT STRATEGIES FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Unsecured Debt Obligations – (continued)
	Telecommunications – Wireless(b)(c) – 2.2%
	Inmarsat Finance PLC (BB+/Ba2)
$	1,224,000		4.875	%		05/15/22	$	1,162,800
	3,614,000		6.500			10/01/24		3,618,517
								4,781,317
	Telecommunications – Wirelines(b) – 1.9%
	Frontier Communications Corp. (BB-/Ba3)
	3,764,000		8.875			09/15/20		4,065,120
	TOTAL UNSECURED DEBT OBLIGATIONS
	(Cost $103,510,725)						$	104,507,898

Shares		Description	Value
	Common Stocks – 0.4%
	Oil, Gas & Consumable Fuels* – 0.4%
	1,141,925	Prairie Provident Resources, Inc.	$	835,954
	TOTAL COMMON STOCKS		$	835,954
	(Cost $2,946,431)

Shares		Distribution Rate			Value
	Investment Company(f) – 15.3%
	Goldman Sachs Financial Square Government Fund – Institutional Shares
	32,866,051		0.290	%	$	32,866,051
	(Cost $32,866,051)
	TOTAL INVESTMENTS – 97.1%
	(Cost $208,951,642)				$	208,058,603
	OTHER ASSETS IN EXCESS OF     LIABILITIES – 2.9%					6,192,857
	NET ASSETS – 100.0%				$	214,251,460

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)	Bank Loans often require prepayments from excess cash flows or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. The stated interest rate represents the weighted average interest rate of all contracts within the bank loan facility on September 30, 2016. Bank Loans typically have rates of interest which are predetermined either daily, monthly, quarterly or semi-annually by reference to a base lending rate, plus a premium. These base lending rates are primarily the London-Interbank Offered Rate (“LIBOR”), and secondarily the prime rate offered by one or more major United States banks (the “Prime Rate”) and the certificate of deposit (“CD”) rate or other base lending rates used by commercial lenders.
(b)	Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.
(c)	Exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be deemed 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 $95,588,280, which represents approximately 44.6% of net assets as of September 30, 2016.
(d)	Pay-in-kind securities.
(e)	Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on September 30, 2016.
(f)	Represents an affiliated fund.

Currency Abbreviations:
EUR	—Euro
USD	—U.S. Dollar
Investment Abbreviations:
LIBOR	—London Interbank Offered Rate
LLC	—Limited Liability Company
LP	—Limited Partnership
PLC	—Public Limited Company

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

GOLDMAN SACHS LONG SHORT CREDIT STRATEGIES FUND

ADDITIONAL INVESTMENT INFORMATION

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At September 30, 2016, the Fund had the following forward foreign currency exchange contracts:

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Gain
Citibank NA	USD	186,929	EUR	165,000	$	186,830		03/20/17	$	99

SWAP CONTRACTS — At September 30, 2016, the Fund had the following swap contracts:

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS

					Rates Exchanged				Market Value
Notional Amount (000s)			Termination Date		Payments Received		Payments Made		Upfront Payments Made (Received)			Unrealized Gain (Loss)
$	10,681			06/15/19		3 month LIBOR		1.500%	$	20,656		$	(191,514	)
	11,005			06/15/21		3 month LIBOR		2.000		(94,897	)		(385,465	)
	1,212			09/21/21		2.000%		3 month LIBOR		39,012			9,069
	4,580			06/15/23		3 month LIBOR		2.000		(29,710	)		(202,877	)
	1,431	(a)		12/21/23		1.750		3 month LIBOR		32,241			6,233
	TOTAL								$	(32,698	)	$	(764,554	)

(a) Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to September 30, 2016.

CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACT

									Market Value
Referenced Obligation	Notional Amount (000s)		Rates Received (Paid)	Termination Date		Credit Spread at September 30, 2016(b)			Upfront Payments Made (Received)	Unrealized Gain (Loss)
Protection Purchased:
CDX North America High Yield Index 26	$	57,500	(5.000)%		06/20/21		3.756	%	$(2,677,119)	$	(353,851	)

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

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

GOLDMAN SACHS FIXED INCOME ALTERNATIVES STRATEGIES FUNDS

Statements of Assets and Liabilities

September 30, 2016 (Unaudited)

	Fixed Income Macro Strategies Fund(a)			Long Short Credit Strategies Fund
Assets:
Investments of unaffiliated issuers, at value (cost $49,153,144 and $176,085,591)	$	49,226,458		$	175,192,552
Investments of affiliated issuers, at value (cost $24,938,307 and $32,866,051)		24,938,307			32,866,051
Cash		1,151,582			1,325,491
Foreign currencies, at value (cost $106,462 and $424,822, respectively)		104,608			424,181
Unrealized gain on swap contracts		1,416,981			—
Unrealized gain on forward foreign currency exchange contracts		688,178			99
Unrealized gain on non-deliverable bond forwards contracts		1,848			—
Variation margin on certain derivative contracts		165,587			—
Receivables:
Investments sold on an extended-settlement basis		4,136,406			6,579,698
Collateral on certain derivative contracts(b)		4,012,678			2,643,276
Fund shares sold		296,000			1,024,475
Investments sold		185,421			3,887,115
Interest and Dividends		182,321			2,170,997
Reimbursement from investment adviser		59,758			13,471
Upfront payments made on swap contracts		12,733			—
Due from broker — upfront payment		—			130,308
Other assets		208			154,980
Total assets		86,579,074			226,412,694
Liabilities:
Unrealized loss on swap contracts		1,678,014			—
Unrealized loss on forward foreign currency exchange contracts		899,847			—
Variation margin on certain derivative contracts		65,308			424,864
Written option contracts, at value (premium received $814,251 and $0, respectively)		427,672			—
Forward sale contracts, at value (proceeds received $1,029,375 and $0, respectively)		1,039,531			—
Payables:
Investments purchased		12,710,706			3,468,507
Investments purchased on an extended — settlement basis		7,234,531			7,600,085
Collateral on certain derivative contracts		260,000			—
Due to broker — upfront payment		88,983			—
Management fees		65,803			170,202
Fund shares redeemed		16,311			108,760
Upfront payments received on swap contracts		10,758			—
Distribution and Service fees and Transfer Agency fees		2,446			13,411
Distributions payable		—			90,629
Accrued expenses		342,600			284,776
Total liabilities		24,842,510			12,161,234
Net Assets:
Paid-in capital		70,842,274			230,807,583
Undistributed (distributions in excess of) net investment income		(736,284	)		3,404,852
Accumulated net realized loss		(8,511,684	)		(17,948,990	)
Net unrealized gain (loss)		142,258			(2,011,985	)
NET ASSETS	$	61,736,564		$	214,251,460
Net Assets:
Class A	$	229,692		$	13,011,828
Class C		101,100			2,531,676
Institutional		59,699,168			192,222,794
Class IR		1,683,299			6,450,378
Class R		23,305			34,784
Total Net Assets	$	61,736,564		$	214,251,460
Shares Outstanding $0.001 par value (unlimited number of shares authorized):
Class A		26,134			1,348,214
Class C		11,558			262,424
Institutional		6,761,438			19,934,542
Class IR		191,179			668,535
Class R		2,655			3,606
Net asset value, offering and redemption price per share:(c)
Class A		$8.79			$9.65
Class C		8.75			9.65
Institutional		8.83			9.64
Class IR		8.80			9.65
Class R		8.78			9.65

(a) Statement of Assets and Liabilities for the Fund is consolidated and includes the balances of a wholly-owned subsidiary, Cayman Commodity — FIMS Ltd. Accordingly, all interfund balances and transactions have been eliminated.

(b) Includes amounts segregated for initial margin and/or collateral on futures transactions and swaps transactions of $207,433 and $3,805,245, respectively for Fixed Income Macro Strategies Fund and $0 and $2,643,276, respectively for Long Short Credit Strategies Fund.

(c) Maximum public offering price for Class A Shares of the Fixed Income Macro Strategies and the Long Short Credit Strategies Funds is $9.13 and $10.03, respectively. At redemption, Class C Shares may be subject to a contingent deferred sales charge, assessed on the amount equal to the lesser of the current net asset value (“NAV”) or the original purchase price of the shares.

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

GOLDMAN SACHS FIXED INCOME ALTERNATIVES STRATEGIES FUNDS

Statements of Operations

For the Six Months Ended September 30, 2016 (Unaudited)

	Fixed Income Macro Strategies Fund(a)			Long Short Credit Strategies Fund
Investment income:
Interest	$	742,279		$	4,799,554
Dividends — unaffiliated issuers		—			63,036
Dividends — affiliated issuers		17,578			48,197
Total investment income		759,857			4,910,787
Expenses:
Management fees		470,019			1,015,552
Custody, accounting and administrative services		241,533			49,582
Professional fees		95,450			71,059
Registration fees		32,667			27,575
Printing and mailing costs		19,803			28,545
Transfer Agency fees(b)		13,473			50,064
Trustee fees		8,564			8,685
Distribution and Service fees(b)		1,028			26,349
Prime Broker Fees		3,405			—
Other		4,358			4,942
Total expenses		890,300			1,282,353
Less — expense reductions		(438,481	)		(121,838	)
Net expenses		451,819			1,160,515
NET INVESTMENT INCOME		308,038			3,750,272
Realized and unrealized gain (loss):
Net realized gain (loss) from:
Investments — unaffiliated issuers		419,976			3,335,456
Futures contracts		(321,235	)		—
Written options		411,044			—
Swap contracts		(502,771	)		(2,888,472	)
Non-deliverable bond forward contracts		249,018			—
Forward foreign currency exchange contracts		(392,787	)		2,553
Foreign currency transactions		7,457			(13,651	)
Net change in unrealized gain (loss) on:
Investments — unaffiliated issuers		130,226			1,782,223
Futures contracts		139,128			—
Non-deliverable bond forward contracts		(137,180	)		—
Written options		66,104			—
Swap contracts		(243,544	)		47,307
Forward foreign currency exchange contracts		(410,197	)		18,445
Foreign currency translation		(25,192	)		(3,217	)
Net realized and unrealized gain (loss)		(609,953	)		2,280,644
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(301,915	)	$	6,030,916

(a) Statement of Operations for the Fund is consolidated and includes the balances of a wholly-owned subsidiary, Cayman Commodity — FIMS Ltd. Accordingly, all interfund balances and transactions have been eliminated.

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

	Distribution and Service Fees						Transfer Agency Fees
Fund	Class A		Class C		Class R		Class A		Class C		Institutional		Class IR		Class R
Fixed Income Macro Strategies	$	310	$	660	$	58	$	161	$	86	$	12,116	$	1,095	$	15
Long Short Credit Strategies		15,259		11,005		85		7,935		1,431		36,426		4,250		22

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

GOLDMAN SACHS FIXED INCOME ALTERNATIVES STRATEGIES FUNDS

Consolidated Statements of Changes in Net Assets

	Fixed Income Macro Strategies Fund(a)
	For the Six Months Ended September 30, 2016 (Unaudited)			For the Fiscal Year Ended March 31, 2016
From operations:
Net investment income	$	308,038		$	275,503
Net realized gain (loss)		(129,298	)		971,558
Net change in unrealized gain (loss)		(480,655	)		1,545,751
Net increase (decrease) in net assets resulting from operations		(301,915	)		2,792,812
Distributions to shareholders:
From net investment income
Class A Shares		—			(10,269	)
Class C Shares		—			(4,827	)
Institutional Shares		—			(2,216,168	)
Class IR Shares		—			(54,591	)
Class R Shares		—			(725	)
Return of capital
Class A Shares		—			(8,572	)
Class C Shares		—			(4,030	)
Institutional Shares		—			(1,850,041	)
Class IR Shares		—			(45,572	)
Class R Shares		—			(606	)
Total distributions to shareholders		—			(4,195,401	)
From share transactions:
Proceeds from sales of shares		1,303,801			10,415,184
Reinvestment of distributions		—			4,195,401
Cost of shares redeemed		(7,445,510	)		(24,134,214	)
Net decrease in net assets resulting from share transactions		(6,141,709	)		(9,523,629	)
TOTAL DECREASE		(6,443,624	)		(10,926,218	)
Net assets:
Beginning of period		68,180,188			79,106,406
End of period	$	61,736,564		$	68,180,188
Distributions in excess of net investment income	$	(736,284	)	$	(1,044,322	)

(a) Statement of Changes for the Fixed Income Macro Strategies Fund is consolidated and includes the balances of wholly-owned subsidiary, Cayman Commodity — FIMS Ltd. Accordingly, all interfund balances and transactions have been eliminated.

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

GOLDMAN SACHS FIXED INCOME ALTERNATIVES STRATEGIES FUNDS

Statements of Changes in Net Assets

	Long Short Credit Strategies Fund
	For the Six Months Ended September 30, 2016 (Unaudited)			For the Fiscal Year Ended March 31, 2016
From operations:
Net investment income	$	3,750,272		$	7,062,471
Net realized gain (loss)		435,886			(5,816,895	)
Net change in unrealized gain (loss)		1,844,758			(509,711	)
Net increase in net assets resulting from operations		6,030,916			735,865
Distributions to shareholders:
From net investment income
Class A Shares		(120,658	)		(309,196	)
Class C Shares		(13,582	)		(37,911	)
Institutional Shares		(2,115,879	)		(6,933,975	)
Class IR Shares		(72,999	)		(123,133	)
Class R Shares		(297	)		(1,073	)
Total distributions to shareholders		(2,323,415	)		(7,405,288	)
From share transactions:
Proceeds from sales of shares		46,260,335			71,922,849
Reinvestment of distributions		1,841,693			6,171,270
Cost of shares redeemed		(26,547,231	)		(83,049,707	)
Net increase (decrease) in net assets resulting from share transactions		21,554,797			(4,955,588	)
TOTAL INCREASE (DECREASE)		25,262,298			(11,625,011	)
Net assets:
Beginning of period		188,989,162			200,614,173
End of period	$	214,251,460		$	188,989,162
Undistributed net investment income	$	3,404,852		$	1,977,995

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

GOLDMAN SACHS FIXED INCOME MACRO STRATEGIES FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

			Income (loss) from investment operations									Distributions to shareholders
Year - Share Class	Net asset value, beginning of period		Net investment income (loss)(a)			Net realized and unrealized gain (loss)			Total from investment operations			From net investment income			From capital			Total distributions
FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED)
2016 - A	$	8.84	$	0.03		$	(0.08	)	$	(0.05	)	$	—		$	—		$	—
2016 - C		8.83		—	(e)		(0.08	)		(0.08	)		—			—			—
2016 - Institutional		8.86		0.04			(0.07	)		(0.03	)		—			—			—
2016 - IR		8.84		0.04			(0.08	)		(0.04	)		—			—			—
2016 - R		8.84		0.02			(0.08	)		(0.06	)		—			—			—
FOR THE FISCAL YEARS ENDED MARCH 31,
2016 - A		9.03		0.03			0.33			0.36			(0.25	)		(0.30	)		(0.55	)
2016 - C		9.04		(0.06	)		0.35			0.29			(0.33	)		(0.17	)		(0.50	)
2016 - Institutional		9.05		0.04			0.33			0.37			(0.30	)		(0.26	)		(0.56	)
2016 - IR		9.03		—	(e)		0.36			0.36			(0.40	)		(0.15	)		(0.55	)
2016 - R		9.04		(0.01	)		0.34			0.33			(0.29	)		(0.24	)		(0.53	)
2015 - A		9.82		0.03			(0.81	)		(0.78	)		—			(0.01	)		(0.01	)
2015 - C		9.82		0.05			(0.82	)		(0.77	)		—			(0.01	)		(0.01	)
2015 - Institutional		9.84		0.02			(0.79	)		(0.77	)		—			(0.02	)		(0.02	)
2015 - IR		9.81		0.02			(0.78	)		(0.76	)		—			(0.02	)		(0.02	)
2015 - R		9.82		0.01			(0.78	)		(0.77	)		—			(0.01	)		(0.01	)
2014 - A (Commenced December 16, 2013)		10.00		(0.01	)		(0.16	)		(0.17	)		—			(0.01	)		(0.01	)
2014 - C (Commenced December 16, 2013)		10.00		(0.02	)		(0.16	)		(0.18	)		—			—	(e)		—	(e)
2014 - Institutional (Commenced December 16, 2013)		10.00		—	(e)		(0.14	)		(0.14	)		—			(0.02	)		(0.02	)
2014 - IR (Commenced December 16, 2013)		10.00		—	(e)		(0.17	)		(0.17	)		—			(0.02	)		(0.02	)
2014 - R (Commenced December 16, 2013)		10.00		(0.01	)		(0.16	)		(0.17	)		—			(0.01	)		(0.01	)

(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 deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.

(c) The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher.

(d) Annualized.

(e) Amount is less than $0.005 per share.

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

GOLDMAN SACHS FIXED INCOME MACRO STRATEGIES FUND

Net asset value, end of period		Total return(b)			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 (loss) to average net assets			Portfolio turnover rate(c)
$	8.79		(0.57	)%	$	230		1.76	%(d)		3.17	%(d)		0.65	%(d)		302	%
	8.75		(0.91	)		101		2.50	(d)		3.93	(d)		(0.02	)(d)		302
	8.83		(0.34	)		59,699		1.44	(d)		2.83	(d)		0.99	(d)		302
	8.80		(0.45	)		1,683		1.51	(d)		2.93	(d)		0.94	(d)		302
	8.78		(0.68	)		23		1.98	(d)		3.40	(d)		0.47	(d)		302
	8.84		3.98			312		1.85			3.39			0.33			472
	8.83		3.25			136		2.21			3.88			(0.68	)		472
	8.86		4.15			66,006		1.44			2.79			0.42			472
	8.84		4.06			1,703		1.52			2.89			0.03			472
	8.84		3.66			23		1.93			3.35			(0.05	)		472
	9.03		(8.00	)		2,562		0.19			3.06			0.36			487
	9.04		(7.97	)		347		0.88			4.10			0.60			487
	9.05		(7.89	)		72,251		0.97			2.65			0.25			487
	9.03		(7.85	)		3,923		0.72			2.80			0.20			487
	9.04		(7.93	)		23		1.01			3.25			0.11			487
	9.82		(1.60	)		19		1.79	(d)		3.34	(d)		(0.29	)(d)		90
	9.82		(1.69	)		10		2.19	(d)		4.16	(d)		(0.67	)(d)		90
	9.84		(1.32	)		99,736		1.45	(d)		2.72	(d)		0.11	(d)		90
	9.81		(1.64	)		56		1.55	(d)		2.90	(d)		(0.01	)(d)		90
	9.82		(1.65	)		25		2.01	(d)		3.66	(d)		(0.47	)(d)		90

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

GOLDMAN SACHS LONG SHORT CREDIT STRATEGIES FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

			Income (loss) from investment operations								Distributions to shareholders
Year - Share Class	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
FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED)
2016 - A	$	9.47	$	0.16	$	0.12		$	0.28		$	(0.10	)	$	—		$	(0.10	)
2016 - C		9.47		0.13		0.11			0.24			(0.06	)		—			(0.06	)
2016 - Institutional		9.46		0.18		0.11			0.29			(0.11	)		—			(0.11	)
2016 - IR		9.47		0.17		0.12			0.29			(0.11	)		—			(0.11	)
2016 - R		9.47		0.15		0.11			0.26			(0.08	)		—			(0.08	)
FOR THE FISCAL YEARS ENDED MARCH 31, (UNAUDITED)
2016 - A		9.79		0.32		(0.30	)		0.02			(0.34	)		—			(0.34	)
2016 - C		9.79		0.25		(0.31	)		(0.06	)		(0.26	)		—			(0.26	)
2016 - Institutional		9.78		0.35		(0.30	)		0.05			(0.37	)		—			(0.37	)
2016 - IR		9.79		0.35		(0.31	)		0.04			(0.36	)		—			(0.36	)
2016 - R		9.78		0.30		(0.30	)		—			(0.31	)		—			(0.31	)
2015 - A (Commenced April 30, 2014)		10.52		0.31		(0.65	)		(0.34	)		(0.30	)		(0.09	)		(0.39	)
2015 - C (Commenced April 30, 2014)		10.52		0.24		(0.66	)		(0.42	)		(0.22	)		(0.09	)		(0.31	)
2015 - Institutional		10.51		0.37		(0.66	)		(0.29	)		(0.35	)		(0.09	)		(0.44	)
2015 - IR (Commenced April 30, 2014)		10.52		0.33		(0.65	)		(0.32	)		(0.32	)		(0.09	)		(0.41	)
2015 - R (Commenced April 30, 2014)		10.52		0.28		(0.65	)		(0.37	)		(0.28	)		(0.09	)		(0.37	)
2014 - Institutional		10.80		0.39		0.09			0.48			(0.39	)		(0.38	)		(0.77	)
2013 - Institutional		10.58		0.45		0.45			0.90			(0.47	)		(0.21	)		(0.68	)
2012 - Institutional		10.70		0.51		0.17			0.68			(0.51	)		(0.29	)		(0.80	)

(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 deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.

(c) The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher.

(d) Annualized.

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

GOLDMAN SACHS LONG SHORT CREDIT STRATEGIES FUND

Net asset value, end of period		Total return(b)			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(c)
$	9.65		2.92	%	$	13,012		1.45	%(d)		1.57	%(d)		3.39	%(d)		126	%
	9.65		2.53			2,532		2.20	(d)		2.32	(d)		2.64	(d)		126
	9.64		3.09			192,223		1.11	(d)		1.23	(d)		3.73	(d)		126
	9.65		3.05			6,450		1.19	(d)		1.31	(d)		3.63	(d)		126
	9.65		2.79			35		1.70	(d)		1.82	(d)		3.14	(d)		126
	9.47		0.19			8,358		1.49			1.57			3.34			173
	9.47		(0.55	)		1,773		2.23			2.32			2.61			173
	9.46		0.53			173,758		1.15			1.23			3.68			173
	9.47		0.44			5,067		1.23			1.32			3.61			173
	9.47		0.04			33		1.74			1.83			3.08			173
	9.79		(3.28	)		6,943		1.57	(d)		1.62	(d)		3.35	(d)		164
	9.79		(3.95	)		1,016		2.30	(d)		2.38	(d)		2.61	(d)		164
	9.78		(2.77	)		190,148		1.27			1.35			3.57			164
	9.79		(3.05	)		2,475		1.30	(d)		1.40	(d)		3.60	(d)		164
	9.78		(3.57	)		32		1.84	(d)		1.93	(d)		2.98	(d)		164
	10.51		4.61			335,421		1.49			1.51			3.67			207
	10.80		8.74			506,996		1.47			1.47			4.23			204
	10.58		6.69			533,499		1.48			1.48			4.81			215

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

GOLDMAN SACHS FIXED INCOME ALTERNATIVES STRATEGIES FUNDS

Notes to Financial Statements

September 30, 2016 (Unaudited)

1. ORGANIZATION

Goldman Sachs Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The Trust includes the Goldman Sachs Fixed Income Macro Strategies Fund and the Goldman Sachs Long Short Credit Strategies Fund (the “Funds”). The Funds are non-diversified portfolios and currently offer five classes of shares: Class A, Class C, Institutional, Class IR and Class R Shares. Class A Shares are sold with a front-end sales charge of up to 3.75%. Class C Shares are sold with a contingent deferred sales charge (“CDSC”) of 1.00% which is imposed on redemptions made within 12 months of purchase.

Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman, Sachs & Co. (“Goldman Sachs”), serves as investment adviser to the Funds pursuant to a management agreement (the “Agreement”) with the Trust.

2. SIGNIFICANT ACCOUNTING POLICIES

The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions.

A.  Basis of Consolidation for Fixed Income Macro Strategies Fund — The Cayman Commodity — FIMS, Ltd. (the “Subsidiary”), a Cayman Islands exempted company, was incorporated on December 16, 2013 and is currently a wholly-owned subsidiary of the Fixed Income Macro Strategies Fund (the “Fund”). The Subsidiary acts as an investment vehicle for the Fund to enable the Fund to gain exposure to certain types of commodity-linked derivative instruments. The Fund is the sole shareholder of the Subsidiary pursuant to a subscription agreement dated as of December 16, 2013, and it is intended that the Fund will remain the sole shareholder and will continue to control the Subsidiary. Under the Memorandum and Articles of Association of the Subsidiary, shares issued by the Subsidiary confer upon a shareholder the right to vote at general meetings of the Subsidiary and certain rights in connection with any winding-up or repayment of capital, as well as the right to participate in the profits or assets of the Subsidiary. All inter-fund balances and transactions have been eliminated in consolidation. As of September 30, 2016, the Fund’s net assets were $61,736,564, of which, $11,383,441, or 18%, represented the Subsidiary’s net assets.

B.  Investment Valuation — The Funds’ valuation policy is to value investments at fair value.

C.  Investment Income and Investments — Investment income includes interest income, dividend income, net of any foreign withholding taxes, less any amounts reclaimable, 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 NAV calculations. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments.

For derivative contracts, realized gains and losses are recorded upon settlement of the contract. Upfront payments, if any, are made or received upon entering into a swap agreement and are reflected in the Statements of Assets and Liabilities. Upfront payments are recognized over the contract’s term/event as realized gains or losses, with the exception of forward starting interest rate swaps whose realized gains or losses are recognized from the effective start date.

48

GOLDMAN SACHS FIXED INCOME ALTERNATIVES STRATEGIES FUNDS

2. SIGNIFICANT ACCOUNTING POLICIES (continued)

For securities with paydown provisions, principal payments received are treated as a proportionate reduction to the cost basis of the securities, and excess or shortfall amounts are recorded as income. For treasury inflation protected securities (“TIPS”), adjustments to principal due to inflation/deflation are reflected as increases/decreases to interest income with a corresponding adjustment to cost.

D.  Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), and non-class specific expenses of each Fund are allocated daily based upon the proportion of net assets of each class. Non-class specific expenses directly incurred by a Fund are charged to that Fund, while such expenses incurred by the Trust are allocated across the applicable Funds on a straight-line and/or pro-rata basis depending upon the nature of the expenses. Class specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service and Transfer Agency fees.

E.  Federal Taxes and Distributions to Shareholders — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies (mutual funds) and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, the Funds are not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid according to the following schedule:

Fund	Income Distributions Declared/Paid	Capital Gains Distributions Declared/Paid
Fixed Income Macro Strategies*	Annually	Annually
Long Short Credit Strategies	Daily/Monthly	Annually

* Prior to August 1, 2015, the Fund’s distributions from net investment income were declared daily and paid monthly.

The Subsidiary is classified as a controlled foreign corporation under the Code. Therefore, the Fixed Income Macro Strategies Fund is required to increase its taxable income by its share of the Subsidiary’s income. Net losses of the Subsidiary cannot be deducted by the Fund in the current period nor carried forward to offset taxable income in future periods.

Net capital losses are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.

The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of each Fund’s distributions may be shown in the accompanying financial statements as either from net investment income, net realized gain or capital. Certain components of the Funds’ net assets on the Statements of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.

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

49

GOLDMAN SACHS FIXED INCOME ALTERNATIVES STRATEGIES FUNDS

Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

2. SIGNIFICANT ACCOUNTING POLICIES (continued)

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 net realized gain (loss) on foreign currency transactions.

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS

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). 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 Funds’ 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 Funds, including investments for which market quotations are not readily available. The Trustees have delegated to GSAM day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Funds’ portfolio 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:

Debt Securities — Debt securities for which market quotations are readily available are valued daily on the basis of quotations supplied by dealers or an independent pricing service approved by the Trustees. The pricing services may use valuation models or matrix pricing, which consider: (i) yield or price with respect to bonds that are considered comparable in characteristics such as rating, interest rate and maturity date or (ii) quotations from securities dealers to determine current value. As of the date of the financial statements, short-term debt obligations that matured in sixty days or less and did not exhibit signs of credit deterioration were valued at amortized cost, which approximated fair value. Effective October 11, 2016, short-term debt obligations that mature in sixty days or less are valued using available market quotations, as provided by a third party pricing vendor or broker. With the

50

GOLDMAN SACHS FIXED INCOME ALTERNATIVES STRATEGIES FUNDS

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

exception of treasury securities of G8 countries (not held in money market funds), which are generally classified as Level 1, these investments are generally classified as Level 2 of the fair value hierarchy.

i.  Bank Loans — Bank loans (“Loans”) are interests in amounts owed by corporate, governmental, or other borrowers to lenders or lending syndicates. Loans are arranged through private negotiations between the borrower and one or more financial institutions (“Lenders”). A Fund’s investments in Loans are in the form of either participations in Loans (“Participations”) or assignments of all or a portion of Loans from third parties (“Assignments”). With respect to Participations, a Fund has the right to receive payments of principal, interest and any fees to which it is entitled from the Lender selling the Participations and only upon receipt by the Lender of the payments from the borrower. A Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement with respect to Participations. Conversely, Assignments result in a Fund having a direct contractual relationship with the borrower, and the Fund may be permitted to enforce compliance by the borrower with the terms of the loan agreement.

ii.  Inverse Floaters — The interest rate on inverse floating rate securities (“inverse floaters”) resets in the opposite direction from the market rate of interest to which the inverse floaters are indexed. An inverse floater may be considered to be leveraged to the extent that its interest rate varies by a magnitude that exceeds the magnitude of the change in the index rate of interest. The higher the degree of leverage of an inverse floater, the greater the volatility of its market value.

iii.  Mortgage-Backed and 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 estate property. Asset-backed securities include securities whose principal and interest payments are collateralized by pools of other assets or receivables. 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.

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.

Stripped mortgage-backed securities are usually structured with two different classes: one that receives substantially all interest payments (interest-only, or “IO” and/or high coupon rate with relatively low principal amount, or “IOette”), and the other that receives substantially all principal payments (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 until maturity. These adjustments are included in interest income.

iv.  When-Issued Securities and Forward Commitments — When-issued securities, including TBA (“To Be Announced”) securities, are securities that are authorized but not yet issued in the market and purchased in order to secure what is considered to be an advantageous price or yield to a Fund. 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 a Fund will generally purchase securities on a

51

GOLDMAN SACHS FIXED INCOME ALTERNATIVES STRATEGIES FUNDS

Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

when-issued or forward commitment basis with the intention of acquiring the securities for its portfolio, the Fund may dispose of when-issued securities or forward commitments prior to settlement, which may result in a realized gain or loss.

Equity Securities — Equity securities traded on a United States (“U.S.”) securities exchange or the NASDAQ system, or those located on certain foreign exchanges, including but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If there is no sale or official closing price or such price is believed by GSAM to not represent fair value, equity securities are valued at the last bid price for long positions and at the last ask price for short positions. 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.

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. Securities traded on certain foreign securities exchanges are valued daily at fair value determined by an independent fair value service (if available) under Valuation Procedures approved by the Trustees and consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchange. These investments are generally classified as Level 2 of the fair value hierarchy.

Private Investments — Private investments may include, but are not limited to, investments in private equity or debt instruments. The Investment Manager estimates the fair value of private investments based upon various factors, including, but not limited to, transactions in similar instruments, completed or pending third-party transactions in underlying investments or comparable entities, subsequent rounds of financing, recapitalizations, and other transactions across the capital structure, offerings in equity or debt capital markets, and changes in current and projected financial ratios or cash flows.

Money Market Funds — Investments in the Goldman Sachs Financial Square Government Fund (“Underlying Fund”) are valued at the NAV of the Institutional Share Class on the day of valuation. These investments are generally classified as Level 1 of the fair value hierarchy. For information regarding an Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.

Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. The Funds enter into derivative transactions to hedge against changes in interest rates, securities prices, and/or currency exchange rates, to increase total return, or to gain access to certain markets or attain exposure to other underliers.

Exchange-traded derivatives, including futures and options contracts, are valued at the last sale or settlement price and typically fall within Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model

52

GOLDMAN SACHS FIXED INCOME ALTERNATIVES STRATEGIES FUNDS

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.

i.  Forward Contracts — A forward contract is a contract between two parties to buy or sell an asset at a specified price on a future date. A forward contract settlement can occur on a cash or delivery basis. Forward contracts are marked-to-market daily using independent vendor prices, and the change in value, if any, is recorded as an unrealized gain or loss. Cash and certain investments may be used to collateralize forward contracts.

A forward foreign currency contract is a forward contract in which a Fund agrees to receive or deliver a fixed quantity of one currency for another, at a pre-determined price at a future date. All forward foreign currency exchange contracts are marked-to-market daily at the applicable forward rate. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency.

A non-deliverable bond forward is a short term forward contract between two parties to buy or sell a bond denominated in a non-deliverable foreign currency at a specified future time and price. Non-deliverable bond forwards are marked-to-market daily using market quotations. Unrealized gains or losses on non-deliverable bond forwards are recorded by a Fund on a daily basis, and realized gains or losses are recorded on the termination date or sale of a contract.

ii.  Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security and are valued based on exchanged settlement prices or independent market quotes. Futures contracts are valued at the last settlement price, or in the absence of a sale, the last bid price for long positions and at 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, a Fund deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by a Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.

iii.  Option Contracts — When a Fund writes call or put option contracts, an amount equal to the premium received is recorded as a liability and is subsequently marked-to-market to reflect the current value of the option written. Swaptions are options on interest rate swap contracts.

Upon the purchase of a call option or a put option by a Fund, the premium paid is recorded as an investment and subsequently marked-to-market to reflect the current value of the option. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms.

iv.  Swap Contracts — Bilateral swap contracts are agreements in which a Fund and a counterparty agree to exchange periodic payments on a specified notional amount or make a net payment upon termination. Bilateral swap transactions are privately negotiated in the OTC market and payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing. These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”) (“centrally cleared swaps”), in which case all payments are settled with the CCP through the DCM. Swaps are marked-to-market daily using pricing vendor quotations, counterparty or clearinghouse prices or model prices, and the change in value, if any, is recorded as an unrealized gain or loss. Upon entering into a swap contract, a Fund is required to satisfy an

53

GOLDMAN SACHS FIXED INCOME ALTERNATIVES STRATEGIES FUNDS

Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

initial margin requirement by delivering cash or securities to the counterparty (or in some cases, segregated in a triparty account on behalf of the counterparty), which can be adjusted by any mark-to-market gains or losses pursuant to bilateral or centrally cleared arrangements. For centrally cleared swaps the daily change in valuation, if any, is recorded as a receivable or payable for variation margin.

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

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

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

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

A cross currency swap is an agreement which a Fund may enter into to gain or mitigate exposure to currency risk. A cross currency swap is an agreement to exchange cash flows on a notional amount of two or more currencies based on the relative value differential among them. Such swaps may involve initial and final exchanges that correspond to the agreed upon notional amount. Cross currency swaps usually involve the delivery of the entire principal value of one designated currency in exchange for another designated currency. Therefore, the entire principal value of a cross currency swap is subject to risk that the other party to the swap will default on its contractual delivery obligations. If there is a default by the counterparty, the Fund may have contractual remedies pursuant to the agreements related to the transactions.

54

GOLDMAN SACHS FIXED INCOME ALTERNATIVES STRATEGIES FUNDS

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

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.

Short Term Investments — As of the date of the financial statements, short-term investments having a maturity of 60 days or less were valued at amortized cost which approximated fair market value. Effective October 11, 2016, such securities are valued using available market quotations as provided by a third party pricing vendor or broker. These investments are classified as Level 2 of the fair value hierarchy.

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 Funds’ investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining a Fund’s NAV. 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 Funds’ investments and derivatives classified in the fair value hierarchy as of September 30, 2016:

FIXED INCOME MACRO STRATEGIES
Investment Type	Level 1		Level 2			Level 3
Assets
Fixed Income
Foreign Sovereign Debt Obligations	$	—	$	4,192,557		$	—
Mortgage-Backed Obligations		—		12,317,206			—
U.S. Treasury Obligations and/or Other U.S. Government Agencies		26,456,665		4,997,580			—
Asset-Backed Securities		—		473,496			—
Corporate Obligations		—		172,050			—
Investment Company		24,938,307		—			—
Total	$	51,394,972	$	22,152,889		$	—
Liabilities
Fixed Income
Mortgage-Backed Obligations — Forward Sales Contracts	$	—	$	(1,039,531	)	$	—

55

GOLDMAN SACHS FIXED INCOME ALTERNATIVES STRATEGIES FUNDS

Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

FIXED INCOME MACRO STRATEGIES (continued)
Derivative Type	Level 1			Level 2			Level 3
Assets
Options Purchased	$	170,825		$	446,079		$	—
Forward Foreign Currency Exchange Contracts(a)		—			688,178			—
Futures Contracts(a)		79,719			—			—
Interest Rate Swap Contracts(a)		—			2,032,550			—
Cross Currency Swap Contracts(a)		—			324,008			—
Non-Deliverable Bond Forwards Contracts(a)		—			1,848			—
Total	$	250,544		$	3,492,663		$	—
Liabilities
Forward Foreign Currency Exchange Contracts(a)	$	—		$	(899,847	)	$	—
Futures Contracts(a)		(18,876	)		—			—
Interest Rate Swap Contracts(a)		—			(2,201,061	)		—
Cross Currency Swap Contracts(a)		—			(349,204	)		—
Total Return Swap Contracts(a)		—			(184	)		—
Written Options Contracts		(45,362	)		(382,310	)		—
Total	$	(64,238	)	$	(3,832,606	)	$	—
LONG SHORT CREDIT STRATEGIES
Investment Type	Level 1			Level 2			Level 3
Assets
Fixed Income
Bank Loans	$	—		$	17,501,165		$	1,028,000
Other Secured Debt Obligations		—			51,319,535			—
Unsecured Debt Obligations		—			104,507,898			—
Common Stock and/or Other Equity Investments(b)
North America		—			835,954			—
Investment Company		32,866,051			—			—
Total	$	32,866,051		$	174,164,552		$	1,028,000

56

GOLDMAN SACHS FIXED INCOME ALTERNATIVES STRATEGIES FUNDS

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

LONG SHORT CREDIT STRATEGIES (continued)
Derivative Type	Level 1		Level 2			Level 3
Assets(a)
Forward Foreign Currency Exchange Contracts	$	—	$	99		$	—
Interest Rate Swap Contracts		—		15,302			—
Total	$	—	$	15,401		$	—
Liabilities(a)
Interest Rate Swap Contracts	$	—	$	(779,856	)	$	—
Credit Default Swap Contracts		—		(353,851	)		—
Total	$	—	$	(1,133,707	)	$	—

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

(b) Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of net asset value. Security valuations are based on the principle exchange or system on which they are traded, which may differ from country of domicile. The Fund utilizes fair value model prices provided by an independent fair value service for certain international equity securities, resulting in a Level 2 classification.

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

4. INVESTMENTS IN DERIVATIVES

The following tables set forth, by certain risk types, the gross value of derivative contracts as of September 30, 2016. These instruments were used as part of the Funds’ investment strategies and to obtain and/or manage exposure related to the risks below. The values in the tables below exclude the effects of cash collateral received or posted pursuant to these derivative contracts, and therefore are not representative of the Funds’ net exposure.

Fixed Income Macro Strategies
Risk	Consolidated Statements of Assets and Liabilities	Assets			Consolidated Statements of Assets and Liabilities	Liabilities
Interest rate	Receivable for unrealized gain on swap contracts; Receivable for unrealized gain on non-deliverable bond forward contracts; Variation margin on certain derivative contracts; Investments, at value	$	2,539,288	(a)	Payable for unrealized loss on swap contracts; Variation margin on certain derivative contracts; Written options, at value	$	(2,604,566)	(a)(b)
Commodity	—		—		Payable for unrealized loss on swap contracts		(184)	(b)
Currency	Receivable for unrealized gain on swap contracts; Receivable for unrealized gain on forward foreign currency exchange contracts; Investments, at value	$	1,101,422		Payable for unrealized loss on swap contracts; Payable for unrealized loss on forward foreign currency exchange contracts; Written options, at value	$	(1,292,094)	(b)
Equity	Variation margin on certain derivative contracts; Investments, at value		102,497	(a)	—		—
Total		$	3,743,207			$	(3,896,844)

57

GOLDMAN SACHS FIXED INCOME ALTERNATIVES STRATEGIES FUNDS

Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

4. INVESTMENTS IN DERIVATIVES (continued)

Long Short Credit Strategies
Risk	Statements of Assets and Liabilities	Assets			Statements of Assets and Liabilities	Liabilities
Interest rate	Receivable for unrealized gain on swap contracts	$	15,302	(a)	Payable for unrealized loss on swap contracts	$	(779,856)	(a)
Credit	—		—		Payable for unrealized loss on swap contracts		(353,851)	(a)
Currency	Receivable for unrealized gain on forward foreign currency exchange contracts		99		—		—
Total		$	15,401			$	(1,133,707)

(a) Includes unrealized gain (loss) on futures contracts and centrally cleared swaps described in the Additional Investment Information sections of the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

(b) Aggregate of amounts include $1,678,014 for Fixed Income Macro Strategies Fund, which represent the payments to be made pursuant to bilateral agreements should counterparties exercise their “right to terminate” provisions based on, among others, the Fund’s performance, its 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 Fund is entitled to a full return.

The following tables set forth, by certain risk types, the Funds’ gains (losses) related to these derivatives and their indicative volumes for the six months ended September 30, 2016. These gains (losses) should be considered in the context that these derivative contracts may have been executed to create investment opportunities and/or economically hedge certain investments, and accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statements of Operations:

Fixed Income Macro Strategies
Risk	Consolidated Statements of Operations	Net Realized Gain (Loss)			Net Change in Unrealized Gain (Loss)			Average Number of Contracts(a)
Interest rate	Net realized gain (loss) from investments, futures contracts, swap contracts, non- deliverable bond forward contracts and written options/Net change in unrealized gain (loss) on investments, futures contracts, swap contracts, non-deliverable bond forward contracts and written options	$	1,289,765		$	(600,735	)		620
Commodity	Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts		(1,428,004	)		(85	)		9
Currency	Net realized gain (loss) from investments, swap contracts, forward foreign currency exchange contracts and written options/Net change in unrealized gain (loss) on investments, swap contracts, forward foreign currency exchange contracts and written options		(524,094	)		(167,156	)		563
Equity	Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on investment and futures contracts		(257,521	)		73,462			24
Total		$	(919,854	)	$	(694,514	)		1,216

58

GOLDMAN SACHS FIXED INCOME ALTERNATIVES STRATEGIES FUNDS

4. INVESTMENTS IN DERIVATIVES (continued)

Long Short Credit Strategies
Risk	Statements of Operations	Net Realized Gain (Loss)			Net Change in Unrealized Gain (Loss)			Average Number of Contracts(a)
Interest rate	Net realized gain (loss) from swap contracts /Net change in unrealized gain (loss) on swap contracts	$	59,626		$	(153,965	)		5
Credit	Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts		(2,948,098	)		201,272			1
Currency	Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts		2,553			18,445			2
Total		$	(2,885,919	)	$	65,752			8

(a) Average number of contracts is based on the average of month end balances for the six months ended September 30, 2016.

In order to better define its contractual rights and to secure rights that will help a Fund mitigate its counterparty risk, a Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivatives counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs OTC derivatives, (including forward foreign currency exchange contracts, and certain options and swaps), and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.

Collateral and margin requirements differ between exchange traded derivatives and OTC derivatives. Margin requirements are established by the broker or clearing house for exchange-traded and centrally cleared derivatives (financial futures contracts, options and centrally cleared swaps) pursuant to governing agreements for those instrument types. Brokers can ask for margin in excess of the minimum in certain circumstances. Collateral terms are contract-specific for OTC derivatives. For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by a Fund and the counterparty. Additionally, a Fund may be required to post initial margin to the counterparty, the terms of which would be outlined in the confirmation of the OTC transaction.

For financial reporting purposes, cash collateral that has been pledged to cover obligations of a Fund and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as receivables/payables for collateral on certain derivative contracts. Non-cash collateral pledged by a Fund, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold before a transfer is required to be made. To the extent amounts due to a Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. A Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that the Investment Adviser believes to be of good standing and by monitoring the financial stability of those counterparties.

59

GOLDMAN SACHS FIXED INCOME ALTERNATIVES STRATEGIES FUNDS

Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

4. INVESTMENTS IN DERIVATIVES (continued)

Additionally, the netting of assets and liabilities and the offsetting of collateral pledged or received are based on contractual netting/set-off provisions in the ISDA Master Agreement or similar agreements. However, in the event of a default or insolvency of a counterparty, a court could determine that such rights are not enforceable due to the restrictions or prohibitions against the right of setoff that may be imposed in accordance with a particular jurisdiction’s bankruptcy or insolvency laws.

The following tables set forth the Funds’ net exposure for derivative instruments that are subject to enforceable master netting arrangements or similar agreements as of September 30, 2016:

Fixed Income Macro Strategies
	Derivative Assets(1)									Derivative Liabilities(1)												Net Derivative Asset (Liabilities)			Collateral (Received) Pledged(1)			Net Amount(2)
Counterparty	Options Purchased		Swaps		Forward Currency Contracts			Total		Swaps			Forward Currency Contracts			Options Written			Total
Bank of America Securities LLC	$	39,326	$	371,658	$	174	*	$	411,158	$	(457,532	)	$	—		$	(30,493	)	$	(488,025	)	$	(76,867	)	$	76,867		$	—
Barclays Bank PLC		—		10,390		—			10,390		(84,013	)		—			—			(84,013	)		(73,623	)		—			(73,623	)
BNP Paribas SA		18,880		—		—			18,880		—			—			(4,059	)		(4,059	)		14,821			—			14,821
Citibank NA		8,496		337,258		688,178			1,033,932		(93,617	)		(899,847	)		(153	)		(993,617	)		40,315			—			40,315
Credit Suisse International (London)		—		—		—			—		(19,340	)		—			—			(19,340	)		(19,340	)		—			(19,340	)
Deutsche Bank AG		4,345		203,057		—			207,402		(167,436	)		—			(678	)		(168,114	)		39,288			—			39,288
HSBC Bank PLC		39,842		—		—			39,842		—			—			(20,972	)		(20,972	)		18,870			—			18,870
JPMorgan Securities, Inc.		58,233		268,543		1,674	*		328,450		(732,499	)		—			(49,975	)		(782,474	)		(454,024	)		390,000			(64,024	)
Merrill Lynch & Co., Inc.		—		—		—			—		(184	)		—			—			(184	)		(184	)		184			—
Morgan Stanley & Co. International PLC		—		226,075		—			226,075		(123,393	)		—			—			(123,393	)		102,682			(102,682	)		—
Morgan Stanley Capital Services, Inc.		276,924		—		—			276,924		—			—			(275,947	)		(275,947	)		977			—			977
Royal Bank of Scotland PLC		—		—		—			—		—			—			(33	)		(33	)		(33	)		—			(33	)
UBS AG (London)		33		—		—			33		—			—			—			—			33			—			33
Total	$	446,079	$	1,416,981	$	690,026		$	2,553,086	$	(1,678,014	)	$	(899,847	)	$	(382,310	)	$	(2,960,171	)	$	(407,085	)	$	364,369		$	(42,716	)

* Includes Non-Deliverable Bond Forward Contracts assets of $1,848.

(1) Gross amounts available for offset but not netted in the Statement of Assets and Liabilities.

(2) Net amount represents the net amount due (to) from counterparty in the event of a default based on the contractual set-off rights under the agreement. Net amount excludes any over-collateralized amounts.

60

GOLDMAN SACHS FIXED INCOME ALTERNATIVES STRATEGIES FUNDS

5. AGREEMENTS AND AFFILIATED TRANSACTIONS

A.  Management Agreement — Under the Agreement, GSAM manages the Funds, subject to the general supervision of the Trustees.

As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Funds’ business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of each Fund’s average daily net assets.

For the six months ended September 30, 2016, contractual and effective net management fees with GSAM were at the following rates:

	Contractual Management Rate																		Effective Net Management Rate^
Fund	First $1 billion			Next $1 billion			Next $3 billion			Next $3 billion			Over $8 billion			Effective Rate
Fixed Income Macro Strategies		1.50	%		1.50	%		1.35	%		1.29	%		1.26	%		1.50	%		1.32	%*(a)
Long Short Credit Strategies		1.00			0.90			0.86			0.84			0.82			1.00			0.97

^ Effective Net Management Rate includes the impact of management fee waivers of affiliated underlying funds, if any, and any additional voluntary management fee waivers, if applicable.

* GSAM has agreed to waive a portion of it’s management fee in order to achieve the effective net management rate of 1.35% as an annual percentage rate of the average daily net assets of the Fund through at least July 29, 2017. Prior to such date GSAM may not terminate the arrangement without the approval of the Trustees.

(a) Reflects combined management fees paid to GSAM under the Agreement and the Subsidiary Agreement as defined below after waivers.

The Fixed Income Macro Strategies and Long Short Credit Strategies Funds invest in the Institutional Shares of the Goldman Financial Square Government Fund, which is an affiliated Underlying Fund. GSAM has agreed to waive a portion of its management fee payable by the Funds in an amount equal to the management fee it earns as an investment adviser to any of the affiliated Underlying Funds in which the Funds invest. For the six months ended September 30, 2016, GSAM waived $9,655 and $26,911 of the Funds’ management fee for Fixed Income Macro Strategies and Long Short Credit Strategies Funds, respectively.

GSAM also provides management services to the Subsidiary pursuant to a Subsidiary Management Agreement (the “Subsidiary Agreement”) and is entitled to a management fee accrued daily and paid monthly, equal to an annual percentage rate of 0.42% of the Subsidiary’s average daily net assets. In consideration of the Subsidiary’s management fee, and for as long as the Subsidiary Agreement remains in effect, GSAM has contractually agreed to waive irrevocably a portion of the Fund’s management fee in an amount equal to the management fee accrued and paid to GSAM by the Subsidiary under the Subsidiary Agreement. For the six months ended September 30, 2016 GSAM waived $49,678 of the Fund’s management fee. This waiver represents an inter-fund transaction and, accordingly, has been eliminated in consolidation.

B.  Distribution and Service Plans — The Trust, on behalf of each Fund, has adopted Distribution and Service Plans (the “Plans”). Under the Plans, Goldman Sachs, which serves as distributor (the “Distributor”), is entitled to a fee accrued daily and

61

GOLDMAN SACHS FIXED INCOME ALTERNATIVES STRATEGIES FUNDS

Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

paid monthly, for distribution services and personal and account maintenance services, which may then be paid by Goldman Sachs to authorized dealers, at the following annual rates calculated on a Fund’s average daily net assets of each respective share class:

	Distribution and Service Plan Rates
	Class A*			Class C			Class R*
Distribution Plan		0.25	%		0.75	%		0.50	%
Service Plan		—			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 Funds pursuant to a Distribution Agreement, may retain a portion of the Class A front end sales charge and Class C Shares’ CDSC. During the six months ended September 30, 2016, Goldman Sachs advised that it retained $28 and $858 in front end sales charges for the Fixed Income Macro Strategies and the Long Short Credit Strategies Funds, respectively, and it did not retain any contingent deferred sales charges for either fund.

D.  Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Funds for a fee pursuant to the Transfer Agency Agreement. The fees charged for such transfer agency services are accrued daily and paid monthly at annual rates as follows: 0.13% of the average daily net assets of Class A, Class C, Class IR and Class R Shares and 0.04% of the average daily net assets of Institutional Shares.

Effective July 29, 2016, Goldman Sachs agreed to waive a portion of its transfer agency fee equal to 0.06% as an annual percentage rate of the average daily net assets attributable to Class A, Class C, Class IR, and Class R Shares of the Fixed Income Macro Strategies Fund. As a result of this waiver, a net transfer agency fee equal to 0.07% as an annual percentage rate of the average daily net assets attributable to Class A, Class C, Class IR, and Class R Shares of the Fixed Income Macro Strategies Fund is being charged to those share classes. This arrangement will remain in effect through at least July 29, 2017, and prior to such date, the Investment Adviser may not terminate the arrangement without the approval of the Board of Trustees.

E.  Other Expense Agreements and Affiliated Transactions — GSAM has agreed to limit certain “Other Expenses” of the Funds (excluding acquired fund fees and expenses, transfer agency fees and expenses, taxes, interest, brokerage fees, shareholder meeting, litigation, indemnification and extraordinary expenses), to the extent such expenses exceed, on an annual basis of the average daily net assets of each Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Funds are not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. The Other Expense Limitations as an annual percentage rate of average daily net assets for the Fixed Income Macro Strategies Fund and Long Short Credit Strategies Fund are 0.064% and 0.094%, respectively. These Other Expense limitations will remain in place through at least July 29, 2017, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. In addition, the Funds have entered into certain offset arrangements with the the transfer agent, which may result in a reduction of the Funds’ expenses and are received irrespective of the application of the “Other Expense” limitations described above.

62

GOLDMAN SACHS FIXED INCOME ALTERNATIVES STRATEGIES FUNDS

5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

For the six months ended September 30, 2016, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:

Fund	Management Fee Waiver		Transfer Agency Fee Waiver		Other Expense Reimbursements		Total Expense Reductions
Fixed Income Macro Strategies	$	56,657	$	218	$	381,606	$	438,481
Long Short Credit Strategies		26,911		—		94,927		121,838

F.  Line of Credit Facility — As of September 30, 2016, the Funds 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 (“Other Borrowers”). This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. For the six months ended September 30, 2016, the Funds did not have any borrowings under the facility.

G.  Other Transactions with Affiliates — For the six months ended September 30, 2016, Goldman Sachs earned $1,006, and $0 in brokerage commissions from portfolio transactions, including futures transactions executed with Goldman Sachs as the Futures Commission Merchant on behalf of the Fixed Income Macro Strategies and the Long Short Credit Strategies Funds, respectively.

At September 30, 2016, The Goldman Sachs Group (“GSG”), Inc. was the beneficial owner of approximately 5% or more of the following outstanding shares of the Funds:

Fund	Class C			Institutional			Class R
Fixed Income Macro Strategies		9	%		28	%		100	%
Long Short Credit Strategies		—			—			71	%

The table below shows the transactions in and earnings from investments by the Funds in the Underlying Fund for the six months ended September 30, 2016:

Fund	Underlying Fund	Market Value 3/31/16		Purchases at Cost		Proceeds from Sales			Market Value 9/30/16		Dividend Income
Fixed Income Macro Strategies	Goldman Sachs Financial Square Government Fund	$	12,172,945	$	21,867,542	$	(9,102,180	)	$	24,938,307	$	17,578
Long Short Credit Strategies	Goldman Sachs Financial Square Government Fund		30,744,104		94,308,751		(92,186,804	)		32,866,051		48,197

63

GOLDMAN SACHS FIXED INCOME ALTERNATIVES STRATEGIES FUNDS

Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

6. PORTFOLIO SECURITIES TRANSACTIONS

The cost of purchases and proceeds from sales and maturities of long-term securities for the for the six months ended, September 30, 2016, were as follows:

Fund	Purchases of U.S. Government and Agency Obligations		Purchases (Excluding U.S. Government and Agency Obligations)		Sales and Maturities of U.S. Government and Agency Obligations		Sales and Maturities (Excluding U.S. Government and Agency Obligations)
Fixed Income Macro Strategies	$	82,493,136	$	5,389,630	$	71,585,301	$	12,701,503
Long Short Credit Strategies		—		222,161,635		—		205,887,338

7. TAX INFORMATION

As of the Funds’ most recent fiscal year end, March 31, 2016, the Funds’ capital loss carryforwards and certain timing differences on a tax basis were as follows:

	Fixed Income Macro Strategies			Long Short Credit Strategies
Capital loss carryforwards:
Perpetual Short-term	$	(3,918,527	)	$	(11,611,084	)
Perpetual Long-term		(3,807,524	)		(2,327,237	)
Total capital loss carryforwards	$	(7,726,051	)	$	(13,938,321	)
Timing differences (Qualified Late Year Loss Deferral, Post October Loss Deferral, Straddle Deferral and Dividend Payable)	$	(1,611,094	)	$	(5,289,234	)

As of September 30, 2016, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:

	Fixed Income Macro Strategies			Long Short Credit Strategies
Tax Cost	$	74,185,500		$	208,207,251
Gross unrealized gain		764,428			3,749,575
Gross unrealized loss		(785,163	)		(3,898,223	)
Net unrealized security gain	$	(20,735	)	$	(148,648	)

64

GOLDMAN SACHS FIXED INCOME ALTERNATIVES STRATEGIES FUNDS

7. TAX INFORMATION (continued)

The difference between GAAP-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales, net mark to market gains/(losses) on regulated futures, foreign currency contracts and options contracts, and differences in the tax treatment of swap transactions, inflation protected securities, and underlying Fund investments.

GSAM has reviewed the Fund’s tax positions for all open tax years (the current year, as applicable) and has concluded that no provision for income tax is required in the Fund’s financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.

8. OTHER RISKS

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

Derivatives Risk — Loss may result from the Funds’ investments in derivative 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 Funds. Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. Losses from investments in derivatives can also result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.

Foreign and Emerging Countries Risk — Investing in foreign markets may involve special risks and considerations not typically associated with investing in the United States. Foreign securities may be subject to risk of loss because of more or less foreign government regulation, less public information and less economic, political and social stability in the countries in which the Funds invest. Loss may also result from the imposition of exchange controls, confiscations and other government restrictions by the United States or other governments, or from problems in registration, settlement or custody. Foreign risk also involves the risk of negative foreign currency rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which the Funds have exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time. To the extent that the Funds also invest in securities of issuers located in emerging markets, these risks may be more pronounced.

Foreign Custody Risk — A Fund that invests in foreign securities may hold such securities and cash with foreign banks, agents, and securities depositories appointed by the Fund’s custodian (each a “Foreign Custodian”). Some foreign custodians may be recently organized or new to the foreign custody business. In some countries, Foreign Custodians may be subject to little or no regulatory oversight over, or independent evaluation of, their operations. Further, the laws of certain countries may place limitations on a Fund’s ability to recover its assets if a Foreign Custodian enters bankruptcy.

Interest Rate Risk — When interest rates increase, fixed income securities or instruments held by the Fund will generally decline in value. Long-term fixed income securities or instruments will normally have more price volatility because of this risk than short-term fixed income securities or instruments. The risks associated with increasing rates are heightened given that interest rates are near historic lows, but may be expected to increase in the future with unpredictable effects on the markets and the Funds’ investments.

65

GOLDMAN SACHS FIXED INCOME ALTERNATIVES STRATEGIES FUNDS

Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

8. OTHER RISKS (continued)

Investments in Other Investment Companies — As a shareholder of another investment company, a Fund will indirectly bear its proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Fund.

Large Shareholder Transactions Risk — A Fund may experience adverse effects when certain large shareholders, such as other funds, institutional investors (including those trading by use of non-discretionary mathematical formulas), financial intermediaries (who may make investment decisions on behalf of underlying clients and/or include a Fund in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of a Fund. Such large shareholder redemptions may cause the Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact a Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in a Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio. Similarly, large Fund share purchases may adversely affect a Fund’s performance to the extent that the Fund is delayed in investing new cash and is required to maintain a larger cash position than it ordinarily would.

Leverage Risk — Leverage creates exposure to potential gains and losses in excess of the initial amount invested. Borrowings and the use of derivatives may result in leverage and may make a Fund more volatile. When a Fund uses leverage, the sum of a Fund’s investment exposure may significantly exceed the amount of assets invested in a Fund, although these exposures may vary over time. Relatively small market movements may result in large changes in the value of a leveraged investment. A Fund will identify liquid assets on its books or otherwise cover transactions that may give rise to such risk, to the extent required by applicable law. The use of leverage may cause a Fund to liquidate portfolio positions to satisfy their obligations or to meet segregation requirements when it may not be advantageous to do so. The use of leverage by a Fund can substantially increase the adverse impact to which a Fund’s investment portfolio may be subject.

Liquidity Risk — The Funds may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that a Fund will not be able to pay redemption proceeds within the allowable time period 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. Liquidity risk may be the result of, among other things, the reduced number and capacity of traditional market participants to make a market in fixed income securities or the lack of an active market. The potential for liquidity risk may be magnified by a rising interest rate environment or other circumstances where investor redemptions from fixed income mutual funds may be higher than normal, potentially causing increased supply in the market due to selling activity.

Loan-Related Investments Risk — In addition to risks generally associated with debt investments, loan related investments such as loan participations and assignments are subject to other risks. Although a loan obligation may be fully collateralized at the time of acquisition, the collateral may decline in value, be relatively illiquid, or lose all or substantially all of its value subsequent to investment. Many loan investments are subject to legal or contractual restrictions on resale and may be relatively illiquid and difficult to value. There is less readily available, reliable information about most loan investments than is the case for many other types of securities. Substantial increases in interest rates may cause an increase in loan obligation defaults. With respect to loan

66

GOLDMAN SACHS FIXED INCOME ALTERNATIVES STRATEGIES FUNDS

8. OTHER RISKS (continued)

participations, the Fund may not always have direct recourse against a borrower if the borrower fails to pay scheduled principal and/or interest; may be subject to greater delays, expenses and risks than if the Fund had purchased a direct obligation of the borrower; and may be regarded as the creditor of the agent lender (rather than the borrower), subjecting the Fund to the creditworthiness of that lender as well. Investors in loans, such as the Fund, may not be entitled to rely on the anti-fraud protections of the federal securities laws, although they may be entitled to certain contractual remedies. The market for loan obligations may be subject to irregular trading activity, wide bid/ask spreads and extended trade settlement periods. Because transactions in many loans are subject to extended trade settlement periods, the Fund may not receive the proceeds from the sale of a loan for a period after the sale. As a result, sale proceeds related to the sale of loans may not be available to make additional investments or to meet the Fund’s redemption obligations for a period after the sale of the loans, and, as a result, the Fund may have to sell other investments or engage in borrowing transactions, such as borrowing from its credit facility, if necessary to raise cash to meet its obligations. Senior Loans hold the most senior position in the capital structure of a business entity, and are typically secured with specific collateral, but are nevertheless usually rated below investment grade. Because Second Lien Loans are subordinated or unsecured and thus lower in priority of payment to Senior Loans, they are subject to the additional risk that the cash flow of the borrower and property securing the loan or debt, if any, may be insufficient to meet scheduled payments after giving effect to the senior secured obligations of the borrower. Second Lien Loans generally have greater price volatility than Senior Loans and may be less liquid.

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 or guarantor fails to perform or that an institution or entity with which the Funds have unsettled or open transactions defaults.

Non-Diversification Risk — The Funds are non-diversified, meaning that they are permitted to invest a larger percentage of their assets in fewer issuers than diversified mutual funds. Thus, a Fund may be more susceptible to adverse developments affecting any single issuer held in its portfolio, and may be more susceptible to greater losses because of these developments.

Short Position Risk — The Funds may enter into a short position through a futures contract, an option or swap agreement or through short sales of any instrument that the Funds may purchase for investment. Taking short positions involves leverage of a Fund’s assets and presents various risks. If the value of the underlying instrument or market in which the Funds have taken a short position increases, then the Funds will incur a loss equal to the increase in value from the time that the short position was entered into plus any related interest payments or other fees. Taking short positions involves the risk that losses may be disproportionate, may exceed the amount invested, and may be unlimited.

Tax Risk — The Fixed Income Macro Strategies Fund will seek to gain exposure to the commodity markets primarily through investments in the Subsidiary and/or commodity index-linked structured notes, as applicable. Historically, the Internal Revenue Service (“IRS”) has issued private letter rulings (“PLRs”) in which the IRS specifically concluded that income and gains from investments in commodity index-linked structured notes or a wholly-owned foreign subsidiary that invests in commodity-linked instruments are “qualifying income” for purposes of compliance with Subchapter M of the Code. However, the Fund has not received a PLR, and is not able to rely on PLRs issued to other taxpayers. Additionally, the IRS has suspended the granting of such PLR, pending review of its position on this matter. The IRS also recently issued proposed regulations that, if finalized, would

67

GOLDMAN SACHS FIXED INCOME ALTERNATIVES STRATEGIES FUNDS

Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

8. OTHER RISKS (continued)

generally treat the Fund’s income inclusion with respect to a subsidiary as qualifying income only if there is a distribution out of the earnings and profits of a subsidiary that are attributable to such income inclusion. The proposed regulations, if adopted, would apply to taxable years beginning on or after 90 days after the regulations are published as final.

The IRS also recently issued a revenue procedure, which states that the IRS will not in the future issue PLRs that would require a determination of whether an asset (such as a commodity index-linked note) is a “security” under the Investment Company Act of 1940. The Fixed Income Macro Strategies Fund has obtained an opinion of counsel that the Fund’s income from such investments should constitute “qualifying income.” However, no assurances can be provided that the IRS would not be able to successfully assert that the Fund’s income from such investments was not “qualifying income,” in which case the Fund would fail to qualify as a regulated investment company (“RIC”) under Subchapter M of the Code if over 10% its gross income was derived from these investments If the Fund failed to qualify as a RIC, it would be subject to federal and state income tax on all of its taxable income at regular corporate tax rates. This would significantly adversely affect the returns to, and could cause substantial losses for, Fund shareholders.

9. 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 Funds. Additionally, in the course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.

10. 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.

68

GOLDMAN SACHS FIXED INCOME ALTERNATIVES STRATEGIES FUNDS

11. SUMMARY OF SHARE TRANSACTIONS

Share activity is as follows:

	Fixed Income Macro Strategies Fund
	For the Six Months Ended September 30, 2016 (Unaudited)						For the Fiscal Year Ended March 31, 2016
	Shares			Dollars			Shares			Dollars
Class A Shares
Shares sold		655		$	5,777			26,725		$	249,488
Reinvestment of distributions		—			—			2,133			18,841
Shares redeemed		(9,815	)		(86,479	)		(277,292	)		(2,502,916	)
		(9,160	)		(80,702	)		(248,434	)		(2,234,587	)
Class C Shares
Shares sold		—			—			13,558			124,467
Reinvestment of distributions		—			—			1,003			8,857
Shares redeemed		(3,873	)		(33,922	)		(37,537	)		(344,018	)
		(3,873	)		(33,922	)		(22,976	)		(210,694	)
Institutional Shares
Shares sold		118,497			1,042,700			934,739			8,649,986
Reinvestment of distributions		—			—			459,286			4,066,209
Shares redeemed		(803,395	)		(7,058,494	)		(1,929,082	)		(17,518,429	)
		(684,898	)		(6,015,794	)		(535,057	)		(4,802,234	)
Class IR Shares
Shares sold		29,174			255,324			152,010			1,391,243
Reinvestment of distributions		—			—			11,316			100,163
Shares redeemed		(30,533	)		(266,615	)		(405,374	)		(3,768,851	)
		(1,359	)		(11,291	)		(242,048	)		(2,277,445	)
Class R Shares
Reinvestment of distributions		—			—			151			1,331
		—			—			151			1,331
NET DECREASE		(699,290	)	$	(6,141,709	)		(1,048,364	)	$	(9,523,629	)

69

GOLDMAN SACHS FIXED INCOME ALTERNATIVES STRATEGIES FUNDS

Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

11. SUMMARY OF SHARE TRANSACTIONS (continued)

Share activity is as follows:

	Long Short Credit Strategies Fund
	For the Six Months Ended September 30, 2016 (Unaudited)						For the Fiscal Year Ended March 31, 2016
	Shares			Dollars			Shares			Dollars
Class A Shares
Shares sold		569,720		$	5,438,066			780,602		$	7,528,825
Reinvestment of distributions		12,479			120,111			32,402			308,344
Shares redeemed		(116,310	)		(1,118,981	)		(640,044	)		(6,058,372	)
		465,889			4,439,196			172,960			1,778,797
Class C Shares
Shares sold		91,456			879,945			147,163			1,409,220
Reinvestment of distributions		1,412			13,582			3,990			37,801
Shares redeemed		(17,642	)		(169,567	)		(67,789	)		(647,878	)
		75,226			723,960			83,364			799,143
Institutional Shares
Shares sold		3,737,586			35,912,658			5,991,005			58,047,972
Reinvestment of distributions		171,321			1,647,291			598,839			5,709,626
Shares redeemed		(2,333,380	)		(22,443,731	)		(7,672,327	)		(73,971,045	)
		1,575,527			15,116,218			(1,082,483	)		(10,213,447	)
Class IR Shares
Shares sold		419,714			4,028,755			516,890			4,934,925
Reinvestment of distributions		6,277			60,412			12,028			114,437
Shares redeemed		(292,556	)		(2,814,952	)		(246,720	)		(2,371,319	)
		133,435			1,274,215			282,198			2,678,043
Class R Shares
Shares sold		94			911			197			1,907
Reinvestment of distributions		32			297			112			1,062
Shares redeemed		—			—			(117	)		(1,093	)
		126			1,208			192			1,876
NET INCREASE (DECREASE)		2,250,203		$	21,554,797			(543,769	)	$	(4,955,588	)

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GOLDMAN SACHS FIXED INCOME ALTERNATIVES STRATEGIES FUNDS

Fund Expenses — Six Month Period Ended September 30, 2016  (Unaudited)

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from April 1, 2016 through September 30, 2016, which represents a period of 183 days in a 365-day year.

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

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

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

	Fixed Income Macro Strategies Fund							Long Short Credit Strategies Fund
Share Class	Beginning Account Value 4/1/16		Ending Account Value 9/30/16			Expenses Paid for the 6 months ended 9/30/16*		Beginning Account Value 4/1/16		Ending Account Value 9/30/16			Expenses Paid for the 6 months ended 9/30/16*
Class A
Actual	$	1,000.00	$	994.30		$	8.80	$	1,000.00	$	1,029.20		$	7.38
Hypothetical 5% return		1,000.00		1,016.24	+		8.90		1,000.00		1,017.80	+		7.33
Class C
Actual		1,000.00		990.90			12.48		1,000.00		1,025.30			11.17
Hypothetical 5% return		1,000.00		1,012.53	+		12.61		1,000.00		1,014.04	+		11.11
Institutional
Actual		1,000.00		996.60			7.21		1,000.00		1,030.90			5.65
Hypothetical 5% return		1,000.00		1,017.85	+		7.28		1,000.00		1,019.50	+		5.62
Class IR
Actual		1,000.00		995.50			7.55		1,000.00		1,030.50			6.06
Hypothetical 5% return		1,000.00		1,017.50	+		7.64		1,000.00		1,019.10	+		6.02
Class R
Actual		1,000.00		993.20			9.89		1,000.00		1,027.90			8.64
Hypothetical 5% return		1,000.00		1,015.14	+		10.00		1,000.00		1,016.54	+		8.59

* Expenses for each share class are calculated using each Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended September 30, 2016. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows:

Fund	Class A			Class C			Institutional			Class IR			Class R
Fixed Income Macro Strategies		1.76	%		2.50	%		1.44	%		1.51	%		1.98	%
Long Short Credit Strategies		1.45			2.20			1.11			1.19			1.70

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

71

GOLDMAN SACHS FIXED INCOME ALTERNATIVES STRATEGIES FUNDS

Statement Regarding Basis for Approval of Management Agreement (Unaudited)

Background

The Goldman Sachs Fixed Income Macro Strategies Fund and Goldman Sachs Long Short Credit Strategies Fund (the “Funds”) are investment portfolios of Goldman Sachs Trust (the “Trust”). The Board of Trustees oversees the management of the Trust and reviews the investment performance and expenses of the Funds at regularly scheduled meetings held throughout the year. In addition, the Board of Trustees determines annually whether to approve the continuance of the Trust’s investment management agreement (the “Management Agreement”) with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) on behalf of the Funds.

The Management Agreement was most recently approved for continuation until June 30, 2017 by the Board of Trustees, including those Trustees who are not parties to the Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), at a meeting held on June 15-16, 2016 (the “Annual Meeting”).

The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held three meetings over the course of the year since the Management Agreement was last approved. At those Committee meetings, regularly scheduled Board or other committee meetings, and/or the Annual Meeting, matters relevant to the renewal of the Management Agreement were considered by the Board, or the Independent Trustees, as applicable. With respect to each Fund, such matters included:

(a) the nature and quality of the advisory, administrative, and other services provided to the Fund by the Investment Adviser and its affiliates, including information about:

(i) the structure, staff, and capabilities of the Investment Adviser and its portfolio management teams;

(ii) the groups within the Investment Adviser and its affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services, and operations); controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, compliance testing, market risk analysis, finance, and central funding); sales and distribution support groups, and others (e.g., information technology and training);

(iii) trends in employee headcount;

(iv) the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and

(v) the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management;

(b) information on the investment performance of the Fund, including comparisons to the performance of similar mutual funds, as provided by a third-party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”), and a benchmark performance index; and general investment outlooks in the markets in which the Fund invests;

(c) information provided by the Investment Adviser indicating the Investment Adviser’s views on whether the Fund’s peer group and/or benchmark index had high, medium, or low relevance given the Fund’s particular investment strategy;

(d) the terms of the Management Agreement and other agreements with affiliated service providers entered into by the Trust on behalf of the Fund;

(e) fee and expense information for the Fund, including:

(i) the relative management fee and expense level of the Fund as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider;

(ii) the Fund’s expense trends over time; and

(iii) to the extent the Investment Adviser manages other types of accounts (such as bank collective trusts, private wealth management accounts, institutional separate accounts, sub-advised mutual funds, and non-U.S. funds) having investment objectives and policies similar to those of the Fund, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser;

(f) with respect to the extensive investment performance and expense comparison data provided by the Outside Data Provider, its processes in producing that data for the Fund;

(g) the undertakings of the Investment Adviser and its affiliates to implement fee waivers and/or expense limitations;

(h) information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of the Fund and the Trust as a whole to the Investment Adviser and its affiliates;

(i) whether the Fund’s existing management fee schedule adequately addressed any economies of scale;

(j) a summary of the “fall-out” benefits derived by the Investment Adviser and its affiliates from their relationships with the

72

GOLDMAN SACHS FIXED INCOME ALTERNATIVES STRATEGIES FUNDS

Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)

Fund, including the fees received by the Investment Adviser’s affiliates from the Fund for transfer agency, portfolio trading, distribution and other services;

(k) a summary of potential benefits derived by the Fund as a result of its relationship with the Investment Adviser;

(l) information regarding portfolio trading and how the Investment Adviser carries out its duty to seek best execution;

(m) portfolio manager ownership of Fund shares; the manner in which portfolio manager compensation is determined; and the number and types of accounts managed by the portfolio managers;

(n) the nature and quality of the services provided to the Fund by its unaffiliated service providers, and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administrative services provided under the Management Agreement; and

(o) the Investment Adviser’s processes and policies addressing various types of potential conflicts of interest; its approach to risk management; the annual review of the effectiveness of the Fund’s compliance program; and periodic compliance reports.

The Trustees also received an overview of the Funds’ distribution arrangements. They received information regarding the Funds’ assets, share purchase and redemption activity, and payment of distribution and service fees. Information was also provided to the Trustees relating to revenue sharing payments made by and services provided by the Investment Adviser and its affiliates to intermediaries that promote the sale, distribution, and/or servicing of Fund shares. The Independent Trustees also discussed the broad range of other investment choices that are available to Fund investors, including the availability of comparable funds managed by other advisers.

The presentations made at the Board and Committee meetings and at the Annual Meeting encompassed the Funds and other mutual funds for which the Board of Trustees has responsibility. In evaluating the Management Agreement at the Annual Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Adviser and its affiliates, their services, and the Funds. In conjunction with these meetings, the Trustees received written materials and oral presentations on the topics covered, and the Investment Adviser addressed the questions and concerns of the Trustees, including concerns regarding the investment performance of certain of the funds they oversee. The Independent Trustees were advised by their independent legal counsel regarding their responsibilities and other regulatory requirements related to the approval and continuation of mutual fund investment management agreements under applicable law. In addition, the Investment Adviser and its affiliates provided the Independent Trustees with a written response to a formal request for information sent on behalf of the Independent Trustees by their independent legal counsel. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent legal counsel, without representatives of the Investment Adviser or its affiliates present.

Nature, Extent, and Quality of the Services Provided Under the Management Agreement

As part of their review, the Trustees considered the nature, extent, and quality of the services provided to the Funds by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services and non-advisory services that are provided by the Investment Adviser and its affiliates. The Trustees noted the transition in the leadership and changes in personnel of various of the Investment Adviser’s portfolio management teams that had occurred in recent periods, and the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Adviser. They also noted the Investment Adviser’s commitment to maintaining high quality systems and expending substantial resources to respond to ongoing changes to the regulatory and control environment in which the Funds and their service providers operate, as well as the efforts of the Investment Adviser and its affiliates to combat cyber security risks. The Trustees concluded that the Investment Adviser continued to commit substantial financial and operational resources to the Funds and expressed confidence that the Investment Adviser would continue to do so in the future. The Trustees also recognized that the Investment Adviser had made significant commitments to address regulatory compliance requirements applicable to the Funds and the Investment Adviser and its affiliates.

Investment Performance

The Trustees also considered the investment performance of the Funds. In this regard, they compared the investment performance of each Fund to its peers using rankings and (except with respect to the Fixed Income Macro Strategies Fund) ratings compiled by the Outside Data Provider as of December 31, 2015, and updated performance information prepared by the Investment Adviser using the peer group identified by the Outside Data Provider as of March 31, 2016. The information on each Fund’s investment performance was provided for the one-, three-, and five-year periods ending on the applicable dates, to the extent that each Fund had been in existence for those periods. The Trustees also reviewed each Fund’s investment performance relative to its performance benchmark. As part of this review, they considered the investment performance trends of the Funds over

73

GOLDMAN SACHS FIXED INCOME ALTERNATIVES STRATEGIES FUNDS

Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)

time, and reviewed the investment performance of each Fund in light of its investment objective and policies and market conditions.

In addition, the Trustees considered materials prepared and presentations made by the Investment Adviser’s senior management and portfolio management personnel in which Fund performance was assessed. The Trustees also considered the Investment Adviser’s periodic reports with respect to the Funds’ risk profiles, and how the Investment Adviser’s approach to risk monitoring and management influences portfolio management.

The Trustees observed that the Fixed Income Macro Strategies Fund’s Institutional Shares had placed in the first quartile of the Fund’s peer group, had outperformed the Fund’s LIBOR-based benchmark index by 3.82%, and had underperformed the average performance of a group of competitor funds, as determined by the Investment Adviser (the “Fund’s Competitor Fund Average”), for the one-year period ended March 31, 2016. They noted that the Fixed Income Macro Strategies Fund had certain significant differences from its benchmark index that caused it to be an imperfect basis for comparison. They also noted changes to the Fixed Income Macro Strategies Fund’s investment strategy in November 2015 to eliminate the Fund’s exposure to directional “spread products” (i.e., taxable bonds that are not U.S. Treasury securities). The Trustees also recalled that the Long Short Credit Strategies Fund was launched in April 2014 in connection with the reorganization of the Goldman Sachs Credit Strategies Fund, a closed-end interval fund, with and into the Long Short Credit Strategies Fund. They noted that the Long Short Credit Strategies Fund’s Institutional Shares (when viewed together with its predecessor) had placed in the top half of the Fund’s peer group for the one-, three-, and five-year periods; had outperformed the Fund’s LIBOR-based benchmark index by 0.20%, 0.48%, and 3.20%, respectively, for the one-, three-, and five-year periods; and had underperformed the Fund’s Competitor Fund Average for the one-, three-, and five-year periods ended March 31, 2016. However, they noted that the Long Short Credit Strategies Fund implements a long/short credit strategy, while the Goldman Sachs Credit Strategies Fund implemented a long-only credit strategy.

Costs of Services Provided and Competitive Information

The Trustees considered the contractual terms of the Management Agreement and the fee rates payable by each Fund thereunder. In this regard, the Trustees considered information on the services rendered by the Investment Adviser to the Funds, which included both advisory and administrative services that were directed to the needs and operations of the Funds as registered mutual funds.

In particular, the Trustees reviewed analyses prepared by the Outside Data Provider regarding the expense rankings of the Funds. The analyses provided a comparison of each Fund’s management fee and breakpoints to those of a relevant peer group and category universe; an expense analysis which compared each Fund’s overall net and gross expenses to a peer group and a category universe; and data comparing each Fund’s net expenses to the peer and category medians. The analyses also compared each Fund’s transfer agency, custody, and distribution fees, other expenses and fee waivers/reimbursements to those of the peer group and category medians. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Funds.

In addition, the Trustees considered the Investment Adviser’s undertakings to implement fee waivers and/or expense limitations. With respect to the Fixed Income Macro Strategies Fund, the Trustees noted that the Investment Adviser had agreed to waive a portion of its management fee in an amount equal to the entire management fee paid to the Investment Adviser as the investment adviser to the Fund’s wholly-owned subsidiary. The Trustees also noted that certain changes were being made to existing fee waiver or expense limitation arrangements of the Fixed Income Macro Strategies Fund that would have the effect of decreasing total Fund expenses, with such changes taking effect in connection with the Fund’s next annual registration statement update. They also considered, to the extent that the Investment Adviser manages other types of accounts having investment objectives and policies similar to those of the Funds, comparative fee information for services provided by the Investment Adviser to those accounts, and information that indicated that services provided to the Funds differed in various significant respects from the services provided to other types of accounts which, in many cases, operated under less stringent legal and regulatory structures, required fewer services from the Investment Adviser to a smaller number of client contact points, and were less time-intensive.

In addition, the Trustees noted that shareholders are able to redeem their Fund shares at any time if shareholders believe that the Fund fees and expenses are too high or if they are dissatisfied with the performance of the Fund.

Profitability

The Trustees reviewed the Investment Adviser’s revenues and pre-tax profit margins with respect to the Trust and each of the Funds. In this regard the Trustees noted that they had received, among other things, profitability analyses and summaries, revenue and expense schedules by Fund and by function (i.e., investment management, transfer agency and distribution and service), and information on the Investment Adviser’s expense allocation methodology. They observed that the profitability and expense figures are substantially similar to those used by the Investment Adviser for many internal purposes, including compensation decisions

74

GOLDMAN SACHS FIXED INCOME ALTERNATIVES STRATEGIES FUNDS

Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)

among various business groups, and are thus subject to a vigorous internal debate about how certain revenue and expenses should be allocated. The Trustees also noted that the internal audit group within the Goldman Sachs organization had audited the expense allocation methodology and was satisfied with the reasonableness, consistency, and accuracy of the Investment Adviser’s expense allocation methodology and profitability analysis calculations. Profitability data for the Trust and each Fund were provided for 2015 and 2014, and the Trustees considered this information in relation to the Investment Adviser’s overall profitability. The Trustees considered the Investment Adviser’s revenues and pre-tax profit margins both in absolute terms and in comparison to information on the reported pre-tax profit margins earned by certain other asset management firms.

Economies of Scale

The Trustees considered the information that had been provided regarding the Investment Adviser’s profitability. The Trustees also considered the breakpoints in the fee rate payable under the Management Agreement for each of the Funds at the following annual percentage rates of the average daily net assets of the Funds:

	Fixed Income Macro Strategies Fund			Long Short Credit Strategies Fund
First $1 billion		1.50	%		1.00	%
Next $1 billion		1.50			0.90
Next $3 billion		1.35			0.86
Next $3 billion		1.29			0.84
Over $8 billion		1.26			0.82

The Trustees noted that the breakpoints were designed to share potential economies of scale, if any, with the Funds and their shareholders as assets under management reach those asset levels. The Trustees considered the amounts of assets in the Funds; the Funds’ recent share purchase and redemption activity; the information provided by the Investment Adviser relating to the costs of the services provided by the Investment Adviser and its affiliates and their realized profits; information comparing fee rates charged by the Investment Adviser with fee rates charged to other funds in the peer groups; and the Investment Adviser’s undertaking to waive a portion of its management fee (with respect to the Fixed Income Macro Strategies Fund) and to limit certain expenses of the Funds that exceed specified levels. Upon reviewing these matters at the Annual Meeting, the Trustees concluded that the fee breakpoints represented a means of assuring that benefits of scalability, if any, would be passed along to shareholders at the specified asset levels.

Other Benefits to the Investment Adviser and Its Affiliates

The Trustees also considered the other benefits derived by the Investment Adviser and its affiliates from their relationships with the Funds as stated above, including: (a) transfer agency fees received by Goldman, Sachs & Co. (“Goldman Sachs”); (b) futures commissions earned by Goldman Sachs for executing futures transactions on behalf of the Funds; (c) trading efficiencies resulting from aggregation of orders of the Funds with those for other funds or accounts managed by the Investment Adviser; (d) the Investment Adviser’s ability to leverage the infrastructure designed to service the Funds on behalf of its other clients; (e) the Investment Adviser’s ability to cross-market other products and services to Fund shareholders; (f) Goldman Sachs’ retention of certain fees as Fund Distributor; (g) the Investment Adviser’s ability to negotiate better pricing with custodians on behalf of its other clients, as a result of the relationship with the Funds; and (h) the possibility that the working relationship between the Investment Adviser and the Funds’ third-party service providers may cause those service providers to be more likely to do business with other areas of Goldman Sachs. In the course of considering the foregoing, the Independent Trustees requested and received further information quantifying certain of these fall-out benefits.

Other Benefits to the Funds and Their Shareholders

The Trustees also noted that the Funds receive certain potential benefits as a result of their relationship with the Investment Adviser, including: (a) trading efficiencies resulting from aggregation of orders of the Funds with those of other funds or accounts managed by the Investment Adviser; (b) enhanced servicing from vendors because of the volume of business generated by the Investment Adviser and its affiliates; (c) enhanced servicing from broker-dealers because of the volume of business generated by the Investment Adviser and its affiliates; (d) the Investment Adviser’s ability to negotiate favorable terms with derivatives counterparties on behalf of the Funds as a result of the size and reputation of the Goldman Sachs organization; (e) the Investment

75

GOLDMAN SACHS FIXED INCOME ALTERNATIVES STRATEGIES FUNDS

Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)

Adviser’s knowledge and experience gained from managing other accounts and products; (f) the Investment Adviser’s ability to hire and retain qualified personnel to provide services to the Funds because of the reputation of the Goldman Sachs organization;

(g) the Funds’ access, through the Investment Adviser, to certain firmwide resources (e.g., proprietary risk management systems and databases), subject to certain restrictions; and (h) the Funds’ access to certain affiliated distribution channels. In addition, the Trustees noted the competitive nature of the mutual fund marketplace, and considered that many of the Funds’ shareholders invested in the Funds in part because of the Funds’ relationship with the Investment Adviser and that those shareholders have a general expectation that the relationship will continue.

Conclusion

In connection with their consideration of the Management Agreement, the Trustees gave weight to each of the factors described above, but did not identify any particular factor as controlling their decision. After deliberation and consideration of all of the information provided, including the factors described above, the Trustees concluded, in the exercise of their business judgment, that the management fees paid by each of the Funds were reasonable in light of the services provided to it by the Investment Adviser, the Investment Adviser’s costs and each Fund’s current and reasonably foreseeable asset levels. The Trustees unanimously concluded that the Investment Adviser’s continued management likely would benefit each Fund and its shareholders and that the Management Agreement should be approved and continued with respect to each Fund until June 30, 2017.

76

FUNDS PROFILE

Goldman Sachs Funds

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

Today, the Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $1.15 trillion in assets under supervision as of September 30, 2016, 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. subject to legal, internal and regulatory restrictions.

Money Market

Financial Square Funds^SM

n Financial Square Treasury Solutions Fund¹

n Financial Square Government Fund¹

n Financial Square Money Market Fund²

n Financial Square Prime Obligations Fund²

n Financial Square Treasury Instruments Fund¹

n Financial Square Treasury Obligations Fund¹

n Financial Square Federal Instruments Fund¹

n Financial Square Tax-Exempt Money Market Fund²

Investor Funds^SM

n Investor Money Market Fund³

n Investor Tax-Exempt Money Market Fund^3,4

Fixed Income

Short Duration and Government

n Enhanced Income Fund

n High Quality Floating Rate Fund

n Short-Term Conservative Income Fund⁵

n Short Duration Government Fund

n Short Duration Income Fund

n Government Income Fund

n Inflation Protected Securities Fund

Multi-Sector

n Bond Fund

n Core Fixed Income Fund

n Global Income Fund

n Strategic Income Fund

Municipal and Tax-Free

n High Yield Municipal Fund

n Dynamic Municipal Income Fund

n Short Duration Tax-Free Fund

Single Sector

n Investment Grade Credit Fund

n U.S. Mortgages Fund

n High Yield Fund

n High Yield Floating Rate Fund

n Emerging Markets Debt Fund

n Local Emerging Markets Debt Fund

n Dynamic Emerging Markets Debt Fund

Fixed Income Alternatives

n Long Short Credit Strategies Fund

n Fixed Income Macro Strategies Fund

Fundamental Equity

n Growth and Income Fund

n Small Cap Value Fund

n Small/Mid Cap Value Fund

n Mid Cap Value Fund

n Large Cap Value Fund

n Focused Value Fund

n Capital Growth Fund

n Strategic Growth Fund

n Focused Growth Fund

n Small/Mid Cap Growth Fund

n Flexible Cap Growth Fund

n Concentrated Growth Fund

n Technology Opportunities Fund

n Growth Opportunities Fund

n Rising Dividend Growth Fund

n Dynamic U.S. Equity Fund

n Income Builder Fund

Tax-Advantaged Equity

n U.S. Tax-Managed Equity Fund

n International Tax-Managed Equity Fund

n U.S. Equity Dividend and Premium Fund

n International Equity Dividend and Premium Fund

Equity Insights

n Small Cap Equity Insights Fund

n U.S. Equity Insights Fund

n Small Cap Growth Insights Fund

n Large Cap Growth Insights Fund

n Large Cap Value Insights Fund

n Small Cap Value Insights Fund

n International Small Cap Insights Fund⁶

n International Equity Insights Fund

n Emerging Markets Equity Insights Fund

Fundamental Equity International

n Strategic International Equity Fund

n Focused International Equity Fund

n Asia Equity Fund

n Emerging Markets Equity Fund

n N-11 Equity Fund

Select Satellite

n Real Estate Securities Fund

n International Real Estate Securities Fund

n Commodity Strategy Fund

n Global Real Estate Securities Fund

n Dynamic Commodity Strategy Fund

n Dynamic Allocation Fund

n Absolute Return Tracker Fund

n Long Short Fund

n Managed Futures Strategy Fund

n MLP Energy Infrastructure Fund

n Multi-Manager Alternatives Fund

n Multi-Asset Real Return Fund

n Absolute Return Multi-Asset Fund

n Global Infrastructure Fund

Total Portfolio Solutions

n Global Managed Beta Fund

n Multi-Manager Non-Core Fixed Income Fund

n Multi-Manager U.S. Dynamic Equity Fund

n Multi-Manager Global Equity Fund

n Multi-Manager International Equity Fund

n Tactical Tilt Overlay Fund⁷

n Balanced Strategy Portfolio

n Multi-Manager U.S. Small Cap Equity Fund

n Multi-Manager Real Assets Strategy Fund

n Growth and Income Strategy Portfolio

n Growth Strategy Portfolio

n Equity Growth Strategy Portfolio

n Satellite Strategies Portfolio

n Enhanced Dividend Global Equity Portfolio

n Tax-Advantaged Global Equity Portfolio

n Strategic Factor Allocation Fund

n Target Date 2020 Portfolio

n Target Date 2025 Portfolio

n Target Date 2030 Portfolio

n Target Date 2035 Portfolio

n Target Date 2040 Portfolio

n Target Date 2045 Portfolio

n Target Date 2050 Portfolio

n Target Date 2055 Portfolio

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 on March 31, 2016, the Goldman Sachs Financial Square Tax-Free Money Market Fund was renamed the Goldman Sachs Investor Tax-Exempt Money Market Fund.

⁵  Effective on July 29, 2016, the Goldman Sachs Limited Maturity Obligations Fund was renamed the Goldman Sachs Short-Term Conservative Income Fund.

⁶  Effective at the close of business on February 5, 2016, the Goldman Sachs International Small Cap Fund was reorganized with and into the Goldman Sachs International Small Cap Insights Fund.

⁷  Effective on June 1, 2016, the Goldman Sachs Tactical Tilt Implementation Fund was renamed the Goldman Sachs Tactical Tilt Overlay Fund.

Financial Square Funds^SM and Investor Funds^SM are registered service marks of Goldman, Sachs & Co.

* 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 Ashok N. Bakhru, Chairman Kathryn A. Cassidy Diana M. Daniels Herbert J. Markley James A. McNamara Jessica Palmer Alan A. Shuch Roy W. Templin Gregory G. Weaver	OFFICERS James A. McNamara, President Scott M. McHugh, Principal Financial Officer, Senior Vice President and Treasurer Caroline L. Kraus, Secretary
GOLDMAN, SACHS & CO. Distributor and Transfer Agent	GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser

Visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.

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

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

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

The Funds 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 Funds’ Forms N-Qs are available on the SEC’s web site at http://www.sec.gov within 60 days after the Funds’ first and third fiscal quarters. The Funds’ 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. Forms N-Q 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 our judgment as of the date of this presentation and are subject to change without notice. These forecasts do not take into account the specific investment objectives, restrictions, tax and financial situation or other needs of any specific client. Actual data will vary and may not be reflected here. These forecasts are subject to high levels of uncertainty that may affect actual performance. Accordingly, these forecasts should be viewed as merely representative of a broad range of possible outcomes. These forecasts are estimated, based on assumptions, and are subject to significant revision and may change materially as economic and market conditions change. Goldman Sachs has no obligation to provide updates or changes to these forecasts. Case studies and examples are for illustrative purposes only.

Fund holdings and allocations shown are as of September 30, 2016 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities.

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

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

© 2016 Goldman Sachs. All rights reserved. 71747-TMPL-11/2016 FIALTSAR-16/1.9K

Goldman Sachs Funds

Semi-Annual Report	September 30, 2016
	Multi Sector Fixed Income Funds
	Bond Fund
	Core Fixed Income
	Global Income
	Strategic Income

Goldman Sachs Multi Sector Fixed Income Funds

n BOND

n CORE FIXED INCOME

n GLOBAL INCOME

n STRATEGIC INCOME

TABLE OF CONTENTS
Investment Process	1
Market Review	2
Portfolio Management Discussions and Performance Summaries	4
Schedules of Investments	29
Financial Statements	104
Financial Highlights	108
Notes to the Financial Statements	116
Other Information	143

NOT FDIC-INSURED May Lose Value No Bank Guarantee

GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS

What Differentiates the Goldman Sachs Asset

Management Fixed Income Investment Process?

At Goldman Sachs Asset Management, L.P. (“GSAM”), the goal of our fixed income investment process is to provide consistent, strong performance by actively managing our portfolios within a research-intensive, risk-managed framework.

A key element of our fixed income investment philosophy is to evaluate the broadest global opportunity set to capture relative value across sectors and instruments. Our globally integrated investment process involves managing dynamically along the risk/return spectrum, as we continue to develop value-added strategies through:

n Assess relative value among sectors (such as mortgage-backed and corporate debt securities) and sub-sectors

n Leverage the vast resources of GSAM in selecting securities for each portfolio

n Team approach to decision making

n Manage risk by avoiding significant sector and interest rate bets

n Careful management of yield curve strategies — while closely managing portfolio duration

Fixed Income portfolios that:

n Include domestic and global investment options, income opportunities, and access to areas of specialization

n Capitalize on GSAM’s industry-renowned credit research capabilities

n Use a risk-managed framework to seek total return, recognizing the importance of investors’ capital accumulation goals as well as their need for income

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

1

MARKET REVIEW

Goldman Sachs Multi Sector Fixed Income Funds

Market Review

Shifting expectations about global economic conditions and central bank monetary policy influenced the performance of the global fixed income markets during the six months ended September 30, 2016 (the “Reporting Period”).

During the second quarter of 2016 when the Reporting Period began, spread (or non-government bond) sectors rallied on stabilization of commodities prices as well as on declining fears about slowing Chinese economic growth and the potential for a U.S. economic recession. Global interest rates broadly declined amid continued accommodative monetary policy from the world’s central banks. In the U.S., minutes from the Federal Reserve’s (the “Fed”) April 2016 policy meeting, released in mid-May 2016, suggested to many observers that policymakers might raise interest rates in June 2016 if U.S. economic growth strengthened, employment data firmed and inflation rose toward the Fed’s 2% target. In early June 2016, however, the release of weak May 2016 employment data raised concerns about the health of the U.S. economy, pushing down market expectations of a Fed rate hike. Indeed, the Fed did not raise interest rates at its June 2016 policy meeting. In the last week of June 2016, the unexpected “leave” vote in the U.K. referendum on membership in the European Union, popularly known as Brexit, renewed investor uncertainty about the path of global economic growth. Spread sectors withstood the Brexit vote relatively well, selling off at first but then recovering most of their losses afterwards. The U.S. dollar strengthened versus most global currencies during the second calendar quarter, though it weakened against the Japanese yen.

During the third calendar quarter, spread sectors continued to advance. Overall, global interest rates remained low, as the world’s central banks remained broadly accommodative. In July 2016, however, the Fed’s policy statement was more hawkish than most observers expected, reflecting cautious optimism amid the market’s relatively muted reaction to the Brexit outcome and strengthening U.S. economic data. (Hawkish commentary tends to imply higher interest rates; opposite of dovish.) The July 2016 U.S. non-farm payrolls report showed 255,000 new jobs added, exceeding market expectations and countering a disappointing second quarter 2016 Gross Domestic Product (“GDP”) report that showed growth of 1.2%. The European Central Bank (“ECB”) kept interest rates unchanged during July 2016. The Bank of Japan (“BoJ”), meanwhile, fell short of market expectations with the announcement of an equity purchase program and the lack of key monetary measures, such as an interest rate cut and increased government bond purchases. In August 2016, the Bank of England (“BoE”) unveiled a “timely, coherent and comprehensive package,” as described by Governor Mark Carney, which included a number of measures intended to help the U.K. economy navigate a post-Brexit environment. Although the ECB kept monetary policy unchanged during the month, the European and U.K. credit markets received technical, or supply/demand, support from the ongoing corporate bond purchases of central banks. In the U.S., non-farm payroll gains moderated in August 2016 and manufacturing and services data weakened, but continued hawkish comments from the Fed boosted market expectations of a rate hike by the end of 2016. However, at its September 2016 policy meeting, the Fed kept short-term interest rates unchanged. In Japan, during September 2016, the BoJ announced a new “yield curve control” framework designed to steepen Japan’s government bond yield curve and alleviate the impact on financial institutions of low longer-term rates. During the third quarter of 2016, the U.S. dollar depreciated versus many world currencies.

For the Reporting Period overall, high yield corporate bonds outperformed U.S. Treasuries by a double-digit margin, followed at some distance by sovereign emerging markets debt

2

MARKET REVIEW

and investment grade corporate bonds. Commercial mortgage-backed securities, agency securities, mortgage-backed securities and asset-backed securities also outperformed U.S. Treasuries, albeit more modestly. The U.S. Treasury yield curve, or spectrum of maturities, flattened during the Reporting Period, as yields on maturities of less than four years rose and yields on maturities of four years and longer fell. The yield on the bellwether 10-year U.S. Treasury dropped approximately 17 basis points to end the Reporting Period at 1.59%. (A basis point is 1/100th of a percentage point. A flattening yield curve is one wherein the differential in yields between longer-term and shorter-term maturities narrows.)

Looking Ahead

At the end of the Reporting Period, we expected the economic growth outlook for the U.S., Japan and China to improve. In the U.S., a strong labor market appeared to be supporting consumption, and a slower pace of monetary policy normalization should, in our view, prevent a sharp tightening of financial conditions. We also believed that positive developments in the manufacturing sector, arising from a decline in inventories as well as a boost in consumer spending due to a strengthening labor market, may further support U.S. economic growth for the rest of 2016. Despite “prudence in the removal of policy accommodation,” as described by Fed Governor Lael Brainard before the September 2016 policy meeting, we expect the Fed to raise short term rates later in 2016.

In Europe, we expect the ECB to extend its quantitative easing program beyond March 2017, when it is currently scheduled to end, to address a weak economic growth and inflation outlook. We believe Eurozone inflation will likely continue to be disappointing and that economic growth may slow in 2017. While the U.K. appears to have avoided the worst immediate near-term Brexit scenario, we expect additional easing from the BoE in the coming months. Political uncertainty arising from negotiations on issues such as immigration and access to the European Union’s single market are likely, in our view, to provide challenges for the U.K.’s economic outlook, and thus we anticipate weak economic growth in the U.K. during 2017.

In Japan, we believe the continuation and expansion of the BoJ’s accommodative monetary policy means economic growth could potentially surprise to the upside, though we believe Abenomics is running out of ammunition. (Abenomics refers to the multi-pronged economic program of Japanese Prime Minister Shinzo Abe. It seeks to remedy two decades of economic stagnation by increasing Japan’s money supply, boosting government spending and enacting reforms to make the economy more competitive.) In China, the government’s rapid fiscal policy response to the economic slowdown earlier in 2016 suggests to us that the country’s positive growth impulses are likely to continue in the near term.

In the months ahead, political uncertainty has the potential to increase market volatility. These uncertainties include the November 2016 U.S. elections, the December 2016 Italian referendum on constitutional reform and 2017 elections in Germany and France.

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PORTFOLIO RESULTS

Goldman Sachs Bond Fund

Investment Objective

The Fund seeks a total return consisting of capital appreciation and income that exceeds the total return of the Bloomberg Barclays U.S. Aggregate Bond Index.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs U.S. Fixed Income Investment Management Team discusses the Goldman Sachs Bond Fund’s (the “Fund”) performance and positioning for the six-month period ended September 30, 2016 (the “Reporting Period”).

Q How did the Fund perform during the Reporting Period?

A During the Reporting Period, the Fund’s Class A, C, Institutional, Service, IR, R6 and R Shares generated cumulative total returns, without sales charges, of 2.95%, 2.67%, 3.12%, 2.87%, 3.08%, 3.13% and 2.82%, respectively. These returns compare to the 2.68% cumulative total return of the Fund’s benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index (the “Barclays Index”), during the same time period.

Q What key factors were responsible for the Fund’s performance during the Reporting Period?

A Our cross-sector strategy contributed positively to the Fund’s relative results during the Reporting Period. Our cross-sector strategy is one in which we invest Fund assets across a variety of fixed income sectors, including some that may not be included in the Fund’s benchmark. Our country strategy further boosted the Fund’s relative results, with relative value trades in Australian, European, Japanese and U.S. rates driving strong performance. Bottom-up individual issue selection overall added value as well.

Our top-down currency strategy generated mixed results. In our currency strategy, positions in emerging market currencies detracted from the Fund’s performance during the Reporting Period, particularly a long position in the Mexican peso and short positions in the South Korean won and the New Taiwan dollar. However, developed market currencies generally contributed positively to the Fund’s performance during the Reporting Period, driven by a short position in the euro and tactical trading in the British pound. The currency strategy is primarily implemented via currency forwards.

Tactical management of the Fund’s duration and yield curve positioning strategy detracted from relative performance during the Reporting Period. The duration strategy is primarily implemented via interest rate swaps and/or futures. Duration is a measure of the Fund’s sensitivity to changes in interest rates. Yield curve indicates the spectrum of maturities within a particular sector.

Q Which fixed income market sectors most significantly affected Fund performance?

A Implemented via our cross-sector strategy, the Fund’s allocations to collateralized loan obligations (“CLOs”), non-agency mortgage-backed securities and asset-backed securities (“ABS”) contributed positively to relative results. An overweight relative to the Barclays Index in emerging markets debt further contributed positively to performance, as spreads, or the yield differential between these bonds and duration-equivalent U.S. Treasuries, tightened during the Reporting Period on increased investor flows to the asset class. Allocations to tax-exempt Puerto Rican municipal debt added to returns as well. Only partially offsetting these positive contributors was a shift from an overweight position in corporate credit to an underweight in June 2016 on a contribution to duration basis, which detracted from performance, as spreads tightened throughout the summer of 2016. An underweight to agency mortgage-backed securities further detracted from performance, as the sector benefited from low interest rate volatility and demand from foreign investors and domestic commercial banks looking for yield. Government/swaps exposure also detracted from the Fund’s returns during the Reporting Period.

Individual issue selection of mortgage-backed securities within the securitized sector contributed positively to the Fund’s performance. Corporate curve positioning, a down-in-quality bias, and selections of industrial high yield names

4

PORTFOLIO RESULTS

helped most within the corporate credit sector. Selections of Puerto Rican sales tax-backed bonds added to returns within the municipal bond sector. Within emerging market debt, selections of U.S. dollar-denominated Venezuelan debt and Brazilian inflation-linked securities proved most beneficial. Tactical trades within the Fund’s government/ swaps strategy offset underperformance from selections of U.S. government securities. The government/swaps strategy is primarily implemented via interest rate swaps and/or futures. There were no meaningful detractors from a security selection perspective during the Reporting Period.

Q Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period?

A Tactical management of the Fund’s duration and yield curve positioning detracted from its results during the Reporting Period, primarily driven by a short U.S. duration position relative to the Barclays Index. We maintained a short U.S. duration position relative to the Barclays Index given generally positive inflation, labor market and economic growth data during the Reporting Period. U.S. financial conditions eased during the Reporting Period, further supporting our view. Most notably, this positioning detracted from the Fund’s performance following the U.K. vote to exit the European Union, popularly known as Brexit, which led to heightened market volatility and a subsequent rally in U.S. interest rates. As market volatility subsequently declined, market expectations for an interest rate hike in 2016 edged higher due to hawkish comments from select Federal Reserve (“Fed”) officials before the Fed’s September 2016 meeting. (Hawkish commentary tends to imply higher interest rates.) This benefited the Fund’s short U.S. duration position in August 2016. In September 2016, the Fed met our expectations and left rates unchanged. However, three members of the Fed dissented in favor of a rate hike. The statement noted that the case for a rate hike “has strengthened,” but the majority of Fed policymakers wanted more evidence of further economic progress before moving the interest rate.

We maintained a neutral duration stance in Europe, as the European Central Bank (“ECB”) continued to ease and implemented its corporate sector asset purchase program in April 2016. We added a modest short duration position in Japan, as its yield curve experienced significant flattening since its central bank’s introduction of negative interest rates. (A flattening yield curve is one in which the differential between yields on longer-term maturities and shorter-term maturities narrows.) We believed stretched valuations and a number of upcoming fiscal and monetary policy meetings would pressure rates higher, particularly at the long-term end of the yield curve. This positioning slightly detracted from the Fund’s performance during the Reporting Period.

Q How did the Fund use derivatives and similar instruments during the Reporting Period?

A As market conditions warranted during the Reporting Period, currency transactions were carried out using primarily over-the-counter (“OTC”) spot and forward foreign exchange contracts as well as purchased OTC options. Currency transactions were used as we sought both to enhance returns and to hedge the Fund’s portfolio against currency exchange rate fluctuations. Also, Treasury futures were used as warranted to facilitate specific duration, yield curve and country strategies; swaptions (or options on interest rate swap contracts) to express an outright term structure view and manage volatility (term structure, most often depicted as a yield curve, refers to the term structure of interest rates, which is the relationship between the yield to maturity and the time to maturity for pure discount bonds); credit default swaps to manage exposure to fluctuations in credit spreads (or the differential in yields between Treasury securities and non-Treasury securities that are identical in all respects except for quality rating); and interest rate swaps to manage exposure to fluctuations in interest rates. The Fund also used forward sales contracts to help manage duration. Overall, we employ derivatives and similar instruments for the efficient management of the Fund’s portfolio. Derivatives and similar instruments allow us to manage interest rate, credit and currency risks more effectively by allowing us both to hedge and to apply active investment views with greater versatility and to afford greater risk management precision than we would otherwise be able to implement. Derivatives are used in combination with cash securities¹ to implement our views in the Fund.

¹ Cash may include local currency, foreign currency, short-term investment funds, bank acceptances, commercial paper, margin, repurchase agreements, time deposits, variable-rate demand notes, and/or money market mutual funds. The Cash category may show a negative market value percentage as a result of a) the timing of trade date versus settlement date transactions and/or b) the portfolio’s derivative investments, which are collateralized by the portfolio’s available cash and securities. Such securities are AAA rated by an independent rating agency, have durations between -2 and 1 years, and are limited to the following sectors: governments, agencies, supranationals, corporates, and agency-backed adjustable-rate mortgages.

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PORTFOLIO RESULTS

Q Were there any notable changes in the Fund’s weightings during the Reporting Period?

A There were no significant changes in the Fund’s U.S. duration positioning during the Reporting Period. We maintained a short U.S. duration position relative to the Barclays Index throughout the Reporting Period. As mentioned earlier, we maintained a neutral duration in Europe and added a small short duration position in Japan.

From a sector perspective, we moved from an overweight to an underweight exposure to corporate credit at the end of June 2016 on a contribution to duration basis. We changed our positioning in corporate credit relative to the Barclays Index because we believed the U.S. is in the late stage of the credit cycle and expected seasonal weakness during the summer months. Given that corporations overall are carrying significant leverage, we believe their bonds are more vulnerable to market shocks than other fixed income sectors. We maintained the Fund’s underweighted exposure to agency mortgage-backed securities on our view that valuations within the sector remained unattractive relative to other fixed income sectors amid high prepayment speeds.

Q How was the Fund positioned relative to its benchmark index at the end of September 2016?

A At the end of September 2016, the Fund had overweighted allocations relative to the Barclays Index on a market-value weighted basis in asset-backed securities, non-agency mortgage-backed securities and high yield corporate bonds. The Fund also had modest exposure to municipal bonds, which is a sector not represented in the Barclays Index. The Fund had underweighted exposure relative to the Barclays Index in U.S. government securities and, to a lesser extent, in quasi-government securities and investment grade corporate bonds. The Fund held rather neutral positions compared to the Barclays Index in commercial mortgage-backed securities, covered bonds and emerging markets debt. (Covered bonds are debt securities backed by cash flows from mortgage loans or public sector loans.) The Fund also maintained a position in cash at the end of the Reporting Period. The Fund maintained a shorter overall duration compared to that of the Barclays Index at the end of the Reporting Period.

6

FUND BASICS

Bond Fund

as of September 30, 2016

PERFORMANCE REVIEW
April 1, 2016– September 30, 2016	Fund Total Return (based on NAV)1			Bloomberg Barclays U.S. Aggregate Bond Index2			30-Day Standardized Subsidized Yield3			30-Day Standardized Unsubsidized Yield3
Class A		2.95	%		2.68	%		1.29	%		1.09	%
Class C		2.67			2.68			0.64			0.38
Instititutional		3.12			2.68			1.66			1.46
Service		2.87			2.68			1.16			0.94
Class IR		3.08			2.68			1.57			1.37
Class R6		3.13			2.68			1.61			1.40
Class R		2.82			2.68			1.10			0.88

¹  The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

²  The Bloomberg Barclays U.S. Aggregate Bond Index represents an unmanaged diversified portfolio of fixed income securities, including U.S. Treasuries, investment-grade corporate bonds, and mortgage-backed and asset-backed securities. The Index figure does not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.

³  The method of calculation of the 30-Day Standardized Subsidized Yield is mandated by the Securities and Exchange Commission and is determined by dividing the net investment income per share earned during the last 30 days of the period by the maximum public offering price (“POP”) per share on the last day of the period. This number is then annualized. The 30-Day Standardized Subsidized Yield reflects fee waivers and/or expense reimbursements recorded by the Fund during the period. Without waivers and/or reimbursements, yields would be reduced. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. The 30-Day Standardized Unsubsidized Yield does not adjust for any fee waivers and/or expense reimbursements in effect. If the Fund does not incur any fee waivers and/or expense reimbursements during the period, the 30-Day Standardized Subsidized Yield and 30-Day Standardized Unsubsidized Yield will be identical.

The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted 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 Fund distributions or the redemption of Fund shares.

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FUND BASICS

STANDARDIZED TOTAL RETURNS4
For the period ended 9/30/16	One Year			Five Years			Since Inception			Inception Date
Class A		1.01	%		3.30	%		4.39	%	11/30/06
Class C		3.22			3.33			4.02		11/30/06
Institutional		5.27			4.46			5.16		11/30/06
Service		4.76			3.94			4.94		6/20/07
Class IR		5.28			4.37			4.93		11/30/07
Class R6		5.25			N/A			4.78		7/31/15
Class R		4.66			3.83			4.43		11/30/07

⁴  The Standardized Total Returns are average annual 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 3.75% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Prior to July 29, 2009, the maximum initial sales charge applicable to Class A Shares was 4.5%, which is not reflected in the average annual total return figures shown. Because Institutional, Service, Class IR, Class R6 and Class R Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.

The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted 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 Fund distributions or the redemption of Fund shares.

EXPENSE RATIOS5
	Net Expense Ratio (Current)			Gross Expense Ratio (Before Waivers)
Class A		0.79	%		1.02	%
Class C		1.54			1.77
Institutional		0.45			0.68
Service		0.95			1.19
Class IR		0.54			0.77
Class R6		0.43			0.71
Class R		1.04			1.28

⁵  The expense ratios of the Fund, 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 Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to a contractual arrangement, the Fund’s waivers and/or expense limitations will remain in place through at least July 29, 2017, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

8

FUND BASICS

SECTOR ALLOCATIONS⁶

Percentage of Net Assets

⁶  The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Short-term investments represent commercial paper. Figures in the graph may not sum to 100% due to the exclusion of other assets and liabilities. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments.

⁷  “Federal Agencies” are mortgage-backed securities guaranteed by the Government National Mortgage Association (“GNMA”), Federal National Mortgage Association (“FNMA”) and Federal Home Loan Mortgage Corp. (“FHLMC”). GNMA instruments are backed by the full faith and credit of the U.S. Government.

⁸  “Agency Debentures” include agency securities offered by companies such as FNMA and FHLMC, which operate under a government charter. While they are required to report to a government regulator, their assets are not explicitly guaranteed by the government and they otherwise operate like any other publicly traded company.

9

PORTFOLIO RESULTS

Goldman Sachs Core Fixed Income Fund

Investment Objective

The Fund seeks a total return consisting of capital appreciation and income that exceeds the total return of the Bloomberg Barclays U.S. Aggregate Bond Index.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs U.S. Fixed Income Investment Management Team discusses the Goldman Sachs Core Fixed Income Fund’s (the “Fund”) performance and positioning for the six-month period ended September 30, 2016 (the “Reporting Period”).

Q How did the Fund perform during the Reporting Period?

A During the Reporting Period, the Fund’s Class A, C, Institutional, Service, IR, R6 and R Shares generated cumulative total returns, without sales charges, of 2.89%, 2.40%, 3.05%, 2.80%, 3.01%, 3.06% and 2.66%, respectively. These returns compare to the 2.68% cumulative total return of the Fund’s benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index (the “Barclays Index”), during the same period.

Q What key factors were responsible for the Fund’s performance during the Reporting

Period?

A Our cross-sector strategy contributed positively to the Fund’s relative results during the Reporting Period. Our cross-sector strategy is one in which we invest Fund assets across a variety of fixed income sectors, including some that may not be included in the Fund’s benchmark. Our country strategy further boosted the Fund’s relative results, with relative value trades in Australian, European, Japanese and U.S. rates driving strong performance. Bottom-up individual security selection overall added value as well.

Our top-down currency strategy detracted from Fund performance during the Reporting Period, primarily due to a long position in the Swedish krona. A short position in the New Zealand dollar initiated in May 2016 further detracted from the Fund’s relative results. This was slightly offset by the positive contributions made by a long position in the Norwegian krone and tactical trading in the British pound on the back of heightened market volatility surrounding the Brexit vote, i.e. the U.K. referendum on its membership in the European Union. The currency strategy is primarily implemented via currency forwards.

Tactical management of the Fund’s duration and yield curve positioning strategy detracted from relative performance during the Reporting Period. The duration strategy is primarily implemented via interest rate swaps and/or futures. Duration is a measure of the Fund’s sensitivity to changes in interest rates. Yield curve indicates the spectrum of maturities within a particular sector.

Q Which fixed income market sectors most significantly affected Fund performance?

A Implemented via our cross-sector strategy, the Fund’s allocations to collateralized loan obligations (“CLOs”), asset-backed securities (“ABS”) and agency debt contributed positively to relative results. An overweight relative to the Barclays Index in emerging markets debt further contributed to performance, as spreads, or the yield differential between these bonds and duration-equivalent U.S. Treasuries, tightened during the Reporting Period on increased investor flows to the asset class. Only partially offsetting these positive contributors was a shift from an overweight position in corporate credit to an underweight in June 2016 on a contribution to duration basis, which detracted from performance, as spreads tightened throughout the summer of 2016. An underweight to agency mortgage-backed securities further detracted from performance, as the sector benefited from low interest rate volatility and demand from foreign investors and domestic commercial banks looking for yield. Government/swaps exposure also detracted from the Fund’s returns during the Reporting Period.

Individual issue selection of corporate credits contributed positively to the Fund’s performance. Corporate curve positioning, a down-in-quality bias, and selections of financial investment grade names helped most within the corporate credit sector. Selections of mortgage-backed securities and commercial mortgage-backed securities

10

PORTFOLIO RESULTS

added to returns within the securitized sector. To a lesser extent, selections of agency government debt and Treasury inflation protected securities (“TIPS”) within the Fund’s government/swaps strategy contributed positively to the Fund’s returns as well. The government/swaps selections strategy is primarily implemented via interest rate swaps and/or futures. Within emerging markets debt, selections of U.S. dollar-denominated.

Mexican debt detracted from the Fund’s relative results during the Reporting Period.

Q Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period?

A Tactical management of the Fund’s duration and yield curve positioning detracted from its results during the Reporting Period, primarily driven by a short U.S. duration position relative to the Barclays Index. We maintained a short U.S. duration position relative to the Barclays Index given generally positive inflation, labor market and economic growth data during the Reporting Period. U.S. financial conditions eased during the Reporting Period, further supporting our view. Most notably, this positioning detracted from the Fund’s performance following the U.K. vote to exit the European Union, popularly known as Brexit, which led to heightened market volatility and a subsequent rally in U.S. interest rates. As market volatility subsequently declined, market expectations for an interest rate hike in 2016 edged higher due to hawkish comments from select Federal Reserve (“Fed”) officials before the Fed’s September 2016 meeting. (Hawkish commentary tends to imply higher interest rates.) This benefited the Fund’s short U.S. duration position in August 2016. In September 2016, the Fed met our expectations and left rates unchanged. However, three members of the Fed dissented in favor of a rate hike. The statement noted that the case for a rate hike “has strengthened,” but the majority of Fed policymakers wanted more evidence of further economic progress before moving the interest rate.

We maintained a neutral duration stance in Europe, as the European Central Bank (“ECB”) continued to ease and implemented its corporate sector asset purchase program in April 2016. We added a modest short duration position in Japan, as its yield curve experienced significant flattening since its central bank’s introduction of negative interest rates. (A flattening yield curve is one in which the differential between yields on longer-term maturities and shorter-term maturities narrows; steepening is the reverse.) We believed stretched valuations and a number of upcoming fiscal and monetary policy meetings would pressure rates higher, particularly at the long-term end of the yield curve. This positioning slightly detracted from the Fund’s performance during the Reporting Period. The Bank of Japan kept interest rates unchanged but unveiled a “quantitative and qualitative easing (“QQE”) program with yield curve control” framework at its September 2016 meeting. We removed the Fund’s short position in Japanese rates following notable steepening ahead of the Bank of Japan meeting and ended the Reporting Period with a neutral position in Japanese rates.

Q How did the Fund use derivatives and similar instruments during the Reporting Period?

A As market conditions warranted during the Reporting Period, currency transactions were carried out using primarily over-the-counter (“OTC”) spot and forward foreign exchange contracts as well as purchased OTC options. Currency transactions were used as we sought both to enhance returns and to hedge the Fund’s portfolio against currency exchange rate fluctuations. Also, Treasury and international government bond futures, Eurodollar futures and other futures contracts were used as warranted to facilitate specific duration, yield curve and country strategies; swaptions (or options on interest rate swap contracts) to express an outright term structure view and manage volatility (term structure, most often depicted as a yield curve, refers to the term structure of interest rates, which is the relationship between the yield to maturity and the time to maturity for pure discount bonds); credit default swaps to manage exposure to fluctuations in credit spreads (or the differential in yields between Treasury securities and non-Treasury securities that are identical in all respects except for quality rating); and interest rate swaps to manage exposure to fluctuations in interest rates. The Fund also used forward sales contracts to help manage duration. Overall, we employ derivatives and similar instruments for the efficient management of the Fund’s portfolio. Derivatives and similar instruments allow us to manage interest rate, credit and currency risks more effectively by allowing us both to hedge and to apply active investment views with greater versatility and to afford greater risk management precision than we would otherwise be able to implement.

11

PORTFOLIO RESULTS

Q Were there any notable changes in the Fund’s weightings during the Reporting Period?

A There were no significant changes in the Fund’s U.S. duration positioning during the Reporting Period. We maintained a short U.S. duration position relative to the Barclays Index throughout the Reporting Period. As mentioned earlier, we maintained a neutral duration in Europe. We added a small short duration position in Japan and then moved to a neutral duration position in Japan in September 2016.

From a sector perspective, we moved from an overweight to an underweight exposure to corporate credit at the end of June 2016 on a contribution to duration basis. We changed our positioning in corporate credit relative to the Barclays Index because we believe the U.S. is in the late stage of the credit cycle and expected seasonal weakness during the summer months. Given that corporations overall are carrying significant leverage, we believe their bonds are more vulnerable to market shocks than other fixed income sectors. We maintained the Fund’s underweighted exposure to agency mortgage-backed securities on our view that valuations within the sector remained unattractive relative to other fixed income sectors amid high prepayment speeds.

Q How was the Fund positioned relative to its benchmark index at the end of September 2016?

A At the end of September 2016, the Fund had its most overweighted allocations relative to the Barclays Index on a market-value weighted basis in asset-backed securities and investment grade corporate bonds (with an emphasis on the industrials and financials industries). The Fund also had a modestly overweighted exposure at the end of the Reporting Period to quasi-government securities. The Fund had its most underweighted exposure relative to the Barclays Index in U.S. government securities. The Fund maintained rather neutral exposures relative to the Barclays Index to residential mortgage-backed securities, commercial mortgage-backed securities, covered bonds and emerging markets debt. The Fund had no exposure to high yield corporate bonds at the end of the Reporting Period. (Covered bonds are debt securities backed by cash flows from mortgage loans or public sector loans.) The Fund maintained a modestly short duration overall compared to that of the Barclays Index at the end of the Reporting Period.

12

FUND BASICS

Core Fixed Income Fund

as of September 30, 2016

PERFORMANCE REVIEW
April 1, 2016– September 30, 2016	Fund Total Return (based on NAV)1			Bloomberg Barclays U.S. Aggregate Bond Index2			30-Day Standardized Subsidized Yield3			30-Day Standardized Unsubsidized Yield3
Class A		2.89	%		2.68	%		1.12	%		1.05	%
Class C		2.40			2.68			0.42			0.36
Institutional		3.05			2.68			1.50			1.43
Service		2.80			2.68			1.00			0.94
Class IR		3.01			2.68			1.41			1.34
Class R6		3.06			2.68			1.52			1.45
Class R		2.66			2.68			0.91			0.85

¹  The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

²  The Bloomberg Barclays U.S. Aggregate Bond Index represents an unmanaged diversified portfolio of fixed income securities, including U.S. Treasuries, investment-grade corporate bonds and mortgage-backed and asset-backed securities. The Index figure does not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.

³  The method of calculation of the 30-Day Standardized Subsidized Yield is mandated by the Securities and Exchange Commission and is determined by dividing the net investment income per share earned during the last 30 days of the period by the maximum public offering price (“POP”) per share on the last day of the period. This number is then annualized. The 30-Day Standardized Subsidized Yield reflects fee waivers and/or expense reimbursements recorded by the Fund during the period. Without waivers and/or reimbursements, yields would be reduced. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. The 30-Day Standardized Unsubsidized Yield does not adjust for any fee waivers and/or expense reimbursements in effect. If the Fund does not incur any fee waivers and/or expense reimbursements during the period, the 30-Day Standardized Subsidized Yield and 30-Day Standardized Unsubsidized Yield will be identical.

The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted 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 Fund distributions or the redemption of Fund shares.

13

FUND BASICS

STANDARDIZED TOTAL RETURNS4
For the period ended 9/30/16	One Year			Five Years			Ten Years			Since Inception			Inception Date
Class A		0.96	%		2.40	%		3.58	%		4.76	%	5/1/97
Class C		3.10			2.40			3.20			4.05		8/15/97
Institutional		5.24			3.54			4.33			5.43		1/5/94
Service		4.72			3.02			3.81			4.87		3/13/96
Class IR		5.16			3.45			N/A			3.93		11/30/07
Class R6		5.16			N/A			N/A			4.65		7/31/15
Class R		4.54			2.92			N/A			3.42		11/30/07

⁴  The Standardized Total Returns are average annual 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 3.75% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Prior to July 29, 2009, the maximum initial sales charge applicable to Class A Shares was 4.5%, which is not reflected in the average annual total return figures shown. Because Institutional, Service, Class IR, Class R6 and Class R Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.

The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted 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 Fund distributions or the redemption of Fund shares.

14

FUND BASICS

EXPENSE RATIOS5
	Net Expense Ratio (Current)			Gross Expense Ratio (Before Waivers)
Class A		0.78	%		0.85	%
Class C		1.53			1.60
Institutional		0.44			0.51
Service		0.94			1.01
Class IR		0.53			0.60
Class R6		0.43			0.49
Class R		1.03			1.11

⁵  The expense ratios of the Fund, 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 Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to a contractual arrangement, the Fund’s waivers and/or expense limitations will remain in place through at least July 29, 2017, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

15

FUND BASICS

SECTOR ALLOCATIONS⁶

Percentage of Net Assets

⁶  The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Figures in the graph may not sum to 100% due to the exclusion of other assets and liabilities. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments.

⁷  “Federal Agencies” are mortgage-backed securities guaranteed by the Government National Mortgage Association (“GNMA”). GNMA instruments are backed by the full faith and credit of the U.S. Government.

⁸  “Agency Debentures” include agency securities offered by companies such as Federal National Mortgage Association (“FNMA”) and Federal Home Loan Mortgage Corp. (“FHLMC”), which operate under a government charter. While they are required to report to a government regulator, their assets are not explicitly guaranteed by the government and they otherwise operate like any other publicly traded company.

⁹  “Government Guarantee Obligations” are guaranteed by a foreign government guarantee program and are backed by the full faith and credit of the United States or the government of a foreign country.

16

PORTFOLIO RESULTS

Goldman Sachs Global Income Fund

Investment Objective

The Fund seeks a high total return, emphasizing current income, and, to a lesser extent, providing opportunities for capital appreciation.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Global Fixed Income Investment Management Team discusses the Goldman Sachs

Global Income Fund’s (the “Fund”) performance and positioning for the six-month period ended September 30, 2016 (the “Reporting Period”).

Q How did the Fund perform during the Reporting Period?

A During the Reporting Period, the Fund’s Class A, C, Institutional, Service, IR and R6 Shares generated cumulative total returns, without sales charges, of 2.83%, 2.47%, 3.00%, 2.75%, 2.96% and 3.01%, respectively. These returns compare to the 3.06% cumulative total return of the Fund’s benchmark, the Bloomberg Barclays Global Aggregate Bond Index (Gross, USD, hedged) (the “Barclays Index”), during the same time period.

Q What key factors were responsible for the Fund’s performance during the Reporting Period?

A Detracting from the Fund’s performance most was our currency strategy. An underweight relative to the Barclays Index in Asian currencies, including the South Korean won, New Taiwan dollar and Malaysian ringgit versus the U.S. dollar, detracted the most. We remained underweight this basket of Asian currencies during the Reporting Period based on our concerns about a weaker Chinese yuan, higher U.S. interest rates and a protracted slowdown in the Chinese economy. To a more modest degree, our duration strategy also detracted. The duration strategy is primarily implemented via interest rate swaps and/or futures. Duration is a measure of the Fund’s sensitivity to changes in interest rates.

Bottom-up individual issue selection generated mixed results. Our corporate selection strategy detracted, offset by individual issue selection within the securitized sector, which contributed positively. The corporate selection strategy is primarily implemented via cash rate bonds and credit default swaps (mainly index swaps). The securitized selection strategy is primarily implemented via cash rate bonds (including what are known as to-be-announced securities (“TBAs”)). Individual issue selection strategies reflect any active views we take on a particular sector.

One of the primary positive contributors to the Fund’s performance was our country strategy. Within our country strategy, a number of relative value trades performed well. These included a long Europe at four-year/five-year versus short Japan at the 20-year node in July and August 2016; a long Europe versus short U.S. at the 10-year node, and a long U.S. at 30-year versus short Japan at 20-year node, as the Japan sovereign rate curve steepened through July 2016. (A steepening yield curve is one wherein the differential between yields on shorter maturities and longer maturities widens.) The country strategy is primarily implemented via interest rate swaps and/or futures.

Our cross-sector strategy also performed well during the Reporting Period. The cross-sector strategy is primarily implemented via cash bonds and index/single-name credit default swaps. Our cross sector strategy is one in which we invest Fund assets across a variety of fixed income sectors, including some that may not be included in the Fund’s benchmark.

Q Which fixed income market sectors most significantly affected Fund performance?

A Within our corporate selection strategy, exposure to cash bonds versus synthetics hurt most, especially within the European corporate bond sector. Amongst individual names, Fund positions in industrials, such as Verizon and AB Inbev, disappointed most. (A cash bond is one wherein one party gives to another an amount of money to secure the fulfillment of an obligation. A synthetic bond is a position made up of a mixture of investments, potentially including derivatives and other similar instruments, designed to mimic the cash flow and risk profile of a corporate bond.) Partially offsetting these detractors was individual issue selection

17

PORTFOLIO RESULTS

within the securitized sector, which contributed positively. The securitized selection strategy contributed positively, driven mainly by selection within mortgage-backed securities derivatives, which were supported by favorable prepayment speed reports.

Our cross-sector strategy added value, benefiting most from the Fund’s exposure to high quality, AAA-rated collateralized loan obligations (“CLOs”), mainly in April 2016 and July 2016, when the securities rallied along with other risk assets. A modest underweight relative to the Barclays Index in emerging markets debt also contributed positively, mainly in July and August 2016.

Q Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period?

A The combined effect of the Fund’s duration and yield curve positioning modestly detracted from its results during the Reporting Period. The Fund’s duration strategy is actively managed and constantly monitored in an effort to generate greater performance and reduced risk through volatile markets. We tactically adjusted the Fund’s duration position throughout the Reporting Period as market conditions shifted. That said, we maintained a short U.S. duration position relative to the Barclays Index throughout the Reporting Period. We initiated a short Japanese duration position in April 2016 on the expectations of steepening at the long-term end of its yield curve. The Japanese sovereign rate curve considerably flattened prior to that due to the negative rates introduced by the Bank of Japan, pushing investors to longer duration instruments in search for yield. We closed the short Japanese rate position in August 2016.

Q How did the Fund use derivatives and similar instruments during the Reporting Period?

A We used derivatives and similar instruments for the efficient management of the Fund. These derivatives and similar instruments allowed us to manage interest rate, credit and currency risks more effectively by allowing us both to hedge and to apply active investment views with greater versatility and to afford greater risk management precision than we would otherwise be able to implement. Derivatives are used in combination with cash securities¹ to implement our views in the Fund.

During the Reporting Period, we used interest rate and bond exchange traded futures contracts to implement duration and country strategies within the Fund, especially in the U.S., Eurozone, U.K. and Japanese markets. Currency transactions were carried out using primarily over-the-counter (“OTC”) spot and forward foreign exchange contracts as well as by purchasing OTC options. Currency transactions were used as we sought both to enhance returns and to hedge the Fund’s portfolio against currency exchange rate fluctuations. Interest rate and credit default swaps were also used as cost-efficient instruments to help grant us greater precision and versatility in the management of active strategies. Forward sales contracts were used to implement currency transactions based on our active views and for hedging purposes. Written option contracts were used to implement active views within our top-down and bottom-up selection strategies and for hedging purposes.

Q Were there any notable changes in the Fund’s weightings during the Reporting Period?

A As mentioned earlier, we adjusted the Fund’s U.S. and Japanese duration positions during the Reporting Period as market conditions and central bank policy shifted.

From a sector perspective, on a market-value weighted basis, we reduced the Fund’s weighting in corporate credit, as we believe the markets are in the late stages of the credit cycle and spreads, or yield differentials to U.S. Treasuries, may widen. We tactically adjusted the Fund’s position in short-dated agency mortgage-backed securities, but mostly maintained an underweight exposure to the sector given our view that the securities’ valuations were unattractive amid skewed supply/demand factors.

From a country perspective, on a market-value weighted basis, we increased the Fund’s exposure relative to the Barclays Index to the U.S. and Japan and decreased its relative weightings in the Eurozone overall. Within the

¹ Cash may include local currency, foreign currency, short-term investment funds, bank acceptances, commercial paper, margin, repurchase agreements, time deposits, variable-rate demand notes, and/or money market mutual funds. The Cash category may show a negative market value percentage as a result of a) the timing of trade date versus settlement date transactions and/or b) the portfolio’s derivative investments, which are collateralized by the portfolio’s available cash and securities. Such securities are AAA rated by an independent rating agency, have durations between -2 and 1 years, and are limited to the following sectors: governments, agencies, supranationals, corporates, and agency-backed adjustable-rate mortgages.

18

PORTFOLIO RESULTS

Eurozone, we increased relative exposures to Spain and Italy and decreased relative exposures to Germany and Ireland.

Q How was the Fund positioned relative to its benchmark index at the end of September 2016?

A At the end of September 2016, on a market-value weighted basis, the Fund had overweighted allocations relative to the Barclays Index in asset-backed securities, residential mortgage-backed securities and commercial mortgage-backed securities. The Fund had underweighted exposure relative to the Barclays Index in government securities, quasi-government securities, covered bonds, investment grade corporate bonds and emerging markets debt. (Covered bonds are debt securities backed by cash flows from mortgage loans or public sector loans.) The Fund had no position in high yield corporate bonds at the end of the Reporting Period.

From a country perspective, on a market-value weighted basis, the Fund was overweight relative to the Barclays Index in the U.S. and Japan. The Fund was underweight compared to the Barclays Index in the U.K., Australia and the Eurozone overall. Within the Eurozone, the Fund was overweight Spain and Italy, underweight Germany and France and rather neutral to the remaining markets at the end of the Reporting Period. The Fund was also relatively neutrally weighted at the end of the Reporting Period to Canada. Denmark, Norway and Sweden. The Fund had a modestly shorter duration than the Barclays Index at the end of the Reporting Period.

19

FUND BASICS

Global Income Fund

as of September 30, 2016

PERFORMANCE REVIEW
April 1, 2016– September 30, 2016	Fund Total Return (based on NAV)1			Bloomberg Barclays Global Aggregate Bond (Gross, USD, Hedged) Index2			30-Day Standardized Subsidized Yield3			30-Day Standardized Unsubsidized Yield3
Class A		2.83	%		3.06	%		0.05	%		-0.06	%
Class C		2.47			3.06			-0.57			-0.81
Institutional		3.00			3.06			0.37			0.27
Service		2.75			3.06			-0.10			-0.23
Class IR		2.96			3.06			0.28			0.18
Class R6		3.01			3.06			0.38			0.28

¹  The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

²  The Bloomberg Barclays Global Aggregate Bond (Gross, USD, Hedged) Index, an unmanaged index, provides a broad based measure of the global investment-grade fixed-rate debt markets and covers the most liquid portion of the global investment grade fixed-rate bond market, including government, credit and collateralized securities. The Index figures do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.

³  The method of calculation of the 30-Day Standardized Subsidized Yield is mandated by the Securities and Exchange Commission and is determined by dividing the net investment income per share earned during the last 30 days of the period by the maximum public offering price (“POP”) per share on the last day of the period. This number is then annualized. The 30-Day Standardized Subsidized Yield reflects fee waivers and/or expense reimbursements recorded by the Fund during the period. Without waivers and/or reimbursements, yields would be reduced. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. The 30-Day Standardized Unsubsidized Yield does not adjust for any fee waivers and/or expense reimbursements in effect. If the Fund does not incur any fee waivers and/or expense reimbursements during the period, the 30-Day Standardized Subsidized Yield and 30-Day Standardized Unsubsidized Yield will be identical.

The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted 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 Fund distributions or the redemption of Fund shares.

20

FUND BASICS

STANDARDIZED TOTAL RETURNS4
For the period ended 9/30/16	One Year			Five Years			Ten Years			Since Inception			Inception Date
Class A		1.51	%		3.30	%		4.09	%		5.33	%	8/2/91
Class C		3.67			3.33			3.71			4.01		8/15/97
Institutional		5.82			4.46			4.85			5.75		8/1/95
Service		5.03			3.87			4.29			5.44		3/12/97
Class IR		5.77			4.34			N/A			4.02		7/30/10
Class R6		5.83			N/A			N/A			5.11		7/31/15

⁴  The Standardized Total Returns are average annual 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 3.75% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Prior to July 29, 2009, the maximum initial sales charge applicable to Class A Shares was 4.5%, which is not reflected in the average annual total return figures shown. Because Institutional, Service, Class IR, 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 table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted 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 Fund distributions or the redemption of Fund shares.

EXPENSE RATIOS5
	Net Expense Ratio (Current)			Gross Expense Ratio (Before Waivers)
Class A		1.03	%		1.15	%
Class C		1.77			1.90
Institutional		0.69			0.81
Service		1.18			1.29
Class IR		0.78			0.90
Class R6		0.68			0.79

⁵  The expense ratios of the Fund, 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 Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to a contractual arrangement, the Fund’s waivers and/or expense limitations will remain in place through at least July 29, 2017, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

21

FUND BASICS

CURRENCY ALLOCATION6
	Percentage of Net Assets
	as of 9/30/16			as of 3/31/16
U.S. Dollar7		59.0	%		56.6	%
Japanese Yen		20.5			17.0
Euro		18.9			25.7
British Pound		3.4			3.8
Canadian Dollar		2.0			2.1
Swedish Krona		0.6			0.0
South Korean Won		0.5			0.5
Mexican Peso		0.4			0.6
Australian Dollar		0.3			0.3
South African Rand		0.2			0.2
Danish Krone		0.1			0.1
Polish Zloty		0.1			0.1
Czech Koruna		0.1			0.1

⁶  The percentage shown for each currency reflects the value of investments in that category as a percentage of net assets. Figures in the table may not sum to 100% due to the exclusion of other assets and liabilities. The table depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments.

⁷  These figures represent the value excluding short-term obligations. If short-term obligations had been included, the percentages for 9/30/16 and 3/31/16 would have been 59.0% and 61.7%, respectively.

22

PORTFOLIO RESULTS

Goldman Sachs Strategic Income Fund

Investment Objective

The Fund seeks total return comprised of income and capital appreciation.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs U.S. Fixed Income Investment Management Team discusses the Goldman Sachs

Strategic Income Fund’s (the “Fund”) performance and positioning for the six-month period ended September 30, 2016 (the “Reporting Period”).

Q How did the Fund perform during the Reporting Period?

A During the Reporting Period, the Fund’s Class A, C, Institutional, IR, R6 and R Shares generated cumulative total returns, without sales charges, of 2.73%, 2.34%, 2.90%, 2.86%, 2.91% and 2.60%, respectively. These returns compare to the 0.30% cumulative total return of the Fund’s benchmark, the BofA Merrill Lynch U.S. Dollar 3-Month LIBOR Constant Maturity Index (the “LIBOR Index”), during the same period.

We note that the Fund’s benchmark being the LIBOR Index is a means of emphasizing that the Fund has an unconstrained strategy. That said, this Fund employs a benchmark agnostic strategy and thus comparisons to a benchmark index are not particularly relevant.

Q What key factors were responsible for the Fund’s performance during the Reporting Period?

A Individual issue selection within the various credit sectors contributed most positively to the Fund’s performance during the Reporting Period. These strategies reflect any active views we take on particular sectors. Within our top-down strategies, our country strategy contributed positively to Fund performance. The Fund benefited during the Reporting Period from a long European peripherals (such as Italy and Spain) position. Long Australian rates versus short U.S. rates and long European rates versus short Japanese rates positions also helped.

Conversely, our currency strategy detracted from Fund performance during the Reporting Period. Exposure to emerging market currencies hurt most, including an overweighted exposure to the Mexican peso and an underweighted allocation to a basket of Asian currencies, such as the South Korean won and the New Taiwan dollar. We believe the environment was supportive of being long the Mexican peso given the country’s close ties to the U.S. We still liked this trade at the end of the Reporting Period, but we are cognizant of the possibility of heightened volatility that may come heading into the U.S. election. We were short a basket of Asian currencies given a potential slowdown in economic growth in China.

The Fund’s duration strategy detracted from its performance. Duration is a measure of the Fund’s sensitivity to changes in interest rates.

Q Which fixed income market sectors most significantly affected Fund performance?

A Individual issue selection within the various credit sectors was most beneficial to the Fund’s performance during the Reporting Period. An emphasis on structured credit assets, such as collateralized loan obligations (“CLOs”) and agency/non-agency mortgage-backed securities especially drove performance. In the securitized credit space, we tended to favor high quality and short duration assets. We favored these assets because we believe CLOs continue to provide strong carry as a high credit quality asset, and the U.S. real estate market, in our view, continues to support residential mortgage-backed securities. (Carry is the cost or benefit of owning that asset.) All that said, the Fund held modest exposure to credit sectors overall, especially the corporate credit sector, where we were not especially optimistic. We believe we are in the late stage of the credit cycle where companies typically exhibit higher leverage and lower margins. Moreover, high yield corporate credit performed strongly year-to-date through September 30, 2016, with spreads, or yield differentials to U.S. Treasuries, tightening significantly, so there may not be much more room to go.

The Fund also benefited from exposure to external emerging markets debt, such as that of Brazil, Argentina, Mexico and Venezuela. Emerging markets overall performed well during

23

PORTFOLIO RESULTS

the Reporting Period given the seeming stabilization in oil prices. While the Fund owned bonds in select countries, the Fund was underweighted China. Concerns with China tend to come in waves, in our view — centered around slowing economic growth, currency depreciation, capital outflows and a persistent overhang of debt. While these concerns abated in market focus during the Reporting Period, they remained in the background.

On the municipal credit side, the Fund held a modest exposure to Puerto Rico municipal bonds. The Fund primarily held general obligation bonds and sales tax-backed bonds, which aided performance given the progress made by the commonwealth toward a debt restructuring.

Q Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period?

A The Fund’s tactical duration positioning detracted from results during the Reporting Period. We tactically kept a short U.S. rates position in the Fund during the Reporting Period, which detracted as the Federal Reserve (the “Fed”) has been cautious regarding a potential rate hike. We had moved in and out of this position given certain market technicals, or supply/demand factors, but by the end of the Reporting Period, we had positioned the Fund to take advantage of a potential interest rate hike in December 2016. At the same time, we positioned the Fund to take advantage of relative value positions across global interest rates. With Japanese and European rates in negative territory, we believed this level seemed unsustainable, so we were able to prudently position the Fund for poor performance in Japanese and European rates versus other developed markets.

Yield curve positioning contributed positively to the Fund’s performance during the Reporting Period. The Fund held tactical positions in various yield curve steepeners in Japan and Europe at various points during the Reporting Period. As we tactically shifted these positions during the Reporting Period, we were able to take advantage of period when yield curves generally steepened. (A steepening yield curve is one wherein the differential in yields between longer-term and shorter-term maturities widens.)

Q How did the Fund use derivatives and similar instruments during the Reporting Period?

A We used derivatives and similar instruments for the efficient management of the Fund. These derivatives and similar instruments allowed us to manage interest rate, credit and currency risks more effectively by allowing us both to hedge and to apply active investment views with greater versatility and to afford greater risk management precision than we would otherwise be able to implement.

During the Reporting Period, we used interest rate and bond exchange traded futures contracts to implement duration and country strategies within the Fund, especially in the U.S., Eurozone and Japanese markets. Currency transactions were carried out using primarily over-the-counter (“OTC”) spot and forward foreign exchange contracts as well as by purchasing OTC options. Currency transactions were used as we sought both to enhance returns and to hedge the Fund’s portfolio against currency exchange rate fluctuations. Also, we used swaptions (or options on interest rate swap contracts) to express an outright term structure view and manage volatility (term structure, most often depicted as a yield curve, refers to the term structure of interest rates, which is the relationship between the yield to maturity and the time to maturity for pure discount bonds); credit default swaps to manage exposure to fluctuations in credit spreads (or the differential in yields between Treasury securities and non-Treasury securities that are identical in all respects except for quality rating); and interest rate swaps to manage exposure to fluctuations in interest rates. We used total return swaps to manage curve exposure across various strategies within the Fund. Our currency strategy used forward sales contracts to implement long and short views within the strategy.

Both the country strategy and currency strategy employ derivatives to achieve their views. In the country strategy, the Team primarily uses swaps/futures to express relative value trades in the interest rates of two separate countries. The country strategy overall contributed positively to the Fund’s performance during the Reporting Period. In the currency strategy, transactions were carried out primarily using OTC spot and forward foreign exchange contracts as well as by purchasing OTC options. The currency strategy overall detracted from the Fund’s performance during the Reporting Period. The duration strategy, implemented through derivatives as described above, also detracted from Fund performance during the Reporting Period.

Q Were there any notable changes in the Fund’s weightings during the Reporting Period?

A The Fund is a broadly diversified, multi-sector portfolio designed to provide total return opportunities from across the

24

PORTFOLIO RESULTS

fixed income spectrum, including government, securitized, corporate credit and emerging market fixed income sectors.

Positioning throughout the Reporting Period remained consistent with themes we have been focusing on for some time now. We positioned the Fund for modest economic growth in the U.S., evidenced by the Fund’s short U.S. duration position. We were also poised to take more risk in the Fund’s relative value rates strategy. We reduced the Fund’s long U.S. dollar exposure on the view that we expect the U.S. dollar to come under pressure over the longer term, driven by decent global economic growth and a more cautious Fed. The Fund’s credit exposure remained relatively consistent during the Reporting Period, wherein we maintained a focus on structured credit and a less favorable view on corporate credit.

Also, as mentioned earlier, we tactically adjusted the Fund’s duration, country and currency positions during the Reporting Period as market conditions and perceptions around central bank policy shifted. We believed there was opportunity to take advantage of dislocations in the global landscape through relative value trades in both currencies and rates.

Q How was the Fund positioned at the end of September 2016?

A At the end of September 2016, the Fund had the majority of its total net assets invested in U.S. government securities, followed by CLOs, agency and non-agency mortgage-backed securities, asset-backed securities, emerging markets debt, commercial mortgage-backed securities, high yield corporate bonds, investment grade corporate bonds, corporate bank loans, municipal bonds and quasi-government securities. At the end of the Reporting Period, we maintained a cautious stance on credit overall given less favorable seasonal conditions, as we had exited the summer season and were, in our view, in the late stages of the credit cycle. The Fund also had a substantial position in cash and cash equivalents at the end of the Reporting Period.

The Fund’s largest duration positions at the end of the Reporting Period were its long duration position in Japan versus its short duration positions in the U.S. and U.K. and virtually neutral duration position in Europe. From a currency perspective, the Fund maintained its most long currency positions in the U.S. dollar, Swedish krona and Mexican peso. The Fund was most short the euro and a basket of Asian currencies at the end of the Reporting Period.

25

FUND BASICS

Strategic Income Fund

as of September 30, 2016

PERFORMANCE REVIEW
April 1, 2016– September 30, 2016	Fund Total Return (based on NAV)1			BofA Merrill Lynch U.S. Dollar 3-Month LIBOR Constant Maturity Index2			30-Day Standardized Subsidized Yield3			30-Day Standardized Unsubsidized Yield3
Class A		2.73	%		0.30	%		1.69	%		1.69	%
Class C		2.34			0.30			1.01			1.01
Institutional		2.90			0.30			2.10			2.10
Class IR		2.86			0.30			2.00			2.00
Class R6		2.91			0.30			2.10			2.09
Class R		2.60			0.30			1.50			1.50

¹  The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

²  The Bank of America Merrill Lynch U.S. Dollar Three-Month LIBOR Constant Maturity Index tracks the performance of a synthetic asset paying LIBOR to a stated maturity. The index is based on the assumed purchase at par of a synthetic instrument having exactly its stated maturity and with a coupon equal to that day’s fixing rate. That issue is assumed to be sold the following business day (priced at a yield equal to the current day fixing rate) and rolled into a new instrument.

³  The method of calculation of the 30-Day Standardized Subsidized Yield is mandated by the Securities and Exchange Commission and is determined by dividing the net investment income per share earned during the last 30 days of the period by the maximum public offering price (“POP”) per share on the last day of the period. This number is then annualized. The 30-Day Standardized Subsidized Yield reflects fee waivers and/or expense reimbursements recorded by the Fund during the period. Without waivers and/or reimbursements, yields would be reduced. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. The 30-Day Standardized Unsubsidized Yield does not adjust for any fee waivers and/or expense reimbursements in effect. If the Fund does not incur any fee waivers and/or expense reimbursements during the period, the 30-Day Standardized Subsidized Yield and 30-Day Standardized Unsubsidized Yield will be identical.

The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted 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 Fund distributions or the redemption of Fund shares.

26

FUND BASICS

STANDARDIZED TOTAL RETURNS4
For the period ended 9/30/16	One Year			Five Years			Since Inception			Inception Date
Class A		-3.18	%		2.57	%		1.90	%	6/30/10
Class C		-1.21			2.58			1.76		6/30/10
Institutional		0.87			3.72			2.87		6/30/10
Class IR		0.79			3.63			2.78		6/30/10
Class R6		0.89			N/A			-0.20		7/31/15
Class R		0.28			3.10			2.26		6/30/10

⁴  The Standardized Total Returns are average annual 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 3.75% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Class IR, Class R6 and Class R Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.

The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted 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 Fund distributions or the redemption of Fund shares.

EXPENSE RATIOS5
	Net Expense Ratio (Current)			Gross Expense Ratio (Before Waivers)
Class A		0.91	%		0.91	%
Class C		1.66			1.66
Institutional		0.57			0.57
Class IR		0.66			0.66
Class R6		0.55			0.55
Class R		1.16			1.16

⁵  The expense ratios of the Fund, 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.

27

FUND BASICS

SECTOR ALLOCATIONS⁶

Percentage of Net Assets

⁶  The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Short-term investments represent commercial paper. Figures in the graph may not sum to 100% due to the exclusion of other assets and liabilities. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments.

⁷  “Federal Agencies” are mortgage-backed securities guaranteed by the Government National Mortgage Association (“GNMA”), Federal National Mortgage Association (“FNMA”) and Federal Home Loan Mortgage Corp. (“FHLMC”). GNMA instruments are backed by the full faith and credit of the U.S. Government.

⁸  “Agency Debentures” include agency securities offered by companies such as FNMA and FHLMC, which operate under a government charter. While they are required to report to a government regulator, their assets are not explicitly guaranteed by the government and they otherwise operate like any other publicly traded company.

28

GOLDMAN SACHS BOND FUND

Schedule of Investments

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – 23.6%
	Automotive – 0.6%
	Ford Motor Credit Co. LLC
$	2,175,000		5.875	%		08/02/21	$	2,482,784
	General Motors Financial Co., Inc.
	1,050,000		3.500			07/10/19		1,081,709
								3,564,493
	Banks – 3.8%
	Banco Nacional de Costa Rica(a)
	260,000		6.250			11/01/23		269,490
	Bank of America Corp.
	625,000		4.125			01/22/24		677,810
	575,000		4.000			04/01/24		619,627
	Citigroup, Inc.(b)(c)
	375,000		5.875			03/27/49		378,750
	450,000		6.250			08/15/49		483,187
	Compass Bank
	275,000		1.850	(b)		09/29/17		274,665
	475,000		5.500			04/01/20		509,231
	Credit Suisse Group AG(a)(b)(c)
	200,000		7.500			12/18/49		203,750
	Credit Suisse Group Funding Guernsey Ltd.
	250,000		3.750			03/26/25		248,385
	Deutsche Bank AG
	150,000		2.500			02/13/19		145,556
	Discover Financial Services(b)
	900,000		3.750			03/04/25		910,773
	ING Bank NV(b)(c)
	700,000		4.125			11/21/23		716,730
	Intesa Sanpaolo SpA
	675,000		2.375			01/13/17		675,938
	950,000		3.875			01/16/18		968,697
	425,000		5.017	(a)		06/26/24		392,062
	JPMorgan Chase & Co.(b)(c)
	1,075,000		5.300			05/01/49		1,089,781
	Lloyds Bank PLC
	350,000		2.300			11/27/18		353,806
	1,875,000		2.350			09/05/19		1,900,671
	Macquarie Bank Ltd.(a)
	400,000		6.625			04/07/21		460,629
	Mitsubishi UFJ Financial Group, Inc.
	525,000		2.950			03/01/21		540,554
	475,000		3.850			03/01/26		515,202
	Mizuho Financial Group, Inc.(a)
	1,150,000		2.632			04/12/21		1,164,246
	PNC Preferred Funding Trust II(a)(b)(c)
	800,000		2.073			03/29/49		764,000
	Royal Bank of Scotland Group PLC(b)(c)
	375,000		8.625			08/15/49		371,250
	Santander Bank NA
	325,000		2.000	(b)		01/12/18		325,040
	400,000		8.750			05/30/18		438,452
	Santander UK Group Holdings PLC
	950,000		2.875			10/16/20		957,206
	Santander UK PLC(a)
	1,000,000		5.000			11/07/23		1,042,156
	Corporate Obligations – (continued)
	Banks – (continued)
	Sumitomo Mitsui Financial Group, Inc.(a)
$	975,000		4.436	%		04/02/24	$	1,070,185
	Synchrony Financial(b)
	1,675,000		3.000			08/15/19		1,714,572
	UBS Group Funding Jersey Ltd.(a)
	1,275,000		4.125			09/24/25		1,336,186
								21,518,587
	Brokerage – 0.4%
	Morgan Stanley, Inc.
	325,000		3.875			04/29/24		347,584
	1,050,000		3.700			10/23/24		1,107,915
	50,000		4.000			07/23/25		53,768
	750,000		5.550	(b)(c)		07/15/49		766,875
								2,276,142
	Building Materials(a)(b) – 0.1%
	HD Supply, Inc.
	300,000		5.250			12/15/21		318,750
	Chemicals(b) – 0.1%
	LyondellBasell Industries NV
	300,000		5.000			04/15/19		321,985
	Westlake Chemical Corp.(a)
	500,000		3.600			08/15/26		501,418
								823,403
	Consumer Cyclical Services(b) – 0.2%
	The Priceline Group, Inc.
	1,000,000		3.600			06/01/26		1,048,476
	Consumer Products(b) – 0.1%
	Sally Holdings LLC/Sally Capital, Inc.
	450,000		5.625			12/01/25		483,187
	Spectrum Brands, Inc.
	100,000		6.625			11/15/22		108,250
								591,437
	Diversified Financial Services – 0.1%
	GE Capital International Funding Co.
	551,000		4.418			11/15/35		618,423
	Electric(b) – 0.8%
	Consumers Energy Co.
	850,000		3.950			05/15/43		936,329
	Fortive Corp.(a)
	2,100,000		3.150			06/15/26		2,159,655
	Puget Sound Energy, Inc.(c)
	600,000		6.974			06/01/67		516,000
	The Southern Co.
	1,025,000		2.350			07/01/21		1,044,576
								4,656,560
	Energy – 1.6%
	Anadarko Petroleum Corp.
	330,000		3.450	(b)		07/15/24		325,513
	275,000		6.450			09/15/36		321,282

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

GOLDMAN SACHS BOND FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Energy – (continued)
	Antero Resources Corp.(b)
$	475,000		5.625	%		06/01/23	$	483,312
	Apache Corp.(b)
	100,000		3.250			04/15/22		102,614
	275,000		2.625			01/15/23		270,729
	650,000		4.250			01/15/44		631,422
	ConocoPhillips Co.(b)
	150,000		4.200			03/15/21		162,353
	580,000		3.350			11/15/24		593,812
	325,000		4.950			03/15/26		366,329
	400,000		4.150			11/15/34		399,200
	Devon Energy Corp.(b)
	250,000		3.250			05/15/22		248,213
	200,000		5.600			07/15/41		201,798
	Laredo Petroleum, Inc.(b)
	150,000		6.250			03/15/23		146,250
	Occidental Petroleum Corp.(b)
	825,000		3.400			04/15/26		870,382
	Petrobras Global Finance BV
	80,000		4.875			03/17/20		80,354
	260,000		8.375			05/23/21		283,673
	Petroleos de Venezuela SA
	50,000		9.000			11/17/21		28,255
	670,000		6.000			05/16/24		281,400
	420,000		6.000			11/15/26		176,358
	130,000		5.375			04/12/27		54,119
	10,000		5.500			04/12/37		4,088
	Petroleos Mexicanos
	19,000		6.375			02/04/21		20,624
EUR	410,000		5.125			03/15/23		514,691
$	260,000		4.500			01/23/26		252,252
	1,464,000		6.875			08/04/26		1,650,660
	49,000		5.500			06/27/44		41,998
	10,000		6.375			01/23/45		9,600
	10,000		5.625			01/23/46		8,723
	210,000		6.750	(a)		09/21/47		210,000
	Pioneer Natural Resources Co.(b)
	525,000		3.450			01/15/21		545,928
								9,285,932
	Food & Beverage – 1.7%
	Anheuser-Busch InBev Finance, Inc.(b)
	2,425,000		2.650			02/01/21		2,502,348
	2,050,000		3.650			02/01/26		2,201,700
	300,000		4.900			02/01/46		356,934
	Kraft Heinz Foods Co.(b)
	525,000		2.800			07/02/20		544,071
	775,000		3.950			07/15/25		838,503
	1,000,000		4.375			06/01/46		1,058,026
	Molson Coors Brewing Co.(b)
	300,000		2.100			07/15/21		302,761
	400,000		3.000			07/15/26		402,770
	SABMiller Holdings, Inc.(a)
	675,000		4.950			01/15/42		788,436
	Corporate Obligations – (continued)
	Food & Beverage – (continued)
	Suntory Holdings Ltd.(a)
$	550,000		2.550	%		09/29/19	$	560,690
								9,556,239
	Food & Drug Retailers(b) – 0.9%
	CVS Health Corp.
	425,000		3.500			07/20/22		454,915
	1,525,000		3.375			08/12/24		1,613,943
	1,600,000		2.875			06/01/26		1,623,707
	Walgreens Boots Alliance, Inc.
	200,000		2.700			11/18/19		206,096
	500,000		2.600			06/01/21		511,684
	550,000		3.450			06/01/26		570,965
	50,000		4.800			11/18/44		55,118
								5,036,428
	Gaming – 0.1%
	MGM Resorts International
	475,000		6.750			10/01/20		532,000
	Health Care – Services – 0.5%
	Aetna, Inc.(b)
	450,000		2.400			06/15/21		455,211
	400,000		2.800			06/15/23		408,456
	CHS/Community Health Systems, Inc.(b)
	100,000		8.000			11/15/19		98,375
	Thermo Fisher Scientific, Inc.(b)
	800,000		3.000			04/15/23		819,298
	UnitedHealth Group, Inc.
	450,000		4.625			07/15/35		522,571
	525,000		4.750			07/15/45		629,574
								2,933,485
	Health Care Products – 0.1%
	Becton Dickinson & Co.
	475,000		2.675			12/15/19		490,537
	Stryker Corp.(b)
	275,000		2.625			03/15/21		283,472
								774,009
	Life Insurance(a) – 0.6%
	Reliance Standard Life Global Funding II
	675,000		2.500			01/15/20		684,084
	Teachers Insurance & Annuity Association of America
	295,000		4.900			09/15/44		331,790
	The Dai-ichi Life Insurance Co. Ltd.(b)(c)
	1,375,000		4.000			07/23/49		1,381,875
	The Northwestern Mutual Life Insurance Co.
	800,000		6.063			03/30/40		1,035,297
								3,433,046
	Media – Cable – 0.7%
	Charter Communications Operating LLC/Charter Communications Operating Capital(a)(b)
	150,000		3.579			07/23/20		156,780
	925,000		4.908			07/23/25		1,020,326

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

GOLDMAN SACHS BOND FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Media – Cable – (continued)
	DISH DBS Corp.(a)
$	1,300,000		7.750	%		07/01/26	$	1,381,250
	SFR Group SA(a)(b)
	1,000,000		6.000			05/15/22		1,017,500
	Time Warner Cable LLC
	225,000		5.000			02/01/20		243,899
								3,819,755
	Media – Non Cable – 0.7%
	21st Century Fox America, Inc.
	1,125,000		4.000			10/01/23		1,235,910
	NBCUniversal Media LLC
	750,000		4.375			04/01/21		834,519
	1,525,000		4.450			01/15/43		1,714,882
	Time Warner, Inc.(b)
	150,000		3.875			01/15/26		162,469
								3,947,780
	Metals & Mining(a) – 0.1%
	Glencore Finance Canada Ltd.
	880,000		2.700			10/25/17		881,320
	Noncaptive – Financial – 0.4%
	Capital One Financial Corp.(b)
	700,000		4.200			10/29/25		730,304
	General Electric Co.
MXN	2,000,000		8.500			04/06/18		106,706
$	200,000		6.150			08/07/37		274,462
	172,000		5.875			01/14/38		230,357
	International Lease Finance Corp.(a)
	575,000		7.125			09/01/18		627,469
	Roper Technologies, Inc.(b)
	475,000		3.000			12/15/20		493,770
								2,463,068
	Packaging(b) – 0.2%
	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/ Reynolds Group Issuer Lu
	575,000		5.750			10/15/20		592,969
	550,000		5.125	(a)		07/15/23		567,187
								1,160,156
	Paper(a)(b) – 0.1%
	Sappi Papier Holding GmbH
	550,000		7.750			07/15/17		564,124
	Pharmaceuticals – 1.6%
	AbbVie, Inc.(b)
	750,000		2.500			05/14/20		764,606
	500,000		2.300			05/14/21		504,343
	Actavis Funding SCS
	1,125,000		2.350			03/12/18		1,136,600
	275,000		3.450	(b)		03/15/22		288,705
	245,000		3.800	(b)		03/15/25		259,297
	550,000		4.850	(b)		06/15/44		604,975
	Bayer US Finance LLC(a)
	1,025,000		3.000			10/08/21		1,073,358
	Corporate Obligations – (continued)
	Pharmaceuticals – (continued)
	EMD Finance LLC(a)(b)
$	1,500,000		2.950	%		03/19/22	$	1,546,323
	Forest Laboratories LLC(a)(b)
	1,050,000		4.375			02/01/19		1,106,093
	425,000		5.000			12/15/21		475,648
	Teva Pharmaceutical Finance Netherlands III BV
	850,000		2.800			07/21/23		852,181
	750,000		3.150			10/01/26		753,470
								9,365,599
	Pipelines – 0.6%
	Enbridge, Inc.(b)
	325,000		3.500			06/10/24		322,848
	Energy Transfer Partners LP(b)
	70,000		3.600			02/01/23		68,891
	100,000		4.750			01/15/26		103,315
	Enterprise Products Operating LLC(b)(c)
	1,075,000		4.465			08/01/66		1,013,295
	Kinder Morgan, Inc.
	500		7.750			01/15/32		604
	Sunoco Logistics Partners Operations LP(b)
	200,000		4.250			04/01/24		207,749
	Western Gas Partners LP(b)
	525,000		3.950			06/01/25		517,898
	Williams Partners LP(b)
	475,000		3.600			03/15/22		483,251
	600,000		3.900			01/15/25		598,749
								3,316,600
	Property/Casualty Insurance(b) – 0.2%
	American International Group, Inc.
	450,000		3.750			07/10/25		471,981
	The Chubb Corp.(c)
	500,000		6.375			03/29/67		475,050
								947,031
	Real Estate Investment Trust – 1.5%
	American Campus Communities Operating Partnership LP(b)
	800,000		3.750			04/15/23		837,061
	ARC Properties Operating Partnership LP(b)
	575,000		3.000			02/06/19		585,781
	CBRE Services, Inc.(b)
	500,000		5.250			03/15/25		535,901
	DDR Corp.
	755,000		7.500			04/01/17		777,138
	Education Realty Operating Partnership LP(b)
	750,000		4.600			12/01/24		780,448
	HCP, Inc.
	525,000		6.000			01/30/17		532,509
	National Retail Properties, Inc.(b)
	400,000		4.000			11/15/25		426,528
	Select Income REIT(b)
	125,000		2.850			02/01/18		125,742
	225,000		3.600			02/01/20		228,464
	325,000		4.150			02/01/22		326,551

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

GOLDMAN SACHS BOND FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Real Estate Investment Trust – (continued)
	Trust F/1401(a)(b)
$	300,000		5.250	%		12/15/24	$	312,740
	Ventas Realty LP(b)
	975,000		3.250			10/15/26		984,111
	VEREIT Operating Partnership LP(b)
	750,000		4.125			06/01/21		778,292
	450,000		4.875			06/01/26		475,875
	WEA Finance LLC/Westfield UK & Europe Finance PLC(a)(b)
	900,000		3.750			09/17/24		946,010
								8,653,151
	Retailers(b) – 0.3%
	Amazon.com, Inc.
	1,650,000		3.300			12/05/21		1,769,270
	Dollar Tree, Inc.
	50,000		5.250			03/01/20		51,938
	150,000		5.750			03/01/23		161,437
								1,982,645
	Schools – 0.1%
	Rensselaer Polytechnic Institute
	350,000		5.600			09/01/20		395,360
	Technology – 1.7%
	Cisco Systems, Inc.
	650,000		2.200			02/28/21		665,068
	Fidelity National Information Services, Inc.(b)
	1,000,000		3.625			10/15/20		1,060,671
	625,000		3.000			08/15/26		618,861
	Fiserv, Inc.(b)
	675,000		2.700			06/01/20		696,001
	Hewlett Packard Enterprise Co.(a)(b)
	525,000		4.900			10/15/25		560,336
	Intel Corp.(b)
	1,125,000		3.700			07/29/25		1,248,095
	Microsoft Corp.(b)
	800,000		3.125			11/03/25		851,002
	NVIDIA Corp.(b)
	575,000		2.200			09/16/21		576,751
	NXP BV/NXP Funding LLC(a)
	1,950,000		4.625			06/01/23		2,132,812
	Oracle Corp.(b)
	775,000		2.500			05/15/22		795,524
	Tech Data Corp.
	400,000		3.750			09/21/17		407,169
								9,612,290
	Tobacco – 1.1%
	BAT International Finance PLC(a)
	850,000		3.950			06/15/25		939,071
	Philip Morris International, Inc.(b)
	500,000		2.750			02/25/26		512,908
	Reynolds American, Inc.
	700,000		4.850			09/15/23		801,256
	3,550,000		4.450	(b)		06/12/25		3,960,827
								6,214,062
	Corporate Obligations – (continued)
	Transportation(a) – 0.3%
	Penske Truck Leasing Co. LP/PTL Finance Corp.
$	500,000		2.875	%		07/17/18	$	509,677
	750,000		3.050	(b)		01/09/20		771,179
	525,000		3.375	(b)		02/01/22		545,959
								1,826,815
	Wireless Telecommunications – 0.4%
	American Tower Corp.
	300,000		3.400			02/15/19		311,713
	275,000		3.300	(b)		02/15/21		287,480
	Crown Castle International Corp.
	300,000		2.250	(b)		09/01/21		299,757
	575,000		5.250			01/15/23		650,469
	Digicel Ltd.(a)(b)
	800,000		6.750			03/01/23		708,000
	Sprint Communications, Inc.(a)
	250,000		7.000			03/01/20		268,750
								2,526,169
	Wirelines Telecommunications – 1.9%
	AT&T, Inc.(b)
	400,000		4.450			04/01/24		439,661
	175,000		3.950			01/15/25		185,764
	2,100,000		3.400			05/15/25		2,157,557
	Telefonica Emisiones SAU
	600,000		5.134			04/27/20		661,406
	150,000		5.462			02/16/21		170,333
	Verizon Communications, Inc.
	275,000		2.625			02/21/20		282,813
	1,500,000		4.500			09/15/20		1,646,052
	2,100,000		5.150			09/15/23		2,446,347
	1,775,000		4.150	(b)		03/15/24		1,959,257
	900,000		2.625	(b)		08/15/26		883,323
								10,832,513
	TOTAL CORPORATE OBLIGATIONS
	(Cost $130,596,996)						$	135,475,848
	Mortgage-Backed Obligations – 35.2%
	Adjustable Rate Non-Agency(c) – 0.6%
	Credit Suisse European Mortgage Capital Ltd. Series 2015-1HWA, Class A(a)
EUR	1,121,717		2.750	%		04/20/20	$	1,204,133
	Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-OA3, Class A1
$	501,490		0.665			07/25/47		431,913
	DSLA Mortgage Loan Trust Series 2006-AR2, Class 2A1A
	2,018,177		0.714			10/19/36		1,697,904
	Lehman XS Trust Series 2007-4N, Class 1A1
	7		0.655			03/25/47		8
	Master Adjustable Rate Mortgages Trust Series 2006-OA2, Class 4A1B
	283,692		1.689			12/25/46		242,457
	TOTAL ADJUSTABLE RATE NON-AGENCY						$	3,576,415

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

GOLDMAN SACHS BOND FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Mortgage-Backed Obligations – (continued)
	Collateralized Mortgage Obligations – 4.5%
	Interest Only(d) – 0.2%
	FHLMC STRIPS Series 304, Class C45
$	490,146		3.000	%		12/15/27	$	41,500
	FNMA REMIC Series 2011-124, Class SC(c)
	789,088		6.025			12/25/41		146,769
	FNMA REMIC Series 2014-6, Class SA(c)
	768,312		6.075			02/25/44		155,016
	FNMA REMIC Series 2016-3, Class IP
	1,741,763		4.000			02/25/46		274,311
	GNMA REMIC Series 2014-188, Class IB
	1,357,936		4.000			12/20/44		168,855
	GNMA REMIC Series 2015-117, Class KI
	2,604,283		5.000			08/20/45		451,653
	GNMA REMIC Series 2015-14, Class IO
	1,221,544		5.000			10/20/44		211,834
								1,449,938
	Inverse Floaters(c) – 1.2%
	FHLMC REMIC Series 4314, Class SE
	1,374,439		5.526			03/15/44		232,895
	FHLMC REMIC Series 4320, Class SD
	420,650		5.576			07/15/39		75,251
	FHLMC REMIC Series 4326, Class GS
	746,924		5.526			04/15/44		126,111
	FHLMC REMIC Series 4431, Class ST
	855,196		5.576			01/15/45		188,141
	FHLMC REMIC Series 4583, Class ST
	2,475,457		5.476			05/15/46		489,816
	FNMA REMIC Series 2010-126, Class LS
	1,230,917		4.477			11/25/40		219,753
	FNMA REMIC Series 2011-63, Class FG
	202,425		0.975			07/25/41		202,766
	FNMA REMIC Series 2012-5, Class SA
	1,048,804		5.425			02/25/42		177,178
	FNMA REMIC Series 2012-88, Class SB
	721,759		6.145			07/25/42		130,272
	FNMA REMIC Series 2013-121, Class SA
	895,232		5.575			12/25/43		166,205
	FNMA REMIC Series 2013-96, Class SW
	413,098		5.575			09/25/43		75,456
	FNMA REMIC Series 2014-87, Class MS
	1,371,138		5.725			01/25/45		259,111
	FNMA REMIC Series 2015-79, Class SA
	765,823		5.725			11/25/45		135,085
	FNMA REMIC Series 2015-81, Class SA
	2,826,351		5.175			11/25/45		452,163
	FNMA REMIC Series 2015-82, Class MS
	895,957		5.175			11/25/45		157,771
	FNMA REMIC Series 2015-86, Class BS
	404,655		5.175			11/25/45		70,353
	FNMA REMIC Series 2016-1, Class SJ
	1,838,916		5.625			02/25/46		370,978
	GNMA REMIC Series 2010-101, Class S
	791,378		5.468			08/20/40		131,839
	GNMA REMIC Series 2010-20, Class SE
	1,641,838		5.718			02/20/40		276,193
	Mortgage-Backed Obligations – (continued)
	Inverse Floaters(c) – (continued)
	GNMA REMIC Series 2010-31, Class SA
$	621,740		5.218	%		03/20/40	$	95,410
	GNMA REMIC Series 2012-149, Class MS
	174,926		5.718			12/20/42		29,420
	GNMA REMIC Series 2013-113, Class SD
	587,818		6.170			08/16/43		125,437
	GNMA REMIC Series 2013-134, Class DS
	222,339		5.568			09/20/43		37,092
	GNMA REMIC Series 2013-152, Class SG
	708,051		5.618			06/20/43		117,751
	GNMA REMIC Series 2013-167, Class SG
	334,372		5.618			11/20/43		54,605
	GNMA REMIC Series 2013-181, Class SA
	920,183		5.568			11/20/43		153,704
	GNMA REMIC Series 2014-132, Class SL
	1,192,372		5.568			10/20/43		161,931
	GNMA REMIC Series 2014-133, Class BS
	568,387		5.068			09/20/44		84,322
	GNMA REMIC Series 2014-162, Class SA
	546,090		5.068			11/20/44		76,856
	GNMA REMIC Series 2014-41, Class SA
	245,869		5.568			03/20/44		43,207
	GNMA REMIC Series 2015-110, Class MS
	3,935,785		5.178			08/20/45		558,951
	GNMA REMIC Series 2015-119, Class SN
	803,194		5.718			08/20/45		126,270
	GNMA REMIC Series 2015-123, Class SP
	839,404		5.718			09/20/45		132,928
	GNMA REMIC Series 2015-126, Class HS
	371,687		5.668			09/20/45		57,124
	GNMA REMIC Series 2015-167, Class AS
	670,642		5.718			11/20/45		107,945
	GNMA REMIC Series 2015-168, Class SD
	385,633		5.668			11/20/45		61,386
	GNMA REMIC Series 2015-64, Class SG
	1,755,993		5.068			05/20/45		312,717
	GNMA REMIC Series 2016-4, Class SM
	1,284,958		5.118			01/20/46		204,765
	GNMA REMIC Series 2016-6, Class SB
	1,032,959		5.118			01/20/46		167,914
								6,647,072
	Planned Amortization Class – 0.0%
	FNMA REMIC Series 2005-70, Class PA
	96,788		5.500			08/25/35		108,645
	Sequential Fixed Rate – 1.4%
	Alternative Loan Trust Series 2007-J2, Class 1A1
	1,466,124		6.500			07/25/37		677,732
	FHLMC Multifamily Structured Pass-Through Certificates Series K005, Class A2
	1,500,000		4.317			11/25/19		1,625,445
	FHLMC Multifamily Structured Pass-Through Certificates Series K026, Class A2
	2,000,000		2.510			11/25/22		2,088,643

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

GOLDMAN SACHS BOND FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Mortgage-Backed Obligations – (continued)
	Sequential Fixed Rate – (continued)
	FHLMC Multifamily Structured Pass-Through Certificates Series K044, Class A2
$	1,700,000		2.811	%		01/25/25	$	1,806,586
	FNMA REMIC Series 2011-52, Class GB
	788,877		5.000			06/25/41		873,751
	FNMA REMIC Series 2012-111, Class B
	72,825		7.000			10/25/42		84,517
	FNMA REMIC Series 2012-153, Class B
	188,534		7.000			07/25/42		222,456
	NCUA Guaranteed Notes Series A4
	600,000		3.000			06/12/19		629,820
								8,008,950
	Sequential Floating Rate(c) – 1.7%
	Banc of America Commercial Mortgage, Inc. Series 2007-2, Class AM
	225,000		5.647			04/10/49		228,858
	Commercial Mortgage Trust Series 2007-C9, Class A1A
	2,334,766		5.813			12/10/49		2,386,787
	Countrywide Alternative Loan Trust Series 2006-0C8, Class 2A3
	1,951,743		0.774			11/25/36		1,065,387
	FHLMC Multifamily Structured Pass-Through Certificates Series K033, Class A2
	1,200,000		3.060			07/25/23		1,293,068
	FHLMC Multifamily Structured Pass-Through Certificates Series K714, Class A2
	600,000		3.034			10/25/20		634,938
	FHLMC Structured Agency Credit Risk Debt Notes Series 2015-DNA1, Class M3
	260,000		3.824			10/25/27		269,586
	FHLMC Structured Agency Credit Risk Debt Notes Series 2015-HQ1, Class M3
	300,000		4.324			03/25/25		315,418
	FHLMC Structured Agency Credit Risk Debt Notes Series 2015-HQ2, Class M3
	1,000,000		3.774			05/25/25		1,030,069
	FHLMC Structured Agency Credit Risk Debt Notes Series 2016-DNA4, Class M3
	650,000		4.324			03/25/29		653,497
	FNMA Connecticut Avenue Securities Series 2014-C03, Class 1M1
	49,545		1.724			07/25/24		49,656
	FNMA Connecticut Avenue Securities Series 2016-C04, Class 1M2
	600,000		4.774			01/25/29		614,071
	FREMF Mortgage Trust Series 2014-K40, Class C(a)
	600,000		4.208			11/25/47		589,175
	FREMF Mortgage Trust Series 2014-K41, Class B(a)
	400,000		3.961			11/25/47		409,788
	Morgan Stanley Capital I Trust Series 2007-HQ11, Class AM
	50,000		5.478			02/12/44		50,242
	Morgan Stanley Capital I Trust Series 2007-HQ13, Class AM
	50,000		5.931			12/15/44		48,466
								9,639,006
	TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
	(Cost $24,604,991)						$	25,853,611
	Mortgage-Backed Obligations – (continued)
	Federal Agencies – 30.1%
	Adjustable Rate FHLMC(c) – 0.0%
$	66,574		2.529	%		09/01/35	$	70,063
	FHLMC – 1.9%
	5,965		5.000			05/01/18		6,128
	240,307		6.000			08/01/27		274,120
	22,783		5.000			08/01/33		25,344
	4,320		5.000			09/01/33		4,805
	6,290		5.000			10/01/33		6,997
	3,235		6.000			12/01/33		3,797
	5,707		5.000			11/01/34		6,346
	322,269		5.000			12/01/34		358,363
	9,018		5.000			07/01/35		10,028
	3,553		5.000			11/01/35		3,952
	39,938		6.500			08/01/37		47,174
	132,686		6.500			10/01/37		157,422
	21,912		6.500			09/01/38		25,653
	235,212		6.000			01/01/39		269,432
	238,286		7.000			02/01/39		279,582
	76,118		5.000			03/01/39		84,283
	21,413		5.000			05/01/39		23,711
	37,779		5.000			04/01/40		42,137
	7,677		5.000			08/01/40		8,560
	933,317		5.500			08/01/40		1,047,019
	88,666		4.000			02/01/41		95,490
	4,656		5.000			04/01/41		5,211
	6,262		5.000			06/01/41		6,976
	535,197		3.500			06/01/45		571,386
	418,320		3.500			10/01/45		446,737
	3,841,639		3.500			03/01/46		4,102,600
	965,891		3.500			04/01/46		1,028,787
	788,918		3.500			05/01/46		840,784
	982,660		3.500			06/01/46		1,058,931
								10,841,755
	FNMA – 18.6%
	709,318		2.800			03/01/18		717,676
	1,600,000		4.506			06/01/19		1,657,749
	38,422		6.000			06/01/21		41,433
	39,559		5.000			08/01/23		42,986
	20,509		5.500			09/01/23		22,255
	11,992		5.500			10/01/23		13,075
	85,730		5.000			02/01/24		91,880
	261,072		5.500			05/01/25		270,372
	61,994		6.000			12/01/32		71,890
	1,212		5.500			03/01/33		1,372
	108,668		5.500			04/01/33		126,080
	237		6.000			05/01/33		276
	2,947		5.000			08/01/33		3,313
	818		5.500			09/01/33		937
	26,894		5.500			12/01/33		30,835
	212		6.000			12/01/33		248
	937		5.500			02/01/34		1,073
	12,494		6.000			02/01/34		14,489
	2,528		5.500			03/01/34		2,901
	191		5.500			04/01/34		220
	5,303		5.500			09/01/34		6,044

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

GOLDMAN SACHS BOND FUND

Principal Amount		Interest Rate			Maturity Date			Value
	Mortgage-Backed Obligations – (continued)
	FNMA – (continued)
$	1,979		5.500	%		10/01/34		$	2,264
	7,119		5.500			12/01/34			8,165
	35,958		5.000			04/01/35			41,013
	161		6.000			04/01/35			186
	5,266		5.500			05/01/35			5,985
	1,929		5.500			07/01/35			2,227
	398,540		6.000			07/01/35			457,490
	1,272		5.500			09/01/35			1,468
	129,835		6.000			09/01/35			149,040
	4,977		6.000			03/01/36			5,766
	7,315		6.000			04/01/36			8,472
	87		5.500			02/01/37			100
	199		5.500			04/01/37			229
	62		5.500			05/01/37			71
	5,402		5.000			02/01/38			5,994
	13,043		5.500			02/01/38			14,723
	248		5.500			03/01/38			284
	221		5.500			06/01/38			254
	202		5.500			07/01/38			232
	186		5.500			08/01/38			214
	177		5.500			09/01/38			203
	176,638		6.000			11/01/38			204,857
	61		5.500			12/01/38			70
	64,822		6.000			12/01/38			74,478
	24,579		4.500			02/01/39			26,898
	153,604		7.000			03/01/39			181,313
	17,752		4.500			04/01/39			19,841
	3,739		5.500			06/01/39			4,293
	51,341		5.000			07/01/39			56,974
	19,149		4.500			08/01/39			21,404
	668,501		5.000			10/01/39			741,850
	3,292		5.500			11/01/39			3,773
	224,895		4.500			12/01/39			251,372
	219,661		4.500			06/01/40			241,385
	101,076		4.500			08/01/41			111,333
	41,278		3.500			11/01/41			43,943
	686,560		3.500			12/01/41			726,558
	163,206		5.000			12/01/41			181,446
	1,248,657		3.500			02/01/42			1,321,644
	1,612,225		3.500			03/01/42			1,706,463
	44,041		3.500			06/01/42			46,891
	520,378		3.500			07/01/42			550,795
	526,940		3.500			09/01/42			557,741
	25,750		3.500			10/01/42			27,421
	97,729		3.000			12/01/42			102,508
	230,115		3.000			01/01/43			241,370
	70,123		3.000			02/01/43			73,553
	236,291		3.000			03/01/43			247,846
	527,194		3.000			04/01/43			552,977
	271,716		3.000			05/01/43			285,005
	76,702		3.500			05/01/43			81,727
	74,512		3.000			06/01/43			78,156
	659,033		3.000			07/01/43			691,264
	1,232,012		3.500			07/01/43			1,300,956
	571,879		3.500			08/01/43			604,238
	44,427		3.500			09/01/43			47,338
	Mortgage-Backed Obligations – (continued)
	FNMA – (continued)
$	751,048		3.500	%		11/01/43		$	794,949
	109,357		3.500			01/01/44			116,555
	86,186		5.000			06/01/44			95,686
	34,220		3.500			03/01/45			36,099
	746,131		3.000			04/01/45			778,192
	275,898		3.500			04/01/45			294,316
	73,780		3.500			06/01/45			78,714
	31,547		3.500			09/01/45			33,772
	53,623		3.500			10/01/45			57,236
	50,874		3.500			11/01/45			54,303
	77,611		3.500			01/01/46			82,841
	1,171,131		3.500			05/01/46			1,247,850
	980,551		3.500			06/01/46			1,056,275
	14,000,000		3.000			TBA-30yr	(e)		14,521,718
	54,000,000		3.500			TBA-30yr	(e)		56,986,875
	13,000,000		4.000			TBA-30yr	(e)		13,960,781
	1,000,000		5.000			TBA-30yr	(e)		1,110,703
									106,538,030
	GNMA – 9.6%
	175,114		3.950			07/15/25			188,979
	69,964		5.500			11/15/32			79,556
	41,376		5.500			01/15/33			47,524
	72,056		5.500			02/15/33			82,761
	78,185		5.500			03/15/33			89,801
	66,315		5.500			07/15/33			75,839
	40,938		5.500			08/15/33			47,020
	29,014		5.500			09/15/33			33,325
	41,866		5.500			04/15/34			48,005
	38,051		5.500			05/15/34			43,631
	350,054		5.500			09/15/34			401,387
	294,279		5.500			12/15/34			337,432
	280,139		5.500			01/15/35			318,822
	1,845		5.500			05/15/36			2,093
	36,858		5.000			11/15/40			41,418
	1,947,477		4.000			08/20/43			2,099,776
	1,655,911		4.000			10/20/43			1,779,993
	246,376		4.000			12/20/44			264,796
	830,423		4.000			08/20/45			890,174
	2,677,606		4.000			09/20/45			2,870,268
	15,657,769		4.000			10/20/45			16,779,501
	5,395,037		4.000			03/20/46			5,781,541
	1,330,512		4.000			04/20/46			1,427,286
	10,656,413		4.000			05/20/46			11,439,826
	1,944,456		4.000			06/20/46			2,086,191
	7,000,000		4.000			TBA-30yr	(e)		7,501,484
									54,758,429
	TOTAL FEDERAL AGENCIES							$	172,208,277
	TOTAL MORTGAGE-BACKED OBLIGATIONS
	(Cost $199,074,150)							$	201,638,303

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

GOLDMAN SACHS BOND FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Agency Debentures – 1.7%
	FHLB
$	2,400,000		4.625	%		09/11/20	$	2,700,435
	400,000		5.375			08/15/24		501,898
	FNMA
	4,000,000		1.875			09/24/26		3,979,940
	800,000		6.250			05/15/29		1,156,909
	Tennessee Valley Authority
	1,200,000		3.875			02/15/21		1,334,270
	TOTAL AGENCY DEBENTURES
	(Cost $9,139,059)						$	9,673,452
	Asset-Backed Securities – 10.9%
	Collateralized Loan Obligations – 6.0%
	ACIS CLO Ltd. Series 2013-1A, Class ACOM(a)
$	4,000,000		1.847	%		04/18/24	$	3,944,800
	ACIS CLO Ltd. Series 2013-2A, Class A(a)(c)
	185,770		1.130			10/14/22		184,378
	ACIS CLO Ltd. Series 2013-2A, Class ACOM(a)(c)
	1,570,238		1.328			10/14/22		1,559,875
	Apidos CLO X Series 2012-10A, Class A(a)(c)
	5,250,000		2.057			10/30/22		5,246,283
	Crown Point CLO lll Ltd. Series 2015-3A, Class ACOM(a)(c)
	3,900,000		0.000			12/31/27		3,842,670
	Crown Point CLO Ltd. Series 2012-1A, Class ACOM(a)(c)
	731,949		0.000			11/21/22		728,729
	Duane Street CLO IV Ltd. Series 2007-4A, Class A1R(a)(c)
	1,618,929		0.886			11/14/21		1,616,384
	Golub Capital Management CLO Ltd. Series 2007-1A, Class A(a)(c)
	33,395		0.877			07/31/21		33,371
	Greywolf CLO V Ltd. Series 2015-1A, Class A1(a)(c)
	1,450,000		2.238			04/25/27		1,451,119
	Halcyon Loan Advisors Funding Ltd. Series 2015-1A, Class A(a)(c)
	1,700,000		2.084			04/20/27		1,696,139
	Halcyon Loan Advisors Funding Ltd. Series 2015-2A, Class A(a)(c)
	2,300,000		2.028			07/25/27		2,290,717
	NewMark Capital Funding CLO Ltd. Series 2013-1A, Class A2(a)(c)
	2,500,000		1.806			06/02/25		2,482,048
	OCP CLO Ltd. Series 2012-2A, Class ACOM(a)(c)
	1,690,477		0.000			11/22/23		1,686,251
	OFSI Fund V Ltd. Series 2013-5A, Class ACOM(a)
	1,650,000		1.753			04/17/25		1,631,520
	Regatta IV Funding Ltd. Series 2014-1A, Class A1(a)(c)
	1,538,552		2.048			07/25/26		1,538,535
	Regatta IV Funding Ltd. Series 2014-1A, Class B(a)(c)
	311,448		2.648			07/25/26		311,456
	Sound Point CLO Vlll Ltd. Series 2015-1A, Class B(a)(c)
	700,000		2.678			04/15/27		698,044
	SPS Servicer Advance Receivables Trust Series 2015-T2, Class AT2(a)
	1,800,000		2.620			01/15/47		1,800,776
	Westchester CLO Ltd. Series 2007-1X, Class A1A(c)
	1,713,963		0.862			08/01/22		1,708,574
								34,451,669
	Asset-Backed Securities – (continued)
	Home Equity – 0.9%
	Bayview Opportunity Master Fund IIIb RPL Trust Series 2015-3, Class A1(a)(f)
$	103,676		3.623	%		04/28/30	$	104,444
	Bear Stearns Asset Backed Securities Trust Series 2001-3, Class A2(c)
	7,140		1.325			10/27/32		6,652
	Bear Stearns Asset Backed Securities Trust Series 2002-2, Class A1(c)
	3,526		1.184			10/25/32		3,444
	CS First Boston Mortgage Securities Corp. Series 2001-HE17, Class A1(c)
	1,366		1.144			01/25/32		1,197
	GMAC Mortgage Corp. Loan Trust Series 2007-HE3, Class 1A1(c)
	65,186		7.000			09/25/37		64,693
	GMAC Mortgage Corp. Loan Trust Series 2007-HE3, Class 2A1(c)
	37,643		7.000			09/25/37		37,731
	GSAMP Trust Series 2006-HE8, Class A2C(c)
	1,251,563		0.694			01/25/37		1,023,864
	Home Equity Asset Trust Series 2002-1, Class A4(c)
	257		1.124			11/25/32		221
	Home Equity Loan Trust Series 2007-FRE1, Class 2AV3(c)
	1,400,000		0.754			04/25/37		915,803
	Morgan Stanley Mortgage Loan Trust Series 2007-7AX, Class 1A(c)
	3,596,476		0.744			04/25/37		1,612,240
	Renaissance Home Equity Loan Trust Series 2003-2, Class A(c)
	1,069		1.404			08/25/33		993
	Renaissance Home Equity Loan Trust Series 2003-3, Class A(c)
	3,728		1.524			12/25/33		3,486
	Structured Asset Securities Corp. Mortgage Loan Trust Series 2006-BC6, Class A4(c)
	1,329,418		0.694			01/25/37		1,209,082
								4,983,850
	Other(a)(c) – 0.4%
	Mortgage Repurchase Agreement Financing Trust Series 2016-1, Class A
	1,300,000		1.585			09/10/18		1,300,000
	Mortgage Repurchase Agreement Financing Trust Series 2016-2, Class A
	1,300,000		1.785			03/10/19		1,300,000
								2,600,000
	Student Loan(c) – 3.6%
	ECMC Group Student Loan Trust Series 2016-1A, Class A(a)
	2,800,000		1.864			07/26/66		2,799,954
	Edsouth Indenture No. 9 LLC Series 2015-1, Class A(a)
	1,644,142		1.324			10/25/56		1,602,018
	Navient Student Loan Trust Series 2016-5A, Class A(a)
	5,480,700		1.819			06/25/65		5,480,716
	PHEAA Student Loan Trust Series 2016-1A, Class A(a)
	2,800,000		1.728			09/25/65		2,799,974
	Scholar Funding Trust Series 2010-A, Class A(a)
	660,928		1.384			10/28/41		647,782

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

GOLDMAN SACHS BOND FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Asset-Backed Securities – (continued)
	Student Loan(c) – (continued)
	SLM Student Loan Trust Series 2005-4, Class A3
$	450,587		0.758	%		01/25/27	$	431,540
	SLM Student Loan Trust Series 2005-5, Class A4
	1,650,000		0.778			10/25/28		1,559,566
	SLM Student Loan Trust Series 2006-10, Class A5A
	1,307,671		0.738			04/25/27		1,291,097
	SLM Student Loan Trust Series 2006-2, Class A5
	2,767,515		0.748			07/25/25		2,753,060
	SLM Student Loan Trust Series 2008-2, Class A3
	348,716		1.388			04/25/23		335,498
	SLM Student Loan Trust Series 2008-4, Class A4
	844,626		2.288			07/25/22		847,847
								20,549,052
	TOTAL ASSET-BACKED SECURITIES
	(Cost $61,912,005)						$	62,584,571
	Foreign Debt Obligations – 1.8%
	Sovereign – 1.7%
	Dominican Republic
DOP	100,000		10.375	%		03/04/22	$	2,166
	300,000		14.500			02/10/23		7,527
$	280,000		6.600	(a)		01/28/24		315,700
	210,000		6.600			01/28/24		236,775
	360,000		6.875	(a)		01/29/26		416,700
	191,000		8.625			04/20/27		232,542
DOP	100,000		11.375			07/06/29		2,186
$	120,000		6.850			01/27/45		134,400
	Republic of Colombia
	500,000		8.125			05/21/24		661,250
	260,000		4.500	(b)		01/28/26		287,300
EUR	850,000		3.875	(b)		03/22/26		1,081,364
	Republic of Indonesia
$	320,000		4.125	(a)		01/15/25		341,526
	1,060,000		4.750	(a)		01/08/26		1,185,875
	220,000		7.750			01/17/38		317,801
	Republic of South Africa
	200,000		5.875			09/16/25		226,000
	Republic of Turkey
	500,000		5.750			03/22/24		538,750
	Republic of Venezuela
	20,000		7.750			10/13/19		12,350
	40,000		12.750			08/23/22		25,600
	170,000		8.250			10/13/24		84,150
	220,000		9.250			05/07/28		113,300
	United Mexican States
MXN	2,128,400		6.500			06/10/21		112,841
$	530,000		3.625			03/15/22		557,825
MXN	186,400		8.000			12/07/23		10,801
	4,356,000		7.500			06/03/27		247,779
	1,065,300		8.500			05/31/29		65,661
	3,616,300		7.750			11/23/34		212,020
$	20,000		6.050			01/11/40		24,450
	700,000		4.750			03/08/44		728,000
	Foreign Debt Obligations – (continued)
	Sovereign – (continued)
$	90,000		5.550	%		01/21/45	$	104,400
	480,000		4.600			01/23/46		489,600
	530,000		5.750			10/12/10		560,475
								9,337,114
	Supranational – 0.1%
	Inter-American Development Bank
	700,000		1.000			02/27/18		696,015
	TOTAL FOREIGN DEBT OBLIGATIONS
	(Cost $9,760,400)						$	10,033,129
	Structured Note – 0.2%
	Notas do Tesouro Nacional Series B (Issuer HSBC Corp.)
	BRL 4,434,459		6.000	%		08/15/40	$	1,395,925
	(Cost $2,384,172)
	Municipal Debt Obligations – 1.2%
	California(b) – 0.4%
	California State GO Bonds Build America Taxable Series 2009
$	210,000		7.550	%		04/01/39	$	336,296
	California State GO Bonds Build America Taxable Series 2010
	625,000		7.950			03/01/36		747,007
	East Bay Municipal Utility Disrtict Water System RB Build America SubSeries 2010
	900,000		5.874			06/01/40		1,228,725
								2,312,028
	Illinois – 0.1%
	Illinois State GO Bonds Build America Series 2010(b)
	500,000		7.350			07/01/35		563,050
	Illinois State GO Bonds Taxable-Pension Series 2003
	115,000		5.100			06/01/33		110,860
								673,910
	New York(b) – 0.1%
	Port Authority of New York & New Jersey Consolidated Bonds-192 Series 2015
	375,000		4.810			10/15/65		457,035
	Ohio(b) – 0.1%
	American Municipal Power-Ohio, Inc. RB Build America Taxable Series 2010
	250,000		6.270			02/15/50		330,115
	Puerto Rico(b) – 0.5%
	Puerto Rico Commonwealth Aqueduct & Sewer Authority RB (Senior Lien) Series 2008 A
	85,000		6.000			07/01/38		65,450
	45,000		6.000			07/01/44		34,538
	Puerto Rico Commonwealth Aqueduct & Sewer Authority RB (Senior Lien) Series 2012 A
	120,000		5.500			07/01/28		91,800
	20,000		5.750			07/01/37		15,300
	35,000		6.000			07/01/47		26,775

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

GOLDMAN SACHS BOND FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Municipal Debt Obligations – (continued)
	Puerto Rico(b) – (continued)
	Puerto Rico Commonwealth Aqueduct & Sewer Authority RB (Senior Lien) Series 2012 D
$	50,000		5.000	%		07/01/33	$	37,500
	Puerto Rico Commonwealth GO Bonds for Public Improvement Series 2011 A
	10,000		5.750			07/01/41		6,225
	Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2008 A
	15,000		5.500			07/01/32		9,281
	Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2009 B
	10,000		5.750			07/01/38		6,225
	Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2012 A
	860,000		5.750			07/01/28		537,500
	170,000		5.000			07/01/41		102,850
	Puerto Rico Commonwealth GO Bonds Series 2014 A
	400,000		8.000			07/01/35		261,500
	Puerto Rico Commonwealth GO Bonds Unrefunded Balance for Public Improvement Series 2006 A
	10,000		5.250			07/01/27		6,125
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB Capital Appreciation SubSeries 2010 C(g)
	15,000		0.000			08/01/37		1,595
	15,000		0.000			08/01/38		1,494
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2009 A
	105,000		5.250			08/01/27		55,125
	325,000		6.750			08/01/32		182,000
	95,000		5.750			08/01/37		50,350
	15,000		6.375			08/01/39		8,175
	270,000		6.000			08/01/42		143,802
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2010 A
	50,000		6.250			08/01/33		17,002
	80,000		5.500			08/01/37		42,200
	75,000		5.375			08/01/39		39,375
	595,000		5.500			08/01/42		313,862
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2010 C
	15,000		5.375			08/01/38		7,875
	290,000		6.000			08/01/39		154,454
	935,000		5.250			08/01/41		490,875
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2011 A-1
	370,000		5.000			08/01/43		192,400
	50,000		5.250			08/01/43		26,250
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB Unrefunded SubSeries 2009 A
	130,000		5.500			08/01/28		68,575
								2,996,478
	TOTAL MUNICIPAL DEBT OBLIGATIONS
	(Cost $6,825,454)						$	6,769,566
	Government Guarantee Obligations(h) – 0.9%
	Hashemite Kingdom of Jordan Government AID Bond
$	1,600,000		2.503	%		10/30/20	$	1,677,698
	Israel Government AID Bond
	2,000,000		5.500			09/18/23		2,495,012
	300,000		5.500			12/04/23		375,601
	650,000		5.500			04/26/24		820,769
	40,000		5.500			09/18/33		56,293
	TOTAL GOVERNMENT GUARANTEE OBLIGATIONS
	(Cost $5,172,088)						$	5,425,373
	U.S. Treasury Obligations – 21.4%
	United States Treasury Bonds
$	8,275,000		3.750	%(i)		11/15/43	$	10,779,098
	5,990,000		3.625	(i)		02/15/44		7,634,015
	2,080,000		3.000			11/15/44		2,373,571
	100,000		2.875			08/15/45		111,457
	3,770,000		3.000	(i)		11/15/45		4,304,322
	1,200,000		2.250			08/15/46		1,178,724
	United States Treasury Inflation Protected Securities
	9,265,790		0.125			04/15/18		9,368,548
	1,335,178		0.125			04/15/19		1,358,757
	521,310		0.125			01/15/23		529,943
	1,990,700		0.375			07/15/23		2,063,799
	3,228,313		0.625			01/15/24		3,388,728
	6,856,598		0.125			07/15/24		6,959,447
	7,230,664		0.375			07/15/25		7,469,059
	1,793,456		2.500			01/15/29		2,277,402
	723,743		2.125			02/15/40		964,951
	154,892		1.375			02/15/44		184,055
	United States Treasury Notes
	9,680,000		0.750			07/31/18		9,677,967
	21,110,000		1.625			06/30/20		21,573,153
	21,300,000		1.375			04/30/21		21,525,780
	7,500,000		1.375			09/30/23		7,471,275
	United States Treasury Strip Coupon(g)
	1,800,000		0.000			02/15/36		1,165,014
	TOTAL U.S. TREASURY OBLIGATIONS
	(Cost $118,253,027)						$	122,359,065

Shares	Distribution Rate			Value
Investment Company(c)(j) – 10.2%
Goldman Sachs Financial Square Government Fund – Institutional Shares
58,464,279		0.290	%	$	58,464,279
(Cost $58,464,279)
TOTAL INVESTMENTS – 107.1%
(Cost $601,581,630)				$	613,819,511
LIABILITIES IN EXCESS OF     OTHER ASSETS – (7.1)%					(40,875,219	)
NET ASSETS – 100.0%				$	572,944,292

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

GOLDMAN SACHS BOND FUND

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
(a)	Exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be deemed 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 $86,027,491, which represents approximately 15.0% of net assets as of September 30, 2016.
(b)	Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.
(c)	Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on September 30, 2016.
(d)	Security with a notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate.
(e)	TBA (To Be Announced) Securities are purchased 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 $94,081,561 which represents approximately 16.4% of net assets as of September 30, 2016.
(f)	Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect on September 30, 2016.
(g)	Issued with a zero coupon. Income is recognized through the accretion of discount.
(h)	Guaranteed by the United States Government until maturity. Total market value for these securities amounts to $5,425,373, which represents approximately 1.0% of net assets as of September 30, 2016.
(i)	All or a portion of security is segregated as collateral for initial margin requirements on futures transactions.
(j)	Represents an Affiliated Fund.

Currency Abbreviations:
AED	—United Arab Emirates Dirham
ARS	—Argentine Peso
AUD	—Australian Dollar
BRL	—Brazilian Real
CAD	—Canadian Dollar
CHF	—Swiss Franc
CNH	—Chinese Yuan Renminbi Offshore
COP	—Colombian Peso
CZK	—Czech Koruna
DOP	—Dominican Peso
EUR	—Euro
GBP	—British Pound
HUF	—Hungarian Forint
IDR	—Indonesian Rupiah
ILS	—Israeli Shekel
INR	—Indian Rupee
JPY	—Japanese Yen
KRW	—South Korean Won
MXN	—Mexican Peso
MYR	—Malaysian Ringgit
NOK	—Norwegian Krone
NZD	—New Zealand Dollar
PEN	—Peruvian Nuevo Sol
PHP	—Philippine Peso
PLN	—Polish Zloty
RUB	—Russian Ruble
SEK	—Swedish Krona
SGD	—Singapore Dollar
THB	—Thai Baht
TRY	—Turkish Lira
TWD	—Taiwan Dollar
USD	—U.S. Dollar
ZAR	—South African Rand
Investment Abbreviations:
AUDOR	—Australian Dollar Offered Rate
CDOR	—Canadian Dollar Offered Rate
CLO	—Collateralized Loan Obligation
EURO	—Euro Offered Rate
FHLB	—Federal Home Loan Bank
FHLMC	—Federal Home Loan Mortgage Corp.
FNMA	—Federal National Mortgage Association
FREMF	—Freddie Mac Multi Family
GMAC	—General Motors Acceptance Corporation
GNMA	—Government National Mortgage Association
GO	—General Obligation
JIBAR	—Johannesburg Interbank Agreed Rate
JYOR	—Japanese Yen Offered Rate
KLIBOR	—Kuala Lumpur Interbank Offered Rate
KWCDC	—South Korean Won Certificate of Deposit
LIBOR	—London Interbank Offered Rate
LLC	—Limited Liability Company
LP	—Limited Partnership
NCUA	—National Credit Union Administration
NIBOR	—Norwegian Interbank Offered Rate
NZDOR	—New Zealand Dollar Offered Rate
PLC	—Public Limited Company
RB	—Revenue Bond
REIT	—Real Estate Investment Trust
REMIC	—Real Estate Mortgage Investment Conduit
STIBOR	—Stockholm Interbank Offered Rate
STRIPS	—Separate Trading of Registered Interest and Principal of Securities
TIIE	—La Tasa de Interbank Equilibrium Interest Rate
WIBOR	—Warsaw Interbank Offered Rate

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

GOLDMAN SACHS BOND FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At September 30, 2016, the Fund had the following forward foreign currency exchange contracts:

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Gain
Bank of America Securities LLC	CAD	652,759	USD	495,000	$	497,850		12/21/16	$	2,850
	CZK	11,915,215	EUR	442,000		504,360		06/21/17		1,675
	JPY	105,143,300	USD	1,030,275		1,040,774		12/21/16		10,499
	KRW	554,794,875	USD	501,000		503,474		10/28/16		2,474
	PLN	2,224,741	EUR	514,071		580,911		12/21/16		1,189
	USD	992,000	BRL	3,215,578		987,557		10/04/16		4,443
	USD	599,700	CAD	772,000		588,559		10/26/16		11,141
	USD	497,000	CAD	646,361		492,970		12/21/16		4,030
Barclays Bank PLC	AUD	658,000	USD	493,671		502,659		12/21/16		8,987
	IDR	27,210,638,565	USD	2,037,792		2,083,919		10/27/16		46,127
	IDR	17,361,183,840	USD	1,311,268		1,327,409		11/10/16		16,141
BNP Paribas SA	ARS	3,265,610	USD	203,465		206,909		11/22/16		3,444
	CAD	261,361	USD	198,928		199,336		12/21/16		409
	EUR	212,000	PLN	913,037		239,074		12/21/16		668
	KRW	556,383,516	USD	501,504		504,924		10/26/16		3,420
	PEN	1,635,616	USD	481,602		482,856		10/12/16		1,255
	PLN	1,911,000	HUF	136,095,821		498,989		12/21/16		2,319
	PLN	10,580,008	USD	2,726,595		2,762,587		12/21/16		35,992
	USD	2,389,151	TRY	7,233,632		2,371,100		12/21/16		18,051
Citibank NA (London)	AED	9,786,411	USD	2,662,245		2,663,439		12/07/16		1,194
	ARS	2,954,070	USD	189,000		191,829		10/05/16		2,829
	AUD	4,692,729	USD	3,499,696		3,584,864		12/21/16		85,167
	CZK	23,912,700	EUR	887,299		1,012,203		06/21/17		3,082
	GBP	438,723	EUR	504,135		569,657		12/21/16		1,140
	INR	66,133,407	USD	983,360		989,464		10/26/16		6,104
	JPY	184,924,999	USD	1,809,407		1,824,061		10/06/16		14,654
	JPY	101,947,673	USD	1,007,000		1,009,142		12/21/16		2,142
	RUB	32,100,333	USD	498,000		509,796		10/11/16		11,796
	RUB	43,496,589	USD	663,999		688,050		10/27/16		24,050
	TWD	15,005,504	USD	478,163		479,647		10/07/16		1,484
	USD	562,376	EUR	498,000		560,480		11/10/16		1,896
	USD	2,533,067	KRW	2,764,335,597		2,508,783		10/20/16		24,283
	USD	730,662	MXN	13,381,786		689,084		10/13/16		41,578
	ZAR	2,811,829	USD	201,000		201,630		12/21/16		630
Credit Suisse International (London)	JPY	50,875,683	USD	503,000		503,599		12/21/16		600
	RUB	98,221,169	USD	1,496,403		1,556,018		10/21/16		59,615
	RUB	28,240,059	USD	429,683		444,458		11/17/16		14,775
	USD	221,259	EUR	196,196		221,252		12/21/16		7
Deutsche Bank AG (London)	CAD	653,705	USD	498,000		498,571		12/21/16		571
	COP	590,236,500	USD	201,000		203,470		10/31/16		2,470
	EUR	231,254	PLN	996,487		260,788		12/21/16		592
	IDR	8,634,633,191	USD	652,163		660,362		11/08/16		8,200
	KRW	1,113,002,010	USD	991,000		1,010,370		10/04/16		19,370
	KRW	1,108,963,350	USD	990,000		1,006,444		10/20/16		16,444
	PLN	6,633,957	EUR	1,514,644		1,732,218		12/21/16		24,141
	TWD	15,694,787	USD	495,000		502,386		10/24/16		7,386
HSBC Bank PLC	ARS	3,246,406	USD	202,900		204,935		11/29/16		2,034
	EUR	442,000	USD	498,384		498,447		12/21/16		63
	KRW	550,995,390	USD	495,000		500,062		10/19/16		5,062
	MXN	19,759,144	USD	1,005,000		1,009,769		12/21/16		4,769

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

GOLDMAN SACHS BOND FUND

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN (continued)

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Gain
HSBC Bank PLC (continued)	MYR	3,605,866	USD	869,890	$	872,641		11/18/16	$	2,751
	NZD	693,998	AUD	656,000		503,730		12/21/16		2,599
	NZD	641,094	USD	462,633		465,331		12/21/16		2,698
	USD	1,999,020	GBP	1,510,718		1,961,580		12/21/16		37,440
	USD	199,231	NZD	273,241		198,329		12/21/16		902
	USD	1,452,244	TWD	44,978,906		1,439,762		10/24/16		12,482
JPMorgan Chase Bank (London)	ARS	2,905,728	USD	182,120		184,497		11/18/16		2,376
	CNH	3,338,765	USD	495,000		497,792		12/21/16		2,792
	INR	33,465,170	USD	496,000		500,624		10/27/16		4,624
	INR	33,758,744	USD	503,000		504,570		11/03/16		1,570
	KRW	548,499,120	USD	496,000		497,921		10/04/16		1,921
	USD	193,234	ARS	2,954,070		191,829		10/05/16		1,405
	USD	496,000	JPY	49,739,872		492,357		12/21/16		3,644
	USD	496,000	ZAR	6,860,588		491,958		12/21/16		4,042
	ZAR	2,863,748	USD	201,000		205,353		12/21/16		4,353
Morgan Stanley & Co. International PLC	AUD	1,298,000	NZD	1,344,369		991,567		12/21/16		15,772
	AUD	1,312,000	USD	990,156		1,002,261		12/21/16		12,106
	BRL	7,822,561	USD	2,380,987		2,402,438		10/04/16		21,450
	EUR	442,000	CHF	479,924		498,447		12/21/16		1,903
	HUF	140,142,387	EUR	451,000		511,437		12/21/16		2,840
	IDR	6,416,028,800	USD	480,457		491,370		10/27/16		10,912
	NZD	693,000	USD	500,748		503,006		12/21/16		2,258
	RUB	32,159,914	USD	496,724		508,721		10/27/16		11,996
	USD	3,407,934	BRL	11,016,147		3,383,241		10/04/16		24,693
	USD	496,000	CAD	640,578		488,559		12/21/16		7,441
	USD	3,157,298	GBP	2,374,989		3,081,098		11/16/16		76,200
	USD	494,035	NZD	677,000		491,392		12/21/16		2,643
	ZAR	31,679,584	USD	2,177,231		2,271,674		12/21/16		94,443
Royal Bank of Canada	BRL	1,624,375	USD	496,000		498,873		10/04/16		2,873
	CAD	658,245	USD	502,000		502,034		12/21/16		34
	NZD	278,346	USD	201,769		202,034		12/21/16		265
	USD	503,000	BRL	1,635,042		497,904		11/03/16		5,096
	USD	504,000	CAD	654,903		499,485		12/21/16		4,515
	USD	497,528	EUR	441,000		497,320		12/21/16		208
	USD	783,131	GBP	591,026		767,413		12/21/16		15,718
	USD	840,675	SGD	1,145,755		840,446		12/21/16		228
Royal Bank of Scotland PLC	ARS	3,306,469	USD	208,505		209,941		11/18/16		1,436
	ARS	1,685,491	USD	105,212		106,793		11/22/16		1,581
	NZD	683,000	USD	493,211		495,747		12/21/16		2,536
	USD	496,000	MXN	9,171,729		468,711		12/21/16		27,289
Standard Chartered Bank	CAD	663,384	USD	501,000		505,953		12/21/16		4,953
	CNH	20,030,599	USD	2,976,000		2,986,454		12/21/16		10,454
	USD	501,000	IDR	6,497,739,540		497,454		10/31/16		3,546
	USD	3,461,016	SGD	4,707,259		3,452,918		12/21/16		8,099
State Street Bank (London)	AUD	266,345	USD	198,808		203,466		12/21/16		4,658
	CAD	642,076	USD	488,726		489,702		12/21/16		976
	EUR	88,145	CZK	2,356,292		100,247		06/21/17		507
	NOK	19,081,368	EUR	2,051,936		2,387,333		12/21/16		73,347
	USD	503,000	CAD	658,462		502,199		12/21/16		801
	USD	4,907,148	NZD	6,746,056		4,896,544		12/21/16		10,604
	USD	889,668	SEK	7,571,738		884,368		11/09/16		5,300
UBS AG (London)	CHF	487,687	USD	503,000		504,576		12/21/16		1,576
	CZK	11,988,300	EUR	445,000		507,454		06/21/17		1,357
	INR	33,390,075	USD	496,000		499,570		10/26/16		3,570

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

GOLDMAN SACHS BOND FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN (continued)

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Gain
UBS AG (London) (continued)	JPY	50,251,000	USD	496,000	$	497,416		12/21/16	$	1,416
	NOK	1,767,107	EUR	189,498		221,089		12/21/16		7,390
	PLN	1,912,745	EUR	441,000		499,444		12/21/16		2,124
	PLN	10,560,257	USD	2,736,740		2,757,430		12/21/16		20,691
	TWD	15,005,504	USD	479,179		480,203		10/21/16		1,023
	USD	502,000	CHF	482,407		499,114		12/21/16		2,886
	USD	502,000	JPY	50,491,611		499,798		12/21/16		2,202
Westpac Banking Corp.	AUD	645,000	NZD	668,746		492,728		12/21/16		7,327
	AUD	657,000	USD	494,977		501,895		12/21/16		6,917
	EUR	502,267	USD	564,607		565,283		11/10/16		676
	USD	2,654,494	CAD	3,474,897		2,650,253		12/21/16		4,241
	USD	7,285,149	EUR	6,459,296		7,269,694		11/10/16		15,455
TOTAL									$	1,197,373

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Loss
Bank of America Securities LLC	CAD	991,155	USD	769,943	$	755,639		10/26/16	$	(14,304	)
	GBP	396,775	USD	518,342		515,190		12/21/16		(3,152	)
	JPY	238,418,181	USD	2,373,111		2,360,013		12/21/16		(13,098	)
	MXN	35,558,630	USD	1,848,498		1,817,184		12/21/16		(31,314	)
	PLN	1,921,559	EUR	445,000		501,746		12/21/16		(84	)
	USD	1,260,148	BRL	4,253,000		1,295,126		11/03/16		(34,978	)
	USD	496,000	JPY	50,290,382		497,806		12/21/16		(1,806	)
	USD	496,000	TWD	15,527,528		497,032		10/24/16		(1,032	)
	USD	3,033,634	TWD	95,802,155		3,068,336		11/01/16		(34,703	)
Barclays Bank PLC	CAD	292,203	USD	223,162		222,859		12/21/16		(303	)
	GBP	380,000	USD	497,339		493,408		12/21/16		(3,931	)
	NZD	1,368,000	USD	997,859		992,946		12/21/16		(4,912	)
	PHP	45,896,792	USD	969,207		948,976		10/27/16		(20,231	)
	PHP	45,696,457	USD	952,704		943,343		11/18/16		(9,362	)
	USD	355,574	CAD	467,999		356,936		12/21/16		(1,362	)
	USD	2,223,083	SGD	3,030,895		2,223,254		12/21/16		(171	)
	USD	1,401,663	TWD	43,865,043		1,403,759		10/21/16		(2,096	)
	USD	1,585,000	ZAR	22,567,085		1,618,236		12/21/16		(33,235	)
BNP Paribas SA	ARS	2,983,905	USD	196,439		192,566		10/17/16		(3,873	)
	ARS	3,221,393	USD	212,633		207,785		10/18/16		(4,848	)
	ARS	8,748,213	USD	568,066		562,532		10/24/16		(5,534	)
	ARS	2,822,982	USD	180,555		178,205		11/29/16		(2,350	)
	EUR	365,000	PLN	1,576,953		411,614		12/21/16		(151	)
	MXN	65,370,080	USD	3,385,647		3,340,665		12/21/16		(44,983	)
	SEK	22,490,323	EUR	2,365,541		2,632,806		12/21/16		(34,835	)
	SGD	1,361,074	USD	1,002,000		998,389		12/21/16		(3,611	)
	USD	1,625,524	AED	6,003,637		1,633,932		12/07/16		(8,408	)
	USD	1,264,728	HUF	349,330,398		1,274,850		12/21/16		(10,122	)
	USD	501,653	KRW	556,383,516		505,078		10/04/16		(3,425	)
	USD	1,036,201	KRW	1,145,344,200		1,039,470		10/19/16		(3,269	)
Citibank NA (London)	ARS	6,278,825	USD	405,347		402,915		10/28/16		(2,432	)
	ARS	2,947,200	USD	187,720		184,922		12/12/16		(2,797	)
	ARS	1,824,967	USD	114,922		113,931		12/23/16		(991	)
	BRL	1,651,128	USD	503,000		502,802		11/03/16		(198	)
	COP	793,315,244	USD	273,590		273,343		11/03/16		(247	)
	EUR	448,000	NOK	4,106,646		505,214		12/21/16		(8,583	)
	EUR	2,055,259	USD	2,318,199		2,317,734		12/21/16		(465	)

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

GOLDMAN SACHS BOND FUND

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Loss
Citibank NA (London) (continued)	SGD	684,140	USD	503,000	$	501,838		12/21/16	$	(1,162	)
	TRY	1,503,133	USD	496,000		492,709		12/21/16		(3,291	)
	USD	993,000	CAD	1,302,072		993,071		12/21/16		(71	)
	USD	2,715,921	JPY	277,572,602		2,737,917		10/06/16		(21,995	)
	USD	1,498,446	KRW	1,699,987,112		1,542,818		10/21/16		(44,371	)
	USD	497,000	KRW	548,822,190		498,062		10/26/16		(1,062	)
	USD	495,000	RUB	32,573,723		516,032		10/21/16		(21,032	)
	USD	948,945	TWD	30,029,351		961,231		10/24/16		(12,286	)
	USD	1,627,626	TWD	50,895,858		1,632,463		11/22/16		(4,838	)
Credit Suisse International (London)	CHF	487,860	EUR	448,000		504,756		12/21/16		(457	)
	COP	818,197,620	USD	282,000		281,871		11/04/16		(129	)
	USD	198,808	EUR	176,294		198,808		12/21/16		—
	USD	1,426,909	JPY	145,571,097		1,440,954		12/21/16		(14,045	)
	USD	498,000	RUB	31,968,214		505,813		10/26/16		(7,813	)
Deutsche Bank AG (London)	ARS	3,513,326	USD	225,213		222,604		11/22/16		(2,609	)
	BRL	1,593,081	USD	496,000		489,261		10/04/16		(6,739	)
	EUR	903,978	NOK	8,257,897		1,019,424		12/21/16		(13,749	)
	GBP	182,745	USD	239,109		237,284		12/21/16		(1,825	)
	MYR	3,605,866	USD	892,210		873,768		10/07/16		(18,442	)
	NZD	684,487	AUD	651,000		496,827		12/21/16		(485	)
	PEN	1,683,295	USD	498,000		496,932		10/12/16		(1,068	)
	THB	12,831,135	USD	370,200		370,194		10/20/16		(7	)
	USD	502,000	ILS	1,891,034		505,745		12/21/16		(3,745	)
	USD	279,911	JPY	28,370,062		280,825		12/21/16		(914	)
	USD	496,000	KRW	556,386,859		504,935		10/24/16		(8,935	)
HSBC Bank PLC	EUR	249,071	NOK	2,278,027		280,879		12/21/16		(4,132	)
	MXN	9,805,375	USD	502,000		501,093		12/21/16		(907	)
	MYR	2,616,576	USD	635,708		633,390		11/09/16		(2,318	)
	TWD	12,408,030	USD	398,731		396,750		10/11/16		(1,981	)
	USD	1,023,948	AED	3,782,774		1,029,508		12/07/16		(5,559	)
	USD	482,794	INR	32,583,772		487,438		10/27/16		(4,644	)
	USD	991,000	KRW	1,105,117,614		1,003,213		10/04/16		(12,213	)
	USD	496,785	KRW	556,696,800		505,228		10/21/16		(8,444	)
	USD	1,081,487	KRW	1,208,507,265		1,096,751		10/24/16		(15,264	)
	USD	870,982	MYR	3,605,866		873,768		10/07/16		(2,786	)
	USD	881,452	NOK	7,179,506		898,251		12/21/16		(16,799	)
	USD	3,130,144	SGD	4,273,398		3,134,667		12/21/16		(4,523	)
	USD	992,000	TWD	31,075,194		994,461		10/21/16		(2,461	)
JPMorgan Chase Bank (London)	ARS	2,954,070	USD	187,733		185,952		12/05/16		(1,780	)
	BRL	3,191,708	USD	988,898		980,226		10/04/16		(8,672	)
	EUR	442,000	JPY	50,558,700		498,447		12/21/16		(2,015	)
	MXN	9,392,096	USD	498,000		479,973		12/21/16		(18,026	)
	MYR	5,917,267	USD	1,464,779		1,433,235		10/20/16		(31,544	)
	PHP	46,613,295	USD	973,403		964,484		10/17/16		(8,919	)
	SEK	22,534,010	EUR	2,368,585		2,637,920		12/21/16		(33,154	)
	SGD	1,350,326	USD	992,000		990,505		12/21/16		(1,495	)
	TRY	1,511,267	USD	501,000		495,375		12/21/16		(5,625	)
	USD	241,249	NOK	1,961,815		245,449		12/21/16		(4,200	)
Morgan Stanley & Co. International PLC	BRL	11,122,842	USD	3,399,232		3,387,135		11/03/16		(12,097	)
	GBP	368,989	EUR	431,213		479,111		12/21/16		(7,171	)
	GBP	2,204,830	USD	2,931,090		2,860,350		11/16/16		(70,740	)
	GBP	153,314	USD	199,231		199,069		12/21/16		(162	)
	SEK	37,789,569	EUR	3,954,529		4,423,796		12/21/16		(35,761	)
	USD	401,810	CAD	528,368		402,979		12/21/16		(1,169	)
	USD	497,000	RUB	32,254,803		512,249		10/11/16		(15,249	)

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

GOLDMAN SACHS BOND FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Loss
Morgan Stanley & Co. International PLC (continued)	USD	496,000	RUB	31,867,405	$	504,094		10/27/16	$	(8,094	)
	USD	1,783,034	TWD	55,660,975		1,785,303		11/22/16		(2,269	)
Royal Bank of Canada	CAD	1,933,874	USD	1,487,000		1,474,936		12/21/16		(12,064	)
Royal Bank of Scotland PLC	ARS	7,964,961	USD	518,046		513,752		10/18/16		(4,294	)
	GBP	155,057	USD	201,364		201,333		12/21/16		(31	)
	MXN	75,422,844	USD	4,002,007		3,854,400		12/21/16		(147,607	)
	TRY	1,488,585	USD	497,000		487,941		12/21/16		(9,059	)
	USD	990,000	MXN	19,536,052		998,368		12/21/16		(8,368	)
Standard Chartered Bank	CNH	6,663,846	USD	994,000		993,544		12/21/16		(456	)
	GBP	374,969	EUR	440,000		486,875		12/21/16		(9,316	)
	SEK	27,020,828	EUR	2,836,683		3,163,165		12/21/16		(35,788	)
State Street Bank (London)	ARS	2,528,572	USD	164,193		163,097		10/18/16		(1,096	)
	CAD	647,574	USD	495,000		493,895		12/21/16		(1,105	)
	CZK	11,942,840	EUR	445,130		505,530		06/21/17		(715	)
	EUR	641,984	NOK	5,887,702		723,971		12/21/16		(12,659	)
	GBP	762,975	EUR	887,000		990,679		12/21/16		(9,600	)
	SEK	30,607,821	EUR	3,204,471		3,583,072		12/21/16		(30,637	)
	SEK	8,512,148	NOK	8,116,000		996,466		12/21/16		(18,954	)
	USD	1,485,000	CAD	1,964,301		1,498,144		12/21/16		(13,144	)
UBS AG (London)	EUR	894,000	NOK	8,145,925		1,008,172		12/21/16		(10,992	)
	EUR	80,000	PLN	345,642		90,217		12/21/16		(35	)
	MXN	9,468,325	USD	498,000		483,868		12/21/16		(14,132	)
	MYR	3,438,563	USD	856,600		832,890		10/19/16		(23,709	)
	MYR	3,454,000	USD	839,940		836,404		10/27/16		(3,536	)
	MYR	3,341,023	USD	821,657		808,756		11/09/16		(12,901	)
	PLN	1,918,925	EUR	445,000		501,058		12/21/16		(773	)
	SEK	26,882,419	EUR	2,812,688		3,146,963		12/21/16		(24,930	)
	USD	495,851	AUD	650,000		496,547		12/21/16		(697	)
	USD	218,687	EUR	194,245		219,052		12/21/16		(365	)
	USD	889,156	KRW	985,540,940		894,438		10/19/16		(5,282	)
	USD	478,644	TWD	15,005,504		479,647		10/07/16		(1,002	)
	USD	1,350,599	TWD	42,678,931		1,367,768		11/10/16		(17,169	)
Westpac Banking Corp.	AUD	988,356	USD	755,796		755,592		11/18/16		(204	)
	EUR	3,794,948	USD	4,280,151		4,271,070		11/10/16		(9,080	)
	EUR	1,003,388	USD	1,131,591		1,131,529		12/21/16		(61	)
	JPY	137,018,186	USD	1,369,689		1,351,518		10/06/16		(18,171	)
	USD	1,014,605	CNH	6,824,234		1,017,457		12/21/16		(2,851	)
	USD	2,168,970	NZD	2,991,682	$	2,171,477		12/21/16		(2,507	)
TOTAL									$	(1,355,729	)

FUTURES CONTRACTS — At September 30, 2016, the Fund had the following futures contracts:

Type	Number of Contracts Long (Short)			Expiration Date	Current Value			Unrealized Gain (Loss)
Eurodollars		(25	)	June 2018	$	(6,180,313	)	$	(2,766	)
Eurodollars		(25	)	September 2018		(6,178,125	)		880
Eurodollars		(25	)	December 2018		(6,175,313	)		567
Eurodollars		(25	)	March 2019		(6,173,750	)		255
Eurodollars		(25	)	June 2019		(6,171,875	)		(370	)
Eurodollars		(25	)	September 2019		(6,169,687	)		(1,620	)
Eurodollars		(25	)	December 2019		(6,166,875	)		(1,933	)
Eurodollars		(25	)	March 2020		(6,164,687	)		(2,245	)

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

GOLDMAN SACHS BOND FUND

ADDITIONAL INVESTMENT INFORMATION (continued)

FUTURES CONTRACTS (continued)

Type	Number of Contracts Long (Short)			Expiration Date	Current Value			Unrealized Gain (Loss)
Ultra Long U.S. Treasury Bonds		53		December 2016	$	9,745,375		$	(168,268	)
Ultra 10 Year U.S. Treasury Notes		(5	)	December 2016		(720,781	)		316
2 Year U.S. Treasury Notes		(77	)	December 2016		(16,822,094	)		(10,037	)
2 Year U.S. Treasury Notes		73		December 2016		15,948,219			(3,062	)
5 Year U.S. Treasury Notes		242		December 2016		29,406,781			104,430
5 Year U.S. Treasury Notes		(55	)	December 2016		(6,683,359	)		(525	)
10 Year U.S. Treasury Notes		(55	)	December 2016		(7,211,875	)		(37,537	)
10 Year U.S. Treasury Notes		7		December 2016		917,875			(177	)
20 Year U.S. Treasury Bonds		132		December 2016		22,196,625			(239,244	)
TOTAL								$	(361,336	)

SWAP CONTRACTS — At September 30, 2016, the Fund had the following swap contracts:

OVER THE COUNTER INTEREST RATE SWAP CONTRACTS

							Rates Exchanged
Counterparty	Notional Amount (000s)				Termination Date		Payments Received		Payments Made		Unrealized Gain (Loss)*
Barclays Bank PLC		KRW	2,447,430	(a)		10/01/25		3 month KWCDC		2.160%	$	(95,332	)
Citibank NA			1,102,660			10/06/17		2.239%		3 month KWCDC		11,994
		MYR	1,220			11/19/18		3 month KLIBOR		3.915		(3,727	)
		BRL	1,320			01/04/21		1 month Brazilian Interbank Deposit Average		11.990		(4,537	)
		MYR	775			11/15/23		3 month KLIBOR		4.450		(10,176	)
Deutsche Bank AG		KRW	765,310			10/06/17		2.245		3 month KWCDC		8,379
			3,978,210			10/15/17		2.253		3 month KWCDC		43,452
		MYR	1,100			11/14/18		3 month KLIBOR		3.880		(3,310	)
			330			08/14/23		3 month KLIBOR		4.490		(4,478	)
JPMorgan Securities, Inc.		BRL	1,320			01/04/21		11.980		1 month Brazilian Interbank Deposit Average		6,057
		MYR	420			09/26/23		3 month KLIBOR		4.330		(4,614	)
		KRW	133,720			01/15/24		3 month KWCDC		3.445		(19,846	)
		MYR	878,070	(a)		11/09/25		2.237		3 month KLIBOR		37,186
			1,183,800	(a)		11/10/25		2.330		3 month KLIBOR		55,026
Morgan Stanley & Co. International PLC			1,213,740			10/29/17		2.175		3 month KWCDC		12,277
		MYR	1,440			11/20/18		3 month KLIBOR		3.934		(4,735	)
			374,240	(a)		11/11/25		2.298		3 month KWCDC		16,861
TOTAL											$	40,477

(a) Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to September 30, 2016.

* There are no upfront payments on the swap contracts (s), therefore the unrealized gain (loss) on the swap contracts is equal to their market value.

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

GOLDMAN SACHS BOND FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION (continued)

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS

					Rates Exchanged				Market Value
Notional Amount (000s)			Termination Date		Payments Received		Payments Made		Upfront Payments Made (Received)			Unrealized Gain (Loss)
MXN	28,730			11/07/16		3.911%		Mexico Interbank TIIE 28 Days	$	1		$	(2,162	)
	12,210			11/08/16		3.920		Mexico Interbank TIIE 28 Days		—			(911	)
	24,710			11/09/16		3.900		Mexico Interbank TIIE 28 Days		1			(1,892	)
SEK	136,670			06/15/18		0.050		3 month STIBOR		125,873			19,190
	68,390	(a)		09/15/18		0.330		3 month STIBOR		360			2,871
EUR	80,180			09/21/18		0.400		6 month EURO		(1,111,977	)		1,114,454
PLN	30,260			09/21/18		1.614		6 month WIBOR		(2,508	)		(15,695	)
EUR	80,180			09/21/18		6 month EURO		0.400%		66,123			21,460
GBP	6,880	(a)		12/21/19		0.353		6 month GBP		1,390			12,080
PLN	20,260			09/21/21		1.771		6 month WIBOR		(25,649	)		(13,834	)
CAD	83,640	(a)		12/21/21		1.000		6 month CDOR		(115,794	)		170,660
NOK	107,790	(a)		12/21/21		1.250		3 month NIBOR		40,034			(41,242	)
NZD	7,080	(a)		12/21/21		2.250		3 month NZDOR		22,108			7,194
$	60,750	(a)		12/21/21		3 month LIBOR		1.500		(756,049	)		(107,913	)
SEK	135,860	(a)		12/21/21		3 month STIBOR		0.100		(43,791	)		(45,661	)
EUR	3,830	(a)		12/21/21		6 month EURO		0.250		(70,837	)		(11,716	)
	900	(a)		08/16/24		0.250		6 month EURO		(292	)		54
ZAR	6,340	(a)		08/24/25		3 month JIBAR		9.145		3,074			(11,832	)
PLN	3,310	(a)		01/22/26		3.125		6 month WIBOR		10			20,900
	4,050	(a)		06/16/26		2.972		6 month WIBOR		15			16,298
GBP	950	(a)		09/27/26		6 month GBP		1.000		(1,977	)		6,709
AUD	1,680	(a)		09/28/26		2.500		6 month AUDOR		9,058			(960	)
PLN	2,250	(a)		09/29/26		2.598		6 month WIBOR		9			(1,262	)
JPY	245,120	(a)		12/15/26		0.250		6 month JYOR		(1,831	)		7,197
$	8,130	(a)		12/15/26		2.500		3 month LIBOR		200,901			70,006
SEK	6,030	(a)		12/15/26		3 month STIBOR		2.750		(45,083	)		(1,272	)
GBP	11,720	(a)		12/15/26		6 month GBP		2.250		(869,126	)		24,194
EUR	5,580	(a)		12/21/26		0.750		6 month EURO		219,145			61,284
AUD	1,120	(a)		12/21/26		2.750		6 month AUDOR		51,803			(4,971	)
SEK	50,600	(a)		12/21/26		3 month STIBOR		0.750		12,050			(53,314	)
MXN	21,270	(a)		03/03/27		6.000		Mexico Interbank TIIE 28 Days		(28,251	)		(13,682	)
GBP	3,780	(a)		12/17/35		6 month GBP		2.500		(560,307	)		34,331
JPY	725,900	(a)		12/16/36		0.750		6 month JYOR		(495	)		36,083
	226,970	(a)		12/21/36		6 month JYOR		0.500		12,074			(68,729	)
	220,650	(a)		12/17/46		0.750		6 month JYOR		12,399			5,183
GBP	2,300	(a)		12/17/46		6 month GBP		1.000		(50,842	)		54,974
$	6,670	(a)		12/21/46		2.250		3 month LIBOR		624,656			115,276
GBP	3,720	(a)		12/21/46		6 month GBP		1.750		(876,263	)		(50,882	)
	TOTAL								$	(3,159,988	)	$	1,352,468

(a) Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to September 30, 2016.

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

GOLDMAN SACHS BOND FUND

ADDITIONAL INVESTMENT INFORMATION (continued)

OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS

												Market Value
Counterparty	Referenced Obligation	Notional Amount (000s)		Rates Received (Paid)			Termination Date		Credit Spread at September 30, 2016(b)			Upfront Payments Made (Received)			Unrealized Gain (Loss)
Protection Purchased:
Bank of America
Securities LLC	People’s Republic of China 7.500% 10/28/27	$	960		(1.000	)%		06/20/21		0.959	%	$	9,437		$	(11,386	)
			830		(1.000	)		12/20/20		0.844			4,158			(9,724	)
	People’s Republic of China 4.250%, 10/28/17		100		(1.000	)		06/20/19		0.559			(340	)		(880	)
Barclays Bank PLC	People’s Republic of China 4.250%, 10/28/17		270		(1.000	)		03/20/19		0.509			(520	)		(2,812	)
	People’s Republic of China 7.500% 10/28/27		80		(1.000	)		06/20/21		0.959			691			(864	)
Citibank NA	People’s Republic of China 4.250%, 10/28/17		3,080		(1.000	)		03/20/19		0.509			(7,096	)		(30,902	)
			4,390		(1.000	)		06/20/19		0.559			(10,835	)		(42,667	)
	People’s Republic of China 7.500% 10/28/27		560		(1.000	)		06/20/21		0.959			4,959			(6,171	)
			720		(1.000	)		12/20/20		0.844			5,132			(9,959	)
Deutsche Bank AG	People’s Republic of China 7.500% 10/28/27		460		(1.000	)		06/20/21		0.959			5,072			(6,068	)
JPMorgan Securities, Inc.	People’s Republic of China 4.250%, 10/28/17		270		(1.000	)		03/20/19		0.509			(467	)		(2,864	)
			120		(1.000	)		06/20/19		0.559			(441	)		(1,022	)
	People’s Republic of China 7.500% 10/28/27		10		(1.000	)		06/20/21		0.959			91			(112	)
			6,410		(1.000	)		12/20/20		0.844			42,448			(85,431	)
TOTAL												$	52,289		$	(210,862	)

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

CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACT

										Market Value
Referenced Obligation	Notional Amount (000s)	Rates Received (Paid)			Termination Date		Credit Spread at September 30, 2016(b)			Upfront Payments Made (Received)			Unrealized Gain (Loss)
Protection Purchased:
CDX North America High Yield Index 26	$1,825		(5.000	)%		06/20/21		3.757	%	$	(83,173	)	$	(13,026	)
TOTAL										$	(83,173	)	$	(13,026	)

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

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

GOLDMAN SACHS CORE FIXED INCOME FUND

Schedule of Investments

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – 32.7%
	Automotive – 0.6%
	Ford Motor Credit Co. LLC
$	3,250,000		5.875	%		08/02/21	$	3,709,908
	General Motors Financial Co., Inc.
	1,125,000		3.250			05/15/18		1,144,888
	1,755,000		3.500			07/10/19		1,807,999
								6,662,795
	Banks – 5.4%
	American Express Co.(a)
	700,000		3.625			12/05/24		728,455
	Bank of America Corp.
	3,050,000		4.125			01/22/24		3,307,713
	2,300,000		4.000			04/01/24		2,478,508
	Bank of Scotland PLC(b)
	400,000		5.250			02/21/17		406,234
	Compass Bank(a)
	875,000		1.850			09/29/17		873,934
	1,000,000		2.750			09/29/19		998,723
	Credit Suisse AG
	1,475,000		2.300			05/28/19		1,493,376
	Credit Suisse Group Funding Guernsey Ltd.
	475,000		3.750			03/26/25		471,932
	Deutsche Bank AG
	275,000		2.500			02/13/19		266,852
	Discover Financial Services(a)
	1,625,000		3.750			03/04/25		1,644,451
	ING Bank NV(a)(c)
	2,025,000		4.125			11/21/23		2,073,397
	Intesa Sanpaolo SpA
	1,175,000		2.375			01/13/17		1,176,633
	2,800,000		3.875			01/16/18		2,855,107
	1,000,000		5.017	(b)		06/26/24		922,500
	JPMorgan Chase & Co.(a)(c)
	2,250,000		5.300			12/29/49		2,280,937
	KBC Bank NV(a)(c)
	1,400,000		8.000			01/25/23		1,484,840
	Keycorp
	4,350,000		2.900			09/15/20		4,515,865
	Lloyds Bank PLC
	1,575,000		2.300			11/27/18		1,592,127
	Lloyds Banking Group PLC
	425,000		4.650			03/24/26		439,256
	Macquarie Bank Ltd.(b)
	1,175,000		6.625			04/07/21		1,353,097
	Mitsubishi UFJ Financial Group, Inc.
	700,000		3.850			03/01/26		759,245
	Mizuho Financial Group, Inc.(b)
	2,175,000		2.632			04/12/21		2,201,944
	PNC Preferred Funding Trust II(a)(b)(c)
	2,500,000		2.073			03/29/49		2,387,500
	Royal Bank of Scotland Group PLC
	1,275,000		3.875			09/12/23		1,254,591
	Royal Bank of Scotland PLC(a)(c)
	1,025,000		9.500			03/16/22		1,057,031
	Corporate Obligations – (continued)
	Banks – (continued)
	Santander Bank NA
$	1,900,000		2.000	%(a)		01/12/18	$	1,900,234
	975,000		8.750			05/30/18		1,068,727
	Santander Holdings USA, Inc.(a)
	650,000		2.650			04/17/20		653,907
	Santander UK Group Holdings PLC
	1,375,000		2.875			10/16/20		1,385,429
	Santander UK PLC(b)
	2,075,000		5.000			11/07/23		2,162,474
	Synchrony Financial(a)
	1,625,000		2.600			01/15/19		1,644,141
	1,900,000		3.000			08/15/19		1,944,888
	The Bank of Tokyo-Mitsubishi UFJ Ltd.(b)
	2,700,000		2.150			09/14/18		2,723,536
	The Toronto-Dominion Bank(a)(c)
	925,000		3.625			09/15/31		927,551
	UBS Group Funding Jersey Ltd.(b)
	3,350,000		4.125			09/24/25		3,510,763
								56,945,898
	Brokerage – 0.7%
	Morgan Stanley, Inc.
	4,700,000		3.700			10/23/24		4,959,238
	700,000		4.000			07/23/25		752,751
	TD Ameritrade Holding Corp.(a)
	1,950,000		2.950			04/01/22		2,031,920
								7,743,909
	Chemicals – 0.2%
	Ecolab, Inc.
	975,000		5.500			12/08/41		1,216,589
	Westlake Chemical Corp.(a)(b)
	925,000		3.600			08/15/26		927,623
								2,144,212
	Consumer Products – 0.3%
	Kimberly-Clark Corp.
	1,525,000		3.700			06/01/43		1,638,347
	The Priceline Group, Inc.(a)
	1,900,000		3.600			06/01/26		1,992,105
								3,630,452
	Diversified Financial Services – 0.1%
	GE Capital International Funding Co.
	1,110,000		4.418			11/15/35		1,245,825
	Diversified Manufacturing(a) – 0.1%
	Roper Technologies, Inc.
	1,300,000		3.000			12/15/20		1,351,370
	Electric – 1.1%
	Emera US Finance LP(a)(b)
	950,000		2.700			06/15/21		972,189
	Entergy Corp.(a)
	1,025,000		2.950			09/01/26		1,026,669
	Florida Power & Light Co.(a)
	2,132,000		4.125			02/01/42		2,392,520

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

GOLDMAN SACHS CORE FIXED INCOME FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Electric – (continued)
	Pacific Gas & Electric Co.(a)
$	975,000		3.500	%		06/15/25	$	1,056,813
	Puget Sound Energy, Inc.(a)(c)
	1,230,000		6.974			06/01/67		1,057,800
	Ruwais Power Co. PJSC(b)
	740,000		6.000			08/31/36		900,950
	Southern California Edison Co.(a)
	1,950,000		4.050			03/15/42		2,150,698
	The Southern Co.(a)
	1,975,000		2.350			07/01/21		2,012,720
								11,570,359
	Energy – 1.6%
	Anadarko Petroleum Corp.
	190,000		3.450	(a)		07/15/24		187,416
	1,125,000		6.450			09/15/36		1,314,338
	Apache Corp.(a)
	275,000		3.250			04/15/22		282,189
	400,000		2.625			01/15/23		393,788
	1,375,000		4.250			01/15/44		1,335,701
	ConocoPhillips Co.(a)
	1,135,000		3.350			11/15/24		1,162,029
	725,000		4.950			03/15/26		817,196
	900,000		4.150			11/15/34		898,199
	Devon Energy Corp.(a)
	250,000		4.000			07/15/21		260,849
	425,000		5.600			07/15/41		428,821
	825,000		4.750			05/15/42		769,097
	Dolphin Energy Ltd.(b)
	368,880		5.888			06/15/19		391,013
	Occidental Petroleum Corp.(a)
	1,650,000		3.400			04/15/26		1,740,763
	Petroleos Mexicanos
	250,000		5.500	(b)		02/04/19		263,750
	18,000		6.375			02/04/21		19,539
	610,000		6.375	(b)		02/04/21		662,155
EUR	1,250,000		5.125			03/15/23		1,569,179
$	230,000		4.500			01/23/26		223,146
	383,000		6.875			08/04/26		431,833
	470,000		6.875	(b)		08/04/26		529,925
	10,000		6.625			06/15/35		10,129
	84,000		5.500			06/27/44		71,996
	20,000		6.375			01/23/45		19,200
	190,000		5.625			01/23/46		165,737
	200,000		6.750	(b)		09/21/47		200,000
	Pioneer Natural Resources Co.(a)
	1,450,000		3.450			01/15/21		1,507,801
	Valero Energy Corp.
	950,000		3.650			03/15/25		970,514
								16,626,303
	Food & Beverage – 3.5%
	Amazon.com, Inc.(a)
	2,650,000		3.300			12/05/21		2,841,555
	Corporate Obligations – (continued)
	Food & Beverage – (continued)
	Anheuser-Busch InBev Finance, Inc.(a)
$	6,000,000		2.650	%		02/01/21	$	6,191,376
	3,650,000		3.650			02/01/26		3,920,100
	800,000		4.900			02/01/46		951,825
	CVS Health Corp.(a)
	1,100,000		4.125			05/15/21		1,202,139
	2,100,000		3.500			07/20/22		2,247,817
	2,150,000		3.375			08/12/24		2,275,395
	2,700,000		2.875			06/01/26		2,740,006
	Kraft Heinz Foods Co.(a)
	1,050,000		2.800			07/02/20		1,088,142
	1,550,000		3.950			07/15/25		1,677,005
	900,000		5.200			07/15/45		1,064,363
	950,000		4.375			06/01/46		1,005,125
	Molson Coors Brewing Co.(a)
	525,000		2.100			07/15/21		529,832
	725,000		3.000			07/15/26		730,021
	Pernod-Ricard SA(b)
	2,300,000		4.450			01/15/22		2,536,886
	SABMiller Holdings, Inc.(b)
	525,000		4.950			01/15/42		613,228
	Suntory Holdings Ltd.(b)
	2,550,000		2.550			09/29/19		2,599,564
	Walgreens Boots Alliance, Inc.(a)
	450,000		2.700			11/18/19		463,717
	975,000		2.600			06/01/21		997,785
	1,075,000		3.450			06/01/26		1,115,977
								36,791,858
	Health Care – Services – 0.4%
	Aetna, Inc.(a)
	900,000		2.400			06/15/21		910,421
	750,000		2.800			06/15/23		765,854
	Cigna Corp.(a)
	1,675,000		3.250			04/15/25		1,727,004
	UnitedHealth Group, Inc.
	950,000		4.625			07/15/35		1,103,207
								4,506,486
	Health Care Products – 0.8%
	Becton Dickinson & Co.
	2,000,000		2.675			12/15/19		2,065,420
	Medtronic, Inc.
	725,000		2.500			03/15/20		749,861
	1,275,000		3.150			03/15/22		1,355,686
	Stryker Corp.(a)
	575,000		2.625			03/15/21		592,713
	1,175,000		3.375			11/01/25		1,232,407
	Thermo Fisher Scientific, Inc.(a)
	1,325,000		3.000			04/15/23		1,356,963
	1,025,000		3.650			12/15/25		1,082,772
								8,435,822
	Life Insurance(b) – 0.9%
	AIA Group Ltd.(a)
	925,000		3.200			03/11/25		943,976

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

GOLDMAN SACHS CORE FIXED INCOME FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Life Insurance(b) – (continued)
	Reliance Standard Life Global Funding II
$	2,050,000		2.500	%		01/15/20	$	2,077,589
	Teachers Insurance & Annuity Association of America
	560,000		4.900			09/15/44		629,839
	The Dai-ichi Life Insurance Co., Ltd.(a)(c)
	2,600,000		4.000			07/23/49		2,613,000
	The Northwestern Mutual Life Insurance Co.
	2,500,000		6.063			03/30/40		3,235,303
								9,499,707
	Lodging(a) – 0.3%
	Marriott International, Inc.
	766,000		2.875			03/01/21		794,626
	2,375,000		2.300			01/15/22		2,395,033
								3,189,659
	Media – Cable – 0.7%
	Charter Communications Operating LLC/Charter Communications Operating Capital(a)(b)
	350,000		3.579			07/23/20		365,819
	1,975,000		4.908			07/23/25		2,178,534
	200,000		6.484			10/23/45		241,864
	Comcast Corp.(a)
	3,075,000		3.375			08/15/25		3,304,506
	Time Warner Cable LLC
	425,000		5.000			02/01/20		460,699
	275,000		5.875	(a)		11/15/40		305,384
								6,856,806
	Media – Non Cable – 0.8%
	21st Century Fox America, Inc.(a)
	2,900,000		3.700			09/15/24		3,132,354
	NBCUniversal Media LLC
	3,850,000		4.375			04/01/21		4,283,864
	Time Warner, Inc.(a)
	450,000		3.875			01/15/26		487,406
								7,903,624
	Metals & Mining(b) – 0.3%
	Glencore Funding LLC
	3,075,000		2.700			10/25/17		3,079,612
	228,000		2.500			01/15/19		227,453
								3,307,065
	Noncaptive – Financial – 0.4%
	Capital One Financial Corp.(a)
	1,950,000		4.200			10/29/25		2,034,420
	General Electric Co.
	337,000		6.150			08/07/37		462,468
	International Lease Finance Corp.(b)
	1,400,000		7.125			09/01/18		1,527,750
								4,024,638
	Pharmaceuticals – 2.5%
	AbbVie, Inc.(a)
	1,950,000		2.500			05/14/20		1,987,974
	925,000		2.300			05/14/21		933,034
	Corporate Obligations – (continued)
	Pharmaceuticals – (continued)
	Actavis Funding SCS
$	2,200,000		2.350	%		03/12/18	$	2,222,684
	525,000		3.450	(a)		03/15/22		551,165
	735,000		3.800	(a)		03/15/25		777,890
	1,225,000		4.850	(a)		06/15/44		1,347,445
	Bayer US Finance LLC(b)
	2,775,000		3.000			10/08/21		2,905,922
	EMD Finance LLC(a)(b)
	3,325,000		2.950			03/19/22		3,427,683
	Forest Laboratories LLC(a)(b)
	3,175,000		4.375			02/01/19		3,344,615
	900,000		5.000			12/15/21		1,007,255
	Shire Acquisitions Investments Ireland DAC
	2,550,000		1.900			09/23/19		2,548,692
	2,125,000		3.200	(a)		09/23/26		2,136,430
	Teva Pharmaceutical Finance Netherlands III BV
	1,600,000		2.800			07/21/23		1,604,105
	1,450,000		3.150			10/01/26		1,456,708
								26,251,602
	Pipelines(a) – 1.3%
	Columbia Pipeline Group, Inc.
	925,000		3.300			06/01/20		958,711
	Enbridge, Inc.
	700,000		3.500			06/10/24		695,365
	Energy Transfer Partners LP
	175,000		5.200			02/01/22		189,677
	210,000		3.600			02/01/23		206,672
	125,000		4.750			01/15/26		129,144
	EnLink Midstream Partners LP
	1,650,000		4.150			06/01/25		1,579,537
	700,000		4.850			07/15/26		704,392
	Enterprise Products Operating LLC
	215,000		3.350			03/15/23		219,999
	85,000		3.750			02/15/25		88,089
	2,900,000		4.465	(c)		08/01/66		2,733,540
	1,350,000		7.000	(c)		06/01/67		1,143,126
	Kinder Morgan Energy Partners LP
	425,000		5.400			09/01/44		426,065
	Kinder Morgan, Inc.
	1,850,000		3.050			12/01/19		1,890,443
	Sunoco Logistics Partners Operations LP
	475,000		4.250			04/01/24		493,403
	Western Gas Partners LP
	1,050,000		3.950			06/01/25		1,035,796
	Williams Partners LP
	1,600,000		3.900			01/15/25		1,596,664
								14,090,623
	Property/Casualty Insurance – 0.4%
	American International Group, Inc.(a)
	1,000,000		3.750			07/10/25		1,048,846
	Arch Capital Group Ltd.
	1,125,000		7.350			05/01/34		1,518,965

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

GOLDMAN SACHS CORE FIXED INCOME FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Property/Casualty Insurance – (continued)
	The Chubb Corp.(a)(c)
$	1,125,000		6.375	%		03/29/67	$	1,068,862
								3,636,673
	Real Estate Investment Trusts – 2.3%
	American Campus Communities Operating Partnership LP(a)
	2,575,000		3.750			04/15/23		2,694,289
	Camden Property Trust
	3,575,000		5.700			05/15/17		3,665,923
	CubeSmart LP(a)
	1,500,000		4.000			11/15/25		1,599,482
	HCP, Inc.
	2,250,000		6.000			01/30/17		2,282,180
	Healthcare Trust of America Holdings LP(a)
	2,275,000		3.700			04/15/23		2,353,710
	Kilroy Realty LP
	2,375,000		6.625			06/01/20		2,723,517
	1,500,000		3.800	(a)		01/15/23		1,558,413
	National Retail Properties, Inc.(a)
	1,150,000		4.000			11/15/25		1,226,269
	Select Income REIT(a)
	275,000		2.850			02/01/18		276,633
	525,000		3.600			02/01/20		533,083
	UDR, Inc.(a)
	1,050,000		2.950			09/01/26		1,042,216
	Ventas Realty LP(a)
	975,000		3.500			02/01/25		1,005,908
	1,850,000		3.250			10/15/26		1,867,288
	Welltower, Inc.(a)
	1,557,000		4.125			04/01/19		1,637,347
								24,466,258
	Schools – 0.3%
	Rensselaer Polytechnic Institute
	2,600,000		5.600			09/01/20		2,936,957
	Technology – Hardware – 1.6%
	Cisco Systems, Inc.
	3,875,000		1.400			09/20/19		3,878,383
	1,450,000		2.200			02/28/21		1,483,612
	Fidelity National Information Services, Inc.(a)
	2,575,000		3.625			10/15/20		2,731,228
	1,150,000		3.000			08/15/26		1,138,705
	Fiserv, Inc.(a)
	1,425,000		2.700			06/01/20		1,469,334
	Hewlett Packard Enterprise Co.(a)(b)
	1,025,000		4.900			10/15/25		1,093,988
	Intel Corp.(a)
	2,375,000		3.700			07/29/25		2,634,868
	NVIDIA Corp.(a)
	1,150,000		2.200			09/16/21		1,153,502
	Oracle Corp.(a)
	1,600,000		2.500			05/15/22		1,642,373
								17,225,993
	Corporate Obligations – (continued)
	Tobacco – 2.3%
	BAT International Finance PLC(b)
$	14,950,000		2.750	%		06/15/20	$	15,480,740
	Philip Morris International, Inc.(a)
	1,075,000		2.750			02/25/26		1,102,753
	Reynolds American, Inc.(a)
	6,850,000		4.450			06/12/25		7,642,723
								24,226,216
	Transportation(b) – 0.6%
	ERAC USA Finance LLC
	3,525,000		2.350			10/15/19		3,581,213
	Penske Truck Leasing Co. LP/PTL Finance Corp.
	1,225,000		3.375	(a)		02/01/22		1,273,904
	1,425,000		4.250			01/17/23		1,503,106
								6,358,223
	Wirelines Telecommunications – 3.2%
	American Tower Corp.(a)
	1,025,000		3.300			02/15/21		1,071,519
	AT&T, Inc.
	2,450,000		3.800			03/15/22		2,624,168
	3,675,000		3.400	(a)		05/15/25		3,775,724
	Crown Castle International Corp.(a)
	575,000		2.250			09/01/21		574,534
	Telefonica Emisiones SAU
	3,875,000		5.462			02/16/21		4,400,280
	Verizon Communications, Inc.
	6,181,000		2.625			02/21/20		6,356,602
	3,300,000		4.500			09/15/20		3,621,314
	8,500,000		5.150			09/15/23		9,901,880
	1,700,000		2.625	(a)		08/15/26		1,668,499
								33,994,520
	TOTAL CORPORATE OBLIGATIONS
	(Cost $331,862,749)						$	345,623,853
	Mortgage-Backed Obligations – 30.9%
	Adjustable Rate Non-Agency(c) – 0.4%
	Harborview Mortgage Loan Trust Series 2005-16, Class 2A1A
$	672,172		0.754	%		01/19/36	$	440,306
	Leek Finance Number Eighteen PLC Series 2018X, Class A2C
EUR	227,112		0.000			09/21/38		275,145
	Leek Finance PLC Series 2018X, Class A2B
$	1,551,932		0.904			09/21/38		1,673,021
	Master Adjustable Rate Mortgages Trust Series 2006-OA2, Class 4A1A
	1,134,768		1.339			12/25/46		951,062
	Sequoia Mortgage Trust Series 2003-4, Class 1A2
	750,706		1.663			07/20/33		703,407
	Washington Mutual Mortgage Pass-Through Certificates Series 2002-AR19, Class A7
	49,382		2.568			02/25/33		49,012
	TOTAL ADJUSTABLE RATE NON-AGENCY						$	4,091,953

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

GOLDMAN SACHS CORE FIXED INCOME FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Mortgage-Backed Obligations – (continued)
	Collateralized Mortgage Obligations – 1.2%
	Interest Only(c)(d) – 0.0%
	CS First Boston Mortgage Securities Corp. Series 2003-AR18, Class 2X
$	315,596		0.000	%		07/25/33	$	—
	CS First Boston Mortgage Securities Corp. Series 2003-AR20, Class 2X
	370,588		0.000			08/25/33		1
								1
	Inverse Floaters(c) – 0.0%
	GNMA REMIC Series 2002-13, Class SB
	77,332		35.095			02/16/32		134,210
	Planned Amortization Class – 0.0%
	FNMA REMIC Series 2003-134, Class ME
	18,226		4.500			06/25/33		18,610
	FNMA REMIC Series 2004-64, Class BA
	9,349		5.000			03/25/34		9,476
								28,086
	Sequential Fixed Rate – 1.2%
	FHLMC REMIC Series 2755, Class ZA
	754,686		5.000			02/15/34		828,006
	FHLMC REMIC Series 4273, Class PD
	1,921,833		6.500			11/15/43		2,237,309
	FNMA REMIC Series 2011-52, Class GB
	1,823,183		5.000			06/25/41		2,019,337
	FNMA REMIC Series 2011-99, Class DB
	1,779,190		5.000			10/25/41		1,968,806
	FNMA REMIC Series 2012-111, Class B
	315,574		7.000			10/25/42		366,241
	FNMA REMIC Series 2012-153, Class B
	1,068,358		7.000			07/25/42		1,260,586
	NCUA Guaranteed Notes Series A4
	3,500,000		3.000			06/12/19		3,673,950
								12,354,235
	TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS						$	12,516,532
	Commercial Mortgage-Backed Securities – 1.7%
	Sequential Fixed Rate – 0.8%
	Wachovia Bank Commercial Mortgage Trust Series 2007-C31, Class A4
$	7,289,715		5.509	%		04/15/47	$	7,362,410
	FHLMC Multifamily Structured Pass-Through Certificates Series K020, Class A2
	800,000		2.373			05/25/22		830,636
								8,193,046
	Sequential Floating Rate(c) – 0.9%
	Citigroup Commercial Mortgage Trust Series 2008-C7, Class A1A
	9,539,838		6.247			12/10/49		9,845,219
	TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES						$	18,038,265
	Mortgage-Backed Obligations – (continued)
	Federal Agencies – 27.6%
	Adjustable Rate FNMA(c) – 0.6%
$	7,997		2.836	%		06/01/33	$	8,435
	1,085,143		2.958			07/01/34		1,138,192
	2,466,329		2.684			09/01/34		2,573,274
	1,826,775		2.886			05/01/35		1,920,117
	488,600		2.574			06/01/35		506,993
								6,147,011
	FHLMC – 2.0%
	62		5.000			01/01/17		63
	473		5.000			02/01/17		486
	457		5.000			03/01/17		462
	5,054		5.000			09/01/17		5,195
	14,808		5.000			10/01/17		15,212
	91		7.000			10/01/17		92
	12,552		5.000			11/01/17		12,893
	5,248		5.000			12/01/17		5,391
	7,370		5.000			01/01/18		7,560
	19,289		5.000			02/01/18		19,722
	15,017		5.000			03/01/18		15,380
	9,666		5.000			04/01/18		9,908
	6,314		5.000			05/01/18		6,480
	5,636		5.000			06/01/18		5,791
	12,358		5.000			07/01/18		12,716
	3,214		5.000			08/01/18		3,307
	19,202		4.500			09/01/18		19,694
	2,144		5.000			10/01/18		2,212
	3,583		5.000			11/01/18		3,692
	44,566		5.000			06/01/19		46,324
	84,610		5.000			05/01/23		93,692
	249,946		4.500			10/01/23		273,546
	52,076		5.500			10/01/25		58,437
	4,929		7.000			06/01/26		5,367
	11,529		7.500			12/01/30		11,948
	13,140		7.500			01/01/31		14,343
	433,364		5.500			03/01/33		489,650
	20,984		5.000			10/01/33		23,361
	60,973		6.500			10/01/33		71,311
	744		5.500			12/01/33		867
	23,453		5.500			09/01/34		26,896
	1,885		5.500			12/01/34		2,129
	1,755		5.500			03/01/35		1,975
	4,411		5.000			04/01/35		4,907
	30,951		5.000			07/01/35		34,417
	48,333		5.500			11/01/35		54,676
	161,493		5.000			12/01/35		184,108
	333		5.500			02/01/36		385
	70,214		5.500			06/01/36		79,056
	55,885		5.500			08/01/37		62,692
	329,168		5.000			01/01/38		364,383
	152,689		5.500			03/01/38		174,918
	67,879		5.500			04/01/38		77,825
	97,339		5.500			08/01/38		112,180
	2,644		5.500			09/01/38		3,026
	6,397		6.500			09/01/38		7,489
	10,965		5.500			11/01/38		12,797

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

GOLDMAN SACHS CORE FIXED INCOME FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Mortgage-Backed Obligations – (continued)
	FHLMC – (continued)
$	18,506		5.500	%		12/01/38	$	20,837
	809,067		5.000			01/01/39		895,736
	992,859		7.000			02/01/39		1,164,927
	5,588		5.500			03/01/39		6,339
	220,175		5.000			06/01/39		243,794
	7,311		5.500			10/01/39		8,359
	19,540		5.500			03/01/40		22,302
	24,801		4.000			06/01/40		26,583
	35,764		5.500			06/01/40		40,937
	22,811		5.000			08/01/40		25,435
	6,516		4.500			11/01/40		7,164
	307,542		4.000			02/01/41		331,213
	13,833		5.000			04/01/41		15,485
	18,606		5.000			06/01/41		20,729
	24,120		4.000			11/01/41		26,027
	1,605,593		3.500			06/01/45		1,714,159
	1,254,960		3.500			10/01/45		1,340,209
	5,767,070		3.500			03/01/46		6,158,824
	2,897,672		3.500			04/01/46		3,086,359
	1,183,378		3.500			05/01/46		1,261,175
	1,965,319		3.500			06/01/46		2,117,862
								20,973,416
	FNMA – 15.7%
	4,433,239		2.800			03/01/18		4,485,472
	2,761,086		3.740			05/01/18		2,824,463
	3,480,000		3.840			05/01/18		3,563,742
	20,156		5.000			06/01/18		20,738
	136,162		4.500			07/01/18		139,578
	9,252		4.500			08/01/18		9,495
	138		6.500			10/01/18		158
	9,000,000		4.506			06/01/19		9,324,837
	1,850,643		3.414			10/01/20		1,966,188
	1,425,806		3.619			12/01/20		1,530,812
	3,749,350		4.381			06/01/21		4,153,906
	118,167		5.500			09/01/23		128,294
	35,976		5.500			10/01/23		39,226
	342,919		5.000			02/01/24		367,518
	56,142		7.000			08/01/27		65,208
	1,933		6.500			09/01/27		2,224
	231,528		7.000			03/01/28		270,314
	3,737		6.500			05/01/28		4,313
	18,284		8.000			02/01/31		21,093
	69,527		7.000			03/01/31		74,607
	1,684		5.500			05/01/33		1,918
	24,721		5.000			07/01/33		28,192
	47,962		5.000			08/01/33		53,918
	1,604		5.000			09/01/33		1,803
	9,793		5.500			09/01/33		11,225
	1,777		6.500			09/01/33		2,051
	18,763		5.000			12/01/33		21,349
	561		5.500			12/01/33		635
	1,196		5.500			01/01/34		1,371
	12,718		5.500			02/01/34		14,576
	2,286		5.500			04/01/34		2,639
	8,238		5.500			05/01/34		9,454
	Mortgage-Backed Obligations – (continued)
	FNMA – (continued)
$	2,030		6.000	%		07/01/34	$	2,353
	3,137		5.500			08/01/34		3,619
	7,796		5.500			10/01/34		8,918
	6,498		5.500			11/01/34		7,458
	85,262		5.500			12/01/34		97,778
	143,704		6.000			02/01/35		161,232
	192,794		5.000			04/01/35		219,900
	7,885		5.500			04/01/35		9,035
	7,017		5.500			07/01/35		8,074
	325		5.500			08/01/35		376
	1,266,731		5.000			09/01/35		1,409,927
	19,657		5.500			09/01/35		22,672
	1,423		5.500			12/01/35		1,643
	261		5.500			02/01/36		301
	139,703		5.500			03/01/36		160,724
	24,884		6.000			03/01/36		28,831
	788		5.500			04/01/36		907
	4,444		6.000			04/01/36		5,137
	311,108		6.000			07/01/36		356,449
	293,453		6.000			09/01/36		336,222
	2,324		5.500			01/01/37		2,673
	4,751		6.000			01/01/37		5,509
	977		5.500			02/01/37		1,124
	20,096		6.000			02/01/37		23,017
	44,024		6.000			03/01/37		50,428
	2,487		5.500			04/01/37		2,858
	2,424		5.500			05/01/37		2,792
	1,056		5.500			06/01/37		1,213
	540		5.500			07/01/37		617
	500,623		6.000			07/01/37		573,386
	6,516		6.000			08/01/37		7,463
	130,006		6.000			09/01/37		148,901
	409,167		6.000			10/01/37		468,637
	461,504		6.000			11/01/37		533,063
	529		5.500			12/01/37		607
	30,322		5.000			02/01/38		32,846
	1,064		5.500			02/01/38		1,223
	6,017		5.500			03/01/38		6,904
	33,039		6.000			03/01/38		38,422
	67,804		5.000			04/01/38		75,240
	226,155		6.000			04/01/38		259,038
	1,151		5.500			05/01/38		1,319
	534,558		6.000			05/01/38		612,253
	6,465		5.500			06/01/38		7,410
	57,583		6.000			06/01/38		65,953
	4,883		5.500			07/01/38		5,598
	2,455		5.500			08/01/38		2,815
	2,086		5.500			09/01/38		2,391
	296,671		6.000			10/01/38		339,790
	305,811		6.000			11/01/38		350,261
	3,765		5.500			12/01/38		4,263
	58,389		5.000			02/01/39		64,860
	83,902		6.000			02/01/39		96,102
	614,415		7.000			03/01/39		725,252
	47,076		4.500			04/01/39		52,619
	393,507		6.000			04/01/39		450,701

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

GOLDMAN SACHS CORE FIXED INCOME FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date			Value
	Mortgage-Backed Obligations – (continued)
	FNMA – (continued)
$	13,077		4.500	%		05/01/39		$	14,616
	14,345		5.500			06/01/39			16,472
	7,627		4.500			07/01/39			8,525
	640,681		5.000			07/01/39			710,977
	78,901		4.500			08/01/39			88,191
	425,294		6.000			09/01/39			487,109
	12,645		5.500			11/01/39			14,497
	409,348		6.000			11/01/39			468,667
	596,417		4.500			12/01/39			666,635
	55,179		6.000			04/01/40			63,202
	404,759		5.000			06/01/40			449,900
	113,718		5.000			07/01/40			126,400
	613,617		6.000			10/01/40			702,804
	352,324		5.000			11/01/40			390,982
	383,186		6.000			04/01/41			438,880
	1,166,201		4.500			05/01/41			1,281,752
	276,125		6.000			05/01/41			316,258
	213,382		4.500			08/01/41			235,037
	75,253		3.500			11/01/41			80,112
	80,289		3.500			06/01/42			85,486
	485,515		5.000			07/01/42			539,663
	984,108		3.500			10/01/42			1,041,933
	40,402		3.000			11/01/42			42,378
	854,842		3.000			12/01/42			894,423
	1,220,517		3.000			01/01/43			1,280,356
	195,230		3.000			02/01/43			204,778
	1,236,242		3.000			03/01/43			1,296,702
	2,098,289		3.000			04/01/43			2,200,908
	366,495		3.500			04/01/43			387,004
	1,496,864		3.000			05/01/43			1,570,071
	139,834		3.500			05/01/43			148,994
	145,430		3.000			06/01/43			152,542
	1,286,289		3.000			07/01/43			1,349,198
	8,400,643		3.500			07/01/43			8,870,742
	2,679,021		3.500			08/01/43			2,829,587
	80,995		3.500			09/01/43			86,301
	199,367		3.500			01/01/44			212,489
	1,713,471		5.000			05/01/44			1,902,324
	530,454		3.500			04/01/45			565,866
	134,508		3.500			06/01/45			143,503
	72,021		3.500			07/01/45			76,852
	57,513		3.500			09/01/45			61,568
	127,349		3.500			10/01/45			135,931
	92,749		3.500			11/01/45			98,999
	46,136		3.500			12/01/45			49,245
	141,491		3.500			01/01/46			151,025
	1,756,697		3.500			05/01/46			1,871,775
	1,972,483		3.500			06/01/46			2,115,976
	4,000,000		3.000			TBA-30yr	(e)		4,149,062
	55,000,000		3.500			TBA-30yr	(e)		58,042,188
	27,000,000		4.000			TBA-30yr	(e)		28,995,467
	1,000,000		5.000			TBA-30yr	(e)		1,110,703
									166,225,476
	Mortgage-Backed Obligations – (continued)
	GNMA – 9.3%
$	1,109,054		3.950	%		07/15/25		$	1,196,866
	15,522		6.000			11/15/38			18,070
	186,789		5.000			07/15/40			209,895
	358,488		5.000			01/15/41			402,833
	19,871,319		4.000			10/20/43			21,360,332
	15,590,483		4.000			07/20/45			16,731,754
	830,423		4.000			08/20/45			890,175
	4,531,146		4.000			09/20/45			4,857,176
	4,605,228		4.000			10/20/45			4,935,149
	3,768,000		4.000			03/20/46			4,037,942
	149,209		4.000			04/20/46			160,062
	2,148,559		4.000			05/20/46			2,306,511
	972,228		4.000			06/20/46			1,043,096
	38,000,000		4.000			TBA-30yr	(e)		40,722,343
									98,872,204
	TOTAL FEDERAL AGENCIES							$	292,218,107
	TOTAL MORTGAGE-BACKED OBLIGATIONS
	(Cost $324,384,993)							$	326,864,857
	Agency Debentures – 3.8%
	FHLB
$	6,800,000		2.125	%		06/09/23		$	7,039,469
	3,500,000		3.375			09/08/23			3,904,908
	750,000		3.375			12/08/23			839,384
	2,400,000		5.000			09/28/29			3,109,997
	FNMA
	3,700,000		1.875			09/24/26			3,681,444
	4,200,000		6.250			05/15/29			6,073,770
	Private Export Funding Corp.
	7,000,000		5.450			09/15/17			7,303,450
	Small Business Administration
	26,532		6.300			06/01/18			27,423
	Tennessee Valley Authority
	5,400,000		3.875			02/15/21			6,004,215
	1,400,000		4.625			09/15/60			1,784,723
	TOTAL AGENCY DEBENTURES
	(Cost $37,262,230)							$	39,768,783
	Asset-Backed Securities – 10.0%
	Collateralized Loan Obligations(b) – 4.8%
	B&M CLO Ltd. Series 2014-1A, Class A1(c)
$	3,700,000		2.033	%		04/16/26		$	3,693,074
	B&M CLO Ltd. Series 2014-1A, Class A2(c)
	650,000		2.583			04/16/26			642,210
	Halcyon Loan Advisors Funding Ltd. Series 2014-1A, Class A1(c)
	3,400,000		2.163			04/18/26			3,380,977
	Halcyon Loan Advisors Funding Ltd. Series 2014-2A, Class A1B(c)
	6,950,000		2.054			04/28/25			6,939,895

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

GOLDMAN SACHS CORE FIXED INCOME FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Asset-Backed Securities – (continued)
	Collateralized Loan Obligations(b) – (continued)
	Halcyon Loan Advisors Funding Ltd. Series 2014-2A, Class A2(c)
$	1,750,000		2.634	%		04/28/25	$	1,713,966
	Madison Park Funding X Ltd. Series 2012-10A, Class A1A(c)
	4,700,000		2.004			01/20/25		4,699,802
	Magnetite VIII Ltd. Series 2014-8A, Class A(c)
	5,750,000		2.108			04/15/26		5,762,081
	Shackleton CLO Ltd. Series 2014-5A, Class A(c)
	7,800,000		2.132			05/07/26		7,800,655
	Shackleton CLO Ltd. Series 2014-5A, Class B1(c)
	1,150,000		2.632			05/07/26		1,149,986
	SPS Servicer Advance Receivables Trust Series 2015-T2, Class AT2
	4,850,000		2.620			01/15/47		4,852,090
	Trinitas CLO Ltd. Series 2014-1A, Class A1(c)
	2,950,000		2.158			04/15/26		2,950,749
	Whitehorse VIII Ltd. Series 2014-1A, Class A(c)
	7,500,000		2.137			05/01/26		7,491,240
								51,076,725
	Home Equity(c) – 0.0%
	Impac CMB Trust Series 2004-08, Class 1A
	295,318		1.244			10/25/34		255,341
	Other(b)(c) – 0.9%
	Mortgage Repurchase Agreement Financing Trust Series 2016-1, Class A
	4,700,000		1.585			09/10/18		4,700,000
	Mortgage Repurchase Agreement Financing Trust Series 2016-2, Class A
	4,700,000		1.785			03/10/19		4,700,000
								9,400,000
	Student Loan(c) – 4.3%
	Chase Education Loan Trust Series 2007-A, Class A3
	646,272		0.694			12/28/23		635,645
	ECMC Group Student Loan Trust Series 2016-1A, Class A(b)
	5,250,000		1.864			07/26/66		5,249,914
	Edsouth Indenture No. 9 LLC Series 2015-1, Class A(b)
	3,393,230		1.324			10/25/56		3,306,292
	Educational Funding of the South, Inc. Series 2011-1, Class A2
	3,641,913		1.288			04/25/35		3,577,799
	EFS Volunteer No 3 LLC Series 2012-1, Class A2(b)
	3,625,020		1.524			02/25/25		3,630,690
	Navient Student Loan Trust Series 2016-5A, Class A(b)
	10,270,141		1.819			06/25/65		10,270,170
	Nelnet Student Loan Trust Series 2006-1, Class A5
	3,689,528		0.764			08/23/27		3,623,863
	Nelnet Student Loan Trust Series 2013-5A, Class A(b)
	741,366		1.154			01/25/37		721,051
	Northstar Education Finance, Inc. Series 2004-2, Class A3
	414,459		0.913			07/30/18		413,416
	PHEAA Student Loan Trust Series 2016-1A, Class A(b)
	5,500,000		1.728			09/25/65		5,499,948
	Scholar Funding Trust Series 2010-A, Class A(b)
	1,762,475		1.384			10/28/41		1,727,419
	SLC Student Loan Trust Series 2006-2, Class A5
	4,186,868		0.753			09/15/26		4,090,802
	Asset-Backed Securities – (continued)
	Student Loan(c) – (continued)
	SLM Student Loan Trust Series 2005-3, Class A5
$	2,101,422		0.728	%		10/25/24	$	2,072,386
								44,819,395
	TOTAL ASSET-BACKED SECURITIES
	(Cost $105,562,750)						$	105,551,461
	Foreign Debt Obligations – 1.3%
	Sovereign – 1.1%
	Republic of Chile
$	239,000		3.125	%		01/21/26	$	253,639
	390,000		3.625			10/30/42		413,400
	Republic of Colombia(a)
	1,750,000		4.000	(f)		02/26/24		1,863,750
	200,000		5.625			02/26/44		232,000
	Republic of Indonesia
	200,000		5.875			01/15/24		235,716
	420,000		4.125	(b)		01/15/25		448,253
	380,000		4.125			01/15/25		405,563
	510,000		6.750			01/15/44		698,205
	Republic of South Africa
	480,000		4.875			04/14/26		504,000
	United Mexican States
	20,000		6.050			01/11/40		24,450
	3,750,000		4.750			03/08/44		3,900,000
	1,340,000		5.550			01/21/45		1,554,400
	920,000		4.600			01/23/46		938,400
	60,000		5.750			10/12/49		63,450
								11,535,226
	Supranational – 0.2%
	Inter-American Development Bank
	2,700,000		1.000			02/27/18		2,684,629
	TOTAL FOREIGN DEBT OBLIGATIONS
	(Cost $13,668,407)						$	14,219,855
	Municipal Debt Obligations(a) – 0.9%
	California – 0.6%
	California State GO Bonds Build America Taxable Series 2009
$	950,000		7.500	%		04/01/34	$	1,439,469
	1,650,000		7.550			04/01/39		2,642,326
	California State GO Bonds Build America Taxable Series 2010
	1,645,000		7.950			03/01/36		1,966,120
								6,047,915
	Illinois – 0.1%
	Illinois State GO Bonds Build America Series 2010
	1,280,000		7.350			07/01/35		1,441,408

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

GOLDMAN SACHS CORE FIXED INCOME FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Municipal Debt Obligations(a) – (continued)
	Ohio – 0.2%
	American Municipal Power-Ohio, Inc. RB Build America Taxable Series 2010
$	1,700,000		6.270	%		02/15/50	$	2,244,782
	TOTAL MUNICIPAL DEBT OBLIGATIONS
	(Cost $7,440,426)						$	9,734,105
	Government Guarantee Obligations(g) – 2.7%
	Hashemite Kingdom of Jordan Government AID Bond
$	7,400,000		2.503	%		10/30/20	$	7,759,354
	Israel Government AID Bond
	7,827,000		5.500			09/18/23		9,764,228
	1,200,000		5.500			12/04/23		1,502,404
	2,400,000		5.500			04/26/24		3,030,533
	4,700,000		5.500			09/18/33		6,614,445
	TOTAL GOVERNMENT GUARANTEE OBLIGATIONS
	(Cost $26,358,152)						$	28,670,964
	U.S. Treasury Obligations – 23.7%
	United States Treasury Bonds
$	7,900,000		3.625	%		08/15/43	$	10,066,100
	7,690,000		3.750			11/15/43		10,017,071
	2,920,000		3.625			02/15/44		3,721,423
	31,750,000		3.000			11/15/44		36,231,194
	1,090,000		2.875			08/15/45		1,214,881
	10,600,000		3.000			11/15/45		12,102,338
	1,600,000		2.250			08/15/46		1,571,632
	United States Treasury Inflation Protected Securities
	22,904,200		0.125			04/15/18		23,158,208
	2,670,356		0.125			04/15/19		2,717,514
	2,398,026		0.125			01/15/23		2,437,737
	5,997,954		0.375	(h)		07/15/23		6,218,199
	8,003,742		0.625			01/15/24		8,401,448
	7,044,103		0.125			07/15/24		7,149,765
	3,856,354		0.375			07/15/25		3,983,498
	3,082,503		2.500			01/15/29		3,914,285
	723,743		2.125			02/15/40		964,951
	929,349		1.375			02/15/44		1,104,327
	United States Treasury Notes
	1,340,000		0.875			11/30/17		1,342,693
	32,210,000		0.750			04/30/18		32,214,190
	31,580,000		0.750			07/31/18		31,573,367
	6,200,000		1.625			06/30/20		6,336,028
	800,000		1.625			07/31/20		817,424
	14,900,000		1.375			04/30/21		15,057,940
	7,100,000		1.125			09/30/21		7,090,273
	1,330,000		1.750			09/30/22		1,362,944
	4,080,000		1.875			10/31/22		4,209,866
	13,130,000		1.375			09/30/23		13,079,712
	U.S. Treasury Obligations – (continued)
	United States Treasury Strip Coupon(i)
$	3,200,000		0.000	%		02/15/36	$	2,071,136
	TOTAL U.S. TREASURY OBLIGATIONS
	(Cost $241,270,825)						$	250,130,144

Shares	Distribution Rate			Value
Investment Company(c)(j) – 4.5%
Goldman Sachs Financial Square Government Fund – Institutional Shares
47,141,651		0.290	%	$	47,141,651
(Cost $47,141,651)
TOTAL INVESTMENTS – 110.5%
(Cost $1,134,952,183)				$	1,167,705,673

Principal Amount			Interest Rate (Paid) Received			Maturity Date		Value
	Reverse Repurchase Agreement – (0.2)%
	Citigroup Reverse Repurchase Agreement
$	(1,828,750	)		(0.500	)%		09/21/17	$	(1,828,750	)
	(Cost ($1,828,750))
	LIABILITIES IN EXCESS OF     OTHER ASSETS – (10.3)%								(109,555,759	)
	NET ASSETS – 100.0%							$	1,056,321,164

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
(a)	Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.
(b)	Exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be deemed 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 $168,334,958, which represents approximately 15.9% of net assets as of September 30, 2016.
(c)	Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on September 30, 2016.
(d)	Security with a notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate.
(e)	TBA (To Be Announced) Securities are purchased 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 $133,019,763 which represents approximately 12.6% of net assets as of September 30, 2016.

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

GOLDMAN SACHS CORE FIXED INCOME FUND

(f)	All or a portion of the security was pledged as collateral against open reverse repurchase agreements. As of September 30, 2016, the value of securities pledged amounted to $1,863,750.
(g)	Guaranteed by the United States Government until maturity. Total market value for these securities amounts to $28,670,964, which represents approximately 2.7% of net assets as of September 30, 2016.
(h)	All or a portion of security is segregated as collateral for initial margin requirements on futures transactions.
(i)	Issued with a zero coupon. Income is recognized through the accretion of discount.
(j)	Represents an Affiliated Fund.

Currency Abbreviations:
AUD	—Australian Dollar
CAD	—Canadian Dollar
CHF	—Swiss Franc
EUR	—Euro
GBP	—British Pound
JPY	—Japanese Yen
NOK	—Norwegian Krone
NZD	—New Zealand Dollar
SEK	—Swedish Krona
USD	—U.S. Dollar

Investment Abbreviations:
AUDOR	—Australian Dollar Offered Rate
CDOR	—Canadian Dollar Offered Rate
CLO	—Collateralized Loan Obligation
EURO	—Euro Offered Rate
FHLB	—Federal Home Loan Bank
FHLMC	—Federal Home Loan Mortgage Corp.
FNMA	—Federal National Mortgage Association
GNMA	—Government National Mortgage Association
GO	—General Obligation
JYOR	—Japanese Yen Offered Rate
LIBOR	—London Interbank Offered Rate
LLC	—Limited Liability Company
LP	—Limited Partnership
NCUA	—National Credit Union Administration
NIBOR	—Norwegian Interbank Offered Rate
NZDOR	—New Zealand Dollar Offered Rate
PLC	—Public Limited Company
RB	—Revenue Bond
REIT	—Real Estate Investment Trust
REMIC	—Real Estate Mortgage Investment Conduit
STIBOR	—Stockholm Interbank Offered Rate

ADDITIONAL INVESTMENT INFORMATION

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At September 30, 2016, the Fund had the following forward foreign currency exchange contracts:

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Gain
Bank of America Securities LLC	CAD	1,058,921	USD	803,000	$	807,623		12/21/16	$	4,623
	JPY	170,751,871	USD	1,673,159		1,690,209		12/21/16		17,051
	USD	807,000	CAD	1,049,524		800,456		12/21/16		6,544
	USD	752,480	GBP	567,811		737,269		12/21/16		15,210
Barclays Bank PLC	AUD	1,068,000	USD	801,278		815,865		12/21/16		14,588
	CAD	1,052,951	USD	803,000		803,070		12/21/16		70
	USD	804,000	CAD	1,045,264		797,207		12/21/16		6,793
BNP Paribas SA	CAD	423,071	USD	322,009		322,670		12/21/16		661
	CHF	787,169	USD	812,000		814,430		12/21/16		2,430
	JPY	81,567,269	USD	805,000		807,404		12/21/16		2,404
	NOK	2,868,373	EUR	308,195		358,872		12/21/16		11,317
	NZD	1,108,000	USD	800,392		804,229		12/21/16		3,837
	USD	813,000	CHF	781,578		808,645		12/21/16		4,355
	USD	1,620,000	JPY	162,739,512		1,610,898		12/21/16		9,102
Citibank NA	AUD	8,114,341	USD	6,051,432		6,198,697		12/21/16		147,265
	GBP	327,448	EUR	376,269		425,173		12/21/16		850
	JPY	310,324,324	USD	3,033,901		3,060,973		10/06/16		27,072
	JPY	246,754,373	USD	2,438,000		2,442,530		12/21/16		4,530
HSBC Bank PLC	EUR	718,000	CHF	780,186		809,695		12/21/16		2,489
	EUR	718,000	USD	809,592		809,695		12/21/16		103
	NZD	1,121,399	AUD	1,060,000		813,954		12/21/16		4,200
	NZD	2,605,871	USD	1,883,443		1,891,440		12/21/16		7,998
	USD	808,811	EUR	717,000		808,567		12/21/16		244
	USD	3,301,987	GBP	2,495,408		3,240,144		12/21/16		61,843
	USD	1,124,238	NZD	1,542,741		1,119,780		12/21/16		4,458

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

GOLDMAN SACHS CORE FIXED INCOME FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN (continued)

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Gain
Morgan Stanley & Co. International PLC	USD	4,770,567	GBP	3,588,525	$	4,655,431		11/16/16	$	115,135
Standard Chartered Bank	CAD	1,075,185	USD	812,000		820,028		12/21/16		8,028
	USD	679,529	EUR	602,515		679,462		12/21/16		67
State Street Bank (London)	AUD	2,103,000	NZD	2,177,617		1,606,521		12/21/16		25,924
	AUD	2,560,539	USD	1,927,461		1,956,044		12/21/16		28,583
	CAD	2,099,669	USD	1,599,700		1,601,386		12/21/16		1,686
	NOK	33,811,751	EUR	3,635,985		4,230,300		12/21/16		129,968
	NZD	1,112,725	AUD	1,057,000		807,658		12/21/16		196
	USD	813,000	CAD	1,064,274		811,706		12/21/16		1,294
	USD	8,047,963	NZD	11,063,861		8,030,571		12/21/16		17,392
	USD	712,705	SEK	6,065,658		708,460		11/09/16		4,245
Westpac Banking Corp.	AUD	1,047,000	NZD	1,085,545		799,823		12/21/16		11,893
	AUD	1,066,000	USD	803,114		814,337		12/21/16		11,224
	EUR	1,350,132	USD	1,517,705		1,519,522		11/10/16		1,818
	USD	719,307	CAD	929,000		708,253		10/26/16		11,055
	USD	5,116,250	CAD	6,683,587		5,097,472		12/21/16		18,778
	USD	7,601,440	EUR	6,739,732		7,585,314		11/10/16		16,126
TOTAL									$	763,449

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Loss
Bank of America Securities LLC	GBP	642,801	USD	839,747	$	834,639		12/21/16	$	(5,108	)
	JPY	193,325,368	USD	1,924,277		1,913,656		12/21/16		(10,621	)
	USD	806,000	JPY	81,721,871		808,934		12/21/16		(2,934	)
	USD	389,631	NOK	3,169,045		396,490		12/21/16		(6,859	)
Barclays Bank PLC	CAD	464,535	USD	354,775		354,294		12/21/16		(481	)
	GBP	617,000	USD	807,522		801,139		12/21/16		(6,383	)
	NZD	2,215,000	USD	1,615,685		1,607,731		12/21/16		(7,954	)
	USD	286,273	CAD	376,786		287,369		12/21/16		(1,097	)
BNP Paribas SA	EUR	717,000	JPY	81,959,553		808,567		12/21/16		(2,720	)
	EUR	722,000	NOK	6,621,318		814,206		12/21/16		(14,210	)
	SEK	126,489,176	EUR	13,270,614		14,807,323		12/21/16		(158,065	)
	USD	805,442	AUD	1,056,000		806,698		12/21/16		(1,256	)
	USD	353,994	EUR	314,418		354,572		12/21/16		(578	)
Citibank NA	EUR	725,000	NOK	6,645,800		817,589		12/21/16		(13,889	)
	EUR	1,768,442	USD	1,994,688		1,994,288		12/21/16		(400	)
	GBP	3,398,712	USD	4,522,327		4,409,186		11/16/16		(113,141	)
	USD	1,613,000	CAD	2,115,048		1,613,116		12/21/16		(116	)
	USD	2,845,883	JPY	291,092,836		2,871,277		10/06/16		(25,394	)
	USD	2,288,051	JPY	233,399,545		2,310,335		12/21/16		(22,284	)
HSBC Bank PLC	EUR	1,872,374	NOK	17,104,214		2,111,493		12/21/16		(28,472	)
	GBP	250,339	USD	325,138		325,051		12/21/16		(87	)
	SEK	22,717,673	EUR	2,381,407		2,659,421		12/21/16		(26,113	)
	USD	1,425,454	NOK	11,610,594		1,452,639		12/21/16		(27,186	)
Standard Chartered Bank	CAD	3,138,466	USD	2,413,000		2,393,663		12/21/16		(19,337	)
	GBP	609,324	EUR	715,000		791,173		12/21/16		(15,139	)
	GBP	248,268	USD	322,820		322,361		12/21/16		(459	)
	SEK	22,722,053	EUR	2,385,392		2,659,933		12/21/16		(30,094	)

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

GOLDMAN SACHS CORE FIXED INCOME FUND

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Loss
State Street Bank (London)	CAD	1,051,817	USD	804,000	$	802,205		12/21/16	$	(1,795	)
	CHF	786,635	EUR	723,000		813,878		12/21/16		(1,456	)
	EUR	1,766,336	NOK	16,129,932		1,991,912		12/21/16		(26,156	)
	GBP	1,239,513	EUR	1,441,000		1,609,436		12/21/16		(15,592	)
	GBP	295,901	USD	387,148		384,210		12/21/16		(2,938	)
	SEK	50,334,237	EUR	5,269,913		5,892,325		12/21/16		(50,602	)
	SEK	13,796,826	NOK	13,155,000		1,615,111		12/21/16		(30,755	)
	USD	3,064,131	CAD	4,050,883		3,089,547		12/21/16		(25,417	)
	USD	453,491	JPY	45,963,321		454,974		12/21/16		(1,483	)
Westpac Banking Corp.	CAD	539,992	USD	418,106		411,680		10/26/16		(6,426	)
	EUR	3,808,681	USD	4,295,640		4,286,527		11/10/16		(9,113	)
	EUR	8,823,202	USD	9,950,542		9,950,002		12/21/16		(540	)
	GBP	599,835	EUR	701,206		778,851		12/21/16		(11,905	)
	JPY	99,968,928	USD	999,330		986,072		10/06/16		(13,257	)
	USD	1,737,771	NZD	2,396,926		1,739,780		12/21/16		(2,010	)
TOTAL									$	(739,822	)

FORWARD SALES CONTRACTS — At September 30, 2016, the Fund had the following forward sales contracts:

Description	Interest Rate	Maturity Date(a)	Settlement Date	Principal Amount			Value
FNMA (Proceeds Receivable: $(1,045,547))	3.000%	TBA-30yr	10/13/16	$	(1,000,000	)	$	(1,039,531	)

(a) TBA (To Be Announced) Securities are purchased or 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.

FUTURES CONTRACTS — At September 30, 2016, the Fund had the following futures contracts:

Type	Number of Contracts Long (Short)			Expiration Date	Current Value			Unrealized Gain (Loss)
Eurodollars		(9	)	June 2018	$	(2,224,913	)	$	(1,151	)
Eurodollars		(10	)	September 2018		(2,471,250	)		352
Eurodollars		(10	)	December 2018		(2,470,125	)		227
Eurodollars		(10	)	March 2019		(2,469,500	)		102
Eurodollars		(10	)	June 2019		(2,468,750	)		(148	)
Eurodollars		(10	)	September 2019		(2,467,875	)		(648	)
Eurodollars		(10	)	December 2019		(2,466,750	)		(773	)
Eurodollars		(10	)	March 2020		(2,465,875	)		(898	)
Ultra Long U.S. Treasury Bonds		(59	)	December 2016		(10,848,625	)		172,067
Ultra 10 Year U.S. Treasury Notes		(8	)	December 2016		(1,153,250	)		506
2 Year U.S. Treasury Notes		96		December 2016		20,973,000			11,838
5 Year U.S. Treasury Notes		572		December 2016		69,506,938			256,833
10 Year U.S. Treasury Notes		(158	)	December 2016		(20,717,750	)		(106,977	)
20 Year U.S. Treasury Bonds		84		December 2016		14,125,125			(124,664	)
TOTAL								$	206,666

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

GOLDMAN SACHS CORE FIXED INCOME FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION (continued)

SWAP CONTRACTS — At September 30, 2016, the Fund had the following swap contracts:

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS

					Rates Exchanged				Market Value
Notional Amount (000s)			Termination Date		Payments Received		Payments Made		Upfront Payments Made (Received)			Unrealized Gain (Loss)
SEK	77,980			06/15/18		0.050%		3 month STIBOR	$	63,903		$	18,874
	104,320	(b)		09/15/18		(0.330)		3 month STIBOR		549			4,379
EUR	42,620			09/21/18		6 month EURO		(0.400)%		(557,018	)		604,890
GBP	5,650	(b)		12/21/19		0.353		6 month GBP		1,141			9,920
CAD	56,700	(b)		12/21/21		1.000		6 month CDOR		(79,151	)		116,344
NOK	75,210	(b)		12/21/21		1.250		3 month NIBOR		27,778			(28,621	)
NZD	4,280	(b)		12/21/21		2.250		3 month NZDOR		16,297			1,417
$	41,970	(b)		12/21/21		3 month LIBOR		1.500		(522,325	)		(74,556	)
SEK	75,195	(b)		12/21/21		3 month STIBOR		0.100		(21,067	)		(28,442	)
EUR	3,430	(b)		12/21/21		6 month EURO		0.250		(63,439	)		(10,492	)
GBP	1,490			09/15/23		3.075		6 month GBP		(2,372	)		(10,442	)
EUR	1,940			09/15/23		6 month EURO		0.847		9,022			5,808
	720	(b)		08/16/24		0.250		6 month EURO		(233	)		43
GBP	660	(b)		09/27/26		6 month GBP		1.000		(1,373	)		4,661
AUD	1,160	(b)		09/28/26		2.500		6 month AUDOR		6,254			(662	)
JPY	427,210	(b)		12/15/26		0.250		6 month JYOR		(3,191	)		12,544
$	6,980	(b)		12/15/26		2.500		3 month LIBOR		96,204			136,383
SEK	10,520	(b)		12/15/26		3 month STIBOR		2.750		(78,653	)		(2,219	)
GBP	8,110	(b)		12/15/26		6 month GBP		2.250		(581,636	)		(3,039	)
EUR	4,310	(b)		12/21/26		0.750		6 month EURO		169,268			47,336
AUD	1,630	(b)		12/21/26		2.750		6 month AUDOR		75,391			(7,235	)
SEK	36,920	(b)		12/21/26		3 month STIBOR		0.750		8,792			(38,900	)
GBP	1,510			09/15/31		3.230		6 month GBP		(9,839	)		(36,603	)
	650	(b)		12/21/31		6 month GBP		1.500		(75,613	)		12,983
	2,630	(b)		12/17/35		6 month GBP		2.500		(387,051	)		21,094
JPY	501,760	(b)		12/16/36		0.750		6 month JYOR		(307	)		24,906
	109,980	(b)		12/21/36		6 month JYOR		0.500		5,850			(33,303	)
	147,520	(b)		12/17/46		0.750		6 month JYOR		8,371			3,384
GBP	1,570	(b)		12/17/46		6 month GBP		1.000		(34,622	)		37,443
$	4,460	(b)		12/21/46		2.250		3 month LIBOR		417,184			77,584
GBP	2,540	(b)		12/21/46		6 month GBP		1.750		(597,479	)		(35,572	)
	TOTAL								$	(2,109,365	)	$	829,907

(b) Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to September 30, 2016.

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

GOLDMAN SACHS CORE FIXED INCOME FUND

ADDITIONAL INVESTMENT INFORMATION (continued)

CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACT

										Market Value
Referenced Obligation	Notional Amount (000s)	Rates Received (Paid)			Termination Date		Credit Spread at September 30, 2016(c)			Upfront Payments Made (Received)			Unrealized Gain (Loss)
Protection Purchased:
CDX North America Investment Grade Index 26	$15,325		(1.000	)%		06/20/21		0.684	%	$	(206,443	)	$	(18,053	)
TOTAL										$	(206,443	)	$	(18,053	)

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

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

GOLDMAN SACHS GLOBAL INCOME FUND

Schedule of Investments

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Foreign Sovereign Debt Obligations – 44.8%
	British Pound – 3.0%
	United Kingdom Treasury
GBP	3,400,000		1.750	%		07/22/19	$	4,607,378
	2,930,000		2.000			09/07/25		4,237,569
	2,000,000		4.500			09/07/34		3,920,982
	3,070,000		4.250			03/07/36		5,948,514
	2,970,000		3.500			01/22/45		5,618,169
	720,000		3.500			07/22/68		1,650,796
								25,983,408
	Canadian Dollar – 1.5%
	British Columbia Province of Canada
CAD	800,000		3.250			12/18/21		673,361
	Government of Canada
	1,290,000		3.500			12/01/45		1,397,225
	Ontario Province of Canada
	1,800,000		4.400			06/02/19		1,498,063
	1,700,000		2.600			06/02/25		1,387,432
	2,300,000		4.650			06/02/41		2,389,795
	Province of British Columbia Canada
	2,600,000		2.850			06/18/25		2,178,475
	2,000,000		4.950			06/18/40		2,173,711
	Quebec Province of Canada
	1,800,000		4.250			12/01/21		1,576,075
								13,274,137
	Czech Koruna – 0.1%
	Czech Republic Government Bond
CZK	11,190,000		1.500			10/29/19		490,944
	Danish Krone – 0.1%
	Kingdom of Denmark
DKK	3,000,000		4.500			11/15/39		850,211
	Euro – 15.8%
	Federal Republic of Germany
EUR	2,220,000		2.500			08/15/46		3,923,277
	France Government Bond OAT
	7,130,000		4.750			04/25/35		13,780,232
	Government of France
	13,660,000		1.000			11/25/18		15,890,926
	1,330,000		4.500			04/25/41		2,702,655
	Italy Buoni Poliennali Del Tesoro
	2,830,000		3.750			05/01/21		3,685,887
	7,850,000		5.000			03/01/22		10,980,009
	9,104,557		2.350	(a)		09/15/24		11,987,768
	2,040,000		3.500	(a)		03/01/30		2,858,285
	190,000		5.000			08/01/34		319,271
	Kingdom of Belgium(a)
	4,485,000		3.750			09/28/20		5,912,202
	3,140,000		2.600			06/22/24		4,289,500
	Republic of Austria(a)
	8,990,000		4.350			03/15/19		11,335,220
	Republic of Indonesia(a)
	650,000		2.625			06/14/23		766,686
	420,000		3.750			06/14/28		516,628
	Foreign Sovereign Debt Obligations – (continued)
	Euro – (continued)
	Republic of Ireland
EUR	860,000		4.500	%		04/18/20	$	1,136,362
	510,000		3.400			03/18/24		715,196
	Republic of Italy
	7,122,827		2.150			11/12/17		8,169,501
	1,310,000		5.000			08/01/39		2,272,852
	Spain Government Bond(a)
	15,510,000		3.800			01/31/17		17,655,399
	2,200,000		4.800			01/31/24		3,240,014
	2,230,000		3.800			04/30/24		3,105,785
	1,250,000		2.750			10/31/24		1,636,551
	5,345,000		5.900			07/30/26		8,812,875
								135,693,081
	Japanese Yen – 20.5%
	Government of Japan
JPY	2,402,800,000		0.300			03/20/18		23,907,155
	667,500,000		0.200			09/20/18		6,647,353
	4,239,500,000		1.300			06/20/20		44,245,823
	50,000		0.400			06/20/25		517
	436,000,000		2.200			03/20/31		5,596,605
	225,000,000		1.700			09/20/32		2,755,559
	214,000,000		1.400			09/20/34		2,530,710
	1,574,200,000		2.500			09/20/34		21,617,792
	348,000,000		2.200			09/20/39		4,801,648
	454,000,000		1.400			09/20/45		5,634,919
	141,600,000		2.000			03/20/52		2,082,744
	235,700,000		1.400			03/20/55		3,046,819
	Japan Government Ten Year Bond
	256,250,000		0.100			06/20/26		2,575,994
	Japan Government Two Year Bond
	2,074,000,000		0.100			07/15/18		20,597,038
	Japanese Government CPI Linked Bond
	23,382,500		0.100			09/10/24		242,230
	1,565,190,300		0.100			03/10/25		16,237,663
	1,315,213,016		0.100			03/10/26		13,683,248
								176,203,817
	Mexican Peso – 0.4%
	United Mexican States
MXN	16,290,000		8.000			12/07/23		943,896
	18,960,400		7.750			11/23/34		1,111,627
	13,763,300		10.000			11/20/36		989,391
	1,882,300		8.500			11/18/38		119,692
								3,164,606
	Polish Zloty – 0.1%
	Poland Government Bond
PLN	640,000		2.000			04/25/21		165,788
	290,000		4.000			10/25/23		82,381
	790,000		5.750			04/25/29		261,537
								509,706
	Russian Ruble – 0.0%
	Russian Federation Bond
RUB	26,160,000		7.050			01/19/28		387,011

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

GOLDMAN SACHS GLOBAL INCOME FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Foreign Sovereign Debt Obligations – (continued)
	South African Rand – 0.2%
	Republic of South Africa
ZAR	18,820,000		7.750	%		02/28/23	$	1,332,915
	6,569,608		10.500			12/21/26		537,563
								1,870,478
	South Korean Won – 0.5%
	Republic of Korea
KRW	3,819,000,000		5.000			06/10/20		3,923,701
	Swedish Krona – 0.6%
	Sweden Government Bond
SEK	21,290,000		3.500			06/01/22		3,031,842
	13,770,000		1.000			11/12/26		1,739,099
								4,770,941
	United States Dollar – 2.0%
	Republic of Chile
$	6,171,000		3.125			01/21/26		6,548,974
	150,000		3.625			10/30/42		159,000
	Republic of Colombia(b)
	200,000		5.625			02/26/44		232,000
	200,000		5.000			06/15/45		217,000
	Republic of Indonesia
	970,000		5.875			01/15/24		1,143,223
	200,000		4.125	(a)		01/15/25		213,454
	1,110,000		4.125			01/15/25		1,184,670
	1,050,000		6.750			01/15/44		1,437,481
	230,000		5.125			01/15/45		261,876
	Republic of Kazakhstan
	550,000		5.125			07/21/25		618,750
	Republic of Korea
	660,000		7.125			04/16/19		755,818
	Republic of Peru
	580,000		6.550			03/14/37		819,250
	Republic of South Africa
	210,000		5.875			09/16/25		237,300
	Republic of Turkey
	500,000		5.750			03/22/24		538,750
	United Mexican States
	460,000		4.750			03/08/44		478,400
	1,210,000		5.550			01/21/45		1,403,600
	470,000		5.750			10/12/10		497,025
								16,746,571
	TOTAL FOREIGN SOVEREIGN DEBT OBLIGATIONS
	(Cost $361,027,642)						$	383,868,612
	Corporate Obligations – 16.7%
	Automotive – 0.2%
	Daimler AG
EUR	1,050,000		1.400	%		01/12/24	$	1,271,106
	Ford Motor Credit Co. LLC
$	300,000		4.250			02/03/17		302,878
								1,573,984
	Corporate Obligations – (continued)
	Banks – 4.8%
	ABN AMRO Bank NV(a)
$	800,000		4.750	%		07/28/25	$	840,253
	Bank of America Corp.
EUR	300,000		4.625			08/07/17		350,251
$	1,550,000		5.750			12/01/17		1,624,002
	1,000,000		5.650			05/01/18		1,060,767
	1,400,000		2.600			01/15/19		1,427,324
	600,000		2.650			04/01/19		613,117
	1,450,000		4.125			01/22/24		1,572,519
	150,000		3.875			08/01/25		160,248
	Bank of Ireland
EUR	1,296,000		1.250			04/09/20		1,503,322
	Cooperatieve Rabobank UA
	800,000		3.875			07/25/23		1,043,645
	Credit Agricole SA(a)
$	1,500,000		2.125			04/17/18		1,511,874
	Credit Suisse AG
	750,000		6.500			08/08/23		812,812
	Deutsche Bank AG
	150,000		2.850			05/10/19		146,772
	100,000		3.125			01/13/21		96,670
	HSBC Holdings PLC
	200,000		4.250			08/18/25		205,324
	450,000		6.800			06/01/38		593,951
	ING Bank NV
EUR	300,000		6.125	(b)(c)		05/29/23		367,635
$	900,000		5.800	(a)		09/25/23		1,006,008
	600,000		4.125	(b)(c)		11/21/23		614,340
	Intesa Sanpaolo SpA
	800,000		2.375			01/13/17		801,112
	1,700,000		3.875			01/16/18		1,733,458
	900,000		3.875			01/15/19		926,677
	500,000		5.017	(a)		06/26/24		461,250
	JPMorgan Chase & Co.(b)
	4,150,000		3.300			04/01/26		4,270,545
	KBC Bank NV(b)(c)
	1,000,000		8.000			01/25/23		1,060,600
	KBC Group NV(b)(c)
EUR	800,000		1.875			03/11/27		906,588
	Lloyds TSB Bank PLC(b)(c)
	1,250,000		11.875			12/16/21		1,435,576
	Mitsubishi UFJ Financial Group, Inc.
$	1,150,000		2.950			03/01/21		1,184,070
	Morgan Stanley, Inc.
	500,000		5.625			09/23/19		553,729
EUR	900,000		2.375			03/31/21		1,103,259
$	50,000		3.875			04/29/24		53,474
	1,700,000		3.700			10/23/24		1,793,767
EUR	300,000		1.750			01/30/25		357,212
$	300,000		4.000			07/23/25		322,608
	1,000,000		3.950			04/23/27		1,038,649
	350,000		4.300			01/27/45		374,652
	Santander UK Group Holdings PLC(a)
	900,000		5.625			09/15/45		911,836
	Santander UK PLC(a)
	600,000		5.000			11/07/23		625,294

The accompanying notes are an integral part of these financial statements. 63

GOLDMAN SACHS GLOBAL INCOME FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Banks – (continued)
	Synchrony Financial(b)
$	100,000		1.875	%		08/15/17	$	100,201
	250,000		3.000			08/15/19		255,906
	The Bank of Tokyo-Mitsubishi UFJ Ltd.(a)
	1,050,000		1.700			03/05/18		1,051,488
	UBS Group Funding Jersey Ltd.(a)
	2,400,000		3.000			04/15/21		2,464,958
	1,750,000		4.125			09/24/25		1,833,981
								41,171,724
	Chemicals(b) – 0.1%
	LyondellBasell Industries NV
	500,000		5.000			04/15/19		536,642
	Communications – 2.1%
	America Movil SAB de CV
MXN	5,260,000		6.000			06/09/19		267,508
	American Tower Corp.(b)
$	450,000		3.300			02/15/21		470,423
	AT&T, Inc.(b)
	1,750,000		3.400			05/15/25		1,797,964
	British Telecommunications PLC
GBP	244,000		6.625			06/23/17		329,459
	Charter Communications Operating LLC/Charter Communications Operating Capital(a)(b)
$	150,000		3.579			07/23/20		156,780
	1,150,000		4.908			07/23/25		1,268,513
	Deutsche Telekom International Finance BV
EUR	1,150,000		0.625			04/03/23		1,323,502
	Orange SA
	1,200,000		3.000			06/15/22		1,567,881
$	250,000		5.500	(b)		02/06/44		311,034
	Time Warner Cable LLC
	300,000		6.750			07/01/18		325,968
	450,000		5.000			02/01/20		487,799
	100,000		4.125	(b)		02/15/21		106,145
	28,000		7.300			07/01/38		35,829
	100,000		5.500	(b)		09/01/41		106,740
	Verizon Communications, Inc.
	2,248,000		2.625			02/21/20		2,311,866
	350,000		4.500			09/15/20		384,079
	750,000		5.150			09/15/23		873,695
	2,700,000		3.500	(b)		11/01/24		2,880,017
	2,600,000		2.625	(b)		08/15/26		2,551,822
	505,000		4.522			09/15/48		533,952
								18,090,976
	Consumer Cyclical Services(b) – 0.4%
	Marriott International, Inc.
	1,200,000		2.300			01/15/22		1,210,122
	700,000		3.125			06/15/26		707,498
	The Priceline Group, Inc.
	1,250,000		3.650			03/15/25		1,310,957
	500,000		3.600			06/01/26		524,238
								3,752,815
	Corporate Obligations – (continued)
	Diversified Manufacturing – 0.1%
	Roper Technologies, Inc.
$	400,000		2.050	%		10/01/18	$	404,228
	Electric – 0.8%
	Berkshire Hathaway Energy Co.
	350,000		5.950			05/15/37		453,342
	EDP Finance BV
EUR	200,000		4.875			09/14/20		258,480
	350,000		4.125			01/20/21		443,431
	100,000		2.625			01/18/22		119,837
	Electricite de France SA
	1,050,000		4.625			04/26/30		1,672,083
	400,000		4.125	(b)(c)		01/22/49		444,172
EUR	700,000		5.000	(b)(c)		01/22/49		774,825
	Enel Finance International NV
GBP	150,000		5.625			08/14/24		246,028
	100,000		5.750			09/14/40		180,017
	Engie SA
EUR	700,000		2.375			05/19/26		927,061
	Exelon Corp.(b)
$	450,000		3.950			06/15/25		485,378
	Ruwais Power Co. PJSC(a)
	520,000		6.000			08/31/36		633,100
								6,637,754
	Energy – 1.6%
	Anadarko Petroleum Corp.(b)
	50,000		3.450			07/15/24		49,320
	Apache Corp.(b)
	100,000		3.250			04/15/22		102,614
	1,400,000		2.625			01/15/23		1,378,258
	APT Pipelines Ltd.
EUR	600,000		1.375			03/22/22		686,917
	250,000		2.000			03/22/27		289,305
	Buckeye Partners LP(b)
$	550,000		4.150			07/01/23		560,256
	Columbia Pipeline Group, Inc.
	100,000		2.450			06/01/18		100,595
	150,000		3.300	(b)		06/01/20		155,467
	Devon Energy Corp.(b)
	500,000		3.250			05/15/22		496,426
	200,000		5.600			07/15/41		201,798
	50,000		4.750			05/15/42		46,612
	Dolphin Energy Ltd.
	199,280		5.888			06/15/19		211,237
	296,800		5.888	(a)		06/15/19		314,608
	Energy Transfer Partners LP(b)
	150,000		3.600			02/01/23		147,623
	Enterprise Products Operating LLC(b)
	700,000		2.850			04/15/21		720,747
	500,000		3.750			02/15/25		518,171
	Kinder Morgan Energy Partners LP(b)
	200,000		3.950			09/01/22		208,933
	Kinder Morgan, Inc.(b)
	350,000		3.050			12/01/19		357,651
	3,000,000		5.000	(a)		02/15/21		3,242,925
	300,000		4.300			06/01/25		311,794

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

GOLDMAN SACHS GLOBAL INCOME FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Energy – (continued)
	Petroleos Mexicanos
$	32,000		6.375	%		02/04/21	$	34,736
EUR	920,000		5.125			03/15/23		1,154,915
$	651,000		4.500			01/23/26		631,600
	808,000		6.875			08/04/26		911,020
	69,000		5.500			06/27/44		59,140
	30,000		6.375			01/23/45		28,800
	10,000		5.625			01/23/46		8,723
	410,000		6.750	(a)		09/21/47		410,000
	Williams Partners LP(b)
	450,000		3.900			01/15/25		449,062
								13,789,253
	Financial Companies – 0.4%
	GE Capital European Funding Unlimited Co.
EUR	1,200,000		2.875			06/18/19		1,453,879
	GE Capital International Funding Co.
$	1,500,000		3.373			11/15/25		1,623,026
								3,076,905
	Food & Beverage – 1.9%
	Anheuser-Busch InBev Finance, Inc.(b)
	2,050,000		2.650			02/01/21		2,115,387
	600,000		3.300			02/01/23		633,305
	3,500,000		3.650			02/01/26		3,759,000
	1,100,000		4.900			02/01/46		1,308,759
	CVS Health Corp.(b)
	550,000		2.800			07/20/20		569,830
	300,000		3.500			07/20/22		321,117
	350,000		4.000			12/05/23		385,506
	222,000		3.875			07/20/25		241,673
	Kraft Heinz Foods Co.(b)
	600,000		2.800			07/02/20		621,796
	500,000		3.500			07/15/22		531,340
	500,000		3.950			07/15/25		540,969
	150,000		5.000			07/15/35		173,224
	Mead Johnson Nutrition Co.(b)
	800,000		4.125			11/15/25		867,357
	Pernod-Ricard SA(a)
	400,000		4.450			01/15/22		441,198
	1,050,000		4.250			07/15/22		1,148,468
	Sigma Alimentos SA de CV(a)(b)
	720,000		4.125			05/02/26		721,800
	Walgreens Boots Alliance, Inc.(b)
	750,000		2.600			06/01/21		767,527
	850,000		3.450			06/01/26		882,400
								16,030,656
	Health Care – Services – 0.1%
	Humana, Inc.(b)
	150,000		3.850			10/01/24		160,864
	UnitedHealth Group, Inc.
	700,000		2.875			12/15/21		737,652
								898,516
	Corporate Obligations – (continued)
	Insurance – 0.1%
	Allianz Finance II BV(b)(c)
EUR	100,000		5.750	%		07/08/41	$	130,504
	MetLife, Inc.
$	110,000		3.600			04/10/24		116,512
	QBE Insurance Group Ltd.(a)
	400,000		2.400			05/01/18		402,147
	Standard Life PLC(b)(c)
	GBP 150,000		6.546			01/06/49		207,878
								857,041
	Metals & Mining – 0.3%
	Glencore Funding LLC(a)
$	2,036,000		2.500			01/15/19		2,031,113
	Rio Tinto Finance USA Ltd.
	752,000		9.000			05/01/19		888,416
								2,919,529
	Noncaptive – Financial – 0.2%
	Capital One Financial Corp.(b)
$	1,000,000		4.200			10/29/25		1,043,292
	General Electric Co.
MXN	2,000,000		8.500			04/06/18		106,706
$	350,000		5.550			05/04/20		396,627
	150,000		4.650			10/17/21		170,898
								1,717,523
	Pharmaceuticals – 1.1%
	Actavis Funding SCS
	50,000		2.450			06/15/19		51,132
	250,000		3.000	(b)		03/12/20		258,129
	100,000		3.450	(b)		03/15/22		104,984
	800,000		3.800	(b)		03/15/25		846,683
	EMD Finance LLC(a)(b)
	2,050,000		3.250			03/19/25		2,115,171
	Forest Laboratories LLC(a)(b)
	300,000		4.375			02/01/19		316,027
	4,100,000		5.000			12/15/21		4,588,605
	Teva Pharmaceutical Finance Netherlands III BV
	900,000		2.800			07/21/23		902,309
	550,000		3.150			10/01/26		552,544
								9,735,584
	Real Estate Investment Trusts(b) – 0.6%
	HCP, Inc.
	100,000		2.625			02/01/20		101,439
	1,750,000		5.375			02/01/21		1,960,443
	200,000		4.250			11/15/23		209,993
	Prologis LP
EUR	100,000		3.000			01/18/22		125,899
	Ventas Realty LP
$	1,600,000		3.500			02/01/25		1,650,720
	Ventas Realty LP/Ventas Capital Corp.
	200,000		3.250			08/15/22		208,416

The accompanying notes are an integral part of these financial statements. 65

GOLDMAN SACHS GLOBAL INCOME FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Real Estate Investment Trusts(b) – (continued)
	WEA Finance LLC/Westfield UK & Europe Finance PLC(a)
$	350,000		2.700	%		09/17/19	$	358,825
	400,000		3.750			09/17/24		420,449
								5,036,184
	Restaurants(b) – 0.0%
	McDonald’s Corp.
	100,000		2.750			12/09/20		103,766
	Technology(b) – 0.4%
	Fidelity National Information Services, Inc.
	650,000		4.500			10/15/22		716,518
	1,100,000		5.000			10/15/25		1,254,400
	Oracle Corp.
	1,050,000		2.950			05/15/25		1,084,579
								3,055,497
	Tobacco – 1.2%
	BAT International Finance PLC(a)
	800,000		2.750			06/15/20		828,401
	200,000		3.500			06/15/22		214,735
	2,100,000		3.950			06/15/25		2,320,057
	Philip Morris International, Inc.(b)
	800,000		1.875			02/25/21		807,451
	1,300,000		2.750			02/25/26		1,333,562
	Reynolds American, Inc.
	108,000		3.250			06/12/20		113,623
	150,000		4.000			06/12/22		162,954
	2,700,000		4.450	(b)		06/12/25		3,012,460
	250,000		5.700	(b)		08/15/35		308,997
	1,100,000		5.850	(b)		08/15/45		1,430,119
								10,532,359
	Transportation(a) – 0.3%
	Penske Truck Leasing Co. LP/PTL Finance Corp.
	2,350,000		3.375	(b)		02/01/22		2,443,817
	450,000		4.250			01/17/23		474,665
								2,918,482
	TOTAL CORPORATE OBLIGATIONS
	(Cost $138,478,571)						$	142,839,418
	Foreign Debt Obligation(d) – 0.3%
	Supranational – 0.3%
	European Financial Stability Facility
EUR	2,410,000		1.200	%		02/17/45	$	2,941,803
	Asset-Backed Securities – 11.9%
	Collateralized Loan Obligations(a)(c) – 8.2%
	Aberdeen Loan Funding Ltd. Series 2008-1A, Class A
$	154,025		1.287	%		11/01/18	$	154,004
	B&M CLO Ltd. Series 2014-1A, Class A1
	1,750,000		2.033			04/16/26		1,746,724
	Asset-Backed Securities – (continued)
	Collateralized Loan Obligations(a)(c) – (continued)
	Callidus Debt Partners CLO Fund VI Ltd. Series 2006-A, Class A1T
$	1,380,493		0.898	%		10/23/21	$	1,365,748
	Cent CLO 21 Ltd. Series 2014-21A, Class A1B
	5,100,000		2.024			07/27/26		5,082,058
	Duane Street CLO IV Ltd. Series 2007-4A, Class A1R
	2,717,149		0.886			11/14/21		2,712,878
	Greywolf CLO V Ltd. Series 2015-1A, Class A1
	1,800,000		2.238			04/25/27		1,801,390
	Halcyon Loan Advisors Funding Ltd. Series 2013-1A, Class A1
	2,450,000		1.778			04/15/25		2,426,230
	Halcyon Loan Advisors Funding Ltd. Series 2014-1A, Class A1
	5,650,000		2.163			04/18/26		5,618,388
	Halcyon Loan Advisors Funding Ltd. Series 2014-2A, Class A1B
	3,250,000		2.054			04/28/25		3,245,274
	Halcyon Loan Advisors Funding Ltd. Series 2014-2A, Class A2
	850,000		2.634			04/28/25		832,498
	Madison Park Funding X Ltd. Series 2012-10A, Class A1A
	2,600,000		2.004			01/20/25		2,599,891
	Magnetite VIII Ltd. Series 2014-8A, Class A
	2,700,000		2.108			04/15/26		2,705,673
	OCP CLO Ltd. Series 2016-12A, Class A1
	4,650,000		2.426			10/18/28		4,645,350
	OFSI Fund V Ltd. Series 2014-7A, Class ACOM
	2,850,000		0.000			10/18/26		2,834,610
	OHA Credit Partners VIII Ltd. Series 2013-8A, Class A
	6,100,000		1.754			04/20/25		6,055,641
	Shackleton CLO Ltd. Series 2014-5A, Class A
	3,650,000		2.132			05/07/26		3,650,307
	Shackleton CLO Ltd. Series 2014-5A, Class B1
	550,000		2.632			05/07/26		549,993
	Sound Point CLO Vlll Ltd. Series 2015-1A, Class A
	900,000		2.158			04/15/27		899,996
	Sound Point CLO XI Ltd. Series 2016-1A, Class A
	8,350,000		2.175			07/20/28		8,370,900
	Sound Point CLO XI Ltd. Series 2016-1A, Class B1
	1,700,000		2.925			07/20/28		1,715,327
	Trinitas CLO II Ltd. Series 2014-2A, Class ACOM
	1,250,000		0.000			07/15/26		1,227,875
	Trinitas CLO Ltd. Series 2014-1A, Class A1
	1,550,000		2.158			04/15/26		1,550,394
	Whitehorse VIII Ltd. Series 2014-1A, Class A
	3,500,000		2.137			05/01/26		3,495,912
	Zais CLO 4 Ltd. Series 2016-1A, Class A
	4,700,000		2.180			05/10/25		4,701,001
								69,988,062
	Credit Card(a) – 0.3%
	Golden Credit Card Trust Series 2016-5A, Class A
	2,600,000		1.600			09/15/21		2,599,270
	Home Equity(c) – 0.3%
	CIT Mortgage Loan Trust Series 2007-1, Class 2A3(a)
	2,158,439		1.975			10/25/37		2,125,665
	GMAC Mortgage Corp. Loan Trust Series 2007-HE3, Class 1A1
	38,519		7.000			09/25/37		38,228

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

GOLDMAN SACHS GLOBAL INCOME FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Asset-Backed Securities – (continued)
	Home Equity(c) – (continued)
	GMAC Mortgage Corp. Loan Trust Series 2007-HE3, Class 2A1
$	81,559		7.000	%		09/25/37	$	81,750
	New Century Home Equity Loan Trust Series 2005-3, Class M1
	374,402		1.004			07/25/35		374,270
								2,619,913
	Other(a)(c) – 0.5%
	Mortgage Repurchase Agreement Financing Trust Series 2016-1, Class A
	2,150,000		1.585			09/10/18		2,150,000
	Mortgage Repurchase Agreement Financing Trust Series 2016-2, Class A
	2,150,000		1.785			03/10/19		2,150,000
								4,300,000
	Student Loans(c) – 2.6%
	Chase Education Loan Trust Series 2007-A, Class A3
	387,763		0.694			12/28/23		381,387
	Educational Services of America, Inc. Series 2010-1, Class A1(a)
	720,050		1.488			07/25/23		713,688
	Educational Services of America, Inc. Series 2015-2, Class A(a)
	2,744,174		1.524			12/25/56		2,724,206
	Knowledgeworks Foundation Student Loan Series 2010-1, Class A
	619,152		1.612			02/25/42		610,374
	Nelnet Student Loan Trust Series 2006-2, Class A5
	2,000,231		0.738			01/25/30		1,971,863
	Nelnet Student Loan Trust Series 2010-3A, Class A(a)
	627,994		1.418			07/27/48		624,707
	Nelnet Student Loan Trust Series 2011-1A, Class A(a)
	342,397		1.374			02/25/43		342,179
	Northstar Education Finance, Inc. Series 2004-2, Class A3
	241,767		0.913			07/30/18		241,159
	PHEAA Student Loan Trust Series 2016-1A, Class A(a)
	4,500,000		1.728			09/25/65		4,499,958
	Scholar Funding Trust Series 2010-A, Class A(a)
	1,046,469		1.384			10/28/41		1,025,655
	SLC Student Loan Center Series 2011-1, Class A(a)
	768,946		1.744			10/25/27		766,299
	SLC Student Loan Trust Series 2006-1, Class A4
	207,956		0.733			12/15/21		207,615
	SLC Student Loan Trust Series 2006-1, Class A5
	2,550,000		0.763			03/15/27		2,455,073
	SLM Student Loan Trust Series 2005-3, Class A5
	1,246,606		0.728			10/25/24		1,229,382
	SLM Student Loan Trust Series 2006-5, Class A5
	2,902,213		0.748			01/25/27		2,863,401
	Wachovia Student Loan Trust Series 2006-1, Class A5(a)
	1,753,313		0.758			07/26/27		1,740,011
								22,396,957
	TOTAL ASSET-BACKED SECURITIES
	(Cost $101,293,166)						$	101,904,202
	Mortgage-Backed Obligations – 19.3%
	Adjustable Rate Non-Agency(c) – 0.3%
	Countrywide Alternative Loan Trust Series 2005-38, Class A1
$	127,993		1.989	%		09/25/35	$	118,846
	Countrywide Alternative Loan Trust Series 2006-OA1, Class 2A1
	690,993		0.722			03/20/46		517,112
	Countrywide Home Loan Mortgage Pass-Through Trust Series 2004-HYB5, Class 2A1
	111,503		3.043			04/20/35		111,642
	Harborview Mortgage Loan Trust Series 2006-6, Class 3A1A
	787,678		3.169			08/19/36		668,002
	Residential Accredit Loans, Inc. Series 2005-Q05, Class A1
	1,004,307		1.489			01/25/46		744,344
	Sequoia Mortgage Trust Series 2004-10, Class A3A
	163,995		1.561			11/20/34		158,830
	Structured Adjustable Rate Mortgage Loan Trust Series 2004-16, Class 3A1
	377,417		3.003			11/25/34		382,400
	TOTAL ADJUSTABLE RATE NON-AGENCY						$	2,701,176
	Collateralized Mortgage Obligations – 1.4%
	FHLMC REMIC Series 3852, Class SW(c)
$	896,790		5.476	%		05/15/41	$	145,015
	FHLMC REMIC Series 4314, Class SE(c)
	631,120		5.526			03/15/44		106,942
	FHLMC REMIC Series 4320, Class SD(c)
	507,255		5.576			07/15/39		90,744
	FHLMC REMIC Series 4583, Class ST(c)
	2,018,819		5.476			05/15/46		399,462
	FHLMC STRIPS Series 304, Class C45
	588,175		3.000			12/15/27		49,800
	FNMA REMIC Series 2010-126, Class LS(c)
	2,369,515		4.477			11/25/40		423,025
	FNMA REMIC Series 2011-124, Class SC(c)
	812,297		6.025			12/25/41		151,085
	FNMA REMIC Series 2011-52, Class GB
	788,877		5.000			06/25/41		873,752
	FNMA REMIC Series 2011-99, Class DB
	732,608		5.000			10/25/41		810,685
	FNMA REMIC Series 2012-111, Class B
	97,100		7.000			10/25/42		112,690
	FNMA REMIC Series 2012-153, Class B
	377,068		7.000			07/25/42		444,913
	FNMA REMIC Series 2012-5, Class SA(c)
	1,048,804		5.425			02/25/42		177,178
	FNMA REMIC Series 2013-121, Class SA(c)
	1,078,870		5.575			12/25/43		200,298
	FNMA REMIC Series 2013-96, Class SW(c)
	474,623		5.575			09/25/43		86,694
	FNMA REMIC Series 2014-6, Class SA(c)
	796,250		6.075			02/25/44		160,653
	FNMA REMIC Series 2014-87, Class MS(c)
	1,970,026		5.725			01/25/45		372,286
	FNMA REMIC Series 2015-79, Class SA(c)
	765,823		5.725			11/25/45		135,085
	FNMA REMIC Series 2015-81, Class SA(c)
	3,642,009		5.175			11/25/45		582,653

The accompanying notes are an integral part of these financial statements. 67

GOLDMAN SACHS GLOBAL INCOME FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Mortgage-Backed Obligations – (continued)
	Collateralized Mortgage Obligations – (continued)
	FNMA REMIC Series 2015-82, Class MS(c)
$	1,035,328		5.175	%		11/25/45	$	182,313
	FNMA REMIC Series 2015-86, Class BS(c)
	424,888		5.175			11/25/45		73,871
	FNMA REMIC Series 2016-1, Class SJ(c)
	1,838,916		5.625			02/25/46		370,978
	FNMA REMIC Series 2016-3, Class IP
	1,628,661		4.000			02/25/46		256,499
	GNMA REMIC Series 2010-101, Class S(c)
	1,685,635		5.468			08/20/40		280,816
	GNMA REMIC Series 2010-20, Class SE(c)
	1,238,197		5.718			02/20/40		208,291
	GNMA REMIC Series 2010-31, Class SA(c)
	721,219		5.218			03/20/40		110,676
	GNMA REMIC Series 2012-149, Class MS(c)
	935,852		5.718			12/20/42		157,394
	GNMA REMIC Series 2013-134, Class DS(c)
	269,147		5.568			09/20/43		44,901
	GNMA REMIC Series 2013-152, Class SG(c)
	494,512		5.618			06/20/43		82,239
	GNMA REMIC Series 2013-152, Class TS(c)
	472,537		5.568			06/20/43		81,795
	GNMA REMIC Series 2013-167, Class SG(c)
	253,661		5.618			11/20/43		41,425
	GNMA REMIC Series 2013-181, Class SA(c)
	1,549,168		5.568			11/20/43		258,767
	GNMA REMIC Series 2014-132, Class SL(c)
	1,192,372		5.568			10/20/43		161,931
	GNMA REMIC Series 2014-133, Class BS(c)
	568,387		5.068			09/20/44		84,322
	GNMA REMIC Series 2014-188, Class IB
	1,357,936		4.000			12/20/44		168,855
	GNMA REMIC Series 2014-41, Class SA(c)
	310,571		5.568			03/20/44		54,577
	GNMA REMIC Series 2015-110, Class MS(c)
	3,478,135		5.178			08/20/45		493,957
	GNMA REMIC Series 2015-117, Class KI
	4,818,809		5.000			08/20/45		835,712
	GNMA REMIC Series 2015-123, Class SP(c)
	839,404		5.718			09/20/45		132,928
	GNMA REMIC Series 2015-126, Class HS(c)
	1,300,904		5.668			09/20/45		199,933
	GNMA REMIC Series 2015-129, Class IC
	735,740		4.500			09/16/45		106,335
	GNMA REMIC Series 2015-14, Class IO
	2,443,089		5.000			10/20/44		423,668
	GNMA REMIC Series 2015-167, Class AS(c)
	670,642		5.718			11/20/45		107,945
	GNMA REMIC Series 2015-168, Class SD(c)
	385,633		5.668			11/20/45		61,386
	GNMA REMIC Series 2015-64, Class SG(c)
	1,755,993		5.068			05/20/45		312,717
	GNMA REMIC Series 2016-1, Class ST(c)
	779,524		5.668			01/20/46		119,702
	GNMA REMIC Series 2016-138, Class GI
	1,550,000		4.000			10/01/46		222,813
	Mortgage-Backed Obligations – (continued)
	Collateralized Mortgage Obligations – (continued)
	GNMA REMIC Series 2016-4, Class SM(c)
$	1,119,157		5.118	%		01/20/46	$	178,344
	GNMA REMIC Series 2016-6, Class SB(c)
	1,054,040		5.118			01/20/46		171,341
	Leek Finance Number Eighteen PLC Series 2018X, Class A2C(c)
	EUR 113,556		0.026			09/21/38		137,573
	Leek Finance PLC Series 2018X, Class A2B(c)
	643,484		0.904			09/21/38		693,692
	TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS						$	12,140,656
	Commercial Mortgage-Backed Securities – 2.1%
	Banc of America Commercial Mortgage, Inc. Series 2007-2, Class AM(c)
$	600,000		5.801	%		04/10/49	$	610,289
	Bear Stearns Commercial Mortgage Securities Trust Series 2007-PW18, Class A1A
	2,159,479		5.602			06/11/50		2,235,843
	Commercial Mortgage Trust Series 2007-C9, Class A1A(c)
	3,864,440		5.813			12/10/49		3,950,543
	FNMA ACES Series 2012-M8, Class ASQ2
	136,507		1.520			12/25/19		136,759
	FNMA ACES Series 2012-M8, Class ASQ3
	300,000		1.801			12/25/19		303,458
	FREMF Mortgage Trust Series 2015-K44, Class B(a)(c)
	1,750,000		3.811			01/25/48		1,748,139
	GS Mortgage Securities Trust Series 2007-GG10, Class A1A(c)
	3,459,589		5.988			08/10/45		3,528,056
	LB Commercial Mortgage Trust Series 2007-C3, Class A1A(c)
	2,840,227		6.069			07/15/44		2,906,070
	Morgan Stanley Capital I Trust Series 2007-HQ11, Class AM(c)
	150,000		5.478			02/12/44		150,727
	Morgan Stanley Capital I Trust Series 2007-HQ13, Class AM(c)
	250,000		5.931			12/15/44		242,329
	Wachovia Bank Commercial Mortgage Trust Series 2007-C34, Class A1A(c)
	1,583,427		5.608			05/15/46		1,611,569
	TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES						$	17,423,782
	Federal Agencies – 15.5%
	FHLMC – 0.2%
$	104		5.000	%		11/01/16	$	108
	110		5.000			12/01/16		113
	801		5.000			01/01/17		820
	1,862		5.000			02/01/17		1,905
	1,786		5.000			03/01/17		1,826
	4,188		5.000			04/01/17		4,293
	157		5.000			05/01/17		161
	83		5.000			06/01/17		85
	287		5.000			08/01/17		295
	19,346		5.000			09/01/17		19,875
	25,065		5.000			10/01/17		25,749
	18,978		5.000			11/01/17		19,495
	18,962		5.000			12/01/17		19,481

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

GOLDMAN SACHS GLOBAL INCOME FUND

Principal Amount		Interest Rate			Maturity Date			Value
	Mortgage-Backed Obligations – (continued)
	FHLMC – (continued)
$	25,578		5.000	%		01/01/18		$	26,252
	57,263		5.000			02/01/18			58,704
	58,697		5.000			03/01/18			60,223
	60,316		5.000			04/01/18			61,880
	43,066		5.000			05/01/18			44,232
	12,911		5.000			06/01/18			13,265
	13,269		5.000			07/01/18			13,655
	5,396		5.000			08/01/18			5,550
	3,841		5.000			09/01/18			3,948
	20,268		5.000			10/01/18			20,899
	22,334		5.000			11/01/18			23,028
	16,175		5.000			12/01/18			16,628
	9,702		5.000			01/01/19			9,995
	1,112		5.000			02/01/19			1,150
	2,739		5.000			03/01/19			2,814
	3,658		5.000			01/01/33			4,082
	939		5.000			06/01/33			1,044
	8,214		5.000			07/01/33			9,136
	10,017		5.000			08/01/33			11,141
	1,823		5.000			10/01/33			2,028
	7,608		5.000			11/01/33			8,464
	2,361		5.000			12/01/33			2,627
	7,694		5.000			02/01/34			8,558
	3,053		5.000			03/01/34			3,395
	4,912		5.000			04/01/34			5,461
	9,199		5.000			05/01/34			10,232
	121,487		5.000			06/01/34			135,130
	1,761		5.000			11/01/34			1,958
	33,625		5.000			04/01/35			37,403
	2,856		5.000			11/01/35			3,177
	8,272		5.000			02/01/37			9,425
	806		5.000			11/01/37			892
	317,715		7.000			02/01/39			372,777
	46,641		5.000			01/01/40			52,371
	18,601		4.000			06/01/40			19,937
	230,657		4.000			02/01/41			248,409
	18,091		4.000			11/01/41			19,521
									1,423,597
	FNMA – 7.5%
	780		5.000			04/01/18			802
	5,233		5.000			05/01/18			5,371
	922		5.000			06/01/18			948
	745		5.000			11/01/18			769
	1,142		5.000			03/01/19			1,187
	1,168		5.000			04/01/19			1,216
	4,000,000		4.506			06/01/19			4,144,372
	387,457		3.830			07/01/21			421,689
	2,947		5.000			08/01/33			3,313
	2,212		5.500			02/01/34			2,535
	4,222		5.500			05/01/34			4,846
	2,354		5.500			10/01/34			2,698
	15,864		5.500			12/01/34			18,201
	4,071		5.500			04/01/35			4,665
	3,529		5.500			07/01/35			4,060
	557,942		4.500			07/01/36			613,780
	Mortgage-Backed Obligations – (continued)
	FNMA – (continued)
$	58,340		4.500	%		12/01/36		$	64,179
	50,788		4.500			05/01/38			55,590
	192,005		7.000			03/01/39			226,641
	36,875		4.500			05/01/39			41,216
	21,208		4.500			06/01/39			23,705
	19,149		4.500			08/01/39			21,404
	27,566		4.500			09/01/39			30,167
	36,689		4.500			10/01/39			40,150
	13,841		4.500			03/01/40			15,147
	200,056		4.500			04/01/40			219,840
	198,724		5.000			06/01/40			220,888
	12,901		4.500			12/01/40			14,176
	211,900		4.500			01/01/41			233,173
	59,037		4.500			04/01/41			64,926
	95,471		4.500			06/01/41			104,930
	90,290		4.500			07/01/41			99,298
	81,968		5.000			07/01/41			91,478
	136,664		4.500			08/01/41			150,447
	396,594		4.500			09/01/41			436,752
	294,924		4.500			10/01/41			324,255
	248,652		4.500			11/01/41			273,381
	110,816		4.500			12/01/41			121,796
	177,041		4.500			01/01/42			194,604
	57,314		4.500			03/01/42			63,086
	72,149		4.500			04/01/42			79,326
	137,105		3.000			12/01/42			143,810
	344,054		3.000			01/01/43			360,914
	410,718		3.000			04/01/43			430,803
	353,098		3.500			07/01/43			372,858
	534,551		3.500			08/01/43			564,465
	5,822,578		3.500			08/01/45			6,229,477
	77,879		3.500			11/01/45			82,154
	2,000,000		3.000			TBA-30yr	(e)		2,074,531
	42,000,000		3.500			TBA-30yr	(e)		44,323,125
	1,000,000		4.500			TBA-30yr	(e)		1,095,156
									64,118,300
	GNMA – 7.8%
	525,341		3.950			07/15/25			566,936
	10,763,424		4.000			10/20/43			11,569,957
	6,126,766		4.000			07/20/45			6,575,264
	1,310,281		4.000			08/20/45			1,404,560
	1,819,305		4.000			09/20/45			1,950,209
	8,289,406		4.000			10/20/45			8,883,264
	1,983,125		4.000			03/20/46			2,125,198
	37,302		4.000			04/20/46			40,015
	58,033		4.000			05/20/46			62,300
	32,000,000		4.000			TBA-30yr	(e)		34,292,499
									67,470,202
	TOTAL FEDERAL AGENCIES							$	133,012,099
	TOTAL MORTGAGE-BACKED OBLIGATIONS
	(Cost $165,972,742)							$	165,277,713

The accompanying notes are an integral part of these financial statements. 69

GOLDMAN SACHS GLOBAL INCOME FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Agency Debenture – 0.3%
	FHLMC
$	1,800,000		6.750	%		03/15/31	$	2,778,251
	(Cost $2,357,783)
	Government Guarantee Obligations(d) – 1.9%
	Banca Monte dei Paschi di Siena SpA
EUR	3,500,000		3.500	%		03/20/17	$	3,977,496
	Canada Housing Trust No. 1(a)
CAD	5,200,000		2.350			12/15/18		4,105,937
	Dexia Credit Local SA
GBP	1,800,000		1.875			07/17/17		2,355,770
$	3,500,000		1.875	(a)		03/28/19		3,519,551
	Kreditanstalt fuer Wiederaufbau
AUD	3,000,000		6.000			08/20/20		2,625,624
	TOTAL GOVERNMENT GUARANTEE OBLIGATIONS
	(Cost $18,472,706)						$	16,584,378
	U.S. Treasury Obligations – 4.5%
	United States Treasury Inflation Protected Securities
$	5,398,159		0.375	%		07/15/23	$	5,596,379
	11,706,504		0.625			01/15/24		12,288,200
	9,324,568		0.125			07/15/24		9,464,436
	8,042,528		0.375			07/15/25		8,307,690
	634,667		2.125			02/15/40		846,188
	1,972,285		1.375			02/15/44		2,343,627
	TOTAL U.S. TREASURY OBLIGATIONS
	(Cost $37,757,261)						$	38,846,520

Shares		Distribution Rate			Value
	Investment Company(c)(f) – 6.4%
	Goldman Sachs Financial Square Government Fund – Institutional Shares
	55,233,442		0.290	%	$	55,233,442
	(Cost $55,233,442)
	TOTAL INVESTMENTS – 106.1%
	(Cost $882,978,589)				$	910,274,339
	LIABILITIES IN EXCESS OF     OTHER ASSETS – (6.1)%					(52,429,413	)
	NET ASSETS – 100.0%				$	857,844,926

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
(a)	Exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be deemed 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 $208,712,040, which represents approximately 24.3% of net assets as of September 30, 2016.
(b)	Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.
(c)	Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on September 30, 2016.
(d)	Guaranteed by a foreign government until maturity. Total market value of these securities amounts to $19,526,181, which represents approximately 2.2% of net assets as of September 30, 2016.
(e)	TBA (To Be Announced) Securities are purchased 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 $81,785,311 which represents approximately 9.5% of net assets as of September 30, 2016.
(f)	Represents an Affiliated Fund.

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

GOLDMAN SACHS GLOBAL INCOME FUND

Currency Abbreviations:
ARS	—Argentine Peso
AUD	—Australian Dollar
BRL	—Brazilian Real
CAD	—Canadian Dollar
CHF	—Swiss Franc
CNH	—Chinese Yuan Renminbi Offshore
COP	—Colombian Peso
CZK	—Czech Koruna
DKK	—Danish Krone
EUR	—Euro
GBP	—British Pound
HUF	—Hungarian Forint
IDR	—Indonesian Rupiah
ILS	—Israeli Shekel
INR	—Indian Rupee
JPY	—Japanese Yen
KRW	—South Korean Won
MXN	—Mexican Peso
MYR	—Malaysian Ringgit
NOK	—Norwegian Krone
NZD	—New Zealand Dollar
PEN	—Peruvian Nuevo Sol
PHP	—Philippine Peso
PLN	—Polish Zloty
RUB	—Russian Ruble
SEK	—Swedish Krona
SGD	—Singapore Dollar
THB	—Thai Baht
TRY	—Turkish Lira
TWD	—Taiwan Dollar
USD	—U.S. Dollar
ZAR	—South African Rand

Investment Abbreviations:
ACES	—Alternative Credit Enhancement Securities
AUDOR	—Australian Dollar Offered Rate
CDOR	—Canadian Dollar Offered Rate
CHFOR	—Swiss Franc Offered Rate
CLO	—Collateralized Loan Obligation
CPI	—Consumer Price Index
EURO	—Euro Offered Rate
FHLMC	—Federal Home Loan Mortgage Corp.
FNMA	—Federal National Mortgage Association
FREMF	—Freddie Mac Multi Family
GMAC	—General Motors Acceptance Corporation
GNMA	—Government National Mortgage Association
JYOR	—Japanese Yen Offered Rate
KWCDC	—South Korean Won Certificate of Deposit
LIBOR	—London Interbank Offered Rate
LLC	—Limited Liability Company
LP	—Limited Partnership
NIBOR	—Norwegian Interbank Offered Rate
NZDOR	—New Zealand Dollar Offered Rate
PLC	—Public Limited Company
REMIC	—Real Estate Mortgage Investment Conduit
STIBOR	—Stockholm Interbank Offered Rate
STRIPS	—Separate Trading of Registered Interest and Principal of Securities
TIIE	—La Tasa de Interbank Equilibrium Interest Rate
WIBOR	—Warsaw Interbank Offered Rate

ADDITIONAL INVESTMENT INFORMATION

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At September 30, 2016, the Fund had the following forward foreign currency exchange contracts:

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Gain
Bank of America Securities LLC	CAD	756,937	USD	574,000	$	577,305		12/21/16	$	3,305
	CZK	13,910,070	EUR	516,000		588,801		06/21/17		1,956
	JPY	5,448,924	USD	53,688		53,747		10/06/16		59
	JPY	122,313,879	USD	1,198,526		1,210,740		12/21/16		12,214
	KRW	642,277,500	USD	580,000		582,865		10/28/16		2,865
	PLN	2,581,890	EUR	596,597		674,167		12/21/16		1,379
	USD	2,603,838	AUD	3,404,177		2,602,472		11/18/16		1,366
	USD	1,154,000	BRL	3,740,703		1,148,832		10/04/16		5,168
	USD	577,000	CAD	750,403		572,321		12/21/16		4,679
Barclays Bank PLC	AUD	765,000	USD	573,949		584,398		12/21/16		10,449
	IDR	30,239,144,092	USD	2,264,596		2,315,856		10/27/16		51,261
	IDR	20,514,657,620	USD	1,549,445		1,568,519		11/10/16		19,073
BNP Paribas SA	CAD	301,125	USD	229,193		229,664		12/21/16		471
	EUR	246,000	PLN	1,059,467		277,416		12/21/16		775
	KRW	647,381,085	USD	583,526		587,505		10/26/16		3,980
	PEN	1,907,666	USD	561,706		563,169		10/12/16		1,463
	PLN	2,225,000	HUF	158,457,981		580,978		12/21/16		2,700
	PLN	12,498,356	USD	3,220,977		3,263,495		12/21/16		42,518

The accompanying notes are an integral part of these financial statements. 71

GOLDMAN SACHS GLOBAL INCOME FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN (continued)

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Gain
BNP Paribas SA (continued)	USD	2,948,761	TRY	8,927,963	$	2,926,481		12/21/16	$	22,279
Citibank NA (London)	ARS	3,516,750	USD	225,000		228,368		10/05/16		3,368
	AUD	5,807,206	USD	4,330,840		4,436,234		12/21/16		105,394
	CZK	27,884,640	EUR	1,034,681		1,180,331		06/21/17		3,594
	GBP	531,053	EUR	610,230		689,542		12/21/16		1,380
	INR	77,907,078	USD	1,158,427		1,165,617		10/26/16		7,191
	JPY	1,263,171,616	USD	12,321,528		12,459,654		10/06/16		138,126
	JPY	118,044,674	USD	1,166,000		1,168,480		12/21/16		2,480
	RUB	37,450,389	USD	581,000		594,762		10/11/16		13,762
	RUB	46,785,746	USD	714,210		740,079		10/27/16		25,869
	TWD	17,445,424	USD	555,913		557,638		10/07/16		1,725
	USD	3,199,613	KRW	3,491,737,707		3,168,940		10/20/16		30,673
	USD	3,879,897	MXN	71,058,769		3,659,114		10/13/16		220,784
	ZAR	3,259,484	USD	233,000		233,730		12/21/16		730
Credit Suisse International (London)	JPY	58,967,243	USD	583,000		583,695		12/21/16		695
	RUB	113,743,517	USD	1,732,898		1,801,923		10/21/16		69,026
	RUB	57,227,799	USD	870,742		900,683		11/17/16		29,940
	USD	254,459	EUR	225,635		254,451		12/21/16		8
Deutsche Bank AG (London)	CAD	760,031	USD	579,000		579,664		12/21/16		664
	COP	684,204,500	USD	233,000		235,863		10/31/16		2,863
	EUR	268,925	PLN	1,158,810		303,269		12/21/16		687
	IDR	10,009,125,822	USD	755,976		765,481		11/08/16		9,505
	JPY	156,912,000	USD	1,533,422		1,547,746		10/06/16		14,325
	KRW	1,314,038,700	USD	1,170,000		1,192,869		10/04/16		22,869
	KRW	1,290,430,080	USD	1,152,000		1,171,135		10/20/16		19,135
	PLN	8,354,782	EUR	1,907,067		2,181,550		12/21/16		30,934
	TWD	18,263,025	USD	576,000		584,594		10/24/16		8,594
HSBC Bank PLC	EUR	513,000	USD	578,441		578,515		12/21/16		73
	KRW	641,158,272	USD	576,000		581,890		10/19/16		5,890
	MXN	22,944,200	USD	1,167,000		1,172,538		12/21/16		5,538
	MYR	4,213,281	USD	1,016,424		1,019,639		11/18/16		3,215
	NZD	802,964	AUD	759,000		582,822		12/21/16		3,008
	NZD	737,289	USD	532,050		535,153		12/21/16		3,103
	USD	2,091,695	GBP	1,580,755		2,052,520		12/21/16		39,176
	USD	229,800	NZD	315,166		228,759		12/21/16		1,041
	USD	1,182,718	TWD	36,631,136		1,172,552		10/24/16		10,166
JPMorgan Chase Bank (London)	CNH	3,878,364	USD	575,000		578,243		12/21/16		3,243
	INR	38,997,718	USD	578,000		583,388		10/27/16		5,388
	INR	39,127,928	USD	583,000		584,819		11/03/16		1,819
	KRW	638,072,565	USD	577,000		579,235		10/04/16		2,235
	USD	230,041	ARS	3,516,750		228,368		10/05/16		1,673
	USD	577,000	JPY	57,862,714		572,762		12/21/16		4,238
	USD	577,000	ZAR	7,980,966		572,298		12/21/16		4,702
	ZAR	3,319,668	USD	233,000		238,046		12/21/16		5,046
Morgan Stanley & Co. International PLC	AUD	1,514,000	NZD	1,568,084		1,156,573		12/21/16		18,398
	AUD	1,523,000	USD	1,149,396		1,163,448		12/21/16		14,052
	BRL	10,133,542	USD	3,084,566		3,112,178		10/04/16		27,613
	EUR	513,000	CHF	557,015		578,515		12/21/16		2,209
	HUF	162,515,451	EUR	523,000		593,086		12/21/16		3,294
	IDR	7,573,017,600	USD	567,097		579,977		10/27/16		12,880
	NZD	802,000	USD	579,509		582,122		12/21/16		2,613

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

GOLDMAN SACHS GLOBAL INCOME FUND

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN (continued)

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Gain
Morgan Stanley & Co. International PLC (continued)	RUB	37,155,255	USD	573,880	$	587,739		10/27/16	$	13,860
	USD	4,279,683	BRL	13,838,433		4,250,011		10/04/16		29,672
	USD	577,000	CAD	745,189		568,344		12/21/16		8,656
	USD	31,609,983	GBP	23,777,721		30,847,090		11/16/16		762,893
	USD	10,177,560	JPY	1,020,341,063		10,064,425		10/06/16		113,134
	USD	574,307	NZD	787,000		571,235		12/21/16		3,072
	ZAR	34,643,139	USD	2,380,906		2,484,184		12/21/16		103,278
Royal Bank of Canada	BRL	1,886,371	USD	576,000		579,336		10/04/16		3,336
	CAD	763,145	USD	582,000		582,039		12/21/16		39
	EUR	12,121,400	USD	13,584,332		13,642,179		11/10/16		57,847
	NZD	321,041	USD	232,718		233,024		12/21/16		306
	USD	583,000	BRL	1,895,088		577,093		11/03/16		5,907
	USD	574,000	CAD	745,861		568,857		12/21/16		5,143
	USD	578,757	EUR	513,000		578,515		12/21/16		242
	USD	1,054,230	GBP	795,624		1,033,071		12/21/16		21,159
	USD	1,021,147	SGD	1,391,721		1,020,870		12/21/16		277
Royal Bank of Scotland PLC	ARS	3,896,910	USD	245,738		247,431		11/18/16		1,693
	NZD	793,000	USD	572,645		575,590		12/21/16		2,944
	USD	577,000	MXN	10,669,532		545,255		12/21/16		31,745
Standard Chartered Bank	CAD	767,990	USD	580,000		585,734		12/21/16		5,734
	CNH	23,274,799	USD	3,458,000		3,470,147		12/21/16		12,147
	USD	580,000	IDR	7,522,333,200		575,894		10/31/16		4,106
	USD	3,651,440	SGD	4,966,250		3,642,895		12/21/16		8,544
	USD	1,898,356	ZAR	25,627,806		1,865,130		10/07/16		33,226
State Street Bank (London)	AUD	307,251	USD	229,341		234,714		12/21/16		5,373
	CAD	749,089	USD	570,181		571,319		12/21/16		1,138
	CNH	33,251,782	USD	4,949,287		4,978,922		10/11/16		29,635
	EUR	102,663	CZK	2,744,387		116,758		06/21/17		590
	NOK	23,144,304	EUR	2,488,849		2,895,661		12/21/16		88,964
	USD	583,000	CAD	763,188		582,072		12/21/16		928
	USD	5,738,941	NZD	7,889,554		5,726,539		12/21/16		12,402
	USD	5,204,001	SEK	44,289,948		5,173,002		11/09/16		30,999
UBS AG (London)	CHF	566,221	USD	584,000		585,830		12/21/16		1,830
	CZK	13,927,980	EUR	517,000		589,559		06/21/17		1,577
	INR	38,775,571	USD	576,000		580,146		10/26/16		4,146
	JPY	58,356,000	USD	576,000		577,644		12/21/16		1,644
	NOK	2,058,388	EUR	220,734		257,532		12/21/16		8,607
	PLN	2,233,704	EUR	515,000		583,251		12/21/16		2,481
	PLN	12,475,024	USD	3,232,960		3,257,402		12/21/16		24,442
	TWD	17,445,424	USD	557,095		558,284		10/21/16		1,189
	USD	584,000	CHF	561,206		580,642		12/21/16		3,358
	USD	584,000	JPY	58,739,245		581,438		12/21/16		2,562
Westpac Banking Corp.	AUD	752,000	NZD	779,685		574,467		12/21/16		8,542
	AUD	763,000	USD	574,837		582,870		12/21/16		8,033
	CNH	235,794	USD	35,107		35,306		10/11/16		199
	USD	16,444,531	CAD	21,238,441		16,191,807		10/26/16		252,723
	USD	3,489,185	CAD	4,567,559		3,483,610		12/21/16		5,574
	USD	182,457,246	EUR	161,773,673		182,070,167		11/10/16		387,078
TOTAL									$	3,245,868

The accompanying notes are an integral part of these financial statements. 73

GOLDMAN SACHS GLOBAL INCOME FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Loss
Bank of America Securities LLC	ARS	9,355,931	USD	605,954	$	605,033		10/13/16	$	(921	)
	EUR	1,848,112	USD	2,084,584		2,079,981		11/10/16		(4,603	)
	GBP	457,550	USD	597,737		594,102		12/21/16		(3,635	)
	JPY	297,733,597	USD	2,963,511		2,947,154		12/21/16		(16,357	)
	MXN	39,594,391	USD	2,058,295		2,023,427		12/21/16		(34,868	)
	PLN	2,223,827	EUR	515,000		580,672		12/21/16		(98	)
	USD	577,000	JPY	58,503,126		579,101		12/21/16		(2,101	)
	USD	635,286	PLN	2,452,329		640,902		10/27/16		(5,616	)
	USD	576,000	TWD	18,031,968		577,198		10/24/16		(1,198	)
Barclays Bank PLC	CAD	330,030	USD	252,051		251,709		12/21/16		(342	)
	GBP	441,000	USD	577,175		572,613		12/21/16		(4,562	)
	NZD	1,584,000	USD	1,155,416		1,149,727		12/21/16		(5,688	)
	PHP	53,618,743	USD	1,132,272		1,108,637		10/27/16		(23,635	)
	PHP	53,520,950	USD	1,115,833		1,104,869		11/18/16		(10,965	)
	USD	445,046	CAD	585,760		446,751		12/21/16		(1,705	)
	USD	2,700,324	SGD	3,681,555		2,700,532		12/21/16		(208	)
	USD	1,842,000	ZAR	26,225,489		1,880,572		12/21/16		(38,572	)
BNP Paribas SA	ARS	3,519,363	USD	228,012		227,709		10/12/16		(302	)
	ARS	2,587,665	USD	168,030		166,393		10/24/16		(1,637	)
	ARS	3,339,559	USD	213,595		210,815		11/29/16		(2,780	)
	EUR	424,000	PLN	1,831,858		478,149		12/21/16		(175	)
	MXN	72,789,320	USD	3,769,905		3,719,817		12/21/16		(50,088	)
	SEK	27,329,028	EUR	2,874,478		3,199,244		12/21/16		(42,330	)
	SGD	1,577,052	USD	1,161,000		1,156,816		12/21/16		(4,184	)
	USD	683,369	DKK	4,549,000		687,286		10/27/16		(3,917	)
	USD	1,459,935	HUF	403,248,678		1,471,620		12/21/16		(11,685	)
	USD	583,699	KRW	647,381,085		587,685		10/04/16		(3,985	)
	USD	1,446,557	KRW	1,598,923,385		1,451,120		10/19/16		(4,563	)
Citibank NA (London)	ARS	2,975,096	USD	193,188		191,898		10/18/16		(1,290	)
	ARS	23,788,000	USD	1,542,172		1,527,270		10/27/16		(14,901	)
	ARS	3,606,400	USD	232,821		231,424		10/28/16		(1,397	)
	ARS	5,981,273	USD	380,973		375,296		12/12/16		(5,677	)
	ARS	2,149,200	USD	135,340		134,173		12/23/16		(1,167	)
	BRL	1,917,015	USD	584,000		583,771		11/03/16		(229	)
	CNH	2,264,455	USD	338,020		336,900		02/03/17		(1,120	)
	COP	922,900,602	USD	318,280		317,993		11/03/16		(287	)
	EUR	518,000	NOK	4,748,309		584,153		12/21/16		(9,924	)
	EUR	2,616,669	USD	2,951,432		2,950,840		12/21/16		(592	)
	SGD	791,590	USD	582,000		580,655		12/21/16		(1,345	)
	TRY	1,745,574	USD	576,000		572,179		12/21/16		(3,821	)
	USD	1,153,000	CAD	1,511,872		1,153,083		12/21/16		(83	)
	USD	327,968	CNH	2,264,455		336,900		02/03/17		(8,932	)
	USD	177,201,249	JPY	18,110,322,000		178,636,329		10/06/16		(1,435,080	)
	USD	1,092,608	KRW	1,239,563,852		1,124,962		10/21/16		(32,354	)
	USD	577,000	KRW	637,163,790		578,233		10/26/16		(1,233	)
	USD	575,000	RUB	37,838,163		599,432		10/21/16		(24,432	)
	USD	1,123,073	TWD	35,539,630		1,137,613		10/24/16		(14,541	)
	USD	2,183,221	TWD	68,269,308		2,189,710		11/22/16		(6,489	)
Credit Suisse International (London)	CHF	565,178	EUR	519,000		584,751		12/21/16		(530	)
	COP	948,761,070	USD	327,000		326,850		11/04/16		(150	)
	USD	1,357,895	CAD	1,788,647		1,363,632		10/26/16		(5,737	)
	USD	229,341	EUR	203,369		229,341		12/21/16		—

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

GOLDMAN SACHS GLOBAL INCOME FUND

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Loss
Credit Suisse International (London) (continued)	USD	1,964,280	JPY	200,392,882	$	1,983,615		12/21/16	$	(19,335	)
	USD	579,000	RUB	37,167,863		588,084		10/26/16		(9,084	)
Deutsche Bank AG (London)	ARS	4,156,229	USD	266,425		263,339		11/22/16		(3,086	)
	BRL	1,853,241	USD	577,000		569,161		10/04/16		(7,839	)
	EUR	1,049,188	NOK	9,584,392		1,183,178		12/21/16		(15,957	)
	GBP	210,731	USD	275,727		273,622		12/21/16		(2,105	)
	MYR	4,213,281	USD	1,042,504		1,020,956		10/07/16		(21,548	)
	NZD	794,889	AUD	756,000		576,960		12/21/16		(562	)
	PEN	1,963,844	USD	581,000		579,754		10/12/16		(1,246	)
	THB	8,838,467	USD	255,005		255,000		10/20/16		(4	)
	USD	582,000	ILS	2,192,394		586,342		12/21/16		(4,342	)
	USD	322,946	JPY	32,731,828		324,000		12/21/16		(1,055	)
	USD	576,000	KRW	646,126,675		586,376		10/24/16		(10,376	)
HSBC Bank PLC	EUR	287,468	NOK	2,629,212		324,180		12/21/16		(4,769	)
	MXN	11,407,050	USD	584,000		582,945		12/21/16		(1,055	)
	MYR	3,230,528	USD	784,871		782,008		11/09/16		(2,862	)
	TWD	25,768,856	USD	828,080		823,967		10/11/16		(4,113	)
	USD	565,100	INR	38,138,594		570,536		10/27/16		(5,436	)
	USD	1,170,000	KRW	1,304,730,180		1,184,419		10/04/16		(14,419	)
	USD	590,493	KRW	661,706,780		600,530		10/21/16		(10,036	)
	USD	1,281,810	KRW	1,432,358,930		1,299,902		10/24/16		(18,091	)
	USD	1,017,701	MYR	4,213,281		1,020,956		10/07/16		(3,255	)
	USD	1,015,779	NOK	8,273,652		1,035,143		12/21/16		(19,364	)
	USD	1,152,000	TWD	36,087,322		1,154,858		10/21/16		(2,858	)
JPMorgan Chase Bank (London)	ARS	3,516,750	USD	223,491		221,372		12/05/16		(2,120	)
	BRL	3,705,982	USD	1,148,237		1,138,168		10/04/16		(10,069	)
	EUR	513,000	JPY	58,680,120		578,515		12/21/16		(2,338	)
	MXN	10,957,445	USD	581,000		559,968		12/21/16		(21,032	)
	MYR	7,003,861	USD	1,733,758		1,696,422		10/20/16		(37,336	)
	PHP	54,526,224	USD	1,138,625		1,128,211		10/17/16		(10,413	)
	SEK	27,485,448	EUR	2,889,039		3,217,555		12/21/16		(40,439	)
	SGD	1,568,121	USD	1,152,000		1,150,264		12/21/16		(1,736	)
	TRY	1,749,570	USD	580,000		573,488		12/21/16		(6,512	)
	USD	277,448	NOK	2,256,178		282,278		12/21/16		(4,830	)
Morgan Stanley & Co. International PLC	BRL	13,949,977	USD	4,263,174		4,248,056		11/03/16		(15,119	)
	GBP	428,825	EUR	501,139		556,804		12/21/16		(8,335	)
	GBP	856,000	USD	1,112,639		1,110,498		11/16/16		(2,141	)
	GBP	176,837	USD	229,800		229,613		12/21/16		(187	)
	SEK	41,593,543	EUR	4,356,609		4,869,104		12/21/16		(43,881	)
	USD	466,618	CAD	613,589		467,975		12/21/16		(1,358	)
	USD	484,459	CZK	11,729,150		488,131		10/27/16		(3,672	)
	USD	1,288,996	EUR	1,148,000		1,292,031		11/10/16		(3,034	)
	USD	579,000	RUB	37,576,521		596,765		10/11/16		(17,765	)
	USD	577,000	RUB	37,071,558		586,415		10/27/16		(9,415	)
	USD	2,451,442	TWD	76,526,676		2,454,561		11/22/16		(3,119	)
Royal Bank of Canada	CAD	2,251,191	USD	1,731,000		1,716,950		12/21/16		(14,050	)
Royal Bank of Scotland PLC	ARS	9,371,505	USD	609,529		604,477		10/18/16		(5,052	)
	EUR	535,456	USD	604,060		602,635		11/10/16		(1,424	)
	GBP	178,374	USD	231,644		231,608		12/21/16		(36	)
	MXN	85,208,410	USD	4,520,564		4,354,480		12/21/16		(166,084	)

The accompanying notes are an integral part of these financial statements. 75

GOLDMAN SACHS GLOBAL INCOME FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Loss
Royal Bank of Scotland PLC (continued)	TRY	1,728,196	USD	577,000	$	566,482		12/21/16	$	(10,518	)
	USD	1,150,000	MXN	22,693,393		1,159,720		12/21/16		(9,720	)
Standard Chartered Bank	CNH	7,763,313	USD	1,158,000		1,157,468		12/21/16		(532	)
	GBP	436,327	EUR	512,000		566,546		12/21/16		(10,841	)
	SEK	36,678,942	EUR	3,850,605		4,293,782		12/21/16		(48,579	)
	USD	4,093,095	KRW	4,655,077,000		4,224,499		10/27/16		(131,404	)
State Street Bank (London)	CAD	752,232	USD	575,000		573,716		12/21/16		(1,284	)
	CZK	13,915,300	EUR	518,647		589,022		06/21/17		(833	)
	EUR	744,676	NOK	6,829,504		839,777		12/21/16		(14,685	)
	GBP	886,840	EUR	1,031,000		1,151,511		12/21/16		(11,156	)
	SEK	36,404,155	EUR	3,811,568		4,261,614		12/21/16		(36,723	)
	SEK	9,868,120	NOK	9,409,000		1,155,202		12/21/16		(21,990	)
	USD	1,725,000	CAD	2,281,764		1,740,268		12/21/16		(15,268	)
	USD	4,861,727	CNH	33,487,576		5,014,228		10/11/16		(152,501	)
UBS AG (London)	EUR	1,035,000	NOK	9,430,651		1,167,179		12/21/16		(12,721	)
	EUR	93,000	PLN	401,808		104,877		12/21/16		(41	)
	EUR	2,508,000	USD	2,823,812		2,822,659		11/10/16		(1,153	)
	MXN	11,046,379	USD	581,000		564,513		12/21/16		(16,487	)
	MYR	4,061,337	USD	1,011,743		983,739		10/19/16		(28,003	)
	MYR	1,554,153	USD	377,937		376,346		10/27/16		(1,591	)
	MYR	3,942,912	USD	969,680		954,454		11/09/16		(15,226	)
	PLN	2,225,090	EUR	516,000		581,002		12/21/16		(895	)
	SEK	32,431,943	EUR	3,393,406		3,796,611		12/21/16		(30,163	)
	USD	575,187	AUD	754,000		575,995		12/21/16		(808	)
	USD	251,959	EUR	223,798		252,379		12/21/16		(420	)
	USD	1,188,324	KRW	1,317,137,843		1,195,383		10/19/16		(7,059	)
	USD	556,473	TWD	17,445,424		557,638		10/07/16		(1,165	)
	USD	1,706,596	TWD	53,928,426		1,728,291		11/10/16		(21,695	)
Westpac Banking Corp.	EUR	1,737,863	USD	1,959,910		1,959,803		12/21/16		(106	)
	JPY	169,224,241	USD	1,691,633		1,669,192		10/06/16		(22,442	)
	USD	1,401,742	CNH	9,428,118		1,405,682		12/21/16		(3,940	)
	USD	1,698,551	JPY	173,199,000		1,708,398		10/06/16		(9,847	)
	USD	2,743,163	NZD	3,783,673		2,746,334		12/21/16		(3,171	)
TOTAL									$	(3,109,292	)

FUTURES CONTRACTS — At September 30, 2016, the Fund had the following futures contracts:

Type	Number of Contracts Long (Short)			Expiration Date	Current Value			Unrealized Gain (Loss)
Australian 3 Year Government Bonds		62		December 2016	$	5,376,762		$	(885	)
Australian 10 Year Government Bonds		46		December 2016		4,823,807			17,133
Canada 10 Year Government Bonds		31		December 2016		3,471,565			8,199
Japan 10 Year Government Bonds		8		December 2016		12,018,342			58,348
Ultra Long U.S. Treasury Bonds		128		December 2016		23,536,000			(491,547	)
Ultra 10 Year U.S. Treasury Notes		(15	)	December 2016		(2,162,344	)		3,130
2 Year German Euro-Schatz		464		December 2016		58,448,587			41,972
5 Year German Euro-Bobl		56		December 2016		8,309,460			26,336
10 Year German Euro-Bund		149		December 2016		27,734,710			149,573
10 Year U.K. Long Gilt		18		December 2016		3,038,822			(20,118	)

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

GOLDMAN SACHS GLOBAL INCOME FUND

ADDITIONAL INVESTMENT INFORMATION (continued)

FUTURES CONTRACTS (continued)

Type	Number of Contracts Long (Short)			Expiration Date	Current Value			Unrealized Gain (Loss)
2 Year U.S. Treasury Notes		(96	)	December 2016	$	(20,973,000	)	$	(12,513	)
5 Year U.S. Treasury Notes		76		December 2016		9,235,188			(13,195	)
10 Year U.S. Treasury Notes		(171	)	December 2016		(22,422,375	)		(29,366	)
20 Year U.S. Treasury Bonds		54		December 2016		9,080,438			(132,552	)
TOTAL								$	(395,485	)

SWAP CONTRACTS — At September 30, 2016, the Fund had the following swap contracts:

OVER THE COUNTER INTEREST RATE SWAP CONTRACTS

			Rates Exchanged
Counterparty	Notional Amount (000s)	Termination Date	Payments Received			Payments Made		Unrealized Gain (Loss)*
Bank of America Securities LLC	KRW 19,308,640	06/15/16		1.292	%		3 month KWCDC	$	31,830

* There are no upfront payments on the swap contracts (s), therefore the unrealized gain (loss) on the swap contracts is equal to their market value.

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS

				Rates Exchanged		Market Value
Notional Amount (000s)			Termination Date	Payments Received	Payments Made	Upfront Payments Made (Received)			Unrealized Gain (Loss)
MXN	47,600		11/07/16	3.910%	Mexico Interbank TIIE 28 Days	$	2		$	(3,582	)
	20,230		11/08/16	3.920	Mexico Interbank TIIE 28 Days		1			(1,511	)
	40,930		11/09/16	3.900	Mexico Interbank TIIE 28 Days		2			(3,134	)
SEK	129,980		06/15/18	0.050	3 month STIBOR		106,512			31,464
JPY	2,074,000		07/15/18	0.198	6 month JYOR		—			6,298
	2,074,000		07/15/18	6 month JYOR	0.198%		33,820			(7,294	)
SEK	146,640	(a)	09/15/18	0.330	3 month STIBOR		772			6,156
EUR	103,380		09/21/18	0.400	6 month EURO		(1,433,727	)		1,436,920
PLN	48,540		09/21/18	1.614	6 month WIBOR		(4,014	)		(25,185	)
EUR	103,380		09/21/18	6 month EURO	0.400		83,139			29,786
	8,240	(a)	12/21/18	6 month EURO	0.000		(39,058	)		(2,582	)
GBP	8,760	(a)	12/21/19	0.353	6 month GBP		1,770			15,381
PLN	25,440		09/21/21	1.771	6 month WIBOR		(32,101	)		(17,478	)
EUR	2,610	(a)	12/21/21	0.250	6 month EURO		48,269			7,987
CHF	2,130	(a)	12/21/21	0.500	6 month CHFOR		4,453			5,019
CAD	91,650	(a)	12/21/21	1.000	6 month CDOR		(127,940	)		188,059
NOK	124,285	(a)	12/21/21	1.250	3 month NIBOR		46,672			(48,065	)
GBP	3,040	(a)	12/21/21	1.250	6 month GBP		134,297			9,587
NZD	8,930	(a)	12/21/21	2.250	3 month NZDOR		27,940			9,018
$	69,470	(a)	12/21/21	3 month LIBOR	1.500		(864,571	)		(123,403	)
SEK	168,780	(a)	12/21/21	3 month STIBOR	0.100		(56,593	)		(54,534	)
GBP	2,420		09/15/23	3.075	6 month GBP		(3,850	)		(16,961	)
EUR	3,150		09/15/23	6 month EURO	0.847		15,068			9,010
	1,130	(a)	08/16/24	0.250	6 month EURO		(366	)		68

The accompanying notes are an integral part of these financial statements. 77

GOLDMAN SACHS GLOBAL INCOME FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION (continued)

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS (continued)

					Rates Exchanged				Market Value
Notional Amount (000s)			Termination Date		Payments Received		Payments Made		Upfront Payments Made (Received)			Unrealized Gain (Loss)
GBP	1,100	(a)		09/27/26		6 month GBP		1.000%	$	(2,289	)	$	7,768
AUD	1,930	(a)		09/28/26		2.500%		6 month AUDOR		10,406			(1,101	)
JPY	707,630	(a)		12/15/26		0.250		6 month JYOR		(5,286	)		20,777
	$11,690	(a)		12/15/26		2.500		3 month LIBOR		158,403			231,131
SEK	18,120	(a)		12/15/26		3 month STIBOR		2.750		(135,474	)		(3,822	)
GBP	13,510	(a)		12/15/26		6 month GBP		2.250		(968,175	)		(5,804	)
CHF	1,980	(a)		12/21/26		0.200		6 month CHFOR		10,765			5,701
EUR	3,970	(a)		12/21/26		0.750		6 month EURO		155,915			43,601
GBP	2,580	(a)		12/21/26		1.500		6 month GBP		202,338			25,351
AUD	1,030	(a)		12/21/26		2.750		6 month AUDOR		47,640			(4,572	)
$	2,730	(a)		12/21/26		3 month LIBOR		1.750		(53,658	)		(14,749	)
SEK	60,040	(a)		12/21/26		3 month STIBOR		0.750		14,298			(63,260	)
MXN	28,960	(a)		03/03/27		6.000		Mexico Interbank TIIE 28 Days		(38,434	)		(18,660	)
GBP	2,450			09/15/31		3.230		6 month GBP		(8,991	)		(66,362	)
	1,050	(a)		12/21/31		6 month GBP		1.500		(124,763	)		23,592
	4,380	(a)		12/17/35		6 month GBP		2.500		(646,913	)		37,449
JPY	840,600	(a)		12/16/36		0.750		6 month JYOR		1,209			40,003
	200,060	(a)		12/21/36		6 month JYOR		0.500		10,642			(60,580	)
	253,670	(a)		12/17/46		0.750		6 month JYOR		14,334			5,879
GBP	2,640	(a)		12/17/46		6 month GBP		1.000		(59,499	)		64,242
EUR	920	(a)		12/21/46		1.250		6 month EURO		101,882			35,782
$	7,510	(a)		12/21/46		2.250		3 month LIBOR		703,457			129,660
GBP	3,390	(a)		12/21/46		6 month GBP		1.750		(815,178	)		(29,720	)
	TOTAL								$	(3,486,874	)	$	1,853,330

(a) Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to September 30, 2016.

OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS

												Market Value
Counterparty	Referenced Obligation	Notional Amount (000s)		Rates Received (Paid)			Termination Date		Credit Spread at September 30, 2016(b)			Upfront Payments Made (Received)			Unrealized Gain (Loss)
Protection Purchased:
Citibank NA	People’s Republic of China 7.500% 10/28/27	$	13,280 100		(1.000 (1.000	)%  )		12/20/20 06/20/21		0.844 0.959	%	$	84,967 (22	)	$	(174,018 (194	)  )
Deutsche Bank AG	People’s Republic of China 7.500%, 10/28/27		110		(1.000	)		12/20/21		1.065			378			(34	)
TOTAL												$	85,323		$	(174,246	)

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

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

GOLDMAN SACHS GLOBAL INCOME FUND

ADDITIONAL INVESTMENT INFORMATION (continued)

CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACT

										Market Value
Referenced Obligation	Notional Amount (000s)	Rates Received (Paid)			Termination Date		Credit Spread at September 30, 2016(b)			Upfront Payments Made (Received)			Unrealized Gain (Loss)
Protection Purchased:
CDX North America Investment Grade Index 26	$29,475		(1.000	)%		06/20/21		0.684	%	$	(397,056	)	$	(34,724	)

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

WRITTEN OPTIONS CONTRACTS — For the period ended September 30, 2016 the Fund had following written options:

WRITTEN OPTION CURRENCY CONTRACTS

Counterparty	Description	Notional Amount (000s)		Expiration Date		Exercise Price			Value
Citibank NA (Premium received $44,808)	Call USD/Put CNH	$	2,216		01/25/17		7.550	%	$	(474	)

For the period ended September 30, 2016, the Fund had the following currency options activities:

CURRENCY OPTION CONTRACTS

	Notional Amount (000s)			Premiums Received
Contracts Outstanding March 31, 2016	$	2,216		$	44,808
Contracts Written		6,254,000			39,994
Contracts Bought to Close		(6,254,000	)		(39,994	)
Contracts Outstanding September 30, 2016	$	2,216		$	44,808

The accompanying notes are an integral part of these financial statements. 79

GOLDMAN SACHS STRATEGIC INCOME FUND

Schedule of Investments

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Bank Loans(a) – 1.7%
	Energy – 0.3%
	American Energy – Marcellus LLC
$	24,800,885		5.250	%		08/04/20	$	13,532,107
	10,300,000		8.500			08/04/21		836,875
	Magnum Hunter Resources, Inc.(f)(l)(m)
	11,206,550		8.000			05/06/19		10,870,353
								25,239,335
	Environmental – 0.2%
	EnergySolutions LLC
	16,332,331		6.750			05/29/20		16,250,669
	Food & Beverages – 0.1%
	Shearer’s Foods, Inc.
	14,295,736		7.750			06/30/22		12,937,641
	Media – Broadcasting & Radio – 0.5%
	Getty Images, Inc.
	28,232,710		4.750			10/18/19		23,550,880
	Lions Gate Entertainment Corp.
	4,889,500		0.750			06/27/17		4,889,500
	17,335,500		8.250			06/27/17		17,335,500
								45,775,880
	Media – Non Cable – 0.1%
	Checkout Holding Corp.
	14,875,000		7.750			04/11/22		10,685,159
	Pharmaceutical – 0.1%
	Valeant Pharmaceuticals International, Inc.
	13,114,265		5.000			02/13/19		13,120,429
	Retailers – 0.3%
	True Religion Apparel, Inc.
	57,140,833		5.875			07/30/19		22,856,333
	8,400,000		11.000			01/30/20		3,360,000
								26,216,333
	Technology – Software – 0.1%
	BMC Software Finance, Inc.
	6,576,405		5.000			09/10/20		6,332,881
	TOTAL BANK LOANS						$	156,558,327
	(Cost $218,607,928)
	Corporate Obligations – 6.4%
	Airlines – 0.4%
	Air Canada(b)(c)
$	24,965,000		6.750	%		10/01/19	$	25,799,455
	Continental Airlines 2012-3 Class C Pass Through Certificates
	12,550,000		6.125			04/29/18		13,177,500
								38,976,955
	Automotive(b)(c)(d) – 0.1%
	IHO Verwaltungs GmbH
EUR	7,350,000		2.750			09/15/21		8,255,545
	Banks – 1.2%
	Ally Financial, Inc.
$	8,900,000		6.250			12/01/17		9,289,375
	Corporate Obligations – (continued)
	Banks – (continued)
	Banco Nacional de Costa Rica
	3,100,000		6.250	%(c)		11/01/23		3,213,150
	2,810,000		6.250			11/01/23		2,912,565
	Intesa Sanpaolo SpA(c)
	18,125,000		5.017			06/26/24		16,720,313
	PNC Preferred Funding Trust II(b)(c)(e)
	61,300,000		2.073			03/29/49		58,541,500
	Royal Bank of Scotland Group PLC(b)(e)
	12,900,000		8.625			08/15/49		12,771,000
	Santander UK PLC(c)
	7,545,000		5.000			11/07/23		7,863,067
	The Bank of New York Mellon SA(b)(c)(f)
	1,630,000		9.625			05/02/21		—
								111,310,970
	Consumer Cyclical Services – Business(b) – 0.1%
	DuPont Fabros Technology LP
	7,300,000		5.875			09/15/21		7,637,625
	Electric(b) – 0.1%
	Calpine Corp.(c)
	1,729,000		7.875			01/15/23		1,826,256
	Electricite de France SA(e)
EUR	5,100,000		4.125			01/22/49		5,663,197
	3,100,000		4.250			01/29/49		3,526,784
								11,016,237
	Energy – 1.5%
	Halcon Resources Corp.(b)(c)
$	1,600,000		12.000			02/15/22		1,600,000
	Petrobras Global Finance BV
	5,580,000		4.875			03/17/20		5,604,664
	16,020,000		8.375			05/23/21		17,478,621
	Petroleos de Venezuela SA
	79,210,000		6.000			05/16/24		33,268,200
	25,110,000		6.000			11/15/26		10,543,689
	Petroleos Mexicanos
	1,140,000		6.375			02/04/21		1,237,470
EUR	17,330,000		5.125			03/15/23		21,755,093
$	17,082,000		4.500			01/23/26		16,572,956
	17,386,000		6.875			08/04/26		19,602,715
	330,000		6.625			06/15/35		334,240
	1,540,000		5.500			06/27/44		1,319,934
	990,000		6.375			01/23/45		950,400
	590,000		5.625			01/23/46		514,657
	12,980,000		6.750	(c)		09/21/47		12,980,000
								143,762,639
	Energy – Exploration & Production – 0.3%
	Antero Resources Corp.(b)
	9,350,000		5.625			06/01/23		9,513,625
	Laredo Petroleum, Inc.(b)
	12,000,000		5.625			01/15/22		11,640,000
	Whiting Petroleum Corp.
	2,950,000		1.250			04/01/20		2,437,437
								23,591,062

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

GOLDMAN SACHS STRATEGIC INCOME FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Environmental(b) – 0.0%
	Clean Harbors, Inc.
$	450,000		5.250	%		08/01/20	$	462,938
	Food & Beverage – 0.1%
	Constellation Brands, Inc.
	12,200,000		7.250			05/15/17		12,627,000
	Gaming – 0.1%
	MGM Resorts International
	5,000,000		8.625			02/01/19		5,643,750
	Health Care – 0.1%
	HCA, Inc.
	7,050,000		3.750			03/15/19		7,287,938
	Media – Cable – 0.1%
	Altice Financing SA(b)(c)
	3,200,000		6.500			01/15/22		3,376,000
	Cablevision Systems Corp.
	1,450,000		7.750			04/15/18		1,537,000
	SFR Group SA(b)(c)
	7,000,000		6.000			05/15/22		7,122,500
								12,035,500
	Media – Non Cable(b) – 0.2%
	Grupo Televisa SAB
	2,360,000		4.625			01/30/26		2,519,772
	13,190,000		6.125			01/31/46		14,447,007
								16,966,779
	Noncaptive – Financial – 0.3%
	CIT Group, Inc.
	5,550,000		5.000			05/15/17		5,654,063
	General Electric Co.
MXN	110,000,000		8.500			04/06/18		5,868,822
	Nationstar Mortgage LLC/Nationstar Capital Corp.(b)
$	6,450,000		6.500			08/01/18		6,554,812
	Navient Corp.
	2,500,000		8.450			06/15/18		2,686,003
	Speedy Cash Intermediate Holdings Corp.(b)(c)
	10,263,000		10.750			05/15/18		7,286,730
								28,050,430
	Packaging(b) – 0.3%
	ARD Finance SA(c)(d)
EUR	8,900,000		6.625			09/15/23		9,575,402
	Ardagh Packaging Finance PLC(c)
	11,000,000		6.750			05/15/24		12,912,654
	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/ Reynolds Group Issuer Lu
$	5,250,000		5.750			10/15/20		5,414,062
								27,902,118
	Pipelines – 0.6%
	Enterprise Products Operating LLC(b)(e)
	34,950,000		4.465			08/01/66		32,943,870
	Sabine Pass Liquefaction LLC(b)
	10,150,000		5.625			02/01/21		10,759,000
	Corporate Obligations – (continued)
	Pipelines – (continued)
	Sabine Pass LNG LP
	10,900,000		7.500			11/30/16		10,954,500
								54,657,370
	Property/Casualty Insurance(b)(e) – 0.1%
	The Chubb Corp.
	11,894,000		6.375			03/29/67		11,300,489
	Real Estate Investment Trusts – 0.2%
	Corporacion Geo SA(f)
	554,524		8.000			04/13/21		—
	Trust F/1401(b)
	18,700,000		5.250	(c)		12/15/24		19,494,133
	300,000		6.950	(c)		01/30/44		308,250
	200,000		6.950			01/30/44		205,500
								20,007,883
	Telecommunications – Cellular – 0.1%
	America Movil SAB de CV
MXN	256,740,000		6.000			06/09/19		13,057,033
	Wireless Telecommunications – 0.4%
	Sprint Communications, Inc.
$	14,000,000		9.125			03/01/17		14,350,000
	Sprint Corp.
	16,850,000		7.125			06/15/24		16,428,750
	T-Mobile USA, Inc.(b)
	5,900,000		6.250			04/01/21		6,165,500
								36,944,250
	Wirelines Telecommunications(b) – 0.1%
	Windstream Services LLC
	13,300,000		7.750			10/15/20		13,532,750
	TOTAL CORPORATE OBLIGATIONS
	(Cost $610,881,951)						$	605,027,261
	Mortgage-Backed Obligations – 20.8%
	Adjustable Rate Non-Agency(e) – 5.8%
	American Home Mortgage Assets Trust Series 2006-2, Class 2A1
$	9,910,388		0.714	%		09/25/46	$	7,406,829
	American Home Mortgage Assets Trust Series 2006-6, Class A1A
	5,480,410		0.714			12/25/46		3,772,463
	American Home Mortgage Investment Trust Series 2005-3, Class 2A4
	6,100,000		2.717			09/25/35		3,962,233
	American Home Mortgage Investment Trust Series 2006-3, Class 11A1
	165,908		0.704			12/25/46		141,383
	American Home Mortgage Investment Trust Series 2007-2, Class 11A1
	4,703,675		0.754			03/25/47		2,679,984
	Banc of America Funding Corp. Series 2006-H, Class 6A1
	23,826,540		0.702			10/20/36		20,200,613

The accompanying notes are an integral part of these financial statements. 81

GOLDMAN SACHS STRATEGIC INCOME FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Mortgage-Backed Obligations – (continued)
	Adjustable Rate Non-Agency(e) – (continued)
	Bear Stearns Mortgage Funding Trust Series 2007-AR4, Class 1A1
$	4,159,363		0.724	%		09/25/47	$	3,485,687
	Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2005-4A, Class A1(c)
	5,697,708		0.724			10/25/36		4,880,399
	Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2006-1A, Class A1(c)
	29,597,405		0.675			12/25/46		23,903,326
	Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2006-2A, Class A1(c)
	18,706,413		0.655			04/25/47		14,156,207
	Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2006-3A, Class A1(c)
	15,594,963		0.655			08/25/47		11,933,919
	Citigroup Mortgage Loan Trust Series 2006-AR6, Class 2A2
	9,612,548		0.684			09/25/36		8,262,146
	Citigroup Mortgage Loan Trust, Inc. Series 2006-AR7, Class 2A2A
	5,008,684		3.154			11/25/36		4,514,685
	Countrywide Alternative Loan Trust Series 2005-16, Class A1
	4,160,938		2.134			06/25/35		3,724,933
	Countrywide Alternative Loan Trust Series 2005-9CB, Class 1A5
	947,767		1.024			05/25/35		800,552
	Countrywide Alternative Loan Trust Series 2006-0C8, Class 2A2B
	2,951,170		0.694			11/25/36		2,629,803
	Countrywide Alternative Loan Trust Series 2006-HY11, Class A1
	422,196		0.644			06/25/36		337,745
	Countrywide Alternative Loan Trust Series 2006-OA1, Class 2A1
	313,623		0.722			03/20/46		234,703
	Countrywide Alternative Loan Trust Series 2007-19, Class 1A11
	11,504,673		1.024			08/25/37		6,632,891
	Countrywide Alternative Loan Trust Series 2007-HY6, Class A1
	5,520,304		0.734			08/25/47		4,444,962
	Countrywide Alternative Loan Trust Series 2007-OA11, Class A1A
	27,252,814		1.869			11/25/47		19,895,833
	Countrywide Home Loans Mortgage Pass-Through Trust Series 2005-3, Class 1A1
	7,383,565		1.144			04/25/35		5,288,419
	Credit Suisse European Mortgage Capital Ltd. Series 2015-1HWA, Class A(c)
EUR	53,748,958		2.750			04/20/20		57,698,037
	Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-OA3, Class A1
$	270,033		0.665			07/25/47		232,569
	Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-OA5, Class A1A
	3,281,158		0.725			08/25/47		2,841,476
	Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-OA5, Class A1B
	4,094,886		0.745			08/25/47		3,610,204
	Downey Savings & Loan Association Mortgage Trust Series 2005-AR5, Class 2A1A
	10,194,820		0.844			09/19/45		7,463,034
	Mortgage-Backed Obligations – (continued)
	Adjustable Rate Non-Agency(e) – (continued)
	GreenPoint Mortgage Funding Trust Series 2006-AR1, Class A1A
	949,393		0.814			02/25/36		810,526
	GreenPoint Mortgage Funding Trust Series 2006-OH1, Class A1
	1,659,629		0.704			01/25/37		1,398,284
	GSR Mortgage Loan Trust Series 2006-OA1, Class 2A2
	27,819,711		0.784			08/25/46		13,049,636
	HarborView Mortgage Loan Trust Series 2006-11, Class A1A
	5,847,060		0.684			12/19/36		4,345,567
	HomeBanc Mortgage Trust Series 2006-1, Class 3A2
	3,016,483		2.730			04/25/37		2,032,836
	Indymac Index Mortgage Loan Trust Series 2005-AR10, Class A1
	5,204,100		0.784			06/25/35		4,723,635
	Indymac Index Mortgage Loan Trust Series 2005-AR13, Class 4A1
	959,145		2.882			08/25/35		842,003
	Indymac Index Mortgage Loan Trust Series 2005-AR23, Class 6A1
	3,533,075		2.918			11/25/35		2,915,751
	Indymac Index Mortgage Loan Trust Series 2006-AR41, Class A3
	8,407,304		0.704			02/25/37		6,648,208
	Indymac Index Mortgage Loan Trust Series 2007-AR1, Class 1A1
	7,013,675		3.163			03/25/37		6,742,995
	Indymac Index Mortgage Loan Trust Series 2007-FLX4, Class 2A1
	7,608,825		0.705			07/25/37		6,755,842
	JPMorgan Alternative Loan Trust Series 2006-A2, Class 2A2
	6,887,998		3.059			05/25/36		5,727,920
	JPMorgan Alternative Loan Trust Series 2006-A5, Class 1A1
	6,876,410		0.684			10/25/36		6,003,638
	Leek Finance Number Eighteen PLC Series 2018X, Class A2C
EUR	8,138,180		0.000			09/21/38		9,859,366
	Lehman XS Trust Series 2005-5N, Class 1A1
$	18,210,388		0.824			11/25/35		16,386,004
	Lehman XS Trust Series 2005-7N, Class 1A1A
	9,937,042		0.794			12/25/35		8,885,446
	Lehman XS Trust Series 2005-9N, Class 1A1
	4,858,886		0.794			02/25/36		4,128,349
	Lehman XS Trust Series 2006-GP1, Class A2A
	84		0.694			05/25/46		66
	Lehman XS Trust Series 2007-12N, Class 2A1
	4,354,807		0.705			07/25/37		3,270,958
	Lehman XS Trust Series 2007-16N, Class 2A2
	12,558,496		1.374			09/25/47		10,604,560
	Lehman XS Trust Series 2007-4N, Class 3A2A
	5,642,365		1.257			03/25/47		4,773,078
	Lehman XS Trust Series 2007-5H, Class 3A4
	7,087,439		2.887			05/25/37		5,049,923
	Lehman XS Trust Series Series 2006-14N, Class 1A1A
	14,995,627		0.714			09/25/46		13,068,931
	LSTAR Securities Investment Trust Series 2014-2, Class A(c)
	19,601,279		2.523			12/01/21		19,504,500
	LSTAR Securities Investment Trust Series 2015-3, Class A(c)
	13,252,087		2.523			03/01/20		13,035,886
	Luminent Mortgage Trust Series 2007-2, Class 2A1
	1,585,365		0.754			05/25/37		1,211,481

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

GOLDMAN SACHS STRATEGIC INCOME FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Mortgage-Backed Obligations – (continued)
	Adjustable Rate Non-Agency(e) – (continued)
	Master Adjustable Rate Mortgages Trust Series 2006-OA2, Class 1A1
$	8,690,690		1.289	%		12/25/46	$	7,349,601
	Master Adjustable Rate Mortgages Trust Series 2006-OA2, Class 4A1A
	3,546,149		1.339			12/25/46		2,972,069
	Master Adjustable Rate Mortgages Trust Series 2007-2, Class A1
	4,078,169		0.674			03/25/47		3,362,033
	Master Adjustable Rate Mortgages Trust Series 2007-3, Class 12A1
	1,798,698		0.725			05/25/47		1,421,249
	Master Adjustable Rate Mortgages Trust Series 2007-HF2, Class A1
	6,041,242		0.834			09/25/37		5,630,546
	Morgan Stanley Mortgage Loan Trust Series 2005-6AR, Class 1A3
	1,241,280		0.934			11/25/35		1,178,997
	Morgan Stanley Mortgage Loan Trust Series 2006-16AX, Class 1A
	1,021,015		0.694			11/25/36		426,957
	Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2006-AR4, Class A4A
	2,451,195		0.764			12/25/36		1,875,886
	Residential Accredit Loans, Inc. Series 2005-Q05, Class A1
	5,611,568		1.489			01/25/46		4,159,019
	Residential Accredit Loans, Inc. Series 2005-QA12, Class CB3
	6,148,205		3.856			12/25/35		5,122,653
	Residential Accredit Loans, Inc. Series 2006-QA10, Class A1
	12,038,195		0.709			12/25/36		9,860,398
	Residential Accredit Loans, Inc. Series 2006-QA10, Class A2
	6,311,033		0.704			12/25/36		5,325,483
	Residential Accredit Loans, Inc. Series 2006-QA2, Class 2A1
	4,644,574		4.404			02/25/36		3,819,754
	Residential Accredit Loans, Inc. Series 2006-QO1, Class 3A1
	2,930,032		0.794			02/25/46		1,907,561
	Residential Accredit Loans, Inc. Series 2006-QO7, Class 1A1
	5,764,893		1.289			09/25/46		4,311,922
	Residential Accredit Loans, Inc. Series 2006-QO7, Class 3A2
	323,052		0.729			09/25/46		238,576
	Residential Accredit Loans, Inc. Series 2007-QO4, Class A1A
	1,981,395		0.714			05/25/47		1,668,007
	Residential Funding Mortgage Securities I Series 2005-SA4, Class 2A1
	5,282,571		3.399			09/25/35		4,673,368
	Residential Funding Mortgage Securities I Series 2005-SA5, Class 2A
	2,933,734		3.442			11/25/35		2,643,867
	Structured Adjustable Rate Mortgage Loan Trust Series 2006-11, Class 1A1
	5,597,128		0.684			12/25/36		4,745,999
	Structured Adjustable Rate Mortgage Loan Trust Series 2006-9, Class 3A1
	3,208,672		4.024			10/25/36		2,222,395
	Structured Adjustable Rate Mortgage Loan Trust Series 2007-11, Class 1A1
	7,840,406		1.674			12/25/37		5,391,539
	Mortgage-Backed Obligations – (continued)
	Adjustable Rate Non-Agency(e) – (continued)
	Structured Asset Mortgage Investments II Trust Series 2005-AR7, Class 5A1
	1,365,631		1.949			03/25/46		1,198,808
	Structured Asset Mortgage Investments II Trust Series 2006-AR3, Class 21A1
	4,091,758		0.924			02/25/36		3,058,589
	Structured Asset Mortgage Investments II Trust Series 2006-AR5, Class 1A1
	6,307,489		0.734			05/25/46		4,998,685
	Structured Asset Mortgage Investments II Trust Series 2006-AR7, Class A1A
	561,585		0.734			08/25/36		459,849
	Structured Asset Mortgage Investments II Trust Series 2007-AR4, Class A4A
	6,450,408		0.704			09/25/47		5,494,567
	Structured Asset Mortgage Investments II Trust Series 2007-AR7, Class 1A1
	1,700,463		1.374			05/25/47		1,309,434
	Structured Asset Mortgage Investments II Trust Series 2007-AR7, Class 3A1
	15,794,712		6.500			05/25/47		10,680,632
	Washington Mutual Alternative Mortgage Pass-Through Certificates Series 2005-4, Class CB1
	85,316		0.974			06/25/35		66,198
	Washington Mutual Alternative Mortgage Pass-Through Certificates Series 2006-AR4, Class DA
	2,745,076		1.459			06/25/46		1,602,628
	Washington Mutual Mortgage Pass-Through Certificates Series 2005-AR1, Class A2A1
	8,021,914		1.204			01/25/45		7,587,150
	Washington Mutual Mortgage Pass-Through Certificates Series 2005-AR19, Class A1A1
	500,434		0.794			12/25/45		489,851
	Washington Mutual Mortgage Pass-Through Certificates Series 2005-AR8, Class 1A1A
	318,803		0.794			07/25/45		313,982
	Washington Mutual Mortgage Pass-Through Certificates Series 2005-AR8, Class 2A1A
	1,131,047		0.814			07/25/45		1,075,042
	Washington Mutual Mortgage Pass-Through Certificates Series 2005-AR9, Class A1A
	4,021,293		1.164			07/25/45		3,959,895
	Washington Mutual Mortgage Pass-Through Certificates Series 2006-AR13, Class 1A
	6,879,182		1.369			10/25/46		5,739,390
	Washington Mutual Mortgage Pass-Through Certificates Series 2006-AR19, Class 1A
	9,086,975		1.229			01/25/47		7,618,548
	Washington Mutual Mortgage Pass-Through Certificates Series 2007-OA4, Class A1A
	6,308,365		1.249			04/25/47		4,843,123
	Washington Mutual Mortgage Pass-Through Certificates Series 2007-OA6, Class 2A
	5,023,232		1.759			07/25/47		3,565,765
	TOTAL ADJUSTABLE RATE NON-AGENCY						$	541,280,439

The accompanying notes are an integral part of these financial statements. 83

GOLDMAN SACHS STRATEGIC INCOME FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Mortgage-Backed Obligations – (continued)
	Collateralized Mortgage Obligations – 5.8%
	Interest Only(g) – 0.3%
	FHLMC STRIPS Series 304, Class C45
$	39,710,772		3.000	%		12/15/27	$	3,362,291
	FNMA REMIC Series 2011-100, Class S(e)
	18,687,667		5.925			10/25/41		3,414,820
	FNMA REMIC Series 2012-146, Class IO
	3,865,851		3.500			01/25/43		594,320
	GNMA REMIC Series 2013-182, Class PI
	18,064,209		4.500			12/20/43		2,954,931
	GNMA REMIC Series 2014-11, Class NI
	15,493,968		4.500			12/16/42		1,746,466
	GNMA REMIC Series 2014-180, Class PI
	17,461,421		4.000			08/20/44		2,237,007
	GNMA REMIC Series 2015-111, Class IW
	19,661,063		4.000			06/20/45		2,776,624
	GNMA REMIC Series 2015-129, Class IC
	7,357,397		4.500			09/16/45		1,063,351
	GNMA REMIC Series 2015-95, Class GI
	58,568,869		4.500			07/16/45		11,703,349
								29,853,159
	Inverse Floaters(e) – 3.7%
	FHLMC REMIC Series 3753, Class SK
	20,138,781		5.526			11/15/38		2,165,372
	FHLMC REMIC Series 3852, Class SW
	7,107,057		5.476			05/15/41		1,149,245
	FHLMC REMIC Series 4273, Class PS
	53,131,352		5.576			11/15/43		9,358,923
	FHLMC REMIC Series 4320, Class SD
	51,210,462		5.576			07/15/39		9,161,193
	FHLMC REMIC Series 4326, Class GS
	20,787,025		5.526			04/15/44		3,509,694
	FHLMC REMIC Series 4431, Class ST
	20,524,711		5.576			01/15/45		4,515,379
	FHLMC REMIC Series 4468, Class SY
	17,508,272		5.576			05/15/45		3,662,920
	FNMA REMIC Series 2010-126, Class LS
	7,295,861		4.477			11/25/40		1,302,515
	FNMA REMIC Series 2012-88, Class SB
	14,435,185		6.145			07/25/42		2,605,443
	FNMA REMIC Series 2013-121, Class SA
	50,638,013		5.575			12/25/43		9,401,241
	FNMA REMIC Series 2013-96, Class SW
	55,293,587		5.575			09/25/43		10,099,893
	FNMA REMIC Series 2014-19, Class MS
	30,635,836		6.075			11/25/39		3,930,130
	FNMA REMIC Series 2014-87, Class MS
	20,771,953		5.725			01/25/45		3,925,380
	FNMA REMIC Series 2015-20, Class ES
	56,030,035		5.625			04/25/45		12,561,519
	FNMA REMIC Series 2015-22, Class DS
	13,996,047		5.675			04/25/45		3,027,310
	FNMA REMIC Series 2015-24, Class SG
	22,159,476		5.075			04/25/45		4,554,865
	FNMA REMIC Series 2015-34, Class LS
	38,145,371		5.575			06/25/45		7,596,624
	Mortgage-Backed Obligations – (continued)
	Inverse Floaters(e) – (continued)
	FNMA REMIC Series 2015-79, Class SA
	42,886,085		5.725			11/25/45		7,564,732
	FNMA REMIC Series 2015-79, Class SE
	17,197,074		5.725			11/25/45		3,143,195
	FNMA REMIC Series 2015-81, Class SA
	166,280,494		5.175			11/25/45		26,601,770
	FNMA REMIC Series 2015-82, Class MS
	119,938,718		5.175			11/25/45		21,120,237
	FNMA REMIC Series 2015-86, Class BS
	29,560,060		5.175			11/25/45		5,139,285
	GNMA REMIC Series 2010-1, Class SD
	9,721,310		5.258			01/20/40		1,627,756
	GNMA REMIC Series 2010-162, Class SE
	22,777,057		6.018			12/20/40		2,439,644
	GNMA REMIC Series 2010-20, Class SC
	14,092,227		5.618			02/20/40		2,421,030
	GNMA REMIC Series 2010-20, Class SD
	12,802,430		5.148			02/20/40		1,954,561
	GNMA REMIC Series 2010-20, Class SE
	19,734,782		5.718			02/20/40		3,319,817
	GNMA REMIC Series 2010-31, Class SA
	472,523		5.218			03/20/40		72,512
	GNMA REMIC Series 2010-35, Class DS
	15,391,555		5.148			03/20/40		2,346,720
	GNMA REMIC Series 2010-37, Class SG
	31,930,713		5.168			03/20/40		4,897,105
	GNMA REMIC Series 2010-58, Class AI
	5,007,493		5.238			05/20/40		794,570
	GNMA REMIC Series 2010-59, Class SA
	8,880,240		5.968			05/20/40		1,589,184
	GNMA REMIC Series 2010-85, Class SN
	18,730,381		5.408			07/20/40		3,497,059
	GNMA REMIC Series 2010-9, Class XD
	34,140,572		6.070			01/16/40		5,579,850
	GNMA REMIC Series 2010-9, Class YD
	45,727,937		6.270			01/16/40		7,711,239
	GNMA REMIC Series 2010-90, Class ES
	30,058,140		5.418			07/20/40		4,775,517
	GNMA REMIC Series 2012-149, Class MS
	7,836,669		5.718			12/20/42		1,317,994
	GNMA REMIC Series 2013-103, Class DS
	19,244,155		5.618			07/20/43		3,193,802
	GNMA REMIC Series 2013-111, Class SA
	20,102,156		6.168			07/20/43		3,762,432
	GNMA REMIC Series 2013-113, Class SA
	23,538,142		6.168			08/20/43		4,357,400
	GNMA REMIC Series 2013-113, Class SD
	80,531,572		6.170			08/16/43		17,184,995
	GNMA REMIC Series 2013-117, Class PS
	27,227,255		5.618			04/20/43		4,030,720
	GNMA REMIC Series 2013-134, Class DS
	163,829		5.568			09/20/43		27,331
	GNMA REMIC Series 2013-147, Class SD
	26,235,028		6.118			12/20/39		4,806,491
	GNMA REMIC Series 2013-152, Class SJ
	30,112,095		5.618			05/20/41		5,016,859

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

GOLDMAN SACHS STRATEGIC INCOME FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Mortgage-Backed Obligations – (continued)
	Inverse Floaters(e) – (continued)
	GNMA REMIC Series 2013-152, Class TS
$	472,537		5.568	%		06/20/43	$	81,795
	GNMA REMIC Series 2013-167, Class SG
	24,962,576		5.618			11/20/43		4,076,551
	GNMA REMIC Series 2014-132, Class SL
	34,962,008		5.568			10/20/43		4,748,036
	GNMA REMIC Series 2014-133, Class BS
	15,346,437		5.068			09/20/44		2,276,704
	GNMA REMIC Series 2014-3, Class TS
	11,817,801		5.018			01/20/44		1,730,871
	GNMA REMIC Series 2014-41, Class SA
	33,955,804		5.568			03/20/44		5,967,138
	GNMA REMIC Series 2014-5, Class SA
	18,288,537		5.018			01/20/44		2,720,650
	GNMA REMIC Series 2014-56, Class ST
	27,932,061		5.570			12/16/39		4,486,671
	GNMA REMIC Series 2014-76, Class SA
	38,850,637		5.068			01/20/40		5,806,403
	GNMA REMIC Series 2014-96, Class SE
	23,378,979		5.068			07/20/44		3,543,451
	GNMA REMIC Series 2015-110, Class MS
	24,639,842		5.178			08/20/45		3,499,294
	GNMA REMIC Series 2015-111, Class SM
	21,030,092		5.668			08/20/45		3,362,230
	GNMA REMIC Series 2015-112, Class SB
	41,005,384		5.208			08/20/45		5,863,393
	GNMA REMIC Series 2015-123, Class SE
	25,108,079		5.188			09/20/45		3,551,824
	GNMA REMIC Series 2015-126, Class HS
	44,751,382		5.668			09/20/45		6,877,741
	GNMA REMIC Series 2015-126, Class LS
	13,693,663		5.668			09/20/45		2,189,303
	GNMA REMIC Series 2015-133, Class SA
	7,804,858		5.168			09/20/45		1,104,169
	GNMA REMIC Series 2015-133, Class SB
	11,318,976		5.168			09/20/45		1,567,867
	GNMA REMIC Series 2015-144, Class QS
	23,807,702		5.168			10/20/45		3,745,059
	GNMA REMIC Series 2015-167, Class SA
	24,286,308		5.718			11/20/45		3,903,468
	GNMA REMIC Series 2015-168, Class SD
	37,926,971		5.668			11/20/45		6,037,359
	GNMA REMIC Series 2016-4, Class SM
	105,845,767		5.118			01/20/46		16,867,095
	GNMA REMIC Series 2016-6, Class S
	27,483,927		5.118			01/20/46		4,110,798
	GNMA REMIC Series 2016-6, Class SB
	53,545,242		5.118			01/20/46		8,704,132
								349,643,455
	Planned Amortization Class(e) – 0.1%
	GNMA REMIC Series 2011-50, Class PS
	34,637,881		5.568			02/20/41		5,524,995
	Regular Floater(e) – 1.0%
	Countrywide Alternative Loan Trust Series 2005-26CB, Class A1
	887,378		1.024			07/25/35		683,873
	Mortgage-Backed Obligations – (continued)
	Regular Floater(e) – (continued)
	Countrywide Alternative Loan Trust Series 2005-36, Class 2A1A
	7,230,655		0.834			08/25/35		5,309,485
	Countrywide Alternative Loan Trust Series 2005-64CB, Class 1A12
	1,152,291		1.324			12/25/35		916,812
	FHLMC REMIC Series 3231, Class FB
	680,356		0.874			10/15/36		679,386
	FHLMC REMIC Series 3314, Class FC
	430,245		0.924			12/15/36		430,346
	FHLMC REMIC Series 3371, Class FA
	572,117		1.124			09/15/37		576,059
	FHLMC REMIC Series 3545, Class FA
	764,823		1.374			06/15/39		769,691
	FHLMC REMIC Series 3827, Class KF
	996,451		0.894			03/15/41		996,920
	FHLMC Structured Agency Credit Risk Debt Notes Series 2015-DNA1, Class M3
	13,210,000		3.824			10/25/27		13,697,049
	FHLMC Structured Agency Credit Risk Debt Notes Series 2015-HQ1, Class M3
	15,550,000		4.324			03/25/25		16,349,152
	FHLMC Structured Agency Credit Risk Debt Notes Series 2016-DNA2, Class M3
	1,300,000		5.174			10/25/28		1,365,695
	FHLMC Structured Agency Credit Risk Debt Notes Series 2016-DNA3, Class M3
	2,000,000		5.524			12/25/28		2,138,106
	FHLMC Structured Agency Credit Risk Debt Notes Series 2016-DNA4, Class M3
	11,000,000		4.324			03/25/29		11,059,173
	FNMA Connecticut Avenue Securities Series 2014-C03, Class 1M1
	10,358,711		1.724			07/25/24		10,381,955
	FNMA Connecticut Avenue Securities Series 2016-C04, Class 1M2
	11,900,000		4.774			01/25/29		12,179,076
	FNMA REMIC Series 2006-45, Class TF
	1,249,956		0.925			06/25/36		1,249,956
	FNMA REMIC Series 2006-76, Class QF
	1,312,664		0.925			08/25/36		1,313,309
	FNMA REMIC Series 2006-79, Class PF
	1,344,845		0.925			08/25/36		1,345,291
	FNMA REMIC Series 2007-33, Class HF
	1,758,776		0.875			04/25/37		1,752,230
	FNMA REMIC Series 2007-75, Class VF
	477,857		0.975			08/25/37		478,360
	FNMA REMIC Series 2009-84, Class WF
	285,997		1.625			10/25/39		289,456
	Nomura Resecuritization Trust Series 2014-5R, Class 2A11(c)
	4,592,554		8.305			12/26/36		3,304,947
	Sequoia Mortgage Trust Series 2007-3, Class 2AA1
	4,654,482		3.065			07/20/37		3,903,023
								91,169,350

The accompanying notes are an integral part of these financial statements. 85

GOLDMAN SACHS STRATEGIC INCOME FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Mortgage-Backed Obligations – (continued)
	Sequential Fixed Rate – 0.6%
	Banc of America Funding Corp. Series 2007-8, Class 2A1
$	2,000,916		7.000	%		10/25/37	$	1,210,270
	BCAP LLC Trust Series 2007-AA2, Class 2A7
	1,813,745		6.000			04/25/37		1,548,288
	Citicorp Mortgage Securities, Inc. Series 2007-4, Class 2A1
	122,205		5.500			05/25/22		126,903
	Citigroup Mortgage Loan Trust Series 2007-9, Class 1A1(c)
	8,077,052		5.750			04/25/47		6,299,207
	CitiMortgage Alternative Loan Trust Series 2007-A1, Class 1A7
	1,309,030		6.000			01/25/37		1,131,804
	CitiMortgage Alternative Loan Trust Series 2007-A3, Class 1A7
	6,854,283		5.750			03/25/37		5,798,069
	Countrywide Alternative Loan Trust Series 2005-77T1, Class 1A2
	2,462,733		6.000			02/25/36		2,005,938
	Countrywide Alternative Loan Trust Series 2007-06, Class A4
	3,108,964		5.750			04/25/47		2,573,975
	Countrywide Alternative Loan Trust Series 2007-15CB, Class A5
	1,212,509		5.750			07/25/37		1,077,113
	Countrywide Alternative Loan Trust Series 2007-18CB, Class 2A25
	480,795		6.000			08/25/37		433,682
	Countrywide Home Loans Mortgage Pass-Through Trust Series 2007-1, Class A4
	1,340,697		6.000			03/25/37		1,185,343
	Countrywide Home Loans Mortgage Pass-Through Trust Series 2007-7, Class A3
	2,672,044		5.750			06/25/37		2,426,866
	Countrywide Home Mortgage Loan Pass-Through Trust Series 2007-10, Class A5
	2,046,981		6.000			07/25/37		1,767,452
	Countrywide Home Mortgage Pass-Through Trust Series 2007-10, Class A22
	3,847,308		6.000			07/25/37		3,321,931
	JPMorgan Alternative Loan Trust Series 2008-R2, Class A1(c)
	8,630,687		6.000			11/25/36		7,277,986
	Morgan Stanley Mortgage Loan Trust Series 2005-4, Class 1A
	564,281		5.000			08/25/35		566,549
	Residential Accredit Loans, Inc. Series 2006-QS2, Class 1A9
	719,506		5.500			02/25/36		600,650
	Residential Accredit Loans, Inc. Series 2006-QS6, Class 1A13
	1,157,577		6.000			06/25/36		969,641
	Residential Accredit Loans, Inc. Series 2006-QS9, Class 1A11
	2,053,612		6.500			07/25/36		1,696,441
	Residential Asset Securitization Trust Series 2006-A15, Class A13
	6,769,621		6.250			01/25/37		4,707,538
	Residential Asset Securitization Trust Series 2006-A8, Class 1A1
	1,463,066		6.000			08/25/36		1,277,333
	Residential Asset Securitization Trust Series 2006-A8, Class 2A3
	6,961,955		6.000			08/25/36		3,990,643
	Residential Funding Mortgage Securities I Series 2007-S9, Class 1A1
	5,110,365		6.000			10/25/37		4,250,801
	Mortgage-Backed Obligations – (continued)
	Sequential Fixed Rate – (continued)
	Wells Fargo Mortgage Backed Securities Trust Series 2007-11, Class A85
	1,181,844		6.000			08/25/37		1,138,934
								57,383,357
	Sequential Floating Rate(e) – 0.1%
	Banc of America Funding Corp. Series 2007-2, Class 2A1
	82,480		4.717			03/25/37		81,390
	Countrywide Alternative Loan Trust Series 2007-16CB, Class 4A3
	5,813,561		1.024			08/25/37		4,452,161
	Washington Mutual Alternative Mortgage Pass-Through Certificates Series 2006-AR10, Class A1
	1,078,520		0.624			12/25/36		740,915
								5,274,466
	TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS						$	538,848,782
	Commercial Mortgage-Backed Securities – 7.1%
	Sequential Fixed Rate – 2.9%
	Credit Suisse Commercial Mortgage Trust Series 2007-C1, Class A1A
$	53,126,657		5.361	%		02/15/40	$	53,350,108
	CSMC Trust Series 2014-USA, Class E(c)
	18,050,000		4.373			09/15/37		15,540,411
	FHLMC Multifamily Structured Pass-Through Certificates Series K020, Class A2
	3,000,000		2.373			05/25/22		3,114,884
	FHLMC Multifamily Structured Pass-Through Certificates Series K030, Class A1
	19,502,366		2.779			09/25/22		20,314,723
	FHLMC Multifamily Structured Pass-Through Certificates Series K037, Class A2
	122,500,000		3.490			01/25/24		135,689,171
	FHLMC Multifamily Structured Pass-Through Certificates Series K038, Class A2
	24,500,000		3.389			03/25/24		26,972,302
	Wachovia Bank Commercial Mortgage Trust Series 2006-C28, ClassA1A
	13,198,411		5.559			10/15/48		13,182,407
	WF-RBS Commercial Mortgage Trust Series 2012-C6, Class B
	2,500,000		4.697			04/15/45		2,763,350
								270,927,356
	Sequential Floating Rate(e) – 4.2%
	BAMLL Commercial Mortgage Securities Trust Series 2014-ICTS, Class E(c)
	100,000		3.474			06/15/28		98,436
	CGBAM Commercial Mortgage Trust Series 2015-SMRT, Class E(c)
	12,450,000		3.912			04/10/28		12,053,443
	Citigroup Commercial Mortgage Trust Series 2015-SSHP, Class D(c)
	10,013,500		3.574			09/15/17		9,798,640

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

GOLDMAN SACHS STRATEGIC INCOME FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Mortgage-Backed Obligations – (continued)
	Sequential Floating Rate(e) – (continued)
	Citigroup Commercial Mortgage Trust Series 2015-SSHP, Class E(c)
$	11,819,000		3.924	%		09/15/17	$	11,297,803
	COMM 2015-CCRE23 Mortgage Trust Series 2015-CR23, Class CMD(c)
	15,125,000		3.807			05/10/48		14,068,206
	Credit Suisse Commercial Mortgage Trust Series 2007-C2, Class A1A
	125,033,551		5.526			01/15/49		126,199,139
	Credit Suisse Commercial Mortgage Trust Series 2007-C3, Class A1A1
	60,173,352		5.881			06/15/39		60,870,646
	FHLMC Multifamily Structured Pass-Through Certificates Series K029, Class A2
	35,100,000		3.320			02/25/23		38,322,524
	FREMF Mortgage Trust Series 2014-K40, Class C(c)
	7,800,000		4.208			09/25/25		7,659,280
	FREMF Mortgage Trust Series 2014-K41, Class B(c)
	19,950,000		3.961			11/25/47		20,438,153
	GRACE Mortgage Trust Series 2014-GRCE, Class F(c)
	15,350,000		3.710			06/10/28		15,176,387
	GS Mortgage Securities Trust Series 2007-GG10, Class A1A
	25,148,551		5.988			08/10/45		25,646,253
	Hilton Mortgage Trust Series 2014-ORL, Class E(c)
	18,050,000		3.774			07/15/29		17,326,354
	Invitation Homes Trust Series 2015-SFR2, Class E(c)
	100,000		3.677			06/17/32		99,479
	JPMorgan Chase Commercial Mortgage Securities Trust Series 2014-CBM, Class E(c)
	15,100,000		4.374			10/15/29		14,722,387
	Morgan Stanley Capital I Trust Series 2007-HQ11, Class AM
	1,450,000		5.478			02/12/44		1,457,030
	Morgan Stanley Capital I Trust Series 2007-HQ13, Class AM
	1,200,000		5.931			12/15/44		1,163,177
	Morgan Stanley Capital I Trust Series 2014-CPT, Class F(c)
	15,345,000		3.560			07/13/29		15,112,379
	Tricon American Homes Trust Series 2015-SFR1, Class D(c)
	1,920,000		2.731			05/17/32		1,896,717
	Tricon American Homes Trust Series 2015-SFR1, Class E(c)
	3,790,000		3.531			05/17/32		3,674,709
								397,081,142
	TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES						$	668,008,498
	Federal Agencies – 2.1%
	FHLMC – 0.0%
$	22,234		5.000	%		01/01/33	$	24,814
	1,825		5.000			03/01/33		2,030
	11,847		5.000			04/01/33		13,178
	3,524		5.000			05/01/33		3,920
	9,088		5.000			06/01/33		10,109
	49,926		5.000			07/01/33		55,536
	70,397		5.000			08/01/33		78,372
	8,960		5.000			09/01/33		10,023
	14,962		5.000			10/01/33		16,643
	46,251		5.000			11/01/33		51,447
	Mortgage-Backed Obligations – (continued)
	FHLMC – (continued)
	16,819		5.000			12/01/33		18,709
	15,923		5.000			01/01/34		17,712
	52,238		5.000			02/01/34		58,103
	21,948		5.000			03/01/34		24,406
	36,801		5.000			04/01/34		40,922
	60,152		5.000			05/01/34		66,910
	738,467		5.000			06/01/34		821,400
	13,093		5.000			11/01/34		14,559
	204,390		5.000			04/01/35		227,354
	17,362		5.000			11/01/35		19,312
								1,575,459
	FNMA – 2.1%
	3,780,596		3.094			01/01/18		3,827,840
	5,947,971		3.434			01/01/18		6,033,835
	93,198		5.000			01/01/18		96,312
	497,609		5.000			02/01/18		516,432
	342,572		5.000			03/01/18		355,532
	529,802		5.000			04/01/18		549,844
	51,319		5.000			05/01/18		53,261
	47,839		5.000			06/01/18		49,649
	840		5.500			01/01/19		872
	28,019		5.500			02/01/19		29,017
	31,575		5.500			03/01/19		32,765
	19,223		5.500			04/01/19		19,926
	13,262		5.500			05/01/19		13,816
	60,007		5.500			06/01/19		62,284
	181,862		5.500			07/01/19		188,884
	165,726		5.500			08/01/19		172,347
	155,365		5.500			09/01/19		162,465
	49,105		5.500			10/01/19		51,322
	50,561		5.500			11/01/19		52,935
	81,039		5.500			12/01/19		84,849
	7,408		5.500			01/01/20		7,773
	2,799		5.500			06/01/20		2,905
	899,106		5.500			07/01/20		941,563
	1,770,181		3.416			10/01/20		1,880,702
	1,341,935		3.619			12/01/20		1,440,764
	5,356,215		4.381			06/01/21		5,934,152
	3,587		6.000			01/01/24		4,107
	81,472		6.000			04/01/24		93,595
	1,501,164		5.500			05/01/25		1,554,641
	4,711		4.500			09/01/29		5,154
	6,893		6.000			12/01/32		7,993
	970		6.000			01/01/33		1,125
	4,109		6.000			04/01/33		4,765
	182,596		6.000			10/01/33		214,897
	6,205		6.000			02/01/34		7,195
	46,962		6.000			03/01/34		54,461
	130,096		6.000			08/01/34		151,479
	33,603		6.000			11/01/34		38,969
	321,488		6.000			05/01/35		372,008
	67,491		6.000			06/01/35		78,005
	187,784		6.000			10/01/35		216,140
	22,812		6.000			11/01/35		26,277
	30,906		6.000			12/01/35		35,478

The accompanying notes are an integral part of these financial statements. 87

GOLDMAN SACHS STRATEGIC INCOME FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date			Value
	Mortgage-Backed Obligations – (continued)
	FNMA – (continued)
$	131,734		6.000	%		02/01/36		$	152,706
	12,657		6.000			05/01/36			14,672
	641,092		6.000			08/01/36			736,914
	35,078		6.000			09/01/36			40,578
	21,413		6.000			10/01/36			24,950
	246,716		6.000			11/01/36			287,691
	455,723		6.000			12/01/36			522,715
	1,557,753		6.000			01/01/37			1,784,784
	2,475,948		6.000			02/01/37			2,843,478
	76,308		6.000			04/01/37			88,545
	785,394		6.000			05/01/37			901,701
	1,232,008		6.000			07/01/37			1,432,976
	73,788		4.500			08/01/37			81,021
	1,445,782		6.000			08/01/37			1,664,637
	36,580		6.000			09/01/37			41,897
	637,631		6.000			10/01/37			736,814
	4,956		6.000			11/01/37			5,742
	360,324		6.000			12/01/37			412,738
	1,005,977		6.000			01/01/38			1,152,236
	76,558		5.000			03/01/38			87,223
	92,473		6.000			03/01/38			107,446
	361,209		6.000			05/01/38			414,038
	20,785		6.000			07/01/38			23,807
	21,297		6.000			08/01/38			24,607
	628,327		6.000			09/01/38			721,225
	322,823		6.000			10/01/38			372,522
	2,005,899		6.000			11/01/38			2,314,840
	5,763,807		6.000			12/01/38			6,604,886
	3,109		6.000			01/01/39			3,561
	16,224		4.500			04/01/39			17,866
	7,995		6.000			04/01/39			9,297
	121,559		6.000			07/01/39			142,022
	25,763		4.000			08/01/39			27,645
	12,902		4.000			09/01/39			13,845
	91,997		6.000			09/01/39			105,373
	63,922		4.500			10/01/39			71,697
	859,337		6.000			10/01/39			994,264
	273,204		6.000			10/01/40			312,913
	10,092		4.500			05/01/41			11,195
	1,430,921		6.000			05/01/41			1,639,245
	40,494		4.500			06/01/41			44,667
	144,614		6.000			07/01/41			167,569
	50,791		4.500			08/01/41			56,875
	13,158		4.500			10/01/41			14,600
	408,849		5.000			11/01/41			454,541
	13,228		6.000			01/01/42			15,488
	5,602		4.500			11/01/42			6,159
	1,690,732		3.000			12/01/42			1,773,420
	2,938,589		3.000			01/01/43			3,083,005
	794,279		3.000			04/01/43			833,124
	63,489		4.500			12/01/43			70,547
	30,000,000		3.000			TBA-30yr	(h)		31,131,561
	Mortgage-Backed Obligations – (continued)
	FNMA – (continued)
	100,000,000		3.500			TBA-30yr	(h)		105,530,039
	1,000,000		6.000			TBA-30yr	(h)		1,146,875
									196,703,117
	TOTAL FEDERAL AGENCIES							$	198,278,576
	TOTAL MORTGAGE-BACKED OBLIGATIONS
	(Cost $1,903,371,186)							$	1,946,416,295
	Agency Debentures – 0.5%
	FFCB
$	31,600,000		3.440	%		06/17/30		$	35,259,438
	11,000,000		2.850			02/10/31			11,436,315
	3,000,000		3.020			04/09/31			3,176,016
	TOTAL AGENCY DEBENTURES
	(Cost $44,529,171)							$	49,871,769
	Asset-Backed Securities – 24.1%
	Auto(c) – 0.1%
	Skopos Auto Receivables Trust Series 2015-1A, Class A
$	3,159,739		3.100	%		12/15/23		$	3,156,008
	Skopos Auto Receivables Trust Series 2015-2A, Class A
	6,427,420		3.550			02/15/20			6,415,048
									9,571,056
	Collateralized Loan Obligations(c) – 14.9%
	ACIS CLO Ltd. Series 2013-1A, Class ACOM
	23,550,000		1.847			04/18/24			23,225,010
	ACIS CLO Ltd. Series 2013-2A, Class A(e)
	5,549,877		1.130			10/14/22			5,508,303
	ACIS CLO Ltd. Series 2013-2A, Class ACOM(e)
	40,401,916		1.328			10/14/22			40,135,263
	ACIS CLO Ltd. Series 2014-4A, Class A(e)
	144,665,932		2.057			05/01/26			144,279,529
	ACIS CLO Ltd. Series 2014-4A, Class C(e)
	11,050,000		3.187			05/01/26			10,464,217
	Anchorage Capital CLO 4 Ltd. Series 2014-4A, Class A1A(e)
	1,500,000		2.084			07/28/26			1,500,029
	Callidus Debt Partners CLO Fund VI Ltd. Series 2006-A, Class A1T(e)
	238,016		0.898			10/23/21			235,474
	Cedar Funding V CLO Ltd. Series 2016-5A, Class A1(e)
	850,000		2.243			07/17/28			850,944
	Crown Point CLO lll Ltd. Series 2015-3A, Class ACOM(e)
	32,600,000		0.000			12/31/27			32,120,780
	Crown Point CLO Ltd. Series 2012-1A, Class ACOM(e)
	4,479,530		0.000			11/21/22			4,459,820
	Crown Point CLO Ltd. Series 2013-2A, Class ACOM(e)
	118,100,000		0.000			12/14/23			117,033,675
	Cutwater 2014-I Ltd. Series 2014-1A, Class A2(e)
	150,000		2.778			07/15/26			147,834

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

GOLDMAN SACHS STRATEGIC INCOME FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Asset-Backed Securities – (continued)
	Collateralized Loan Obligations(c) – (continued)
	Cutwater 2014-I Ltd. Series 2014-1A, Class B(e)
$	150,000		3.478	%		07/15/26	$	147,536
	Doral CLO 1 Ltd. Series 2012-3A, Class A1(e)
	7,540,076		2.097			12/19/22		7,550,987
	Halcyon Loan Advisors Funding Ltd. Series 2014-2A, Class A1B(e)
	64,150,000		2.054			04/28/25		64,056,726
	Halcyon Loan Advisors Funding Ltd. Series 2014-2A, Class A2(e)
	55,600,000		2.634			04/28/25		54,455,140
	Halcyon Loan Advisors Funding Ltd. Series 2015-2A, Class A(e)
	114,100,000		2.028			07/25/27		113,639,492
	Hildene CLO II Ltd. Series 2014-2A, Class A(e)
	1,800,000		2.083			07/19/26		1,798,808
	Hildene CLO II Ltd. Series 2014-2A, Class B1(e)
	350,000		2.833			07/19/26		348,272
	MidOcean Credit CLO III Series 2014-3A, Class A(e)
	1,300,000		2.095			07/21/26		1,299,994
	Ocean Trails CLO IV Series 2013-4A, Class A(e)
	1,300,000		1.927			08/13/25		1,296,920
	OCP CLO Ltd. Series 2012-2A, Class ACOM(e)
	12,025,441		0.000			11/22/23		11,995,378
	OCP CLO Ltd. Series 2014-5A, Class ACOM(e)
	140,200,000		0.000			04/26/26		138,307,300
	OFSI Fund V Ltd. Series 2013-5A, Class ACOM
	11,950,000		0.000			04/17/25		11,816,160
	OFSI Fund VI Ltd. Series 2014-6A, Class ACOM
	120,000,000		0.000			03/20/25		117,972,000
	OFSI Fund VII Ltd. Series 2014-7A, Class A(e)
	117,074,553		1.973			10/18/26		116,677,905
	OFSI Fund VII Ltd. Series 2014-7A, Class ACOM(e)
	750,000		0.000			10/18/26		745,950
	OFSI Fund VII Ltd. Series 2014-7A, Class B(e)
	28,925,447		2.763			10/18/26		28,896,203
	Regatta IV Funding Ltd. Series 2014-1A, Class ACOM(e)
	1,550,000		0.000			07/25/26		1,544,420
	Sound Point CLO VI Ltd. Series 2014-2A, Class ACOM
	1,000,000		0.000			10/20/26		997,000
	Trinitas CLO II Ltd. Series 2014-2A, Class ACOM(e)
	58,700,000		0.000			07/15/26		57,661,010
	Trinitas CLO II Ltd. Series 2014-2A, Class C(e)
	10,200,000		3.438			07/15/26		9,581,574
	Trinitas CLO Ltd. Series 2014-1A, Class A1(e)
	58,150,000		2.158			04/15/26		58,164,770
	Wasatch Ltd. Series 2006-1A, Class A1B(e)
	713,752		0.866			11/14/22		698,359
	Z Capital Credit Partners CLO Ltd. Series 2015-1A, Class ACOM(e)
	120,650,000		0.000			07/16/27		119,576,215
	Zais CLO 1 Ltd. Series 2014-1A, Class ACOM
	93,200,000		1.714			04/15/26		92,799,240
								1,391,988,237
	Home Equity – 1.7%
	ACE Securities Corp. Home Equity Loan Trust Series 2007-ASAP1, Class A2C(e)
	10,464,871		0.784			03/25/37		6,416,867
	Asset-Backed Securities – (continued)
	Home Equity – (continued)
	ACE Securities Corp. Home Equity Loan Trust Series 2007-HE2, Class A2D(e)
	16,641,000		0.794			05/25/36		11,831,688
	Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates Series 2005-R8, Class M2(e)
	5,440,000		1.014			10/25/35		5,032,573
	Bayview Financial Mortgage Pass-Through Trust 2006-A, Class M3(e)
	10,095,000		1.174			02/28/41		8,301,384
	Bayview Opportunity Master Fund IIIb RPL Trust Series 2015-3, Class A1(c)(i)
	5,203,882		3.623			04/28/30		5,242,391
	Citigroup Mortgage Loan Trust Series 2006-WFH1, Class M3(e)
	6,400,000		0.924			01/25/36		5,696,178
	Citigroup Mortgage Loan Trust Series 2007-WFH2, Class A4(e)
	300,000		0.874			03/25/37		285,294
	Credit-Based Asset Servicing and Securitization LLC Series 2005-CB8, Class AF2(i)
	67,851		4.070			12/25/35		68,156
	Credit-Based Asset Servicing and Securitization LLC Series 2005-CB8, Class AF3(i)
	9,006,000		4.070			12/25/35		8,588,963
	First Franklin Mortgage Loan Trust Series 2006-FF12, Class A4(e)
	1,984,060		0.664			09/25/36		1,869,154
	First Franklin Mortgage Loan Trust Series 2006-FF6, Class A4(e)
	25,000,000		0.774			04/25/36		20,919,415
	GSAA Home Equity Trust Series 2007-10, Class A2A
	4,062,234		6.500			11/25/37		2,986,384
	GSAMP Trust Series 2006-HE8, Class A2C(e)
	16,455,733		0.694			01/25/37		13,461,910
	HSI Asset Securitization Corp. Trust Series 2006-OPT1, Class 2A4(e)
	8,600,000		0.824			12/25/35		8,156,453
	JPMorgan Mortgage Acquisition Trust Series 2006-CH1, Class A5(e)
	3,850,000		0.754			07/25/36		3,735,460
	JPMorgan Mortgage Acquisition Trust Series 2007-CH2, Class AV5(e)
	7,450,000		0.784			01/25/37		6,109,291
	Lehman XS Trust Series 2006-16N, Class A321(e)
	7,135,498		0.724			11/25/46		5,565,926
	Lehman XS Trust Series 2007-3, Class 1BA2(e)
	327,384		1.428			03/25/37		253,763
	Morgan Stanley Mortgage Loan Trust Series 2007-1XS, Class 2A1(e)
	7,623,407		0.604			09/25/46		2,661,598
	Saxon Asset Securities Trust Series 2007-2, Class A2C(e)
	6,562,037		0.764			05/25/47		4,705,487
	Securitized Asset Backed Receivables LLC Trust Series 2004-DO1, Class M1(e)
	4,479,987		1.499			07/25/34		4,300,729
	Structured Asset Securities Corp. Mortgage Loan Trust Series 2006-BC3, Class A3(e)
	2,916,474		0.684			10/25/36		2,316,011

The accompanying notes are an integral part of these financial statements. 89

GOLDMAN SACHS STRATEGIC INCOME FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Asset-Backed Securities – (continued)
	Home Equity – (continued)
	Structured Asset Securities Corp. Mortgage Loan Trust Series 2007-EQ1, Class A1(e)
$	5,357,398		0.739	%		03/25/37	$	4,085,655
	Vericrest Opportunity Loan Trust XXV LLC Series 2015-NPL8, Class A1(c)(i)
	26,963,460		3.500			06/26/45		26,996,189
	Wachovia Mortgage Loan Trust Series 2005-WMC1, Class M1(e)
	3,773,724		1.184			10/25/35		3,681,695
								163,268,614
	Other(c)(e) – 2.1%
	Mortgage Repurchase Agreement Financing Trust Series 2016-1, Class A
	96,150,000		1.585			09/10/18		96,150,000
	Mortgage Repurchase Agreement Financing Trust Series 2016-2, Class A
	100,000,000		1.785			03/10/19		100,000,000
								196,150,000
	Student Loan(e) – 5.3%
	Access Group, Inc. Series 2006-1, Class A2
	6,726,863		0.772			08/25/23		6,702,704
	Access Group, Inc. Series 2015-1, Class A(c)
	37,196,044		1.224			07/25/56		36,376,385
	Bank of America Student Loan Trust Series 2010-1A, Class A(c)
	167,264		1.438			02/25/43		164,885
	GCO Education Loan Funding Trust Series 2006-1, Class A8L
	3,887,699		0.792			05/25/25		3,831,056
	Higher Education Funding I Series 2005-1, Class A4
	16,185,030		0.802			02/25/30		16,036,424
	Nelnet Student Loan Trust Series 2005-4, Class A3
	28,219,651		0.777			06/22/26		28,088,455
	Panhandle-Plains Higher Education Authority, Inc. Series 2011-1, Class A2
	4,967,412		1.575			07/01/24		4,974,194
	Scholar Funding Trust Series 2010-A, Class A(c)
	33,009,680		1.384			10/28/41		32,353,118
	SLC Student Loan Trust Series 2005-3, Class A3
	8,800,000		0.773			06/15/29		8,486,223
	SLM Student Loan Trust Series 2003-14, Class A5
	15,822,178		0.868			01/25/23		15,756,183
	SLM Student Loan Trust Series 2005-4, Class A3
	66,309,983		0.758			01/25/27		63,507,073
	SLM Student Loan Trust Series 2005-5, Class A4
	12,900,000		0.778			10/25/28		12,192,969
	SLM Student Loan Trust Series 2006-10, Class A5A
	408,647		0.738			04/25/27		403,468
	SLM Student Loan Trust Series 2006-9, Class A4
	317,475		0.708			10/25/22		317,381
	SLM Student Loan Trust Series 2007-1, Class A5
	50,232,779		0.728			01/26/26		49,432,661
	SLM Student Loan Trust Series 2007-2, Class A4
	81,200,000		0.698			07/25/22		75,635,161
	SLM Student Loan Trust Series 2008-2, Class A3
	19,024,384		1.388			04/25/23		18,303,278
	Asset-Backed Securities – (continued)
	Student Loan(e) – (continued)
	SLM Student Loan Trust Series 2008-4, Class A4
	40,492,368		2.288			07/25/22		40,646,778
	SLM Student Loan Trust Series 2008-5, Class A4
	42,894,844		2.338			07/25/23		43,002,368
	SunTrust Student Loan Trust Series 2006-1A, Class A4(c)
	33,435,058		0.824			10/28/37		30,648,705
	Wachovia Student Loan Trust Series 2005-1, Class A5
	10,073,628		0.768			01/26/26		9,961,945
								496,821,414
	TOTAL ASSET-BACKED SECURITIES
	(Cost $2,229,192,174)						$	2,257,799,321
	Foreign Debt Obligations – 31.0%
	Sovereign – 31.0%
	Brazil Letras do Tesouro Nacional(j)
BRL	256,152,000		0.000	%		01/01/17	$	76,232,219
	Brazil Notas do Tesouro Nacional
	32,887,000		10.000			01/01/17		10,015,117
	13,570,621		6.000			08/15/40		4,271,899
	171,554,846		6.000			08/15/50		54,355,004
	Dominican Republic
DOP	61,100,000		10.375			03/04/22		1,323,248
	98,700,000		14.500			02/10/23		2,476,224
$	17,540,000		6.600	(c)		01/28/24		19,776,350
	16,850,000		6.600			01/28/24		18,998,375
	15,112,000		5.875			04/18/24		16,283,180
	55,610,000		5.500	(c)		01/27/25		58,946,600
	2,784,000		8.625			04/20/27		3,389,520
DOP	30,000,000		18.500			02/04/28		916,430
	58,700,000		11.375			07/06/29		1,283,239
	Japan Government Two Year Bond
JPY	72,000,000,000		0.100			06/15/18		714,901,955
	94,600,000,000		0.100			07/15/18		939,479,172
	Japanese Government CPI Linked Bond
	4,659,983,000		0.100			09/10/24		48,274,860
	27,404,187,862		0.100			03/10/26		285,108,409
	Republic of Costa Rica
$	3,360,000		9.995			08/01/20		4,078,200
	Republic of Indonesia
EUR	2,510,000		2.625	(c)		06/14/23		2,960,587
$	30,825,000		5.875			01/15/24		36,329,728
	24,820,000		4.125			01/15/25		26,489,641
	11,820,000		4.750	(c)		01/08/26		13,223,625
	Republic of Nigeria
	3,090,000		6.375			07/12/23		3,043,650
	Republic of Venezuela
	18,220,000		8.250			10/13/24		9,018,900
	United Kingdom Treasury
GBP	226,600,000		4.250			03/07/36		439,066,210
	United Mexican States
MXN	3,544,500		7.750			12/14/17		188,568
	1,600,614,300		4.750			06/14/18		81,656,825
	241,369,600		6.500			06/10/21		12,796,599
	154,502,100		8.000			12/07/23		8,952,358

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

GOLDMAN SACHS STRATEGIC INCOME FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Foreign Debt Obligations – (continued)
	Sovereign – (continued)
MXN	39,328,100		10.000	%		12/05/24	$	2,561,865
	75,763,000		8.500			05/31/29		4,669,772
	1,546,000		7.750			11/23/34		90,640
	475,100		10.000			11/20/36		34,153
	754,100		7.750			11/13/42		44,943
	TOTAL FOREIGN DEBT OBLIGATIONS
	(Cost $2,848,107,174)						$	2,901,238,065
	Municipal Debt Obligations(b) – 1.7%
	Puerto Rico – 1.7%
	Puerto Rico Commonwealth Aqueduct & Sewer Authority RB (Senior Lien) Series 2008 A
$	1,655,000		6.000	%		07/01/38	$	1,274,350
	Puerto Rico Commonwealth Aqueduct & Sewer Authority RB (Senior Lien) Series 2012 A
	45,000		5.250			07/01/42		33,975
	Puerto Rico Commonwealth Aqueduct & Sewer Authority RB (Senior Lien) Series 2012 D
	2,695,000		5.000			07/01/33		2,021,250
	Puerto Rico Commonwealth GO Bonds for Public Improvement Series 2011 A
	3,035,000		5.750			07/01/41		1,889,287
	Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2008 A
	1,495,000		5.500			07/01/32		925,031
	Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2009 B
	1,160,000		5.875			07/01/36		727,900
	3,340,000		5.750			07/01/38		2,079,150
	2,170,000		6.000			07/01/39		1,369,813
	Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2009 C
	1,780,000		6.000			07/01/39		1,116,950
	Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2011 A
	1,120,000		6.000			07/01/34		700,000
	Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2011 E
	1,010,000		5.625			07/01/32		622,413
	Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2012 A
	515,000		5.500			07/01/26		318,656
	1,975,000		5.500			07/01/39		1,222,031
	2,115,000		5.000			07/01/41		1,279,575
	Puerto Rico Commonwealth GO Bonds Series 2014 A
	9,635,000		8.000			07/01/35		6,298,881
	Puerto Rico Commonwealth GO Bonds Unrefunded Balance for Public Improvement Series 2001 A
	1,960,000		5.125			07/01/31		1,193,150
	Puerto Rico Commonwealth GO Bonds Unrefunded Balance for Public Improvement Series 2004 A
	455,000		5.000			07/01/34		275,275
	Puerto Rico Commonwealth GO Bonds Unrefunded Balance for Public Improvement Series 2006 A
	605,000		5.250			07/01/27		370,563
	Municipal Debt Obligations(b) – (continued )
	Puerto Rico – (continued)
	Puerto Rico Commonwealth GO Unrefunded Balance Refunding for Public Improvement 2006 B
	670,000		5.000			07/01/35		405,350
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB Capital Appreciation Series 2010 A(j)
	2,005,000		0.000			08/01/35		237,512
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB Capital Appreciation SubSeries 2010 C(j)
	5,315,000		0.000			08/01/37		565,197
	4,330,000		0.000			08/01/38		431,398
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2009 A
	1,650,000		5.250			08/01/27		866,250
	21,440,000		6.750			08/01/32		12,006,400
	21,040,000		5.750			08/01/37		11,151,200
	155,000		6.375			08/01/39		84,475
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2010 A
	9,275,000		6.250			08/01/33		3,153,778
	19,110,000		5.500			08/01/37		10,080,525
	20,640,000		5.375			08/01/39		10,836,000
	48,980,000		5.500			08/01/42		25,836,950
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2010 C
	5,990,000		5.375			08/01/38		3,144,750
	62,040,000		5.250			08/01/41		32,571,000
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2011 A-1
	14,210,000		5.000			08/01/43		7,389,200
	9,605,000		5.250			08/01/43		5,042,625
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB Unrefunded SubSeries 2009 A
	16,650,000		5.500			08/01/28		8,782,875
	TOTAL MUNICIPAL DEBT OBLIGATIONS
	(Cost $211,941,109)						$	156,303,735
	U.S. Treasury Obligations – 5.7%
	United States Treasury Inflation Protected Securities
$	17,765,901		2.625	%(k)		07/15/17	$	18,321,086
	88,635,278		0.125			04/15/19		90,200,577
	41,106,800		0.125			04/15/20		41,928,936
	31,579,713		0.125			01/15/22		32,250,782
	16,421,265		0.125	(k)		01/15/23		16,693,201
	71,897,888		0.375			07/15/23		74,537,979
	309,423		0.625			01/15/24		324,798
	96,458,602		0.125			07/15/24		97,905,481
	104,375,266		0.375	(k)		07/15/25		107,816,518
	22,754,473		2.500	(k)		01/15/29		28,894,540
	11,245,845		2.125	(k)		02/15/40		14,993,860
	6,660,335		1.375			02/15/44		7,914,342
	TOTAL U.S. TREASURY OBLIGATIONS
	(Cost $520,606,223)						$	531,782,100

The accompanying notes are an integral part of these financial statements. 91

GOLDMAN SACHS STRATEGIC INCOME FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Shares		Description	Value
	Common Stock(f)(l)(m) – 1.0%
	Oil, Gas & Consumable Fuels – 1.0%
	7,642,441	Magnum Hunter Resources Corp. PI
	(Cost $76,258,100)		$	93,925,600

Shares	Rate			Value
Preferred Stocks – 0.3%
Banks – 0.3%
ING Groep NV
626,469		6.125	%	$	16,056,400
152,066		6.200			3,897,452
203,418		6.375			5,233,945
TOTAL PREFERRED STOCKS
(Cost $24,903,956)				$	25,187,797
Shares	Distribution Rate			Value
Investment Company(e)(l) – 0.9%
Goldman Sachs Financial Square Government Fund – Institutional Shares
84,226,473		0.290	%	$	84,226,473
(Cost $84,226,473)
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT
(Cost $8,772,625,445)				$	8,808,336,743

Principal Amount		Interest Rate			Maturity Date		Value
	Short-term Investments – 0.5%(j)
	Commercial Paper – 0.5%
	Ford Motor Credit Co. LLC
$	26,600,000		0.000	%		02/01/17	$	26,468,219
	Marriott International, Inc.
	25,000,000		0.000			10/25/16		24,986,500
	TOTAL SHORT-TERM INVESTMENTS
	(Cost $51,454,719)						$	51,454,719
	TOTAL INVESTMENTS – 94.6%
	(Cost $8,824,080,164)						$	8,859,791,462
	OTHER ASSETS IN EXCESS OF     LIABILITIES – 5.4%							500,997,214
	NET ASSETS – 100.0%						$	9,360,788,676

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

(a)	Bank Loans often require prepayments from excess cash flows or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. The stated interest rate represents the weighted average interest rate of all contracts within the bank loan facility on September 30, 2016. Bank Loans typically have rates of interest which are predetermined either daily, monthly, quarterly or semi-annually by reference to a base lending rate, plus a premium. These base lending rates are primarily the London-Interbank Offered Rate (“LIBOR”), and secondarily the prime rate offered by one or more major United States banks (the “Prime Rate”) and the certificate of deposit (“CD”) rate or other base lending rates used by commercial lenders.
(b)	Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.
(c)	Exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be deemed 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 $2,342,230,281, which represents approximately 25.0% of net assets as of September 30, 2016.
(d)	Pay-in-kind securities.
(e)	Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on September 30, 2016.
(f)	Security is currently in default and/or non-income producing.
(g)	Security with a notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate.
(h)	TBA (To Be Announced) Securities are purchased 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 $137,808,475 which represents approximately 1.5% of net assets as of September 30, 2016.
(i)	Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect on September 30, 2016.
(j)	Issued with a zero coupon. Income is recognized through the accretion of discount.
(k)	All or a portion of security is segregated as collateral for initial margin requirements on futures transactions.
(l)	Represents an Affiliated Fund/Issuer.
(m)	Restricted securities are not registered under the Securities Act of and are subject to legal restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are subsequently registered and the registration statement is effective. Disposal of these securities may involve time consuming negotiations and prompt sale at an acceptable price may be difficult. Total market value of restricted securities amounts to $104,795,953 which represents approximately 1.1% of net assets as of September 30, 2016. See additional details below:

Restricted Security	Acquisition Date		Cost
Magnum Hunter Resources, Inc.		05/06/16 – 08/18/16	$	11,206,560
Magnum Hunter Resources Corp. PI		05/06/16 – 08/18/16		76,258,100

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

GOLDMAN SACHS STRATEGIC INCOME FUND

Currency Abbreviations:
AED	—United Arab Emirates Dirham
ARS	—Argentine Peso
AUD	—Australian Dollar
BRL	—Brazilian Real
CAD	—Canadian Dollar
CHF	—Swiss Franc
CLP	—Chilean Peso
CNH	—Chinese Yuan Renminbi Offshore
COP	—Colombian Peso
CZK	—Czech Koruna
DOP	—Dominican Peso
EUR	—Euro
GBP	—British Pound
HUF	—Hungarian Forint
IDR	—Indonesian Rupiah
ILS	—Israeli Shekel
INR	—Indian Rupee
JPY	—Japanese Yen
KRW	—South Korean Won
MXN	—Mexican Peso
MYR	—Malaysian Ringgit
NOK	—Norwegian Krone
NZD	—New Zealand Dollar
PEN	—Peruvian Nuevo Sol
PHP	—Philippine Peso
PLN	—Polish Zloty
RUB	—Russian Ruble
SEK	—Swedish Krona
SGD	—Singapore Dollar
THB	—Thai Baht
TRY	—Turkish Lira
TWD	—Taiwan Dollar
USD	—U.S. Dollar
ZAR	—South African Rand
Investment Abbreviations:
AUDOR	—Australian Dollar Offered Rate
BP	—British Pound Offered Rate
CDOR	—Canadian Dollar Offered Rate
CLO	—Collateralized Loan Obligation
CPI	—Consumer Price Index
EURO	—Euro Offered Rate
FFCB	—Federal Farm Credit Bank
FHLMC	—Federal Home Loan Mortgage Corp.
FNMA	—Federal National Mortgage Association
FREMF	—Freddie Mac Multi Family
GNMA	—Government National Mortgage Association
GO	—General Obligation
JYOR	—Japanese Yen Offered Rate
KLIBOR	—Kuala Lumpur Interbank Offered Rate
KWCDC	—South Korean Won Certificate of Deposit
LIBOR	—London Interbank Offered Rate
LLC	—Limited Liability Company
LP	—Limited Partnership
NIBOR	—Norwegian Interbank Offered Rate
NZDOR	—New Zealand Dollar Offered Rate
PLC	—Public Limited Company
RB	—Revenue Bond
REMIC	—Real Estate Mortgage Investment Conduit
STIBOR	—Stockholm Interbank Offered Rate
STRIPS	—Separate Trading of Registered Interest and Principal of Securities
TIIE	—La Tasa de Interbank Equilibrium Interest Rate
WIBOR	—Warsaw Interbank Offered Rate

The accompanying notes are an integral part of these financial statements. 93

GOLDMAN SACHS STRATEGIC INCOME FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At September 30, 2016, the Fund had the following forward foreign currency exchange contracts:

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Gain
Bank of America Securities LLC	CAD	26,247,524	USD	19,904,000	$	20,018,597		12/21/16	$	114,597
	CZK	532,868,903	EUR	19,767,000		22,555,856		06/21/17		74,932
	JPY	4,119,985,100	USD	40,370,796		40,782,203		12/21/16		411,406
	KRW	21,073,346,250	USD	19,030,000		19,123,988		10/28/16		93,988
	PLN	83,907,695	EUR	19,388,546		21,909,467		12/21/16		44,834
	USD	38,872,000	BRL	126,003,977		38,697,906		10/04/16		174,094
	USD	19,227,000	CAD	25,005,194		19,071,091		12/21/16		155,909
Barclays Bank PLC	AUD	19,026,000	USD	14,274,447		14,534,319		12/21/16		259,872
	IDR	554,318,752,567	USD	41,512,675		42,452,347		10/27/16		939,672
	IDR	642,521,650,550	USD	48,528,826		49,126,206		11/10/16		597,381
BNP Paribas SA	ARS	153,731,067	USD	9,578,260		9,740,397		11/22/16		162,138
	CAD	10,466,808	USD	7,966,517		7,982,879		12/21/16		16,363
	EUR	8,217,000	PLN	35,388,778		9,266,383		12/21/16		25,881
	PEN	73,134,938	USD	21,534,344		21,590,439		10/12/16		56,096
	PLN	80,410,000	HUF	5,726,564,599		20,996,171		12/21/16		97,589
	PLN	441,469,054	USD	113,771,887		115,273,716		12/21/16		1,501,829
	USD	111,688,948	TRY	338,160,628		110,845,080		12/21/16		843,868
Citibank NA	AED	796,654,515	USD	216,717,768		216,814,989		12/07/16		97,221
	ARS	144,983,880	USD	9,276,000		9,414,843		10/05/16		138,843
	AUD	222,793,415	USD	166,152,645		170,196,073		12/21/16		4,043,429
	CZK	1,067,992,520	EUR	39,628,665		45,207,152		06/21/17		137,642
	GBP	16,240,047	EUR	18,661,359		21,086,762		12/21/16		42,185
	INR	2,934,582,443	USD	43,635,292		43,906,156		10/26/16		270,864
	JPY	3,839,894,031	USD	37,929,000		38,009,685		12/21/16		80,685
	NZD	125,096,000	USD	90,516,338		90,912,055		11/17/16		395,717
	RUB	593,791,702	USD	9,212,000		9,430,202		10/11/16		218,202
	RUB	2,476,610,756	USD	37,806,811		39,176,195		10/27/16		1,369,385
	TWD	631,280,346	USD	20,116,258		20,178,694		10/07/16		62,436
	USD	4,106,026	EUR	3,636,000		4,092,181		11/10/16		13,845
	USD	142,796,241	KRW	155,833,538,189		141,427,321		10/20/16		1,368,920
	USD	135,988,841	MXN	2,490,581,219		128,250,457		10/13/16		7,738,383
	ZAR	106,122,071	USD	7,586,000		7,609,783		12/21/16		23,783
Credit Suisse International (London)	JPY	1,918,104,298	USD	18,964,000		18,986,602		12/21/16		22,602
	RUB	3,754,366,901	USD	57,168,831		59,476,622		10/21/16		2,307,791
	RUB	2,030,606,998	USD	30,896,444		31,958,814		11/17/16		1,062,370
	USD	16,206,634	EUR	14,371,047		16,206,356		12/21/16		278
Deutsche Bank AG	BRL	13,237,000	USD	3,920,332		4,030,939		11/03/16		110,608
	CAD	25,203,091	USD	19,200,000		19,222,024		12/21/16		22,024
	COP	22,293,908,000	USD	7,592,000		7,685,289		10/31/16		93,289
	EUR	8,960,846	PLN	38,612,735		10,105,225		12/21/16		22,903
	IDR	391,642,291,168	USD	29,580,233		29,952,147		11/08/16		371,913
	KRW	47,508,676,110	USD	42,301,000		43,127,814		10/04/16		826,814
	KRW	45,855,074,440	USD	40,936,000		41,615,947		10/20/16		679,947
	PLN	278,645,948	EUR	63,615,009		72,758,336		12/21/16		1,019,132
	TWD	648,971,508	USD	20,468,000		20,773,389		10/24/16		305,389
	USD	5,943,275	EUR	5,278,787		5,941,075		11/10/16		2,200

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

GOLDMAN SACHS STRATEGIC INCOME FUND

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN (continued)

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Gain
HSBC Bank PLC	ARS	151,194,445	USD	9,449,653	$	9,544,401		11/29/16	$	94,748
	EUR	17,117,000	USD	19,300,547		19,302,991		12/21/16		2,444
	KRW	30,757,787,104	USD	27,632,000		27,914,567		10/19/16		282,567
	MXN	745,794,644	USD	37,933,000		38,113,002		12/21/16		180,002
	MYR	243,343,636	USD	58,704,920		58,890,605		11/18/16		185,685
	NZD	26,196,314	AUD	24,762,000		19,014,281		12/21/16		98,124
	NZD	24,261,464	USD	17,507,800		17,609,893		12/21/16		102,093
	PLN	16,743,704	USD	4,336,076		4,375,867		10/27/16		39,792
	USD	96,854,014	GBP	73,195,423		95,040,024		12/21/16		1,813,990
	USD	7,680,889	NZD	10,534,176		7,646,106		12/21/16		34,783
	USD	20,186,200	TWD	625,207,000		20,012,694		10/24/16		173,507
JPMorgan Chase Bank (London)	ARS	142,611,265	USD	8,938,343		9,054,971		11/18/16		116,628
	CNH	137,894,371	USD	20,444,000		20,559,309		12/21/16		115,309
	INR	1,480,766,285	USD	21,947,000		22,151,589		10/27/16		204,589
	INR	1,272,765,067	USD	18,964,000		19,023,183		11/03/16		59,183
	KRW	23,073,455,925	USD	20,865,000		20,945,810		10/04/16		80,810
	USD	9,483,819	ARS	144,983,880		9,414,843		10/05/16		68,975
	USD	19,227,000	JPY	1,928,122,014		19,085,764		12/21/16		141,236
	USD	19,227,000	ZAR	265,944,595		19,070,308		12/21/16		156,692
	ZAR	108,095,783	USD	7,587,000		7,751,313		12/21/16		164,313
Morgan Stanley & Co.	AUD	53,490,000	NZD	55,400,541		40,862,015		12/21/16		650,196
	AUD	51,617,000	USD	38,954,937		39,431,196		12/21/16		476,259
	BRL	356,164,207	USD	108,411,896		109,383,922		10/04/16		972,026
	BRL	158,067,560	USD	47,556,476		48,134,830		11/03/16		578,353
	EUR	17,114,000	CHF	18,582,381		19,299,608		12/21/16		73,677
	HUF	5,282,839,737	EUR	17,001,000		19,279,248		12/21/16		107,071
	IDR	293,638,498,400	USD	21,988,805		22,488,222		10/27/16		499,418
	KRW	6,860,945,100	USD	6,120,488		6,226,628		10/21/16		106,139
	NZD	26,184,000	USD	18,920,035		19,005,343		12/21/16		85,309
	RUB	1,471,536,344	USD	22,728,536		23,277,455		10/27/16		548,919
	USD	137,410,169	BRL	444,251,789		136,437,076		10/04/16		973,093
	USD	15,649,000	CAD	20,210,496		15,414,245		12/21/16		234,755
	USD	707,746,887	GBP	532,382,691		690,665,737		11/16/16		17,081,150
	USD	19,456,381	NZD	26,662,000		19,352,294		12/21/16		104,087
	ZAR	1,379,637,095	USD	94,817,812		98,930,772		12/21/16		4,112,959
Royal Bank of Canada	BRL	28,763,886	USD	8,783,000		8,833,865		10/04/16		50,865
	CAD	27,644,978	USD	21,083,000		21,084,415		12/21/16		1,415
	NZD	10,454,385	USD	7,578,227		7,588,191		12/21/16		9,964
	USD	18,964,000	BRL	61,643,999		18,771,868		11/03/16		192,132
	USD	21,064,000	CAD	27,370,772		20,875,282		12/21/16		188,718
	USD	19,291,895	EUR	17,100,000		19,283,820		12/21/16		8,075
	USD	47,136,426	GBP	35,573,695		46,190,385		12/21/16		946,041
	USD	39,836,577	SGD	54,293,271		39,825,766		12/21/16		10,812
Royal Bank of Scotland PLC	ARS	156,264,405	USD	9,853,979		9,921,865		11/18/16		67,885
	ARS	79,345,747	USD	4,952,918		5,027,345		11/22/16		74,427
	NZD	28,199,000	USD	20,363,203		20,467,907		12/21/16		104,704
	USD	20,851,000	MXN	385,563,973		19,703,816		12/21/16		1,147,184
Standard Chartered Bank	CAD	25,155,632	USD	18,998,000		19,185,827		12/21/16		187,827
	CNH	754,401,177	USD	112,083,000		112,477,159		12/21/16		394,159
	USD	37,996,000	IDR	492,790,641,840		37,727,043		10/31/16		268,957
	USD	128,191,179	SGD	174,350,258		127,891,216		12/21/16		299,962

The accompanying notes are an integral part of these financial statements. 95

GOLDMAN SACHS STRATEGIC INCOME FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN (continued)

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Gain
State Street Bank (London)	AUD	10,494,404	USD	7,833,338	$	8,016,872		12/21/16	$	183,534
	CAD	26,394,754	USD	20,090,772		20,130,888		12/21/16		40,115
	EUR	3,627,426	CZK	96,968,352		4,125,456		06/21/17		20,873
	IDR	554,318,752,567	USD	41,512,675		42,452,347		10/27/16		939,672
	JPY	31,384,873,654	USD	307,957,586		309,573,657		10/06/16		1,616,072
	NOK	819,347,688	EUR	88,109,481		102,511,311		12/21/16		3,149,476
	NOK	175,890,000	USD	21,439,150		22,004,062		11/09/16		564,913
	USD	18,964,000	CAD	24,825,203		18,933,815		12/21/16		30,185
	USD	203,832,703	NZD	280,217,075		203,392,215		12/21/16		440,488
	USD	186,097,495	SEK	1,574,208,013		183,865,216		11/09/16		2,232,279
UBS AG (London)	CHF	18,389,569	USD	18,967,000		19,026,441		12/21/16		59,441
	CZK	530,340,840	EUR	19,686,000		22,448,846		06/21/17		60,043
	INR	1,313,926,387	USD	19,518,000		19,658,489		10/26/16		140,489
	JPY	1,972,250,437	USD	19,467,000		19,522,575		12/21/16		55,575
	KRW	60,124,803,000	USD	54,244,680		54,563,910		10/26/16		319,231
	KRW	24,307,619,000	USD	21,368,396		22,059,254		10/27/16		690,857
	NOK	73,140,740	EUR	7,843,360		9,150,881		12/21/16		305,855
	PLN	78,717,476	EUR	18,149,000		20,554,229		12/21/16		87,443
	PLN	440,644,891	USD	114,195,167		115,058,516		12/21/16		863,349
	TWD	631,280,346	USD	20,159,040		20,202,081		10/21/16		43,041
	USD	18,939,000	CHF	18,199,811		18,830,111		12/21/16		108,889
	USD	18,939,000	JPY	1,904,901,665		18,855,914		12/21/16		83,086
Westpac Banking Corp.	AUD	26,507,000	NZD	27,482,855		20,249,195		12/21/16		301,093
	AUD	10,343,000	USD	7,792,313		7,901,212		12/21/16		108,899
	USD	105,858,186	AUD	138,431,000		105,829,638		11/18/16		28,548
	USD	214,149,220	CAD	276,578,000		210,858,111		10/26/16		3,291,109
	USD	125,295,141	CAD	164,019,108		125,094,941		12/21/16		200,200
	USD	582,145,210	EUR	516,152,529		580,910,202		11/10/16		1,235,010
TOTAL									$	80,291,022

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Loss
Bank of America Securities LLC	GBP	15,434,345	USD	20,162,787	$	20,040,605		12/21/16	$	(122,182	)
	JPY	9,078,617,223	USD	90,364,621		89,865,860		12/21/16		(498,761	)
	MXN	1,452,559,685	USD	75,510,601		74,231,439		12/21/16		(1,279,162	)
	PLN	73,023,558	EUR	16,911,000		19,067,468		12/21/16		(3,215	)
	USD	219,542,624	BRL	740,956,354		225,636,480		11/03/16		(6,093,856	)
	USD	4,936,436	CLP	3,263,477,547		4,942,978		11/16/16		(6,542	)
	USD	193,830,478	JPY	20,564,735,339		202,846,135		10/06/16		(9,015,657	)
	USD	19,436,000	JPY	1,970,652,968		19,506,762		12/21/16		(70,762	)
	USD	19,518,000	TWD	611,020,749		19,558,596		10/24/16		(40,596	)
	USD	139,533,603	TWD	4,406,471,186		141,129,767		11/01/16		(1,596,164	)
Barclays Bank PLC	CAD	12,149,467	USD	9,278,801		9,266,218		12/21/16		(12,583	)
	GBP	14,711,000	USD	19,253,566		19,101,383		12/21/16		(152,183	)
	NZD	75,194,000	USD	54,848,684		54,578,666		12/21/16		(270,018	)
	PHP	2,101,873,217	USD	44,385,455		43,458,950		10/27/16		(926,505	)
	PHP	1,979,103,023	USD	41,261,399		40,855,949		11/18/16		(405,450	)
	TRY	49,265,658	USD	16,176,000		16,148,704		12/21/16		(27,296	)

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

GOLDMAN SACHS STRATEGIC INCOME FUND

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Loss
Barclays Bank PLC (continued)	USD	15,740,321	CAD	20,717,096	$	15,800,622		12/21/16	$	(60,301	)
	USD	1,262,115,474	JPY	129,114,413,000		1,273,556,856		10/06/16		(11,441,382	)
	USD	105,343,982	SGD	143,623,351		105,352,095		12/21/16		(8,114	)
	USD	66,965,802	TWD	2,095,694,764		67,065,918		10/21/16		(100,116	)
	USD	70,393,000	ZAR	1,001,753,323		71,833,550		12/21/16		(1,440,550	)
BNP Paribas SA	ARS	141,651,336	USD	9,325,302		9,141,450		10/17/16		(183,852	)
	ARS	143,110,778	USD	9,446,256		9,230,869		10/18/16		(215,387	)
	ARS	386,162,972	USD	25,075,518		24,831,236		10/24/16		(244,282	)
	ARS	130,723,668	USD	8,360,964		8,252,149		11/29/16		(108,815	)
	ARS	85,557,818	USD	5,449,543		5,368,334		12/12/16		(81,209	)
	EUR	30,513,000	PLN	131,828,975		34,409,778		12/21/16		(12,603	)
	MXN	2,670,348,712	USD	138,302,709		136,465,186		12/21/16		(1,837,523	)
	SEK	1,044,450,816	EUR	109,855,752		122,267,545		12/21/16		(1,617,751	)
	SGD	87,741,712	USD	64,594,000		64,361,214		12/21/16		(232,786	)
	USD	132,324,858	AED	488,722,670		133,009,226		12/07/16		(684,368	)
	USD	38,054,573	HUF	10,511,053,662		38,359,144		12/21/16		(304,571	)
	USD	73,897,256	KRW	81,680,854,272		74,130,355		10/19/16		(233,099	)
Citibank NA	ARS	119,943,610	USD	7,788,546		7,736,550		10/18/16		(51,996	)
	ARS	301,399,835	USD	19,457,704		19,340,959		10/28/16		(116,745	)
	ARS	59,340,253	USD	3,779,634		3,723,310		12/12/16		(56,324	)
	ARS	80,804,072	USD	5,088,418		5,044,527		12/23/16		(43,891	)
	BRL	62,260,316	USD	18,967,000		18,959,549		11/03/16		(7,451	)
	COP	29,970,158,975	USD	10,335,785		10,326,463		11/03/16		(9,322	)
	EUR	16,967,000	NOK	155,530,042		19,133,835		12/21/16		(325,045	)
	EUR	105,433,326	USD	118,921,939		118,898,087		12/21/16		(23,852	)
	MYR	17,494,916	USD	4,368,596		4,237,485		10/20/16		(131,111	)
	SGD	25,816,438	USD	18,981,000		18,937,142		12/21/16		(43,858	)
	TRY	59,149,494	USD	19,518,000		19,388,509		12/21/16		(129,491	)
	USD	38,455,000	CAD	50,424,157		38,457,757		12/21/16		(2,757	)
	USD	632,196,930	JPY	65,994,773,260		650,958,278		10/06/16		(18,761,347	)
	USD	29,484,251	KRW	33,449,882,735		30,357,329		10/21/16		(873,078	)
	USD	19,227,000	KRW	21,231,799,290		19,268,088		10/26/16		(41,088	)
	USD	84,316,748	NZD	116,528,000		84,685,361		11/17/16		(368,613	)
	USD	20,444,000	RUB	1,345,327,642		21,312,660		10/21/16		(868,660	)
	USD	41,996,699	TWD	1,328,985,539		42,540,440		10/24/16		(543,741	)
	USD	85,251,211	TWD	2,665,805,355		85,504,598		11/22/16		(253,387	)
Credit Suisse International (London)	CHF	18,375,347	EUR	16,874,000		19,011,727		12/21/16		(17,231	)
	COP	30,815,875,610	USD	10,621,000		10,616,140		11/04/16		(4,860	)
	USD	67,478,981	JPY	6,884,104,424		68,143,193		12/21/16		(664,212	)
	USD	19,200,000	RUB	1,232,509,440		19,501,239		10/26/16		(301,239	)
Deutsche Bank AG	ARS	162,691,393	USD	10,428,935		10,308,123		11/22/16		(120,812	)
	BRL	61,754,355	USD	19,227,000		18,965,784		10/04/16		(261,216	)
	EUR	34,970,875	NOK	319,461,040		39,436,962		12/21/16		(531,869	)
	EUR	15,272,476	USD	17,204,400		17,188,596		11/10/16		(15,804	)
	GBP	7,159,953	USD	9,368,297		9,296,785		12/21/16		(71,512	)
	MYR	243,343,636	USD	60,211,218		58,966,666		10/07/16		(1,244,552	)
	NZD	26,383,784	AUD	25,093,000		19,150,354		12/21/16		(18,659	)
	PEN	69,197,612	USD	20,472,000		20,428,087		10/12/16		(43,913	)
	USD	21,083,000	ILS	79,419,661		21,240,275		12/21/16		(157,275	)
	USD	10,973,616	JPY	1,112,219,836		11,009,451		12/21/16		(35,836	)

The accompanying notes are an integral part of these financial statements. 97

GOLDMAN SACHS STRATEGIC INCOME FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Loss
Deutsche Bank AG (continued)	USD	19,524,000	KRW	21,901,002,095	$	19,875,710		10/24/16	$	(351,710	)
	USD	8,037,092	THB	278,629,914		8,038,806		10/20/16		(1,714	)
HSBC Bank PLC	EUR	9,561,765	NOK	87,452,860		10,782,886		12/21/16		(158,632	)
	GBP	10,517,657	USD	13,790,279		13,644,669		11/16/16		(145,610	)
	MXN	369,928,290	USD	18,939,000		18,904,772		12/21/16		(34,228	)
	TWD	1,452,919,097	USD	46,689,432		46,457,506		10/11/16		(231,927	)
	USD	83,353,237	AED	307,931,845		83,805,763		12/07/16		(452,525	)
	USD	17,499,869	CHF	17,008,000		17,535,781		10/27/16		(35,912	)
	USD	23,109,877	INR	1,559,685,592		23,332,186		10/27/16		(222,309	)
	USD	29,610,000	KRW	33,019,709,940		29,974,902		10/04/16		(364,902	)
	USD	50,948,427	KRW	56,932,320,108		51,667,513		10/24/16		(719,086	)
	USD	58,778,656	MYR	243,343,636		58,966,666		10/07/16		(188,010	)
	USD	33,763,509	NOK	275,055,580		34,413,118		12/21/16		(649,608	)
	USD	145,675,481	SGD	198,881,994		145,885,990		12/21/16		(210,509	)
	USD	39,035,000	TWD	1,222,802,603		39,131,834		10/21/16		(96,834	)
JPMorgan Chase Bank (London)	ARS	144,983,880	USD	9,213,808		9,126,423		12/05/16		(87,385	)
	BRL	123,573,318	USD	38,287,153		37,951,411		10/04/16		(335,742	)
	EUR	17,478,000	JPY	1,999,242,003		19,710,094		12/21/16		(79,660	)
	MXN	386,094,345	USD	20,472,000		19,730,920		12/21/16		(741,080	)
	MYR	274,504,978	USD	67,951,823		66,488,495		10/20/16		(1,463,328	)
	PHP	1,986,562,499	USD	41,481,149		41,104,313		10/17/16		(376,836	)
	SEK	1,014,499,479	EUR	106,635,639		118,761,323		12/21/16		(1,492,623	)
	SGD	53,135,067	USD	39,035,000		38,976,187		12/21/16		(58,813	)
	TRY	57,307,467	USD	18,998,000		18,784,714		12/21/16		(213,286	)
	USD	9,129,787	NOK	74,242,511		9,288,727		12/21/16		(158,941	)
Morgan Stanley & Co.	BRL	526,627,483	USD	161,004,974		160,368,921		11/03/16		(636,053	)
	EUR	92,075,473	USD	103,776,424		103,627,471		11/10/16		(148,952	)
	GBP	14,537,660	EUR	16,989,202		18,876,311		12/21/16		(282,561	)
	GBP	189,418,538	USD	251,812,057		245,734,687		11/16/16		(6,077,370	)
	GBP	5,910,649	USD	7,680,889		7,674,637		12/21/16		(6,252	)
	SEK	1,437,758,013	EUR	150,692,591		168,309,641		12/21/16		(1,627,716	)
	USD	14,230,217	CAD	18,712,336		14,271,621		12/21/16		(41,405	)
	USD	20,851,000	RUB	1,353,209,049		21,490,758		10/11/16		(639,758	)
	USD	19,227,000	RUB	1,235,311,678		19,540,742		10/27/16		(313,742	)
	USD	128,572,378	TWD	4,013,643,908		128,735,959		11/22/16		(163,582	)
Royal Bank of Canada	CAD	80,351,588	USD	61,787,000		61,282,964		12/21/16		(504,036	)
Royal Bank of Scotland PLC	ARS	377,820,465	USD	24,573,689		24,370,011		10/18/16		(203,678	)
	GBP	5,850,041	USD	7,597,121		7,595,940		12/21/16		(1,181	)
	MXN	3,165,803,790	USD	168,071,544		161,784,863		12/21/16		(6,286,680	)
	TRY	57,587,557	USD	19,227,000		18,876,524		12/21/16		(350,476	)
	USD	39,158,000	MXN	772,719,890		39,488,986		12/21/16		(330,986	)
	ZAR	275,424,258	USD	20,394,999		20,044,719		10/07/16		(350,280	)
Standard Chartered Bank	CNH	279,573,127	USD	41,702,000		41,682,850		12/21/16		(19,150	)
	GBP	15,503,259	EUR	18,192,000		20,130,085		12/21/16		(385,194	)
	SEK	1,438,035,188	EUR	150,966,898		168,342,088		12/21/16		(1,904,608	)
State Street Bank (London)	CAD	26,745,454	USD	20,444,000		20,398,361		12/21/16		(45,639	)
	CZK	491,061,480	EUR	18,302,701		20,786,186		06/21/17		(29,398	)
	EUR	24,851,980	NOK	227,920,146		28,025,796		12/21/16		(490,051	)
	GBP	39,741,820	EUR	46,237,000		51,602,456		12/21/16		(539,414	)
	JPY	21,975,446,635	USD	218,236,631		216,761,089		10/06/16		(1,475,542	)
	SEK	1,181,727,267	EUR	123,811,989		138,337,670		12/21/16		(1,286,199	)

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

GOLDMAN SACHS STRATEGIC INCOME FUND

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Loss
State Street Bank (London) (continued)	SEK	325,597,119	NOK	310,474,000	$	38,115,687		12/21/16	$	(728,745	)
	SEK	1,657,026,000	USD	195,887,954		193,538,237		11/09/16		(2,349,717	)
	USD	58,737,000	CAD	77,695,052		59,256,864		12/21/16		(519,864	)
	USD	8,235,241	EUR	7,350,000		8,272,148		11/10/16		(36,906	)
	USD	427,991,578	JPY	45,385,082,865		447,668,716		10/06/16		(19,677,138	)
	USD	23,388,143	NOK	191,879,829		24,004,410		11/09/16		(616,268	)
UBS AG (London)	EUR	33,834,000	NOK	308,293,619		38,154,898		12/21/16		(416,740	)
	EUR	3,138,000	PLN	13,557,792		3,538,750		12/21/16		(1,378	)
	GBP	1,444,271	USD	1,875,760		1,873,669		11/16/16		(2,092	)
	MXN	389,227,994	USD	20,472,000		19,891,062		12/21/16		(580,938	)
	MYR	152,157,108	USD	37,904,715		36,855,572		10/19/16		(1,049,143	)
	MYR	35,771,569	USD	8,698,888		8,662,272		10/27/16		(36,616	)
	MYR	143,031,366	USD	35,175,684		34,623,364		11/09/16		(552,320	)
	PLN	72,815,640	EUR	16,886,000		19,013,177		12/21/16		(29,313	)
	SEK	1,196,234,308	EUR	125,164,099		140,035,921		12/21/16		(1,112,733	)
	USD	19,190,942	AUD	25,157,000		19,217,905		12/21/16		(26,963	)
	USD	8,757,836	EUR	7,779,004		8,772,451		12/21/16		(14,615	)
	USD	33,897,126	KRW	37,562,422,095		34,098,723		10/04/16		(201,597	)
	USD	46,352,129	KRW	51,376,699,799		46,627,487		10/19/16		(275,358	)
	USD	20,136,534	TWD	631,280,346		20,178,694		10/07/16		(42,160	)
	USD	52,862,461	TWD	1,670,453,761		53,534,465		11/10/16		(672,004	)
Westpac Banking Corp.	AUD	150,067,054	USD	114,756,276		114,725,329		11/18/16		(30,948	)
	CAD	274,031,470	USD	212,177,488		208,916,682		10/26/16		(3,260,807	)
	EUR	283,182,146	USD	319,388,399		318,710,823		11/10/16		(677,576	)
	EUR	90,496,755	USD	102,059,525		102,053,985		12/21/16		(5,541	)
	JPY	5,875,014,000	USD	58,728,998		57,949,877		10/06/16		(779,121	)
	USD	66,261,933	CNH	445,677,765		66,448,158		12/21/16		(186,225	)
	USD	98,908,378	NZD	136,425,349		99,022,709		12/21/16		(114,331	)
TOTAL									$	(132,476,658	)

FUTURES CONTRACTS — At September 30, 2016, the Fund had the following futures contracts:

Type	Number of Contracts Long (Short)			Expiration Date		Current Value			Unrealized Gain (Loss)
Japan 10 Year Government Bonds		(258	)		December 2016	$	(387,591,539	)	$	(1,656,853	)
Ultra Long U.S. Treasury Bonds		(763	)		December 2016		(140,296,625	)		267,808
Ultra 10 Year U.S. Treasury Notes		(175	)		December 2016		(25,227,344	)		11,079
10 Year U.K. Long Gilt		(2,712	)		December 2016		(457,849,222	)		3,819,448
2 Year U.S. Treasury Notes		(8,927	)		December 2016		(1,950,270,531	)		(774,840	)
5 Year U.S. Treasury Notes		(11,965	)		December 2016		(1,453,934,453	)		(2,841,791	)
10 Year U.S. Treasury Notes		(4,162	)		December 2016		(545,742,250	)		(1,403,649	)
20 Year U.S. Treasury Bonds		894			December 2016		150,331,688			(1,600,868	)
TOTAL									$	(4,179,666	)

The accompanying notes are an integral part of these financial statements. 99

GOLDMAN SACHS STRATEGIC INCOME FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION (continued)

SWAP CONTRACTS — At September 30, 2016, the Fund had the following swap contracts:

OVER THE COUNTER INTEREST RATE SWAP CONTRACTS

				Rates Exchanged
Counterparty	Notional Amount (000s)		Termination Date	Payments Received		Payments Made		Unrealized Gain (Loss)*
Bank of America Securities LLC	KRW	57,343,520	11/04/17		2.060%		3 month KWCDC	$	511,978
Barclays Bank PLC		217,875,100	11/07/17		2.034		3 month KWCDC		1,872,860
		19,262,500	05/20/23		3 month KWCDC		2.840%		(1,877,375	)
Citibank NA		7,061,700	10/14/17		2.240		3 month KWCDC		76,941
		136,480,620	10/28/17		2.173		3 month KWCDC		1,390,379
	MYR	112,250	09/17/18		3 month KLIBOR		3.830		(277,291	)
		42,800	09/24/18		3 month KLIBOR		3.785		(97,690	)
		51,130	11/21/18		3 month KLIBOR		3.960		(175,195	)
	BRL	106,690	01/04/21		1 month Brazilian Interbank Deposit Average		11.990		(366,745	)
	KRW	28,266,470	01/07/24		3 month KWCDC		3.471		(4,250,318	)
Credit Suisse International (London)	BRL	36,980	01/02/18		11.935		1 month Brazilian Interbank Deposit Average		(279,280	)
Deutsche Bank AG	KRW	55,677,880	03/03/17		2.850		3 month KWCDC		378,704
		111,467,390	10/13/17		2.248		3 month KWCDC		1,217,720
		278,210,230	10/15/17		2.253		3 month KWCDC		3,038,787
		34,254,690	11/04/17		2.075		3 month KWCDC		311,690
	BRL	40	01/02/18		11.900		1 month Brazilian Interbank Deposit Average		(313	)
	MYR	112,770	09/13/18		3 month KLIBOR		3.920		(327,477	)
		50,380	11/14/18		3 month KLIBOR		3.880		(151,608	)
		26,840	08/14/23		3 month KLIBOR		4.490		(364,201	)
JPMorgan Securities, Inc.	KRW	230,094,560	03/05/17		2.889		3 month KWCDC		1,644,484
	MYR	113,040	11/26/18		3 month KLIBOR		3.955		(383,701	)
		254,240	12/11/18		3 month KLIBOR		3.972		(894,964	)
	BRL	106,690	01/04/21		11.980		1 month Brazilian Interbank Deposit Average		489,601
	MYR	34,420	08/15/23		3 month KLIBOR		4.520		(482,824	)
		64,380	09/26/23		3 month KLIBOR		4.330		(707,296	)
	KRW	31,495,660	10/31/23		3 month KWCDC		3.230		(4,086,097	)
		62,836,430	11/06/23		3 month KWCDC		3.320		(8,521,763	)
		8,900,000	12/18/28		3 month KWCDC		3.495		(2,164,964	)
Morgan Stanley & Co. International PLC		19,402,350	10/13/17		2.250		3 month KWCDC		212,510
		113,180,350	10/13/17		2.245		3 month KWCDC		1,233,224
		14,081,670	10/14/17		2.250		3 month KWCDC		155,032
		14,081,680	10/14/17		2.245		3 month KWCDC		154,230
		53,882,840	10/28/17		2.168		3 month KWCDC		545,548
		132,770,610	10/29/17		2.175		3 month KWCDC		1,342,940
	MYR	67,180	11/20/18		3 month KLIBOR		3.934		(220,906	)
	BRL	63,100	01/04/21		1 month Brazilian Interbank Deposit Average		11.980		24,216
	KRW	36,546,310	06/27/23		3 month KWCDC		3.413		(4,831,951	)
TOTAL								$	(15,861,115	)

* There are no upfront payments on the swap contracts (s), therefore the unrealized gain (loss) on the swap contracts is equal to their market value.

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

GOLDMAN SACHS STRATEGIC INCOME FUND

ADDITIONAL INVESTMENT INFORMATION (continued)

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS

				Rates Exchanged		Market Value
Notional Amount (000s)			Termination Date	Payments Received	Payments Made	Upfront Payments Made (Received)			Unrealized Gain (Loss)
SEK	5,426,360		06/15/18	0.050%	3 month STIBOR	$	4,502,499		$	1,250,822
JPY	72,000,000		06/15/18	6 month JYOR	0.174%		(7,956,185	)		8,555,019
	46,747,750		07/15/18	0.198	6 month JYOR		—			141,967
	94,600,000		07/15/18	6 month JYOR	0.198		1,377,633			(140,550	)
SEK	3,103,720		09/15/18	0.330	3 month STIBOR		16,341			130,293
EUR	3,200,370		09/21/18	0.400	6 month EURO		—			99,502
PLN	2,452,910		09/21/18	1.614	6 month WIBOR		(201,178	)		(1,274,380	)
EUR	3,200,370		09/21/18	6 month EURO	0.400		2,615,675			1,279,652
JPY	72,000,000		06/15/19	0.174	6 month JYOR		—			336,505
PLN	285,790		06/17/19	3.048	6 month WIBOR		910,870			1,935,205
	285,790		06/17/19	6 month WIBOR	3.045		291			(2,840,774	)
GBP	343,710		12/21/19	0.353	6 month GBP		69,440			603,487
PLN	64,550		09/21/20	2.018	6 month WIBOR		148			118,794
	880,940		09/21/21	1.771	6 month WIBOR		(1,054,074	)		(662,732	)
CAD	3,198,190	(a)	12/21/21	1.000	6 month CDOR		(4,438,630	)		6,536,547
NOK	4,102,240	(a)	12/21/21	1.250	3 month NIBOR		1,465,210			(1,511,186	)
NZD	287,590	(a)	12/21/21	2.250	3 month NZDOR		895,707			294,530
$	2,603,300	(a)	12/21/21	3 month LIBOR	1.500		(32,371,949	)		(4,651,143	)
SEK	5,642,110	(a)	12/21/21	3 month STIBOR	0.100		(1,861,277	)		(1,853,566	)
EUR	187,760	(a)	12/21/21	6 month EURO	0.250		(3,472,665	)		(574,343	)
CAD	475,050	(a)	09/29/22	2.242	6 month CDOR		354,269			7,231,613
	151,700	(a)	02/12/23	1.590	6 month CDOR		107,916			758,102
GBP	89,120		09/15/23	3.075	6 month GBP		(129,089	)		(637,317	)
EUR	115,890		09/15/23	6 month EURO	0.847		499,338			378,419
	36,740	(a)	12/21/23	6 month EURO	0.500		(1,150,676	)		(231,816	)
	39,830	(a)	08/16/24	0.250	6 month EURO		(12,914	)		2,408
GBP	32,010		12/15/24	6 month GBP	3.150		(1,960,166	)		470,198
PLN	258,340	(a)	01/22/26	3.125	6 month WIBOR		765			1,631,244
	159,775	(a)	06/16/26	2.972	6 month WIBOR		613			642,960
CAD	164,750	(a)	06/29/26	1.695	6 month CDOR		409,536			560,291
GBP	36,010	(a)	09/27/26	6 month GBP	1.000		(74,936	)		254,286
AUD	63,400	(a)	09/28/26	2.500	6 month AUDOR		341,823			(36,180	)
PLN	37,600	(a)	09/29/26	2.598	6 month WIBOR		150			(21,093	)
JPY	9,512,330	(a)	12/15/26	0.250	6 month JYOR		(71,059	)		279,297
$	304,340	(a)	12/15/26	2.500	3 month LIBOR		6,587,815			3,553,372
SEK	268,960	(a)	12/15/26	3 month STIBOR	2.750		(2,010,877	)		(56,727	)
GBP	432,870	(a)	12/15/26	6 month GBP	2.250		(31,885,852	)		678,901
EUR	210,670	(a)	12/21/26	0.750	6 month EURO		8,273,714			2,313,732
AUD	57,790	(a)	12/21/26	2.750	6 month AUDOR		2,672,924			(256,521	)
$	123,800	(a)	12/21/26	3 month LIBOR	1.750		(2,323,859	)		(778,235	)
SEK	1,959,080	(a)	12/21/26	3 month STIBOR	0.750		466,550			(2,064,154	)
MXN	1,822,600	(a)	03/03/27	6.000	Mexico Interbank TIIE 28 Days		(2,659,329	)		(933,871	)
GBP	32,010		12/15/29	3.377	6 month GBP		2,826,545			20,036
	90,160		09/15/31	3.230	6 month GBP		(261,584	)		(2,511,417	)
	38,700	(a)	12/21/31	6 month GBP	1.500		(4,644,708	)		915,831
	141,130	(a)	12/17/35	6 month GBP	2.500		(21,110,228	)		1,472,400
GBP	221,330	(a)	07/08/36	6 month GBP	1.400		1,285,945			(3,687,534	)
JPY	27,329,060	(a)	12/16/36	0.750	6 month JYOR		90,466			1,249,373
	8,175,000	(a)	12/21/36	6 month JYOR	0.500		434,867			(2,475,485	)

The accompanying notes are an integral part of these financial statements. 101

GOLDMAN SACHS STRATEGIC INCOME FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION (continued)

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS (continued)

					Rates Exchanged				Market Value
Notional Amount (000s)			Termination Date		Payments Received		Payments Made		Upfront Payments Made (Received)			Unrealized Gain (Loss)
GBP	24,900			12/15/39		3.568%		6 month GBP	$	3,302,842		$	1,725,101
CAD	58,010	(a)		09/29/40		6 month CDOR		2.835%		745,658			(8,450,374	)
	17,300	(a)		02/12/41		6 month CDOR		2.265		427			(991,418	)
GBP	24,900			12/15/44		6 month GBP		3.565		(3,995,942	)		(2,861,184	)
CAD	43,280	(a)		06/29/46		6 month CDOR		1.948		(709,403	)		(687,710	)
JPY	8,339,100	(a)		12/17/46		0.750		6 month JYOR		465,022			199,442
GBP	89,560	(a)		12/17/46		6 month GBP		1.000		(1,973,093	)		2,134,008
$	246,760	(a)		12/21/46		2.250		3 month LIBOR		23,103,155			4,271,017
GBP	144,660	(a)		12/21/46		6 month GBP		1.750		(33,989,084	)		(2,064,878	)
	TOTAL								$	(96,494,603	)	$	9,769,766

(a) Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to September 30, 2016.

OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS

												Market Value
Counterparty	Referenced Obligation	Notional Amount (000s)		Rates Received (Paid)			Termination Date		Credit Spread at September 30, 2016(b)			Upfront Payments Made (Received)			Unrealized Gain (Loss)
Protection Purchased:
Bank of America Securities LLC	People’s Republic of China 7.500% 10/28/27	$	13,180		(1.000	)%		03/20/19		0.509	%	$	(12,295	)	$	(150,311	)
Barclays Bank PLC	People’s Republic of China, 4.250%, 10/28/17		98,670		(1.000	)		03/20/19		0.509			(163,224	)		(1,054,103	)
	People’s Republic of China 7.500% 10/28/27		10,330		(1.000	)		06/20/21		0.959			44,190			(66,554	)
Citibank NA	People’s Republic of China, 4.250%, 10/28/17		518,290		(1.000	)		03/20/19		0.509			(1,268,727	)		(5,125,604	)
			1,072,530		(1.000	)		06/20/19		0.559			(3,129,638	)		(9,941,558	)
	People’s Republic of China 7.500% 10/28/27		2,060		(1.000	)		06/20/21		0.959			18,926			(23,385	)
Deutsche Bank AG			11,160		(1.000	)		06/20/21		0.959			39,962			(64,122	)
JPMorgan Securities, Inc.	People’s Republic of China, 4.250%, 10/28/17		66,660		(1.000	)		03/20/19		0.509			(154,819	)		(667,590	)
			24,020		(1.000	)		06/20/19		0.559			(76,612	)		(216,126	)
	People’s Republic of China 7.500% 10/28/27		3,640		(1.000	)		06/20/21		0.959			17,862			(25,742	)
UBS AG (London)			5,910		(1.000	)		06/20/21		0.959			28,134			(40,929	)
TOTAL												$	(4,656,241	)	$	(17,376,024	)

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

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

GOLDMAN SACHS STRATEGIC INCOME FUND

ADDITIONAL INVESTMENT INFORMATION (continued)

CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS

											Market Value
Referenced Obligation	Notional Amount (000s)		Rates Received (Paid)			Termination Date		Credit Spread at September 30, 2016(b)			Upfront Payments Made (Received)			Unrealized Gain (Loss)
Protection Purchased:
CDX North America High Yield Index 26		$843,875		(5.000	)%		06/20/21		3.757	%	$	(13,984,550	)	$	(30,498,898	)
CDX North America Investment Grade Index 26		934,400		(1.000	)		06/20/21		0.684			(9,496,974	)		(4,191,047	)
TOTAL											$	(23,481,524	)	$	(34,689,945	)

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

OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS

						Market Value
Counterparty	Notional Amount (000s)		Reference Security	Termination Date	Financing Fee#	Upfront Payments Made (Received)			Unrealized Gain (Loss)
Barclays Bank PLC	$	18,534	Markit MBX Fannie-Mae Index, 30 yr Fixed Rate, 6.500%, Series 67	01/12/38	One month LIBOR	$	42,329		$	(35,943	)
Credit Suisse International (London)		26,870	Markit IOS Fannie-Mae Index, 30 yr Fixed Rate, 3.500%, Series 14	01/12/45	One month LIBOR		96,931			(344,341	)
		23,253	Markit MBX Fannie-Mae Index, 30 yr Fixed Rate, 6.500%, Series 67	01/12/38	One month LIBOR		34,928			(26,916	)
Deutsche Bank AG		41,079	Markit MBX Fannie-Mae Index, 30 yr Fixed Rate, 6.500%, Series 67	01/12/38	One month LIBOR		(70,488	)		84,643
JPMorgan Securities, Inc.		19,335	Markit IOS Fannie-Mae Index, 30 yr Fixed Rate, 3.500%, Series 13	01/12/44	One month LIBOR		(7,238	)		167,140
		55,862	Markit IOS Fannie-Mae Index, 30 yr Fixed Rate, 3.500%, Series 14	01/12/45	One month LIBOR		(724,991	)		210,640
		25,454	Markit MBX Fannie-Mae Index, 30 yr Fixed Rate, 6.500%, Series 67	01/12/38	One month LIBOR		115,861			(107,091	)
		23,607	Markit MBX Ginnie-Mae Index, 30 yr Fixed Rate, 4.500%, Series 10	01/12/41	One month LIBOR		65,874			(133,927	)
TOTAL						$	(446,794	)	$	(185,795	)

# The Fund receives annual coupon payments in accordance with the swap contract(s). On the termination date of the swap contract(s), the Fund will either receive from or pay to the counterparty an amount equal to the net of the accrued financing fees and the value of the reference security subtracted from the original notional cost (notional multiplied by the price change of the reference security, converted to U.S. Dollars).

The accompanying notes are an integral part of these financial statements. 103

GOLDMAN SACHS MULTI-SECTOR FIXED INCOME FUNDS

Statements of Assets and Liabilities

September 30, 2016 (Unaudited)

	Bond Fund			Core Fixed Income Fund			Global Income Fund			Strategic Income Fund
Assets:
Investments of unaffiliated issuers, at value (cost $543,117,351, $1,087,810,532, $827,745,147 and $8,652,389,041)	$	555,355,232		$	1,120,564,022		$	855,040,897		$	8,670,769,036
Investments of affiliated issuers, at value (cost $58,464,279, $47,141,651, $55,233,442 and $171,691,123)		58,464,279			47,141,651			55,233,442			189,022,426
Cash		8,650,320			15,969,559			14,499,740			150,550,514
Foreign currencies, at value (cost $50,661, $35,707, $415,337 and $10,926,361, respectively)		42,499			29,820			409,461			10,615,717
Unrealized gain on swap contracts		191,232			—			31,830			15,063,267
Unrealized gain on forward foreign currency exchange contracts		1,197,373			763,449			3,245,868			80,291,022
Variation margin on certain derivative contracts		132,451			67,709			83,439			13,169,452
Receivables:
Investments sold		29,133,783			1,549,682			8,164			95,282,031
Investments sold on an extended-settlement basis		19,541,993			10,949,107			10,900,142			25,887,867
Collateral on certain derivative contracts(a)		7,553,511			1,527,649			15,507,642			497,028,229
Fund shares sold		6,919,102			875,768			4,069,336			5,305,454
Interest		2,646,972			5,430,798			4,557,930			37,541,219
Upfront payments made on swap contracts		71,988			—			85,345			504,997
Reimbursement from investment adviser		64,594			49,681			69,880			—
Other assets		1,203			2,664			44,767			27,155
Total assets		689,966,532			1,204,921,559			963,787,883			9,791,058,386
Liabilities:
Reverse Repurchase Agreement, at value		—			1,828,750			—			—
Unrealized loss on swap contracts		361,617			—			174,246			48,486,201
Unrealized loss on forward foreign currency exchange contracts		1,355,729			739,822			3,109,292			132,476,658
Variation margin on certain derivative contracts		299,515			33,262			339,820			—
Written option contracts, at value (premium received $0, $0, $44,808 and $0, respectively)		—			—			474			—
Forward sale contracts, at value (proceeds received $0, $1,045,547, $0 and $0, respectively)		—			1,039,531			—			—
Payables:
Investments purchased on an extended — settlement basis		113,317,722			142,524,112			86,755,251			185,507,070
Due to broker — upfront payment		94,399			57,738			110,729			4,397,283
Fund shares redeemed		690,019			1,400,093			8,349,476			29,469,611
Investments purchased		288,452			278,907			6,276,381			10,517,149
Management fees		181,184			337,896			452,643			4,144,703
Distribution and Service fees and Transfer Agency fees		100,615			98,494			98,373			1,145,073
Income distribution		73,732			31,406			24,748			2,404,129
Upfront payments received on swap contracts		19,699			—			22			5,608,032
Collateral on certain derivative contracts		—			—			—			4,610,000
Accrued expenses		239,557			230,384			251,502			1,503,801
Total liabilities		117,022,240			148,600,395			105,942,957			430,269,710
Net Assets:
Paid-in capital		561,051,572			1,041,380,900			838,566,348			11,515,865,566
Undistributed (distributions in excess of) net investment income		(1,214,166	)		8,554,916			(8,017,208	)		(115,082,950	)
Accumulated net realized gain (loss)		228,506			(27,410,380	)		(1,459,198	)		(1,960,615,294	)
Net unrealized gain (loss)		12,878,380			33,795,728			28,754,984			(79,378,646	)
NET ASSETS	$	572,944,292		$	1,056,321,164		$	857,844,926		$	9,360,788,676
Net Assets:
Class A	$	128,033,057		$	141,564,051		$	181,505,732		$	999,084,023
Class C		22,368,919			20,219,689			22,968,676			562,869,895
Institutional		333,565,991			792,914,027			585,773,457			7,544,570,479
Service		1,333,004			1,645,392			4,200,293			—
Class IR		60,541,617			30,056,550			61,859,650			225,618,422
Class R		22,274,377			9,451,684			—			9,148,490
Class R6		4,827,327			60,469,771			1,537,118			19,497,367
Total Net Assets	$	572,944,292		$	1,056,321,164		$	857,844,926		$	9,360,788,676
Shares Outstanding $0.001 par value (unlimited number of shares authorized):
Class A		12,223,225			13,211,034			14,495,042			104,491,208
Class C		2,137,105			1,876,894			1,849,174			58,849,205
Institutional		31,854,772			73,684,974			46,853,792			789,044,151
Service		127,296			152,847			337,761			—
Class IR		5,798,795			2,802,371			4,955,973			23,603,550
Class R		2,129,091			881,293			—			957,560
Class R6		461,050			5,619,102			122,956			2,039,154
Net asset value, offering and redemption price per share:(b)
Class A		$10.47			$10.72			$12.52			$9.56
Class C		10.47			10.77			12.42			9.56
Institutional		10.47			10.76			12.50			9.56
Service		10.47			10.76			12.44			—
Class IR		10.44			10.73			12.48			9.56
Class R		10.46			10.72			—			9.55
Class R6		10.47			10.76			12.50			9.56

(a) Segregated for initial margin and/or collateral on future and forwards transactions of $4,392,531 and $288,150,000, respectively for the Strategic Income Fund. Also includes amounts segregated for initial margin and/or collateral on swap transactions of $7,553,511, $1,527,649, $2,507,642 and $204,485,698 for the Bond, Core Fixed Income, Global Income Fund and Strategic Income Funds, respectively. Also includes amounts segregated for initial margin and/or collateral on forwards transactions of $13,000,000 for the Global Income Fund.

(b) Maximum public offering price per share for Class A Shares of the Bond, Core Fixed Income, Global Income and Strategic Income Funds is $10.88, $11.14, $13.01 and $9.93, respectively. At redemption, Class C Shares may be subject to a contingent deferred sales charge, assessed on the amount equal to the lesser of the current net asset value (“NAV”) or the original purchase price of the shares.

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

GOLDMAN SACHS MULTI-SECTOR FIXED INCOME FUNDS

Statements of Operations

For the Six Months Ended September 30, 2016 (Unaudited)

	Bond Fund			Core Fixed Income Fund			Global Income Fund			Strategic Income Fund
Investment income:
Interest (net of foreign withholding taxes of $12, $0, $9,159 and $0)	$	7,187,255		$	13,042,001		$	8,050,871		$	196,291,178
Dividends — unaffiliated issuers		—			—			—			1,284,429
Dividends — affiliated issuers		60,296			91,177			8,066			521,731
Total investment income		7,247,551			13,133,178			8,058,937			198,097,338
Expenses:
Management fees		1,199,640			2,034,647			2,729,286			29,888,441
Distribution and Service fees(a)		308,467			297,698			288,227			4,677,991
Transfer Agency fees(a)		207,028			287,509			268,553			3,279,442
Custody, accounting and administrative services		203,768			175,799			223,892			1,072,615
Professional fees		65,708			64,500			64,083			69,785
Registration fees		58,996			56,998			61,320			158,373
Printing and mailing costs		34,387			38,729			36,616			490,404
Trustee fees		8,943			9,425			9,348			23,309
Service Share fees — Service Plan		1,356			2,049			4,336			—
Service Share fees — Shareholder Administration Plan		1,356			2,049			4,336			—
Other		15,856			16,045			32,401			428,701
Total expenses		2,105,505			2,985,448			3,722,398			40,089,061
Less — expense reductions		(515,110	)		(340,892	)		(401,226	)		(323,658	)
Net expenses		1,590,395			2,644,556			3,321,172			39,765,403
NET INVESTMENT INCOME		5,657,156			10,488,622			4,737,765			158,331,935
Realized and unrealized gain (loss):
Net realized gain from:
Investments — unaffiliated issuers		2,118,992			2,586,643			12,925,814			(102,303,556	)
Futures contracts		1,552,202			464,169			439,458			(63,015,549	)
Written options		—			—			(36,931	)		—
Swap contracts		31,095			(1,869,736	)		388,288			(110,567,185	)
Forward foreign currency exchange contracts		(395,898	)		32,288			(15,752,120	)		(47,057,057	)
Foreign currency transactions		64,251			189,203			2,106,717			(9,218,670	)
Net change in unrealized gain (loss) on:
Investments — unaffiliated issuers		7,605,290			15,799,483			13,878,993			493,681,357
Investments — affiliated issuers		—			—			—			17,331,303
Futures contracts		(412,846	)		112,426			(297,482	)		(3,407,722	)
Written options		—			—			13,097			—
Swap contracts		552,433			2,145,840			770,673			44,830,542
Forward foreign currency exchange contracts		(585,850	)		(21,892	)		5,193,482			(46,811,745	)
Foreign currency translation		(11,328	)		(6,232	)		(76,889	)		(564,506	)
Net realized and unrealized gain		10,518,341			19,432,192			19,553,100			172,897,212
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	16,175,497		$	29,920,814		$	24,290,865		$	331,229,147

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

	Distribution and Service Fees						Transfer Agency Fees
Fund	Class A		Class C		Class R		Class A		Class C		Institutional		Service		Class IR		Class R		Class R6
Bond	$	167,651	$	99,356	$	41,460	$	87,179	$	12,916	$	61,796	$	217	$	34,139	$	10,779	$	2
Core Fixed Income		178,032		96,380		23,286		92,577		12,529		152,105		328		18,037		6,054		5,879
Global Income		196,271		91,956		—		102,061		11,954		122,304		694		31,438		—		102
Strategic Income		1,474,114		3,179,500		24,377		766,539		413,335		1,914,275		—		177,049		6,338		1,906

The accompanying notes are an integral part of these financial statements. 105

GOLDMAN SACHS MULTI-SECTOR FIXED INCOME FUNDS

Statements of Changes in Net Assets

	Bond Fund
	For the Six Months Ended September 30, 2016 (Unaudited)			For the Fiscal Year Ended March 31, 2016
From operations:
Net investment income	$	5,657,156		$	9,156,571
Net realized gain (loss)		3,370,642			4,135,034
Net change in unrealized gain (loss)		7,147,699			(4,603,015	)
Net increase (decrease) in net assets resulting from operations		16,175,497			8,688,590
Distributions to shareholders:
From net investment income
Class A Shares		(1,451,759	)		(3,961,371	)
Class C Shares		(139,246	)		(341,571	)
Institutional Shares		(3,853,697	)		(9,211,907	)
Service Shares		(10,812	)		(1,365	)
Class IR Shares		(627,092	)		(784,440	)
Class R Shares		(154,085	)		(192,061	)
Class R6 Shares(a)		(127	)		(287	)
From net realized gains
Class A Shares		—			(11,720	)
Class C Shares		—			(1,224	)
Institutional Shares		—			(22,834	)
Service Shares		—			(1	)
Class IR Shares		—			(2,040	)
Class R Shares		—			(718	)
Class R6 Shares(a)		—			(1	)
Total distributions to shareholders		(6,236,818	)		(14,531,540	)
From share transactions:
Proceeds from sales of shares		165,843,441			218,562,128
Reinvestment of distributions		5,774,703			13,754,731
Cost of shares redeemed		(84,962,374	)		(195,724,054	)
Net increase (decrease) in net assets resulting from share transactions		86,655,770			36,592,805
TOTAL INCREASE (DECREASE)		96,594,449			30,749,855
Net assets:
Beginning of period		476,349,843			445,599,988
End of period	$	572,944,292		$	476,349,843
Undistributed (distributions in excess of) net investment income	$	(1,214,166	)	$	(634,504	)

(a) Commenced operations on July 31, 2015.

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

GOLDMAN SACHS MULTI-SECTOR FIXED INCOME FUNDS

Core Fixed Income Fund						Global Income Fund						Strategic Income Fund
For the Six Months Ended September 30, 2016 (Unaudited)			For the Fiscal Year Ended March 31, 2016			For the Six Months Ended September 30, 2016 (Unaudited)			For the Fiscal Year Ended March 31, 2016			For the Six Months Ended September 30, 2016 (Unaudited)			For the Fiscal Year Ended March 31, 2016
$	10,488,622		$	22,090,346		$	4,737,765		$	8,515,395		$	158,331,935		$	579,549,845
	1,402,567			4,491,550			71,226			(8,527,743	)		(332,162,017	)		(581,291,979	)
	18,029,625			(10,089,503	)		19,481,874			17,631,860			505,059,229			(364,570,057	)
	29,920,814			16,492,393			24,290,865			17,619,512			331,229,147			(366,312,191	)
	(1,514,331	)		(3,435,801	)		(813,189	)		(3,642,568	)		(13,290,513	)		(81,465,780	)
	(132,287	)		(304,056	)		(26,612	)		(349,221	)		(4,764,418	)		(30,121,737	)
	(9,359,331	)		(21,524,563	)		(4,243,424	)		(34,535,212	)		(124,308,655	)		(675,970,981	)
	(16,105	)		(41,047	)		(14,975	)		(21,936	)		—			—
	(325,428	)		(130,448	)		(305,810	)		(774,269	)		(3,443,300	)		(20,986,423	)
	(87,323	)		(31,417	)		—			—			(95,840	)		(401,579	)
	(730,560	)		(605,243	)		(6,891	)		(1,372	)		(245,047	)		(510,041	)
	—			—			—			(63,770	)		—			—
	—			—			—			(7,092	)		—			—
	—			—			—			(571,392	)		—			—
	—			—			—			(346	)		—			—
	—			—			—			(12,363	)		—			—
	—			—			—			–			—			—
	—			—			—			(10	)		—			—
	(12,165,365	)		(26,072,575	)		(5,410,901	)		(39,979,551	)		(146,147,773	)		(809,456,541	)
	183,756,754			399,469,538			286,066,895			565,955,923			856,331,646			3,677,437,056
	11,897,889			24,899,720			5,255,432			39,281,036			122,088,915			670,751,973
	(88,022,434	)		(420,613,359	)		(251,125,406	)		(303,265,507	)		(5,520,829,364	)		(12,579,124,637	)
	107,632,209			3,755,899			40,196,921			301,971,452			(4,542,408,803	)		(8,230,935,608	)
	125,387,658			(5,824,283	)		59,076,885			279,611,413			(4,357,327,429	)		(9,406,704,340	)
	930,933,506			936,757,789			798,768,041			519,156,628			13,718,116,105			23,124,820,445
$	1,056,321,164		$	930,933,506		$	857,844,926		$	798,768,041		$	9,360,788,676		$	13,718,116,105
$	8,554,916		$	10,231,659		$	(8,017,208	)	$	(7,344,072	)	$	(115,082,950	)	$	(127,267,112	)

The accompanying notes are an integral part of these financial statements. 107

GOLDMAN SACHS BOND FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

			Income (loss) from investment operations							Distributions to shareholders
Year - Share Class	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
FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED)
2016 - A	$	10.28	$	0.10	$	0.20		$	0.30	$	(0.11	)	$	—		$	(0.11	)
2016 - C		10.27		0.06		0.21			0.27		(0.07	)		—			(0.07	)
2016 - Institutional		10.28		0.12		0.20			0.32		(0.13	)		—			(0.13	)
2016 - Service		10.28		0.09		0.20			0.29		(0.10	)		—			(0.10	)
2016 - IR		10.25		0.11		0.21			0.32		(0.13	)		—			(0.13	)
2016 - R		10.27		0.09		0.20			0.29		(0.10	)		—			(0.10	)
2016 - R6		10.28		0.12		0.20			0.32		(0.13	)		—			(0.13	)
FOR THE FISCAL YEARS ENDED MARCH 31,
2016 - A		10.44		0.21		(0.03	)		0.18		(0.34	)		—	(e)		(0.34	)
2016 - C		10.44		0.13		(0.03	)		0.10		(0.27	)		—	(e)		(0.27	)
2016 - Institutional		10.44		0.24		(0.02	)		0.22		(0.38	)		—	(e)		(0.38	)
2016 - Service		10.44		0.18		(0.01	)		0.17		(0.33	)		—	(e)		(0.33	)
2016 - IR		10.40		0.23		(0.01	)		0.22		(0.37	)		—	(e)		(0.37	)
2016 - R		10.43		0.18		(0.02	)		0.16		(0.32	)		—	(e)		(0.32	)
2016 - R6 (Commenced July 31, 2015)		10.33		0.16		0.08			0.24		(0.29	)		—	(e)		(0.29	)
2015 - A		10.42		0.17		0.25			0.42		(0.24	)		(0.16	)		(0.40	)
2015 - C		10.41		0.10		0.25			0.35		(0.16	)		(0.16	)		(0.32	)
2015 - Institutional		10.42		0.22		0.24			0.46		(0.28	)		(0.16	)		(0.44	)
2015 - Service		10.42		0.17		0.24			0.41		(0.23	)		(0.16	)		(0.39	)
2015 - IR		10.38		0.19		0.26			0.45		(0.27	)		(0.16	)		(0.43	)
2015 - R		10.41		0.15		0.25			0.40		(0.22	)		(0.16	)		(0.38	)
2014 - A		10.57		0.22		(0.09	)		0.13		(0.28	)		—			(0.28	)
2014 - C		10.57		0.15		(0.11	)		0.04		(0.20	)		—			(0.20	)
2014 - Institutional		10.57		0.26		(0.09	)		0.17		(0.32	)		—			(0.32	)
2014 - Service		10.57		0.21		(0.10	)		0.11		(0.26	)		—			(0.26	)
2014 - IR		10.54		0.25		(0.11	)		0.14		(0.30	)		—			(0.30	)
2014 - R		10.57		0.19		(0.10	)		0.09		(0.25	)		—			(0.25	)
2013 - A		10.37		0.20		0.57			0.77		(0.25	)		(0.32	)		(0.57	)
2013 - C		10.37		0.12		0.57			0.69		(0.17	)		(0.32	)		(0.49	)
2013 - Institutional		10.37		0.23		0.57			0.80		(0.28	)		(0.32	)		(0.60	)
2013 - Service		10.37		0.18		0.57			0.75		(0.23	)		(0.32	)		(0.55	)
2013 - IR		10.34		0.22		0.57			0.79		(0.27	)		(0.32	)		(0.59	)
2013 - R		10.37		0.18		0.56			0.74		(0.22	)		(0.32	)		(0.54	)
2012 - A		10.17		0.27		0.42			0.69		(0.27	)		(0.22	)		(0.49	)
2012 - C		10.16		0.19		0.43			0.62		(0.19	)		(0.22	)		(0.41	)
2012 - Institutional		10.17		0.30		0.43			0.73		(0.31	)		(0.22	)		(0.53	)
2012 - Service		10.17		0.25		0.43			0.68		(0.26	)		(0.22	)		(0.48	)
2012 - IR		10.18		0.29		0.38			0.67		(0.29	)		(0.22	)		(0.51	)
2012 - R		10.17		0.25		0.41			0.66		(0.24	)		(0.22	)		(0.46	)

(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 deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.

(c) The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher.

(d) Annualized.

(e) Rounds to less than $0.01 per share.

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

GOLDMAN SACHS BOND FUND

Net asset value, end of period		Total return(b)				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(c)
$	10.47		2.95	%	$		128,033		0.78	%(d)		0.98	%(d)		1.95	%(d)		288	%
	10.47		2.67				22,369		1.52	(d)		1.72	(d)		1.18	(d)		288
	10.47		3.12				333,566		0.44	(d)		0.64	(d)		2.27	(d)		288
	10.47		2.87				1,333		0.94	(d)		1.14	(d)		1.78	(d)		288
	10.44		3.08				60,542		0.53	(d)		0.72	(d)		2.17	(d)		288
	10.46		2.82				22,274		1.03	(d)		1.23	(d)		1.64	(d)		288
	10.47		3.13				4,827		0.43	(d)		0.63	(d)		2.32	(d)		288
	10.28		1.83				129,351		0.78			1.00			2.00			588
	10.27		0.98				17,254		1.53			1.75			1.25			588
	10.28		2.18				279,435		0.44			0.66			2.33			588
	10.28		1.68				1,119		0.94			1.17			1.74			588
	10.25		2.18				39,939		0.53			0.75			2.23			588
	10.27		1.58				9,241		1.03			1.26			1.77			588
	10.28		2.42				10		0.47	(d)		0.69	(d)		2.37	(d)		588
	10.44		4.09				106,694		0.80			1.06			1.64			454
	10.44		3.41				11,813		1.56			1.82			0.97			454
	10.44		4.45				302,035		0.47			0.73			2.06			454
	10.44		3.94				15		0.96			1.23			1.61			454
	10.40		4.36				24,680		0.54			0.80			1.80			454
	10.43		3.84				363		1.06			1.33			1.47			454
	10.42		1.27				34,403		0.84			1.06			2.15			580
	10.41		0.42				7,298		1.59			1.81			1.40			580
	10.42		1.62				207,604		0.50			0.71			2.46			580
	10.42		1.12				14		1.00			1.22			2.01			580
	10.38		1.42				3,808		0.59			0.81			2.41			580
	10.41		0.92				133		1.09			1.29			1.83			580
	10.57		7.48				40,783		0.83			0.98			1.86			1,025
	10.57		6.68				9,993		1.58			1.73			1.11			1,025
	10.57		7.84				301,201		0.49			0.64			2.20			1,025
	10.57		7.31				14		0.99			1.13			1.70			1,025
	10.54		7.76				2,847		0.58			0.73			2.11			1,025
	10.57		7.22				195		1.08			1.24			1.68			1,025
	10.37		6.89				91,437		0.83			0.99			2.60			767
	10.37		6.20				10,592		1.58			1.74			1.85			767
	10.37		7.25				232,692		0.49			0.65			2.94			767
	10.37		6.75				13		0.99			1.15			2.44			767
	10.34		6.74				2,739		0.58			0.74			2.82			767
	10.37		6.63				21		1.08			1.24			2.37			767

The accompanying notes are an integral part of these financial statements. 109

GOLDMAN SACHS CORE FIXED INCOME FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

			Income (loss) from investment operations
Year - Share Class	Net asset value, beginning of period		Net investment income(a)		Net realized and unrealized gain (loss)			Total from investment operations			Distributions to shareholders from net investment income
FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED)
2016 - A	$	10.53	$	0.10	$	0.20		$	0.30		$	(0.11	)
2016 - C		10.59		0.06		0.19			0.25			(0.07	)
2016 - Institutional		10.57		0.11		0.21			0.32			(0.13	)
2016 - Service		10.58		0.09		0.19			0.28			(0.10	)
2016 - IR		10.54		0.11		0.21			0.32			(0.13	)
2016 - R		10.54		0.08		0.20			0.28			(0.10	)
2016 - R6		10.57		0.12		0.20			0.32			(0.13	)
FOR THE FISCAL YEARS ENDED MARCH 31,
2016 - A		10.64		0.21		(0.07	)		0.14			(0.25	)
2016 - C		10.69		0.13		(0.06	)		0.07			(0.17	)
2016 - Institutional		10.68		0.24		(0.06	)		0.18			(0.29	)
2016 - Service		10.69		0.19		(0.07	)		0.12			(0.23	)
2016 - IR		10.65		0.23		(0.06	)		0.17			(0.28	)
2016 - R		10.65		0.19		(0.08	)		0.11			(0.22	)
2016 - R6 (Commenced July 31, 2015)		10.52		0.16		0.08			0.24			(0.19	)
2015 - A		10.38		0.20		0.29			0.49			(0.23	)
2015 - C		10.43		0.12		0.29			0.41			(0.15	)
2015 - Institutional		10.42		0.23		0.30			0.53			(0.27	)
2015 - Service		10.43		0.18		0.30			0.48			(0.22	)
2015 - IR		10.39		0.22		0.30			0.52			(0.26	)
2015 - R		10.39		0.17		0.30			0.47			(0.21	)
2014 - A		10.61		0.19		(0.18	)		0.01			(0.24	)
2014 - C		10.67		0.11		(0.19	)		(0.08	)		(0.16	)
2014 - Institutional		10.65		0.22		(0.17	)		0.05			(0.28	)
2014 - Service		10.66		0.15		(0.16	)		(0.01	)		(0.22	)
2014 - IR		10.62		0.21		(0.17	)		0.04			(0.27	)
2014 - R		10.62		0.16		(0.18	)		(0.02	)		(0.21	)
2013 - A		10.31		0.16		0.36			0.52			(0.22	)
2013 - C		10.37		0.08		0.36			0.44			(0.14	)
2013 - Institutional		10.36		0.20		0.35			0.55			(0.26	)
2013 - Service		10.36		0.14		0.37			0.51			(0.21	)
2013 - IR		10.32		0.19		0.36			0.55			(0.25	)
2013 - R		10.33		0.13		0.36			0.49			(0.20	)
2012 - A		9.79		0.19		0.53			0.72			(0.20	)
2012 - C		9.84		0.12		0.53			0.65			(0.12	)
2012 - Institutional		9.83		0.23		0.53			0.76			(0.23	)
2012 - Service		9.84		0.17		0.53			0.70			(0.18	)
2012 - IR		9.79		0.22		0.53			0.75			(0.22	)
2012 - R		9.80		0.17		0.53			0.70			(0.17	)

(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 deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.

(c) The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher.

(d) Annualized.

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

GOLDMAN SACHS CORE FIXED INCOME FUND

Net asset value, end of period		Total return(b)			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(c)
$	10.72		2.89	%	$	141,564		0.78	%(d)		0.85	%(d)		1.80	%(d)		161	%
	10.77		2.40			20,220		1.53	(d)		1.60	(d)		1.04	(d)		161
	10.76		3.05			792,914		0.44	(d)		0.51	(d)		2.13	(d)		161
	10.76		2.80			1,645		0.94	(d)		1.01	(d)		1.63	(d)		161
	10.73		3.01			30,057		0.53	(d)		0.60	(d)		2.02	(d)		161
	10.72		2.66			9,452		1.03	(d)		1.10	(d)		1.54	(d)		161
	10.76		3.06			60,470		0.42	(d)		0.49	(d)		2.15	(d)		161
	10.53		1.35			142,299		0.78			0.85			1.98			450
	10.59		0.69			18,124		1.53			1.60			1.23			450
	10.57		1.69			697,260		0.44			0.51			2.31			450
	10.58		1.19			1,578		0.94			1.01			1.82			450
	10.54		1.60			5,058		0.53			0.60			2.23			450
	10.54		1.09			9,524		1.03			1.11			1.79			450
	10.57		2.34			57,091		0.43	(d)		0.49	(d)		2.36	(d)		450
	10.64		4.77			150,677		0.83			0.85			1.86			388
	10.69		3.98			19,477		1.58			1.60			1.12			388
	10.68		5.11			758,542		0.49			0.51			2.21			388
	10.69		4.59			1,882		0.99			1.01			1.71			388
	10.65		5.03			5,054		0.56			0.60			2.10			388
	10.65		4.51			1,126		1.07			1.10			1.60			388
	10.38		0.12			134,288		0.83			0.83			1.80			516
	10.43		(0.71	)		20,262		1.58			1.58			1.05			516
	10.42		0.47			895,504		0.49			0.49			2.13			516
	10.43		(0.03	)		1,837		0.98			0.98			1.40			516
	10.39		0.37			1,374		0.58			0.58			2.03			516
	10.39		(0.13	)		557		1.08			1.08			1.54			516
	10.61		5.08			159,470		0.81			0.81			1.54			782
	10.67		4.28			25,723		1.56			1.56			0.79			782
	10.65		5.32			1,198,584		0.47			0.47			1.88			782
	10.66		4.90			17,528		0.97			0.97			1.35			782
	10.62		5.34			1,622		0.56			0.56			1.78			782
	10.62		4.72			648		1.06			1.06			1.24			782
	10.31		7.37			204,327		0.81			0.81			1.90			687
	10.37		6.65			28,539		1.56			1.56			1.13			687
	10.36		7.81			1,363,229		0.47			0.47			2.23			687
	10.36		7.17			10,969		0.97			0.97			1.70			687
	10.32		7.74			1,081		0.56			0.56			2.14			687
	10.33		7.21			19		1.06			1.06			1.64			687

The accompanying notes are an integral part of these financial statements. 111

GOLDMAN SACHS GLOBAL INCOME FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

			Income (loss) from investment operations						Distributions to shareholders
Year - Share Class	Net asset value, beginning of period		Net investment income(a)		Net realized and unrealized gain		Total from investment operations		From net investment income			From net realized gains			Total distributions
FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED)
2016 - A	$	12.24	$	0.05	$	0.30	$	0.35	$	(0.07	)	$	—		$	(0.07	)
2016 - C		12.14		0.01		0.29		0.30		(0.02	)		—			(0.02	)
2016 - Institutional		12.22		0.08		0.29		0.37		(0.09	)		—			(0.09	)
2016 - Service		12.16		0.04		0.29		0.33		(0.05	)		—			(0.05	)
2016 - IR		12.20		0.07		0.29		0.36		(0.08	)		—			(0.08	)
2016 – R6		12.22		0.08		0.29		0.37		(0.09	)		—			(0.09	)
FOR THE FISCAL YEARS ENDED MARCH 31,
2016 - A		12.76		0.13		0.07		0.20		(0.71	)		(0.01	)		(0.72	)
2016 - C		12.67		0.04		0.05		0.09		(0.61	)		(0.01	)		(0.62	)
2016 - Institutional		12.74		0.17		0.07		0.24		(0.75	)		(0.01	)		(0.76	)
2016 - Service		12.71		0.09		0.05		0.14		(0.68	)		(0.01	)		(0.69	)
2016 - IR		12.72		0.16		0.07		0.23		(0.74	)		(0.01	)		(0.75	)
2016 – R6 (Commenced July 31, 2015)		12.55		0.09		0.26		0.35		(0.67	)		(0.01	)		(0.68	)
2015 - A		12.70		0.16		0.50		0.66		(0.31	)		(0.29	)		(0.60	)
2015 - C		12.61		0.06		0.51		0.57		(0.22	)		(0.29	)		(0.51	)
2015 - Institutional		12.68		0.20		0.50		0.70		(0.35	)		(0.29	)		(0.64	)
2015 - Service		12.66		0.14		0.49		0.63		(0.29	)		(0.29	)		(0.58	)
2015 - IR		12.66		0.15		0.54		0.69		(0.34	)		(0.29	)		(0.63	)
2014 - A		13.20		0.24		0.03		0.27		(0.58	)		(0.19	)		(0.77	)
2014 - C		13.11		0.14		0.03		0.17		(0.48	)		(0.19	)		(0.67	)
2014 - Institutional		13.18		0.28		0.03		0.31		(0.62	)		(0.19	)		(0.81	)
2014 - Service		13.16		0.22		0.03		0.25		(0.56	)		(0.19	)		(0.75	)
2014 - IR		13.17		0.27		0.02		0.29		(0.61	)		(0.19	)		(0.80	)
2013 - A		13.17		0.22		0.60		0.82		(0.34	)		(0.45	)		(0.79	)
2013 - C		13.09		0.12		0.59		0.71		(0.24	)		(0.45	)		(0.69	)
2013 - Institutional		13.15		0.27		0.60		0.87		(0.39	)		(0.45	)		(0.84	)
2013 - Service		13.13		0.20		0.60		0.80		(0.32	)		(0.45	)		(0.77	)
2013 - IR		13.15		0.26		0.59		0.85		(0.38	)		(0.45	)		(0.83	)
2012 - A		12.63		0.23		0.54		0.77		(0.23	)		—			(0.23	)
2012 - C		12.55		0.14		0.54		0.68		(0.14	)		—			(0.14	)
2012 - Institutional		12.61		0.27		0.55		0.82		(0.28	)		—			(0.28	)
2012 - Service		12.59		0.21		0.54		0.75		(0.21	)		—			(0.21	)
2012 - IR		12.61		0.24		0.57		0.81		(0.27	)		—			(0.27	)

(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 deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.

(c) The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher.

(d) Annualized.

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

GOLDMAN SACHS GLOBAL INCOME FUND

Net asset value, end of period		Total return(b)			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(c)
$	12.52		2.83	%	$	181,506		1.04	%(d)		1.13	%(d)		0.88	%(d)		158	%
	12.42		2.47			22,969		1.76	(d)		1.88	(d)		0.14	(d)		158
	12.50		3.00			585,773		0.70	(d)		0.79	(d)		1.23	(d)		158
	12.44		2.75			4,200		1.19	(d)		1.29	(d)		0.71	(d)		158
	12.48		2.96			61,860		0.79	(d)		0.88	(d)		1.11	(d)		158
	12.50		3.01			1,537		0.68	(d)		0.78	(d)		1.21	(d)		158
	12.24		1.67			111,852		1.03			1.15			1.06			261
	12.14		0.83			12,653		1.77			1.90			0.31			261
	12.22		2.00			639,915		0.69			0.81			1.41			261
	12.16		1.23			2,280		1.18			1.29			0.75			261
	12.20		1.95			31,548		0.78			0.90			1.26			261
	12.22		2.92			520		0.68	(d)		0.79	(d)		1.10	(d)		261
	12.76		5.27			64,939		1.03			1.18			1.26			226
	12.67		4.53			6,592		1.77			1.93			0.50			226
	12.74		5.63			437,007		0.70			0.84			1.60			226
	12.71		5.03			358		1.20			1.34			1.12			226
	12.72		5.54			10,261		0.77			0.90			1.20			226
	12.70		2.16			61,198		1.04			1.20			1.83			288
	12.61		1.40			4,688		1.79			1.95			1.08			288
	12.68		2.51			426,746		0.70			0.86			2.19			288
	12.66		1.98			239		1.20			1.35			1.70			288
	12.66		2.34			757		0.79			0.95			2.09			288
	13.20		6.32			79,838		1.04			1.15			1.64			444
	13.11		5.57			5,757		1.79			1.90			0.92			444
	13.18		6.69			387,889		0.69			0.81			1.99			444
	13.16		6.16			145		1.19			1.31			1.49			444
	13.17		6.51			545		0.79			0.90			1.94			444
	13.17		6.16			198,463		1.03			1.14			1.78			333
	13.09		5.32			6,359		1.78			1.89			1.06			333
	13.15		6.53			574,373		0.69			0.80			2.10			333
	13.13		6.01			189		1.19			1.30			1.61			333
	13.15		6.43			402		0.78			0.89			1.87			333

The accompanying notes are an integral part of these financial statements. 113

GOLDMAN SACHS STRATEGIC INCOME FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

			Income (loss) from Investment Operations								Distributions to shareholders
Year - Share Class	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 capital			Total distributions
FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED)
2016 - A	$	9.41	$	0.12	$	0.14		$	0.26		$	(0.11	)	$	—		$	(0.11	)
2016 - C		9.41		0.08		0.14			0.22			(0.07	)		—			(0.07	)
2016 - Institutional		9.41		0.13		0.14			0.27			(0.12	)		—			(0.12	)
2016 - IR		9.41		0.13		0.14			0.27			(0.12	)		—			(0.12	)
2016 - R		9.40		0.10		0.14			0.24			(0.09	)		—			(0.09	)
2016 - R6		9.41		0.13		0.14			0.27			(0.12	)		—			(0.12	)
FOR THE FISCAL YEARS ENDED MARCH 31,
2016 - A		10.06		0.28		(0.52	)		(0.24	)		(0.41	)		—			(0.41	)
2016 - C		10.06		0.21		(0.52	)		(0.31	)		(0.34	)		—			(0.34	)
2016 - Institutional		10.06		0.31		(0.52	)		(0.21	)		(0.44	)		—			(0.44	)
2016 - IR		10.06		0.31		(0.53	)		(0.22	)		(0.43	)		—			(0.43	)
2016 - R		10.05		0.25		(0.52	)		(0.27	)		(0.38	)		—			(0.38	)
2016 - R6 (Commenced July 31, 2015)		10.04		0.20		(0.50	)		(0.30	)		(0.33	)		—			(0.33	)
2015 - A		10.64		0.22		(0.51	)		(0.29	)		(0.29	)		—	(e)		(0.29	)
2015 - C		10.64		0.14		(0.51	)		(0.37	)		(0.21	)		—	(e)		(0.21	)
2015 - Institutional		10.64		0.25		(0.50	)		(0.25	)		(0.33	)		—	(e)		(0.33	)
2015 - IR		10.63		0.24		(0.49	)		(0.25	)		(0.32	)		—	(e)		(0.32	)
2015 - R		10.63		0.19		(0.51	)		(0.32	)		(0.26	)		—	(e)		(0.26	)
2014 - A		10.46		0.22		0.21			0.43			(0.25	)		—			(0.25	)
2014 - C		10.46		0.14		0.21			0.35			(0.17	)		—			(0.17	)
2014 - Institutional		10.46		0.26		0.21			0.47			(0.29	)		—			(0.29	)
2014 - IR		10.46		0.25		0.20			0.45			(0.28	)		—			(0.28	)
2014 - R		10.45		0.21		0.19			0.40			(0.22	)		—			(0.22	)
2013 - A		9.87		0.32		0.73			1.05			(0.46	)		—			(0.46	)
2013 - C		9.88		0.24		0.72			0.96			(0.38	)		—			(0.38	)
2013 - Institutional		9.87		0.35		0.73			1.08			(0.49	)		—			(0.49	)
2013 - IR		9.87		0.34		0.73			1.07			(0.48	)		—			(0.48	)
2013 - R		9.87		0.30		0.71			1.01			(0.43	)		—			(0.43	)
2012 - A		10.03		0.32		(0.16	)		0.16			(0.32	)		—			(0.32	)
2012 - C		10.04		0.24		(0.15	)		0.09			(0.25	)		—			(0.25	)
2012 - Institutional		10.03		0.35		(0.15	)		0.20			(0.36	)		—			(0.36	)
2012 - IR		10.03		0.34		(0.15	)		0.19			(0.35	)		—			(0.35	)
2012 - R		10.03		0.29		(0.15	)		0.14			(0.30	)		—			(0.30	)

(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 deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.

(c) The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher.

(d) Annualized.

(e) Rounds to less than $0.01 per share.

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

GOLDMAN SACHS STRATEGIC INCOME FUND

Net asset value, end of period		Total return(b)			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(c)
$	9.56		2.73	%	$	999,084		0.92	%(d)		0.93	%(d)		2.46	%(d)		99	%
	9.56		2.34			562,870		1.68	(d)		1.68	(d)		1.71	(d)		99
	9.56		2.90			7,544,570		0.58	(d)		0.59	(d)		2.81	(d)		99
	9.56		2.86			225,618		0.68	(d)		0.68	(d)		2.74	(d)		99
	9.55		2.60			9,148		1.17	(d)		1.18	(d)		2.18	(d)		99
	9.56		2.91			19,497		0.56	(d)		0.57	(d)		2.78	(d)		99
	9.41		(2.49	)		1,383,885		0.90			0.91			2.83			212
	9.41		(3.21	)		710,230		1.65			1.66			2.08			212
	9.41		(2.16	)		11,261,977		0.56			0.57			3.17			212
	9.41		(2.24	)		332,917		0.65			0.66			3.09			212
	9.40		(2.73	)		9,399		1.15			1.16			2.58			212
	9.41		(3.05	)		19,708		0.53	(d)		0.55	(d)		3.19	(d)		212
	10.06		(2.78	)		2,648,848		0.91			0.91			2.10			188
	10.06		(3.51	)		1,096,577		1.66			1.66			1.34			188
	10.06		(2.45	)		18,685,774		0.57			0.57			2.43			188
	10.06		(2.44	)		684,204		0.66			0.66			2.34			188
	10.05		(3.03	)		9,418		1.16			1.16			1.85			188
	10.64		4.16			3,694,217		0.91			0.91			2.08			302
	10.64		3.37			1,017,213		1.66			1.66			1.31			302
	10.64		4.51			15,469,529		0.57			0.57			2.44			302
	10.63		4.32			71,823		0.66			0.66			2.32			302
	10.63		3.90			5,454		1.16			1.16			1.96			302
	10.46		10.80			709,730		0.99			0.99			3.17			727
	10.46		9.86			239,501		1.74			1.74			2.36			727
	10.46		11.18			2,428,689		0.65			0.65			3.42			727
	10.46		11.07			107,502		0.74			0.74			3.33			727
	10.45		10.45			12		1.23			1.23			2.98			727
	9.87		1.60			728,059		1.00			1.00			3.23			636
	9.88		0.94			148,590		1.75			1.75			2.51			636
	9.87		2.04			993,936		0.66			0.66			3.59			636
	9.87		1.95			50,350		0.75			0.75			3.54			636
	9.87		1.46			29		1.25			1.25			3.00			636

The accompanying notes are an integral part of these financial statements. 115

GOLDMAN SACHS MULTI-SECTOR FIXED INCOME FUNDS

Notes to Financial Statements

September 30, 2016 (Unaudited)

1. ORGANIZATION

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

Fund	Share Classes Offered	Diversified/ Non-diversified
Bond and Core Fixed Income	A, C, Institutional, Service, IR, R and R6	Diversified
Global Income	A, C, Institutional, Service, IR and R6	Non-diversified
Strategic Income	A, C, Institutional, IR, R and R6	Diversified

Class A Shares are sold with a front-end sales charge of up to 3.75%. Class C Shares are sold with a contingent deferred sales charge (“CDSC”) of 1.00%, which is imposed on redemptions made within 12 months of purchase. Institutional, Service, Class IR, 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. (“Goldman Sachs”), serves as investment adviser to each of the Bond, Core Fixed Income and Strategic Income Funds pursuant to management agreements with the Trust. Goldman Sachs Asset Management International (“GSAMI”), an affiliate of GSAM and Goldman Sachs, serves as investment adviser pursuant to a management agreement with the Trust on behalf of the Global Income Fund (the management agreements with GSAM and GSAMI are collectively referred to herein as the “Agreements”).

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 Funds’ valuation policy is to value investments at fair value.

B.  Investment Income and Investments — Investment income includes interest income, dividend income, net of any foreign withholding taxes, less any amounts reclaimable, 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. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments. Distributions received from the Funds’ investments in U.S. real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain or a return of capital. A return of capital is recorded by the Funds as a reduction to the cost basis of the REIT.

For derivative contracts, realized gains and losses are recorded upon settlement of the contract. Upfront payments, if any, are made or received upon entering into a swap agreement and are reflected in the Statements of Assets and Liabilities. Upfront payments are recognized over the contract’s term/event as realized gains or losses, with the exception of forward starting interest rate swaps whose realized gains or losses are recognized from the effective start date. For securities with paydown provisions, principal payments received are treated as a proportionate reduction to the cost basis of the securities, and excess or shortfall amounts are recorded as income. For treasury inflation protected securities (“TIPS”), adjustments to principal due to inflation/deflation are reflected as increases/decreases to interest income with a corresponding adjustment to cost.

C.  Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), and non-class specific expenses of each Fund are allocated daily based upon the proportion of net assets of each class. Non-class specific expenses directly incurred

116

GOLDMAN SACHS MULTI-SECTOR FIXED INCOME FUNDS

2. SIGNIFICANT ACCOUNTING POLICIES (continued)

by a Fund are charged to that Fund, while such expenses incurred by the Trust are allocated across the applicable Funds on a straight-line and/or pro-rata basis depending upon the nature of the expenses. Class specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service, Transfer Agency and Service and Shareholder Administration fees.

D.  Federal Taxes and Distributions to Shareholders — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies (mutual funds) and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, the Funds are 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 daily and paid monthly, and capital gains distributions, if any, are declared and paid annually.

Net capital losses are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.

Under the Regulated Investment Company Modernization Act of 2010, the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.

The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of each Fund’s distributions may be shown in the accompanying financial statements as either from net investment income, net realized gain or capital. Certain components of the Funds’ net assets on the Statements of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.

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

F.  In-Kind Transactions — The Funds may allow investors, under certain circumstances, to purchase shares with securities instead of cash. In addition, the Trust reserves the right to redeem an investor’s shares by distributing securities instead of cash. These are known as in-kind transactions. Securities included as part of in-kind purchases and redemptions of Fund shares are valued in the same manner as they are valued for purposes of computing a Fund’s NAV, in accordance with the Funds’ Valuation Procedures, and such valuations are as of the date the trade is submitted pursuant to the procedures specified in the Funds’ prospectus.

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS

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). 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

117

GOLDMAN SACHS MULTI-SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

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 and GSAMI’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 Funds’ 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 Funds, including investments for which market quotations are not readily available. The Trustees have delegated to GSAM and GSAMI day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Funds’ portfolio investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM and GSAMI regularly perform 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:

Debt Securities — Debt securities for which market quotations are readily available are valued daily on the basis of quotations supplied by dealers or an independent pricing service approved by the Trustees. The pricing services may use valuation models or matrix pricing, which consider: (i) yield or price with respect to bonds that are considered comparable in characteristics such as rating, interest rate and maturity date or (ii) quotations from securities dealers to determine current value. As of the date of the financial statements, short-term debt obligations that matured in sixty days or less and did not exhibit signs of credit deterioration were valued at amortized cost, which approximated fair value. Effective October 11, 2016, short-term debt obligations that mature in sixty days or less are valued using available market quotations as provided by a third party pricing vendor or broker. With the exception of treasury securities of G8 countries (not held in money market funds), which are generally classified as Level 1, these investments are generally classified as Level 2 of the fair value hierarchy.

i.  Bank Loans — Bank loans (“Loans”) are interests in amounts owed by corporate, governmental, or other borrowers to lenders or lending syndicates. Loans are arranged through private negotiations between the borrower and one or more financial institutions (“Lenders”). A Fund’s investments in Loans are in the form of either participations in Loans (“Participations”) or assignments of all or a portion of Loans from third parties (“Assignments”). With respect to Participations, a Fund has the right to receive payments of principal, interest and any fees to which it is entitled from the Lender selling the Participations and only upon receipt by the Lender of the payments from the borrower. A Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement with respect to Participations. Conversely, Assignments result in a Fund having a direct contractual relationship with the borrower, and the Fund may be permitted to enforce compliance by the borrower with the terms of the loan agreement.

ii.  Inverse Floaters — The interest rate on inverse floating rate securities (“inverse floaters”) resets in the opposite direction from the market rate of interest to which the inverse floaters are indexed. An inverse floater may be considered to be leveraged to the extent that its interest rate varies by a magnitude that exceeds the magnitude of the change in the index rate of interest. The higher the degree of leverage of an inverse floater, the greater the volatility of its market value.

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iii.  Mortgage-Backed and 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 estate property. Asset-backed securities include securities whose principal and interest payments are collateralized by pools of other assets or receivables. 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.

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.

Stripped mortgage-backed securities are usually structured with two different classes: one that receives substantially all interest payments (interest-only, or “IO” and/or high coupon rate with relatively low principal amount, or “IOette”), and the other that receives substantially all principal payments (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 until maturity. These adjustments are included in interest income.

iv.  Mortgage Dollar Rolls — Mortgage dollar rolls are transactions whereby a Fund sells mortgage-backed-securities and simultaneously contracts with the same counterparty to repurchase similar securities on a specified future date. During the settlement period, a Fund will not be entitled to accrue interest and receive principal payments on the securities sold. The Funds account for mortgage dollar roll transactions as purchases and sales and realize gains and losses on these transactions.

v.  Structured Notes — The values of structured notes are based on the price movements of a reference security or index. Upon termination, a Fund will receive a payment from the issuer based on the value of the referenced instrument (notional amount multiplied by price of the referenced instrument) and record a realized gain or loss.

vi.  Treasury Inflation Protected Securities — TIPS are treasury securities 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 repayment of the original bond principal upon maturity is guaranteed by the full faith and credit of the U.S. Government.

vii.  When-Issued Securities and Forward Commitments — When-issued securities, including TBA (“To Be Announced”) securities, are securities that are authorized but not yet issued in the market and purchased in order to secure what is considered to be an advantageous price or yield to a Fund. 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 a Fund will generally purchase securities on a when-issued or forward commitment basis with the intention of acquiring the securities for its portfolio, the Fund may dispose of when-issued securities or forward commitments prior to settlement, which may result in a realized gain or loss.

Equity Securities — Equity securities traded on a United States (“U.S.”) securities exchange or the NASDAQ system, or those located on certain foreign exchanges, including but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If there is no sale or official closing price or such price is believed by GSAM and GSAMI to not represent fair value, equity securities are valued at the last bid price for long positions and at the last ask price for short positions. 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.

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. Securities traded on certain foreign securities exchanges are valued daily at fair value determined by an independent fair value service (if available) under Valuation Procedures approved by the Trustees and consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates

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Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

that have occurred subsequent to the close of the foreign securities exchange. These investments are generally classified as Level 2 of the fair value hierarchy.

Money Market Funds — Investments in the Goldman Sachs Financial Square Government Fund (“Underlying Fund”) are valued at the NAV of the Institutional Share class on the day of valuation. These investments are generally classified as Level 1 of the fair value hierarchy. For information regarding an Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.

Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. The Funds enter into derivative transactions to hedge against changes in interest rates, securities prices, and/or currency exchange rates, to increase total return, or to gain access to certain markets or attain exposure to other underliers.

Exchange-traded derivatives, including futures and options contracts, are valued at the last sale or settlement price and typically fall within Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.

i.  Forward Contracts — A forward contract is a contract between two parties to buy or sell an asset at a specified price on a future date. A forward contract settlement can occur on a cash or delivery basis. Forward contracts are marked-to-market daily using independent vendor prices, and the change in value, if any, is recorded as an unrealized gain or loss. Cash and certain investments may be used to collateralize forward contracts.

A forward foreign currency contract is a forward contract in which a Fund agrees to receive or deliver a fixed quantity of one currency for another, at a pre-determined price at a future date. All forward foreign currency exchange contracts are marked-to-market daily at the applicable forward rate. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency.

ii.  Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security and are valued based on exchanged settlement prices or independent market quotes. Futures contracts are valued at the last settlement price, or in the absence of a sale, the last bid price for long positions and at 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, a Fund deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by a Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.

iii.  Option Contracts — When a Fund writes call or put option contracts, an amount equal to the premium received is recorded as a liability and is subsequently marked-to-market to reflect the current value of the option written. Swaptions are options on interest rate swap contracts.

Upon the purchase of a call option or a put option by a Fund, the premium paid is recorded as an investment and subsequently marked-to-market to reflect the current value of the option. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms.

iv.  Swap Contracts — Bilateral swap contracts are agreements in which a Fund and a counterparty agree to exchange periodic payments on a specified notional amount or make a net payment upon termination. Bilateral swap transactions are

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3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

privately negotiated in the OTC market and payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing. These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”) (“centrally cleared swaps”), in which case all payments are settled with the CCP through the DCM. Swaps are marked-to-market daily using pricing vendor quotations, counterparty or clearinghouse prices or model prices, and the change in value, if any, is recorded as an unrealized gain or loss. Upon entering into a swap contract, a Fund is required to satisfy an initial margin requirement by delivering cash or securities to the counterparty (or in some cases, segregated in a triparty account on behalf of the counterparty), which can be adjusted by any mark-to-market gains or losses pursuant to bilateral or centrally cleared arrangements. For centrally cleared swaps the daily change in valuation, if any, is recorded as a receivable or payable for variation margin.

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

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

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

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

A total return swap is an agreement that gives a Fund the right to receive the appreciation 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.

Short Term Investments — As of the date of the financial statements, short-term investments having a maturity of 60 days or less were valued at amortized cost which approximated fair market value. Effective October 11, 2016, such securities are valued

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Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

using available market quotations as provided by a third party pricing vendor or broker. These investments are classified as Level 2 of the fair value hierarchy.

I.  Commercial Paper — Commercial paper normally represents short-term unsecured promissory notes issued in bearer form by banks or bank holding companies, corporations, finance companies and other issuers. Commercial paper consists of direct U.S. dollar-denominated obligations of domestic or foreign issuers. Asset-backed commercial paper is issued by a special purpose entity that is organized to issue the commercial paper and to purchase trade receivables or other financial assets.

Secured Borrowings — Secured borrowings are valued at their contractual amounts, which approximate fair value and are generally classified as Level 2 of the fair value hierarchy.

i.  Reverse Repurchase Agreements — Reverse repurchase agreements involve the sale of securities held by the Funds subject to the Funds’ agreement to repurchase the securities at a mutually agreed upon date and price (including interest), under the terms of a Master Repurchase Agreement. The gross value of reverse repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

A Fund entering into a reverse repurchase agreement is required to deliver securities as collateral to the counterparty that exceed the value of the reverse repurchase agreement. During the term of a reverse repurchase agreement, the value of the underlying securities pledged as collateral on behalf of a Fund, including accrued interest, is required to exceed the value of the reverse repurchase agreement, including accrued interest. If the value of those securities pledged as collateral, including accrued interest, becomes less than the value of the reverse repurchase agreement, including accrued interest, a Fund will be obligated to deliver additional collateral to the buyer. If the buyer defaults on its commitment to sell back the securities, a Fund could suffer a loss to the extent that the amount borrowed is less than the replacement cost of similar securities and the Fund’s costs associated with delay and enforcement of the reverse repurchase agreement. In addition, in the event of default or insolvency of the buyer, a court could determine that a Fund’s interest in the amount borrowed is not enforceable, resulting in additional losses to the Fund.

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 and GSAMI believe that such quotations do not accurately reflect fair value, the fair value of the Funds’ investments may be determined under Valuation Procedures approved by the Trustees. GSAM and GSAMI, 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 it believes to be the fair value of the securities at the time of determining a Fund’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. To the extent investments are valued using single source broker quotations obtained directly from the broker or passed through from third party pricing vendors, such investments are classified as Level 3 investments.

GSAM and GSAMI did not develop the unobservable inputs (examples include but are not limited to single source broker quotations, third party pricing, etc.) for the valuation of Level 3 Assets and Liabilities.

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B.  Fair Value Hierarchy — The following is a summary of the Funds’ investments and derivatives classified in the fair value hierarchy as of September 30, 2016:

BOND
Investment Type	Level 1			Level 2			Level 3
Assets
Fixed Income
Corporate Obligations	$	—		$	135,475,848		$	—
Mortgage-Backed Obligations		—			200,434,170			1,204,133
U.S. Treasury Obligations and/or Other U.S. Government Agencies		122,359,065			9,673,452			—
Asset-Backed Securities		—			59,984,571			2,600,000
Foreign Debt Obligations		—			10,033,129			—
Structured Note		—			1,395,925			—
Municipal Debt Obligations		—			6,769,566			—
Government Guarantee Obligations		—			5,425,373			—
Investment Company		58,464,279			—			—
Total	$	180,823,344		$	429,192,034		$	3,804,133
Derivative Type(a)
Assets
Forward Foreign Currency Exchange Contracts	$	—		$	1,197,373		$	—
Futures Contracts		106,448			—			—
Interest Rate Swap Contracts		—			1,991,630			—
Total	$	106,448		$	3,189,003		$	—
Liabilities(a)
Forward Foreign Currency Exchange Contracts	$	—		$	(1,355,729	)	$	—
Futures Contracts		(467,784	)		—			—
Interest Rate Swap Contracts		—			(598,685	)		—
Credit Default Swap Contracts		—			(223,888	)		—
Total	$	(467,784	)	$	(2,178,302	)	$	—

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Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

CORE FIXED INCOME
Investment Type	Level 1			Level 2			Level 3
Assets
Fixed Income
Corporate Obligations	$	—		$	345,623,853		$	—
Mortgage-Backed Obligations		—			326,864,857			—
U.S. Treasury Obligations and/or Other U.S. Government Agencies		250,130,144			39,768,783			—
Asset-Backed Securities		—			96,151,461			9,400,000
Foreign Debt Obligations		—			14,219,855			—
Municipal Debt Obligations		—			9,734,105			—
Government Guarantee Obligations		—			28,670,964			—
Investment Company		47,141,651			—			—
Total	$	297,271,795		$	861,033,878		$	9,400,000
Liabilities
Reverse Repurchase Agreements	$	—		$	(1,828,750	)	$	—
Fixed Income
Mortgage-Backed Obligations — Forward Sales Contracts		—			(1,039,531	)		—
Total	$	—		$	(2,868,281	)	$	—
Derivative Type
Assets(a)
Forward Foreign Currency Exchange Contracts	$	—		$	763,449		$	—
Futures Contracts		441,925			—			—
Interest Rate Swaps Contracts		—			1,139,993			—
Total	$	441,925		$	1,903,442		$	—
Liabilities(a)
Forward Foreign Currency Exchange Contracts	$	—		$	(739,822	)	$	—
Futures Contracts		(235,259	)		—			—
Interest Rate Swaps Contracts		—			(310,086	)		—
Credit Default Swaps Contracts		—			(18,053	)		—
Total	$	(235,259	)	$	(1,067,961	)	$	—

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GLOBAL INCOME
Investment Type	Level 1			Level 2			Level 3
Assets
Fixed Income
Foreign Sovereign Debt Obligations	$	292,032,025		$	91,836,587		$	—
Corporate Obligations		—			142,839,418			—
Foreign Debt Obligation		—			2,941,803			—
Asset-Backed Securities		—			92,958,852			8,945,350
Mortgage-Backed Obligations		—			165,277,713			—
U.S. Treasury Obligations and/or Other U.S. Government Agencies		38,846,520			2,778,251			—
Government Guarantee Obligations		4,105,937			12,478,441			—
Investment Company		55,233,442			—			—
Total	$	390,217,924		$	511,111,065		$	8,945,350
Derivative Type
Assets(a)
Forward Foreign Currency Exchange Contracts	$	—		$	3,245,868		$	—
Futures Contracts		304,691			—			—
Interest Rate Swap Contracts		—			2,457,519			—
Total	$	304,691		$	5,703,387		$	—
Liabilities
Forward Foreign Currency Exchange Contracts(a)	$	—		$	(3,109,292	)	$	—
Futures Contracts(a)		(700,176	)		—			—
Interest Rate Swap Contracts(a)		—			(572,359	)		—
Credit Default Swap Contracts(a)		—			(208,970	)		—
Written Options		—			(474	)
Total	$	(700,176	)	$	(3,891,095	)	$	—

The following is a reconciliation of Level 3 investments for the period ended September 30, 2016:

	Asset-Backed Securities
Beginning Balance as of April 1, 2016	$	—
Purchases		8,945,350
Ending Balance as of September 30, 2016	$	8,945,350

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Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

STRATEGIC INCOME
Investment Type	Level 1			Level 2			Level 3
Assets
Fixed Income
Bank Loans	$	—		$	82,877,659		$	73,680,668
Corporate Obligations		—			605,027,261			—
Mortgage-Backed Obligations		—			1,888,718,258			57,698,037
U.S. Treasury Obligations and/or Other U.S. Government Agencies		531,782,100			49,871,769			—
Asset-Backed Securities		—			2,061,649,321			196,150,000
Foreign Debt Obligations		2,426,830,606			474,407,459			—
Municipal Debt Obligations		—			156,303,735			—
Common Stock and/or Other Equity Investments(b)
Europe		—			25,187,797			—
North America		—			—			93,925,600
Investment Company		84,226,473			—			—
Short-term Investments		—			51,454,719			—
Total	$	3,042,839,179		$	5,395,497,978		$	421,454,305
Derivative Type
Assets(a)
Forward Foreign Currency Exchange Contracts	$	—		$	80,291,022		$	—
Futures Contracts		4,098,335			—			—
Interest Rate Swap Contracts		—			66,625,198			—
Total Return Swap Contracts		—			462,423			—
Total	$	4,098,335		$	147,378,643		$	—
Liabilities(a)
Forward Foreign Currency Exchange Contracts	$	—		$	(132,476,658	)	$	—
Futures Contracts		(8,278,001	)		—			—
Interest Rate Swap Contracts		—			(72,716,547	)		—
Credit Default Swap Contracts		—			(52,065,969	)		—
Total Return Swap Contracts		—			(648,218	)		—
Total	$	(8,278,001	)	$	(257,907,392	)	$	—

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3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

The following is a reconciliation of Level 3 investments for the period ended September 30, 2016:

	Mortgage-Backed Obligations			Bank Loans			Asset-Backed Securities		Common Stock and/or Other Equity Investments – North America
Beginning Balance as of April 1, 2016	$	61,203,575		$	144,803,291		$	—	$	—
Realized gain (loss)		734,338			(43,217,888	)		—
Net change in unrealized gain (loss) relating to instruments still held at reporting date		(2,329,210	)		59,846,089			—		17,667,500
Purchases		312,292			42,118,144			196,150,000		76,258,100
Sales		(2,222,958	)		(79,935,875	)		—		—
Amortization		—			628,074			—		—
Transfers into Level 3		—			4,445,528			—		—
Transfers out of Level 3		—			(55,006,695	)		—		—
Ending Balance as of September 30, 2016	$	57,698,037		$	73,680,668		$	196,150,000	$	93,925,600

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

(b) Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of net asset value. Security valuations are based on the principle exchange or system on which they are traded, which may differ from country of domicile.

Transfers of the above investments into or out of Level 3 can be attributable to changes in the availability of valid pricing sources or in the observability of significant inputs used to measure the fair value of those investments.

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

4. INVESTMENTS IN DERIVATIVES

The following tables set forth, by certain risk types, the gross value of derivative contracts as of September 30, 2016. These instruments were used as part of the Funds’ investment strategies and to obtain and/or manage exposure related to the risks below. The values in the tables below exclude the effects of cash collateral received or posted pursuant to these derivative contracts, and therefore are not representative of the Funds’ net exposure.

Bond
Risk	Statements of Assets and Liabilities	Assets			Statements of Assets and Liabilities	Liabilities
Interest rate	Receivable for unrealized gain on swap contracts; Unrealized gain on futures variation margin	$	2,098,078	(a)	Payable for unrealized loss on swap contracts; Unrealized loss on futures variation margin	$	(1,066,469)	(a)(b)
Credit	—		—		Payable for unrealized loss on swap contracts		(223,888)	(b)
Currency	Receivable for unrealized gain on forward foreign currency exchange contracts		1,197,373		Payable for unrealized loss on forward foreign currency exchange contracts		(1,355,729)
Total		$	3,295,451			$	(2,646,086)

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Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

4. INVESTMENTS IN DERIVATIVES (continued)

Core Fixed Income Fund
Risk	Statements of Assets and Liabilities	Assets			Statements of Assets and Liabilities	Liabilities
Interest rate	Receivable for unrealized gain on swap contracts; Variation margin on certain derivative contracts	$	1,581,918	(a)	Payable for unrealized loss on swap contracts; Variation margin on certain derivative contracts	$	(545,345)	(a)
Credit	—		—		Payable for unrealized loss on swap contracts		(18,053)
Currency	Receivable for unrealized gain on forward foreign currency exchange contracts		763,449		Payable for unrealized loss on forward foreign currency exchange contracts		(739,822)
Total		$	2,345,367			$	(1,303,220)
Global Income
Risk	Statements of Assets and Liabilities	Assets			Statements of Assets and Liabilities	Liabilities
Interest rate	Receivable for unrealized gain on swap contracts; Variation margin on certain derivative contracts	$	2,762,210	(a)	Payable for unrealized loss on swap contracts; Variation margin on certain derivative contracts	$	(1,273,009)	(a)(b)
Credit	—		—		Payable for unrealized loss on swap contracts		(208,970)
Currency	Receivable for unrealized gain on forward foreign currency exchange contracts		3,245,868		Payable for unrealized loss on forward foreign currency exchange contracts; Investments, at value; Written options, at value		(3,109,292)
Total		$	6,008,078			$	(4,591,271)
Strategic Income
Risk	Statements of Assets and Liabilities	Assets			Statements of Assets and Liabilities	Liabilities
Interest rate	Receivable for unrealized gain on swap contracts; Variation margin on certain derivative contracts	$	71,185,956	(a)	Payable for unrealized loss on swap contracts; Variation margin on certain derivative contracts	$	(81,642,766)	(a)(b)
Credit	—		—		Payable for unrealized loss on swap contracts		(52,065,969)	(b)
Currency	Receivable for unrealized gain on forward foreign currency exchange contracts		80,291,022		Payable for unrealized loss on forward foreign currency exchange contracts		(132,476,658)
Total		$	151,476,978			$	(266,185,393)

(a) Includes unrealized gain (loss) on futures contracts and centrally cleared swaps described in the Additional Investment Information sections of the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

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4. INVESTMENTS IN DERIVATIVES (continued)

(b) Aggregate of amounts include $361,617, $174,246 and $48,486,201 for Bond, Global Income and Strategic Income Funds, which represent 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 their obligations or failure to pledge collateral. Such amounts do not include incremental charges directly associated with the close-out of the agreements. They also do not reflect the fair value of any assets pledged as collateral which, through the daily margining process, substantially offsets the aforementioned amounts and for which the Funds are entitled to a full return.

The following tables set forth, by certain risk types, the Funds’ gains (losses) related to these derivatives and their indicative volumes for the six months ended September 30, 2016. These gains (losses) should be considered in the context that these derivative contracts may have been executed to create investment opportunities and/or economically hedge certain investments, and accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statements of Operations:

Bond
Risk	Statements of Operations	Net Realized Gain (Loss)			Net Change in Unrealized Gain (Loss)			Average Number of Contracts(a)
Interest rate	Net realized gain (loss) from investments, futures contracts and swap contracts/Net change in unrealized gain (loss) on investments, futures contracts and swap contracts	$	1,836,920		$	315,466			988
Credit	Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts		(305,930	)		(175,879	)		51
Currency	Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts		(395,898	)		(585,850	)		443
Total		$	1,135,092		$	(446,263	)		1,482

(a) Average number of contracts is based on the average of month end balances for the period ended September 30, 2016.

Core Fixed Income
Risk	Statements of Operations	Net Realized Gain (Loss)			Net Change in Unrealized Gain (Loss)			Average Number of Contracts(a)
Interest rate	Net realized gain (loss) from investments, futures contracts and swap contracts/Net change in unrealized gain (loss) on futures contracts and swap contracts	$	(1,033,358	)	$	2,229,598			1,202
Credit	Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts		(410,353	)		28,668			1
Currency	Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts		32,288			(21,892	)		198
Total		$	(1,411,423	)	$	2,236,374			1,401

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Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

4. INVESTMENTS IN DERIVATIVES (continued)

Global Income
Risk	Statements of Operations	Net Realized Gain (Loss)			Net Change in Unrealized Gain (Loss)			Average Number of Contracts(a)
Interest rate	Net realized gain (loss) from investments, futures contracts and swap contracts/Net change in unrealized gain (loss) on futures contracts and swap contracts	$	1,211,878		$	660,504			1,054
Credit	Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts		(447,798	)		(187,313	)		3
Currency	Net realized gain (loss) from investments, forward foreign currency exchange contracts and written options/Net change in unrealized gain (loss) on investments forward foreign currency exchange contracts and written options		(15,732,241	)		5,206,579			469
Total		$	(14,968,161	)	$	5,679,770			1,526
Strategic Income
Risk	Statements of Operations	Net Realized Gain (Loss)			Net Change in Unrealized Gain (Loss)			Average Number of Contracts(a)
Interest rate	Net realized gain (loss) from investments, futures contracts and swap contracts/Net change in unrealized gain (loss) on investments, futures contracts and swap contracts	$	(136,527,937	)	$	73,721,269			36,054
Credit	Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts		(39,821,371	)		(32,298,449	)		50
Currency	Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts		(47,057,057	)		(46,811,745	)		468
Total		$	(223,406,365	)	$	(5,388,925	)		36,572

In order to better define its contractual rights and to secure rights that will help a Fund mitigate its counterparty risk, a Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivatives counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs OTC derivatives (including forward foreign currency exchange contracts, and certain options and swaps), and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.

Collateral and margin requirements differ between exchange traded derivatives and OTC derivatives. Margin requirements are established by the broker or clearing house for exchange-traded and centrally cleared derivatives (financial futures contracts, options and centrally cleared swaps) pursuant to governing agreements for those instrument types. Brokers can ask for margin in excess of the minimum in certain circumstances. Collateral terms are contract-specific for OTC derivatives. For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by a Fund and the counterparty. Additionally, a Fund may be required to post initial margin to the counterparty, the terms of which would be outlined in the confirmation of the OTC transaction.

For financial reporting purposes, cash collateral that has been pledged to cover obligations of a Fund and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as receivables/payables for collateral on certain derivative contracts. Non-cash collateral pledged by a Fund, if any, is noted in the Schedules of Investments.

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4. INVESTMENTS IN DERIVATIVES (continued)

Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold before a transfer is required to be made. To the extent amounts due to a Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. A Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that the Investment Adviser believes to be of good standing and by monitoring the financial stability of those counterparties.

Additionally, the netting of assets and liabilities and the offsetting of collateral pledged or received are based on contractual netting/set-off provisions in the ISDA Master Agreement or similar agreements. However, in the event of a default or insolvency of a counterparty, a court could determine that such rights are not enforceable due to the restrictions or prohibitions against the right of setoff that may be imposed in accordance with a particular jurisdiction’s bankruptcy or insolvency laws.

The following tables set forth the Funds’ net exposure for derivative instruments that are subject to enforceable master netting arrangements or similar agreements as of September 30, 2016:

Strategic Income Fund
	Derivative Assets(1)						Derivative Liabilities(1)									Net Derivative Asset (Liabilities)			Collateral (Received) Pledged(1)			Net Amount(2)
Counterparty	Swaps		Forward Currency Contracts		Total		Swaps			Forward Currency Contracts			Total
Bank of America Securities LLC	$	511,978	$	1,069,760	$	1,581,738	$	(150,311	)	$	(18,726,897	)	$	(18,877,208	)	$	(17,295,470	)	$	—		$	(17,295,470	)
Barclays Bank PLC		1,872,860		1,796,925		3,669,785		(3,033,975	)		(14,844,498	)		(17,878,473	)		(14,208,688	)		1,160,000			(13,048,688	)
BNP Paribas SA		—		2,703,764		2,703,764		—			(5,756,246	)		(5,756,246	)		(3,052,482	)		—			(3,052,482	)
Citibank NA		1,467,320		16,001,540		17,468,860		(20,257,786	)		(22,651,757	)		(42,909,543	)		(25,440,683	)		24,080,000			(1,360,683	)
Credit Suisse International (London)		—		3,393,041		3,393,041		(650,537	)		(987,542	)		(1,638,079	)		1,754,962			—			1,754,962
Deutsche Bank AG		5,031,544		3,454,219		8,485,763		(907,721	)		(2,854,872	)		(3,762,593	)		4,723,170			(4,000,000	)		723,170
HSBC Bank PLC		—		3,007,735		3,007,735		—			(3,510,092	)		(3,510,092	)		(502,357	)		—			(502,357	)
JPMorgan Chase Bank (London)		—		1,107,735		1,107,735		—			(5,007,694	)		(5,007,694	)		(3,899,959	)		—			(3,899,959	)
JPMorgan Securities, Inc.		2,511,865		—		2,511,865		(18,392,085	)		—			(18,392,085	)		(15,880,220	)		15,880,220			—
Morgan Stanley & Co.		—		26,603,411		26,603,411		—			(9,937,391	)		(9,937,391	)		16,666,020			—			16,666,020
Morgan Stanley & Co. International PLC		3,667,700		—		3,667,700		(5,052,857	)		—			(5,052,857	)		(1,385,157	)		1,270,000			(115,157	)
Royal Bank of Canada		—		1,408,022		1,408,022		—			(504,036	)		(504,036	)		903,986			—			903,986
Royal Bank of Scotland PLC		—		1,394,200		1,394,200		—			(7,523,281	)		(7,523,281	)		(6,129,081	)		—			(6,129,081	)
Standard Chartered Bank		—		1,150,905		1,150,905		—			(2,308,952	)		(2,308,952	)		(1,158,047	)		—			(1,158,047	)
State Street Bank (London)		—		9,217,607		9,217,607		—			(27,794,881	)		(27,794,881	)		(18,577,274	)		—			(18,577,274	)
UBS AG (London)		—		2,817,299		2,817,299		(40,929	)		(5,013,970	)		(5,054,899	)		(2,237,600	)		—			(2,237,600	)
Westpac Banking Corp.		—		5,164,859		5,164,859		—			(5,054,549	)		(5,054,549	)		110,310			—			110,310
Total	$	15,063,267	$	80,291,022	$	95,354,289	$	(48,486,201	)	$	(132,476,658	)	$	(180,962,859	)	$	(85,608,570	)	$	38,390,220		$	(47,218,350	)

(1) Gross amounts available for offset but not netted in the Statement of Assets and Liabilities.

(2) Net amount represents the net amount due (to) from counterparty in the event of a default based on the contractual set-off rights under the agreement. Net amount excludes any over-collateralized amounts.

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Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

5. AGREEMENTS AND AFFILIATED TRANSACTIONS

A.  Management Agreement — Under the Agreement, GSAM and GSAMI manage the Funds, subject to the general supervision of the Trustees.

As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Funds’ business affairs, including providing facilities, GSAM and GSAMI are entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of each Fund’s average daily net assets.

For the six months ended September 30, 2016, contractual and effective net management fees with GSAM and GSAMI were at the following rates:

	Contractual Management Rate																		Effective Net Management Rate^
Fund	First $1 Billion			Next $1 Billion			Next $3 Billion			Next $3 Billion			Over $8 Billion			Effective Rate
Bond		0.45	%		0.41	%		0.39	%		0.38	%		0.37	%		0.45	%		0.40	%*
Core Fixed Income		0.40			0.36			0.34			0.33			0.32			0.40			0.39
Global Income		0.65			0.59			0.56			0.55			0.54			0.65			0.65
Strategic Income		0.60			0.54			0.51			0.50			0.49			0.51			0.51

^ Effective Net Management Rate includes the impact of management fee waivers of affiliated underlying funds, if any.

* GSAM has agreed to waive a portion of its management fee in order to achieve net management rates, as defined in the Funds’ most recent prospectuses. These waivers will be effective through at least July 29, 2017, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees.

The Funds invest in Institutional Shares of the Goldman Sachs Financial Square Government Fund, which is an affiliated Underlying Fund. GSAM and GSAMI have agreed to waive a portion of their management fee payable by the Funds in an amount equal to the management fee they earn as an investment adviser to any of the affiliated Underlying Funds in which the Funds invest. For the six months ended September 30, 2016, GSAM and GSAMI waived $33,685, $51,098, $4,095 and $323,658 of the management fee for the Bond, Core Fixed Income, Global Income and Strategic Income Funds, respectively.

B.  Distribution and Service Plans — The Trust, on behalf of each Fund, has adopted Distribution and Service Plans (the “Plans”). Under the 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, at the following annual rates calculated on a Fund’s average daily net assets of each respective share class:

	Distribution and Service Plan Rates
	Class A*			Class C			Class R*
Distribution Plan		0.25	%		0.75	%		0.50	%
Service Plan		—			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.

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5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

C.  Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Funds pursuant to a Distribution Agreement, may retain a portion of the Class A Shares’ front end sales charge and Class C Shares’ CDSC. During the six months ended September 30, 2016, Goldman Sachs advised that it retained the following amounts:

	Front End Sales Charge		Contingent Deferred Sales Charge
Fund	Class A		Class C
Bond	$	3,174	$	135
Core Fixed Income		1,859		605
Global Income		9,061		—
Strategic Income		11,247		4

D.  Service Plan and Shareholder Administration Plan — The Trust, on behalf of each Fund that offers Service Shares, has adopted a Service Plan and a Shareholder Administration Plan. These plans allow for service organizations to provide varying levels of personal and account maintenance and shareholder administration services to their customers who are beneficial owners of such shares. The Service Plan and Shareholder Administration Plan each provide for compensation to the service organizations which is accrued daily and paid monthly at an annual rate of 0.25% (0.50% in aggregate) of the average daily net assets of the Service Shares.

E.  Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Funds for a fee pursuant to the Transfer Agency Agreement. The fees charged for such transfer agency services are accrued daily and paid monthly at annual rates as follows: 0.13% of the average daily net assets of Class A, Class C, Class IR and Class R Shares, 0.02% of the average daily net assets of Class R6 Shares and 0.04% of the average daily net assets of Institutional and Service Shares.

F.  Other Expense Agreements and Affiliated Transactions — GSAM and GSAMI have agreed to limit certain “Other Expenses” of the Funds (excluding acquired fund fees and expenses, transfer agency fees and expenses, service fees and shareholder administration fees (as applicable), taxes, interest, brokerage fees, shareholder meeting, litigation, indemnification and extraordinary expenses) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of each Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Funds are not obligated to reimburse GSAM and GSAMI for prior fiscal year expense reimbursements, if any. The Other Expense limitations as an annual percentage rate of average daily net assets for the Bond, Core Fixed Income, Global Income and Strategic Income Funds are 0.004%, 0.014%, 0.004% and 0.054%, respectively. The Other Expense limitations will remain in place through at least July 29, 2017, and prior to such date GSAM and GSAMI may not terminate the arrangements without the approval of the Trustees. In addition, the Funds have entered into certain offset arrangements with the custodian and the transfer agent, which may result in a reduction of the Funds’ expenses and are received irrespective of the application of the “Other Expense” limitations described above.

For the six months ended September 30, 2016, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:

Fund Name	Management Fee Waiver		Class A Distribution and Service Fees		Class C Distribution and Service Fees		Service Fees		Class R Distribution and Service Fees		Other Expense Reimbursements		Total Expense Reductions
Bond Fund	$	140,319	$	1,082	$	1,101	$	23	$	493	$	372,092	$	515,110
Core Fixed Income Fund		51,098		—		—		—		—		289,794		340,892
Global Income Fund		4,095		2,129		2,480		105		—		392,417		401,226
Strategic Income Fund		323,658		—		—		—				—		323,658

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Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

G.  Line of Credit Facility — As of September 30, 2016, the Funds 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 and GSAMI or its affiliates (“Other Borrowers”). This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. For the six months ended September 30, 2016, the Funds did not have any borrowings under the facility.

H.  Other Transactions with Affiliates — For the six months ended September 30, 2016, Goldman Sachs earned $21,049, $19,210 and $939,803 in brokerage commissions from portfolio transactions, including futures transactions executed with Goldman Sachs as the Futures Commission Merchant, on behalf of the Bond, Core Fixed Income and Strategic Income Funds, respectively.

As of September 30, 2016, the following Fund of Funds Portfolios were the beneficial owners of 5% or more of total outstanding shares of the following Fund:

Fund	Goldman Sachs Balanced Strategy Portfolio			Goldman Sachs Growth and Income Strategy Portfolio
Global Income		14	%		12	%

The table below shows the transactions in and earnings from investments in the Goldman Sachs Financial Square Government Fund for the six months ended September 30, 2016:

Fund	Market Value 3/31/16		Purchases at Cost		Proceeds from Sales			Market Value 09/30/16		Dividend Income
Bond	$	58,985,636	$	345,691,470	$	(346,212,827	)	$	58,464,279	$	60,296
Core Fixed Income		81,617,969		429,600,372		(464,076,690	)		47,141,651		91,177
Global Income		—		73,180,578		(17,947,136	)		55,233,442		8,066
Strategic Income		2,576,641,388		4,183,476,091		(6,675,891,006	)		84,226,473		521,731

The following table provides information about the investment in the shares of issuers deemed to be affiliates of the Strategic Income Fund for the six months ended September 30, 2016:

Fund	Name of Affiliated Issuer	Market Value 3/31/2016		Purchases at Cost		Net Change in Unrealized Gain (loss)			Market Value 9/30/2016
Strategic Income Fund	Magnum Hunter Resources, Inc. – Bank Loan	$	—	$	11,206,550	$	(336,197	)	$	10,870,353
	Magnum Hunter Resources Corp. PI – Common Stock		—		76,258,100		17,667,500			93,925,600
Total			—	$	87,464,650	$	17,331,303		$	104,795,953

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6. PORTFOLIO SECURITIES TRANSACTIONS

The cost of purchases and proceeds from sales and maturities of long-term securities for the for the six months ended, September 30, 2016, were as follows:

Fund	Purchases of U.S. Government and Agency Obligations		Purchases (Excluding U.S. Government and Agency Obligations)		Sales and Maturities of U.S. Government and Agency Obligations		Sales and Maturities (Excluding U.S. Government and Agency Obligations)
Bond	$	1,678,392,698	$	67,160,274	$	1,604,596,243	$	39,057,454
Core Fixed Income		1,753,160,915		102,358,899		1,623,644,498		83,143,117
Global Income		1,144,311,068		215,416,724		1,168,117,779		230,871,932
Strategic Income		5,794,007,605		4,041,815,927		6,338,245,228		4,883,719,458

The table below summarizes the reverse repurchase agreement activity for the six months ended September 30, 2016.

Fund	Average amount of borrowings		Weighted average interest rate (Paid) Received			Number of days outstanding during the period
Core Fixed Income	$	1,871,188		0.251	%		180
Strategic Income		2,865,955		0.678			49

As of September 30, 2016 the remaining contractual maturity of the reverse repurchase agreement was greater than 90 days for the Core Fixed Income Fund. The gross value of the reverse repurchase agreement is reported on the Statement of Assets and Liabilities. The gross amount of recognized liabilities for reverse repurchase agreements was $1,828,750 with associated foreign debt obligations pledged as collateral.

7. TAX INFORMATION

As of the Funds’ most recent fiscal year end, March 31, 2016, the Funds’ capital loss carryforwards and certain timing differences on a tax basis were as follows:

	Bond			Core Fixed Income			Global Income			Strategic Income
Capital loss carryforwards(1)
Expiring 2018	$	—		$	(22,550,107	)	$	—		$	—
Perpetual Short-term		(71,097	)		—			—			(695,819,431	)
Perpetual Long-term		—			—			—			(300,996,024	)
Total capital loss carryforwards	$	(71,097	)	$	(22,550,107	)	$	—		$	(996,815,455	)
Timing differences (Qualified Late Year Loss Deferral, Straddle Deferral, Dividend and Distribution Payable)	$	(3,959,991	)	$	(6,498,214	)	$	(18,579,346	)	$	(735,005,459	)

(1) With the exception of perpetual capital loss carryforwards, expiration occurs on March 31 of the year indicated.

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Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

7. TAX INFORMATION (continued)

As of September 30, 2016, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:

	Bond			Core Fixed Income			Global Income			Strategic Income
Tax Cost	$	601,709,824		$	1,135,140,866		$	883,401,191		$	8,831,409,342
Gross unrealized gain		15,111,635			37,074,526			38,755,416			267,707,154
Gross unrealized loss		(3,001,948	)		(4,509,719	)		(11,882,268	)		(239,325,034	)
Net unrealized security gain	$	12,109,687		$	32,564,807		$	26,873,148		$	28,382,120

The difference between GAAP-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales, net mark to market gains/(losses) on regulated futures contracts, foreign currency contracts, and differences related to the tax treatment of inflation protected securities and swap transactions.

GSAM and GSAMI have reviewed the Funds’ tax positions for all open tax years (the current year and prior three years, as applicable) and have concluded that no provision for income tax is required in the Funds’ financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.

8. OTHER RISKS

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

Derivatives Risk — Loss may result from the Funds’ investments in derivative 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 Funds. Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. Losses from investments in derivatives can also result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.

Foreign and Emerging Countries Risk — Investing in foreign markets may involve special risks and considerations not typically associated with investing in the United States. Foreign securities may be subject to risk of loss because of more or less foreign government regulation, less public information and less economic, political and social stability in the countries in which the Funds invest. Loss may also result from the imposition of exchange controls, confiscations and other government restrictions by the United States or other governments, or from problems in registration, settlement or custody. Foreign risk also involves the risk of negative foreign currency rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which the Funds have exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time. To the extent that the Funds also invest in securities of issuers located in emerging markets, these risks may be more pronounced.

Foreign Custody Risk — A Fund that invests in foreign securities may hold such securities and cash with foreign banks, agents, and securities depositories appointed by the Fund’s custodian (each a “Foreign Custodian”). Some foreign custodians may be recently organized or new to the foreign custody business. In some countries, Foreign Custodians may be subject to little or no regulatory oversight over, or independent evaluation of, their operations. Further, the laws of certain countries may place limitations on a Fund’s ability to recover its assets if a Foreign Custodian enters bankruptcy.

Geographic and Sector Risk — As a result of the Global Income Fund’s ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business, political, environmental or other development may affect the value of the Fund’s investments more than if its investments were not so focused.

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8. OTHER RISKS (continued)

Interest Rate Risk — When interest rates increase, fixed income securities or instruments held by the Fund will generally decline in value. Long-term fixed income securities or instruments will normally have more price volatility because of this risk than short-term fixed income securities or instruments. The risks associated with increasing rates are heightened given that interest rates are near historic lows, but may be expected to increase in the future with unpredictable effects on the markets and the Funds’ investments.

Investments in Other Investment Companies — As a shareholder of another investment company, including an exchange-traded fund (“ETF”), a Fund will indirectly bear its proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Fund. ETFs are subject to risks that do not apply to conventional mutual funds, including but not limited to the following: (i) the market price of the ETF’s shares may trade at a premium or a discount to their NAV; and (ii) an active trading market for an ETF’s shares may not develop or be maintained.

Large Shareholder Transactions Risk — A Fund may experience adverse effects when certain large shareholders, such as other funds, institutional investors (including those trading by use of non-discretionary mathematical formulas), financial intermediaries (who may make investment decisions on behalf of underlying clients and/or include a Fund in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of a Fund. Such large shareholder redemptions may cause the Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact a Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in a Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio. Similarly, large Fund share purchases may adversely affect a Fund’s performance to the extent that the Fund is delayed in investing new cash and is required to maintain a larger cash position than it ordinarily would.

Leverage Risk — Leverage creates exposure to potential gains and losses in excess of the initial amount invested. Borrowing and the use of derivatives may result in leverage and may make the Funds more volatile. When the Funds use leverage, the sum of each Fund’s investment exposure may significantly exceed the amount of assets invested in each Fund, although these exposures may vary over time. Relatively small market movements may result in large changes in the value of a leveraged investment. Each Fund will identify liquid assets on its books or otherwise cover transactions that may give rise to such risk, to the extent required by applicable law. The use of leverage may cause the Funds to liquidate portfolio positions to satisfy their obligations or to meet segregation requirements when it may not be advantageous to do so. The use of leverage by each Fund can substantially increase the adverse impact to which each Fund’s investment portfolio may be subject.

Loan-Related Investments Risk — In addition to risks generally associated with debt investments, loan-related investments such as loan participations and assignments are subject to other risks. Although a loan obligation may be fully collateralized at the time of acquisition, the collateral may decline in value, be relatively illiquid, or lose all or substantially all of its value subsequent to investment. Many loan investments are subject to legal or contractual restrictions on resale and may be relatively illiquid and difficult to value. There is less readily available, reliable information about most loan investments than is the case for many other types of securities. Substantial increases in interest rates may cause an increase in loan obligation defaults. With respect to loan participations, the Fund may not always have direct recourse against a borrower if the borrower fails to pay scheduled principal and/or interest; may be subject to greater delays, expenses and risks than if the Fund had purchased a direct obligation of the borrower; and may be regarded as the creditor of the agent lender (rather than the borrower), subjecting the Fund to the creditworthiness of that lender as well. Investors in loans, such as the Fund, may not be entitled to rely on the anti-fraud protections of the federal securities laws, although they may be entitled to certain contractual remedies. The market for loan obligations may be subject to irregular trading activity, wide bid/ask spreads and extended trade settlement periods. Because transactions in many loans are subject to extended trade settlement periods, the Fund may not receive the proceeds from the sale of a loan for a period after the sale. As a result, sale proceeds related to the sale of loans may not be available to make additional investments or to meet the Fund’s redemption obligations for a period after the sale of the loans, and, as a result, the Fund may have to sell other

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Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

8. OTHER RISKS (continued)

investments or engage in borrowing transactions, such as borrowing from its credit facility, if necessary to raise cash to meet its obligations.

Senior Loans hold the most senior position in the capital structure of a business entity, and are typically secured with specific collateral, but are nevertheless usually rated below investment grade. Because Second Lien Loans are subordinated or unsecured and thus lower in priority of payment to Senior Loans, they are subject to the additional risk that the cash flow of the borrower and property securing the loan or debt, if any, may be insufficient to meet scheduled payments after giving effect to the senior secured obligations of the borrower. Second Lien Loans generally have greater price volatility than Senior Loans and may be less liquid.

Liquidity Risk — The Funds may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that a Fund will not be able to pay redemption proceeds within the allowable time period 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. Liquidity risk may be the result of, among other things, the reduced number and capacity of traditional market participants to make a market in fixed income securities or the lack of an active market. The potential for liquidity risk may be magnified by a rising interest rate environment or other circumstances where investor redemptions from fixed income mutual funds may be higher than normal, potentially causing increased supply in the market due to selling activity.

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 or guarantor fails to perform or that an institution or entity with which the Funds have unsettled or open transactions defaults.

Non-Diversification Risk — The Global Income Fund is non-diversified, meaning that it is permitted to invest a larger percentage of its assets in fewer issuers than diversified mutual funds. Thus, a Fund may be more susceptible to adverse developments affecting any single issuer held in its portfolio, and may be more susceptible to greater losses because of these developments.

Short Position Risk — The Funds may enter into a short position through a futures contract, an option or swap agreement or through short sales of any instrument that the Funds may purchase for investment. Taking short positions involves leverage of the Funds’ assets and presents various risks. If the value of the underlying instrument or market in which the Fund have taken a short position increases, then the Fund will incur a loss equal to the increase in value from the time that the short position was entered into plus any related interest payments or other fees. Taking short positions involves the risk that losses may be disproportionate, may exceed the amount invested, and may be unlimited.

9. 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 Funds. Additionally, in the course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, GSAM and GSAMI believe the risk of loss under these arrangements to be remote.

10. SUBSEQUENT EVENTS

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

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11. SUMMARY OF SHARE TRANSACTIONS

Share activity is as follows:

	Bond Fund
	For the Six Months Ended September 30, 2016 (Unaudited)						For the Fiscal Year Ended March 31, 2016
	Shares			Dollars			Shares			Dollars
Class A Shares
Shares sold		2,139,457		$	22,198,854			4,993,945		$	51,178,185
Reinvestment of distributions		126,987			1,321,295			360,014			3,676,908
Shares redeemed		(2,626,731	)		(27,391,100	)		(2,987,560	)		(30,662,635	)
		(360,287	)		(3,870,951	)		2,366,399			24,192,458
Class C Shares
Shares sold		689,656			7,169,015			889,003			9,074,268
Reinvestment of distributions		10,238			106,493			25,087			255,633
Shares redeemed		(242,533	)		(2,527,257	)		(366,352	)		(3,763,207	)
		457,361			4,748,251			547,738			5,566,694
Institutional Shares
Shares sold		8,646,167			89,830,454			11,979,862			122,560,143
Reinvestment of distributions		353,211			3,675,310			879,826			8,996,243
Shares redeemed		(4,335,955	)		(45,118,382	)		(14,599,108	)		(150,137,633	)
		4,663,423			48,387,382			(1,739,420	)		(18,581,247	)
Service Shares
Shares sold		34,755			361,645			108,752			1,105,191
Reinvestment of distributions		1,039			10,812			133			1,367
Shares redeemed		(17,396	)		(180,097	)		(1,420	)		(14,564	)
		18,398			192,360			107,465			1,091,994
Class IR Shares
Shares sold		2,570,044			26,606,013			2,379,638			24,182,232
Reinvestment of distributions		60,421			627,039			77,162			785,740
Shares redeemed		(729,524	)		(7,579,058	)		(931,715	)		(9,519,254	)
		1,900,941			19,653,994			1,525,085			15,448,718
Class R Shares
Shares sold		1,433,761			14,860,822			1,020,324			10,452,104
Reinvestment of distributions		3,231			33,623			3,790			38,556
Shares redeemed		(207,946	)		(2,166,480	)		(158,917	)		(1,626,756	)
		1,229,046			12,727,965			865,197			8,863,904
Class R6 Shares(a)
Shares sold		460,041			4,816,638			969			10,005
Reinvestment of distributions		13			131			28			284
Shares redeemed		—			—			(1	)		(5	)
		460,054			4,816,769			996			10,284
NET INCREASE		8,368,936		$	86,655,770			3,673,460		$	36,592,805

(a) Commenced operations on July 31, 2015.

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Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

11. SUMMARY OF SHARE TRANSACTIONS (continued)

Share activity is as follows:

	Core Fixed Income Fund
	For the Six Months Ended September 30, 2016 (Unaudited)						For the Fiscal Year Ended March 31, 2016
	Shares			Dollars			Shares			Dollars
Class A Shares
Shares sold		1,906,674		$	20,285,644			3,252,990		$	33,932,511
Reinvestment of distributions		138,243			1,473,178			319,873			3,342,023
Shares redeemed		(2,348,375	)		(24,954,619	)		(4,224,084	)		(44,126,078	)
		(303,458	)		(3,195,797	)		(651,221	)		(6,851,544	)
Class C Shares
Shares sold		329,229			3,530,609			508,257			5,332,470
Reinvestment of distributions		11,495			123,166			26,813			281,538
Shares redeemed		(175,961	)		(1,886,475	)		(644,416	)		(6,758,102	)
		164,763			1,767,300			(109,346	)		(1,144,094	)
Institutional Shares
Shares sold		11,997,770			127,765,038			27,965,702			292,874,669
Reinvestment of distributions		855,054			9,154,051			1,953,290			20,490,618
Shares redeemed		(5,109,654	)		(54,533,353	)		(34,999,122	)		(366,124,700	)
		7,743,170			82,385,736			(5,080,130	)		(52,759,413	)
Service Shares
Shares sold		23,603			252,373			33,804			354,906
Reinvestment of distributions		668			7,147			2,002			21,005
Shares redeemed		(20,581	)		(220,772	)		(62,728	)		(656,549	)
		3,690			38,748			(26,922	)		(280,638	)
Class IR Shares
Shares sold		2,486,764			26,272,130			81,723			853,932
Reinvestment of distributions		30,434			324,957			12,469			130,405
Shares redeemed		(194,802	)		(2,079,829	)		(89,024	)		(931,375	)
		2,322,396			24,517,258			5,168			52,962
Class R Shares
Shares sold		174,235			1,855,105			823,059			8,578,041
Reinvestment of distributions		7,962			84,914			2,748			28,803
Shares redeemed		(204,604	)		(2,172,013	)		(27,806	)		(290,567	)
		(22,407	)		(231,994	)		798,001			8,316,277
Class R6 Shares(a)
Shares sold		355,296			3,795,855			5,506,298			57,543,009
Reinvestment of distributions		68,239			730,476			57,877			605,328
Shares redeemed		(203,351	)		(2,175,373	)		(165,257	)		(1,725,988	)
		220,184			2,350,958			5,398,918			56,422,349
NET INCREASE		10,128,338		$	107,632,209			334,468		$	3,755,899

(a) Commenced operations on July 31, 2015.

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11. SUMMARY OF SHARE TRANSACTIONS (continued)

Share activity is as follows:

	Global Income Fund
	For the Six Months Ended September 30, 2016 (Unaudited)						For the Fiscal Year Ended March 31, 2016
	Shares			Dollars			Shares			Dollars
Class A Shares
Shares sold		7,120,462		$	88,068,204			5,506,569		$	67,160,547
Reinvestment of distributions		63,655			790,841			297,989			3,600,719
Shares redeemed		(1,828,800	)		(22,683,209	)		(1,754,152	)		(21,744,852	)
		5,355,317			66,175,836			4,050,406			49,016,414
Class C Shares
Shares sold		902,464			11,104,402			650,861			7,885,464
Reinvestment of distributions		1,989			24,484			26,894			321,133
Shares redeemed		(97,518	)		(1,203,883	)		(155,922	)		(1,915,497	)
		806,935			9,925,003			521,833			6,291,100
Institutional Shares
Shares sold		11,692,811			144,698,432			37,434,632			461,794,981
Reinvestment of distributions		331,865			4,112,602			2,863,569			34,552,548
Shares redeemed		(17,542,984	)		(216,814,492	)		(22,227,361	)		(273,644,934	)
		(5,518,308	)		(68,003,458	)		18,070,840			222,702,595
Service Shares
Shares sold		165,218			2,025,960			176,874			2,116,062
Reinvestment of distributions		1,191			14,705			1,567			18,859
Shares redeemed		(16,186	)		(199,600	)		(19,066	)		(233,220	)
		150,223			1,841,065			159,375			1,901,701
Class IR Shares
Shares sold		3,142,554			38,879,397			2,174,979			26,444,885
Reinvestment of distributions		24,664			305,907			65,265			786,398
Shares redeemed		(796,716	)		(9,926,205	)		(461,738	)		(5,685,730	)
		2,370,502			29,259,099			1,778,506			21,545,553
Class R6 Shares(a)
Shares sold		103,664			1,290,500			45,878			553,984
Reinvestment of distributions		554			6,893			114			1,379
Shares redeemed		(23,841	)		(298,017	)		(3,413	)		(41,274	)
		80,377			999,376			42,579			514,089
NET INCREASE		3,245,046		$	40,196,921			24,623,539		$	301,971,452

(a) Commenced operations on July 31, 2015.

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Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

11. SUMMARY OF SHARE TRANSACTIONS (continued)

Share activity is as follows:

	Strategic Income Fund
	For the Six Months Ended September 30, 2016 (Unaudited)						For the Fiscal Year Ended March 31, 2016
	Shares			Dollars			Shares			Dollars
Class A Shares
Shares sold		7,634,991		$	72,252,473			36,868,744		$	363,552,779
Reinvestment of distributions		1,328,607			12,592,015			7,904,030			77,435,551
Shares redeemed		(51,548,105	)		(488,365,532	)		(160,983,204	)		(1,582,299,263	)
		(42,584,507	)		(403,521,044	)		(116,210,430	)		(1,141,310,933	)
Class C Shares
Shares sold		1,015,843			9,629,830			7,231,309			71,646,822
Reinvestment of distributions		406,421			3,853,674			2,432,712			23,792,801
Shares redeemed		(18,029,720	)		(170,902,256	)		(43,166,049	)		(425,167,852	)
		(16,607,456	)		(157,418,752	)		(33,502,028	)		(329,728,229	)
Institutional Shares
Shares sold		75,599,992			716,464,822			314,004,126			3,101,913,662
Reinvestment of distributions		10,751,708			101,905,352			55,944,745			547,783,055
Shares redeemed		(494,181,159	)		(4,687,299,257	)		(1,030,340,783	)		(10,109,131,076	)
		(407,829,459	)		(3,868,929,083	)		(660,391,912	)		(6,459,434,359	)
Class IR Shares
Shares sold		5,659,987			53,615,071			11,204,074			110,163,385
Reinvestment of distributions		362,516			3,434,424			2,138,511			20,963,327
Shares redeemed		(17,812,927	)		(168,672,274	)		(45,981,957	)		(453,121,610	)
		(11,790,424	)		(111,622,779	)		(32,639,372	)		(321,994,898	)
Class R Shares
Shares sold		137,426			1,297,819			570,892			5,621,320
Reinvestment of distributions		6,162			58,376			27,401			267,225
Shares redeemed		(185,695	)		(1,765,530	)		(535,313	)		(5,192,301	)
		(42,107	)		(409,335	)		62,980			696,244
Class R6 Shares(a)
Shares sold		323,196			3,071,631			2,484,802			24,539,088
Reinvestment of distributions		25,850			245,074			53,301			510,014
Shares redeemed		(404,362	)		(3,824,515	)		(443,633	)		(4,212,535	)
		(55,316	)		(507,810	)		2,094,470			20,836,567
NET DECREASE		(478,909,269	)	$	(4,542,408,803	)		(840,586,292	)	$	(8,230,935,608	)

(a) Commenced operations on July 31, 2015.

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Fund Expenses — Six Month Period Ended September 30, 2016 (Unaudited)

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from April 1, 2016 through September 15, 2016, which represents a period of 183 days of a 366-day year.

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

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

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, redemption fees, or exchange fees. 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.

	Bond Fund							Core Fixed Income Fund							Global Income Fund							Strategic Income Fund
Share Class	Beginning Account Value 4/1/16		Ending Account Value 9/30/16			Expenses Paid for the 6 months ended 9/30/16*		Beginning Account Value 4/1/16		Ending Account Value 9/30/16			Expenses Paid for the 6 months ended 9/30/16*		Beginning Account Value 4/1/16		Ending Account Value 9/30/16			Expenses Paid for the 6 months ended 9/30/16*		Beginning Account Value 4/1/16		Ending Account Value 9/30/16			Expenses Paid for the 6 months ended 9/30/16*
Class A
Actual	$	1,000.00	$	1,029.50		$	3.97	$	1,000.00	$	1,028.90		$	3.97	$	1,000.00	$	1,028.30		$	5.29	$	1,000.00	$	1,027.30		$	4.68
Hypothetical 5% return		1,000.00		1,021.16	+		3.95		1,000.00		1,021.16	+		3.95		1,000.00		1,019.85	+		5.27		1,000.00		1,020.46	+		4.66
Class C
Actual		1,000.00		1,026.70			7.72		1,000.00		1,024.00			7.76		1,000.00		1,024.70			8.93		1,000.00		1,023.40			8.52
Hypothetical 5% return		1,000.00		1,017.45	+		7.69		1,000.00		1,017.40	+		7.74		1,000.00		1,016.24	+		8.90		1,000.00		1,016.64	+		8.49
Institutional
Actual		1,000.00		1,031.20			2.24		1,000.00		1,030.50			2.24		1,000.00		1,030.00			3.56		1,000.00		1,029.00			2.95
Hypothetical 5% return		1,000.00		1,022.86	+		2.23		1,000.00		1,022.86	+		2.23		1,000.00		1,021.56	+		3.55		1,000.00		1,022.16	+		2.94
Service
Actual		1,000.00		1,028.70			4.78		1,000.00		1,028.00			4.78		1,000.00		1,027.60			6.05		N/A		N/A			—
Hypothetical 5% return		1,000.00		1,020.36	+		4.76		1,000.00		1,020.36	+		4.76		1,000.00		1,019.10	+		6.02		N/A		N/A			N/A
Class IR
Actual		1,000.00		1,030.80			2.70		1,000.00		1,030.10			2.70		1,000.00		1,029.60			4.02		1,000.00		1,028.60			3.46
Hypothetical 5% return		1,000.00		1,022.41	+		2.69		1,000.00		1,022.41	+		2.69		1,000.00		1,021.11	+		4.00		1,000.00		1,021.66	+		3.45
Class R
Actual		1,000.00		1,028.20			5.24		1,000.00		1,026.60			5.23		N/A		N/A			N/A		1,000.00		1,026.00			5.94
Hypothetical 5% return		1,000.00		1,019.90	+		5.22		1,000.00		1,019.90	+		5.22		N/A		N/A			N/A		1,000.00		1,019.20	+		5.92
Class R6
Actual		1,000.00		1,031.30			2.19		1,000.00		1,030.60			2.16		1,000.00		1,030.10			3.46		1,000.00		1,029.10			2.85
Hypothetical 5% return		1,000.00		1,022.91	+		2.18		1,000.00		1,022.95	+		2.15		1,000.00		1,021.66	+		3.45		1,000.00		1,022.26	+		2.84

* Expenses for each share class are calculated using each Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended September 30, 2016. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows:

Fund	Class A			Class C			Institutional			Service			Class IR			Class R			Class R6
Bond		0.78	%		1.52	%		0.44	%		0.94	%		0.53	%		1.03	%		0.43	%
Core Fixed Income		0.78			1.53			0.44			0.94			0.53			1.03			0.42
Global Income		1.04			1.76			0.70			1.19			0.79			N/A			0.68
Strategic Income		0.92			1.68			0.58			N/A			0.68			1.17			0.56

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

143

GOLDMAN SACHS MULTI-SECTOR FIXED INCOME FUNDS

Statement Regarding Basis for Approval of Management Agreements (Unaudited)

Background

The Goldman Sachs Bond Fund, Goldman Sachs Core Fixed Income Fund, Goldman Sachs Global Income Fund, and Goldman Sachs Strategic Income Fund (the “Funds”) are investment portfolios of Goldman Sachs Trust (the “Trust”). The Board of Trustees oversees the management of the Trust and reviews the investment performance and expenses of the Funds at regularly scheduled meetings held throughout the year. In addition, the Board of Trustees determines annually whether to approve the continuance of the Trust’s investment management agreements (the “Management Agreements”) on behalf of the Bond, Core Fixed Income, and Strategic Income Funds with Goldman Sachs Asset Management, L.P. (“GSAM”) and on behalf of the Global Income Fund with Goldman Sachs Asset Management International (together with GSAM, the “Investment Advisers”).

The Management Agreements were most recently approved for continuation until June 30, 2017 by the Board of Trustees, including those Trustees who are not parties to the Management Agreements or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), at a meeting held on June 15-16, 2016 (the “Annual Meeting”).

The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held three meetings over the course of the year since the Management Agreements were last approved. At those Committee meetings, regularly scheduled Board or other committee meetings, and/or the Annual Meeting, matters relevant to the renewal of the Management Agreements were considered by the Board, or the Independent Trustees, as applicable. With respect to each Fund, such matters included:

(a) the nature and quality of the advisory, administrative, and other services provided to the Fund by the Investment Adviser and its affiliates, including information about:

(i) the structure, staff, and capabilities of the Investment Adviser and its portfolio management teams;

(ii) the groups within the Investment Adviser and its affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services, and operations); controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, compliance testing, market risk analysis, finance, and central funding); sales and distribution support groups, and others (e.g., information technology and training);

(iii) trends in employee headcount;

(iv) the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and

(v) the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management;

(b) information on the investment performance of the Fund, including comparisons to the performance of similar mutual funds, as provided by a third-party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”), a benchmark performance index, and a composite of accounts with comparable investment strategies managed by the Investment Adviser (with the exception of the Global Income Fund); and general investment outlooks in the markets in which the Fund invests;

(c) information provided by the Investment Adviser indicating the Investment Adviser’s views on whether the Fund’s peer group and/or benchmark index had high, medium, or low relevance given the Fund’s particular investment strategy;

(d) the terms of the Management Agreement and other agreements with affiliated service providers entered into by the Trust on behalf of the Fund;

(e) fee and expense information for the Fund, including:

(i) the relative management fee and expense level of the Fund as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider;

(ii) the Fund’s expense trends over time; and

(iii) to the extent the Investment Adviser manages other types of accounts (such as bank collective trusts, private wealth management accounts, institutional separate accounts, sub-advised mutual funds, and non-U.S. funds) having investment objectives and policies similar to those of the Fund, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser;

(f) with respect to the extensive investment performance and expense comparison data provided by the Outside Data Provider, its processes in producing that data for the Fund;

(g) the undertakings of the Investment Adviser and its affiliates to implement fee waivers and/or expense limitations;

(h) information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of the Fund and the Trust as a whole to the Investment Adviser and its affiliates;

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GOLDMAN SACHS MULTI-SECTOR FIXED INCOME FUNDS

Statement Regarding Basis for Approval of Management Agreements (Unaudited) (continued)

(i) whether the Fund’s existing management fee schedule adequately addressed any economies of scale;

(j) a summary of the “fall-out” benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund, including the fees received by the Investment Adviser’s affiliates from the Fund for transfer agency, portfolio trading, distribution and other services;

(k) a summary of potential benefits derived by the Fund as a result of its relationship with the Investment Adviser;

(l) information regarding portfolio trading and how the Investment Adviser carries out its duty to seek best execution;

(m) portfolio manager ownership of Fund shares; the manner in which portfolio manager compensation is determined; and the number and types of accounts managed by the portfolio managers;

(n) the nature and quality of the services provided to the Fund by its unaffiliated service providers, and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administrative services provided under the Management Agreement; and

(o) the Investment Adviser’s processes and policies addressing various types of potential conflicts of interest; its approach to risk management; the annual review of the effectiveness of the Fund’s compliance program; and periodic compliance reports.

The Trustees also received an overview of the Funds’ distribution arrangements. They received information regarding the Funds’ assets, share purchase and redemption activity, and payment of distribution, service, and shareholder administration fees, as applicable. Information was also provided to the Trustees relating to revenue sharing payments made by and services provided by the Investment Advisers and their affiliates to intermediaries that promote the sale, distribution, and/or servicing of Fund shares. The Independent Trustees also discussed the broad range of other investment choices that are available to Fund investors, including the availability of comparable funds managed by other advisers.

The presentations made at the Board and Committee meetings and at the Annual Meeting encompassed the Funds and other mutual funds for which the Board of Trustees has responsibility. In evaluating the Management Agreements at the Annual Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Advisers and their affiliates, their services, and the Funds. In conjunction with these meetings, the Trustees received written materials and oral presentations on the topics covered, and the Investment Advisers addressed the questions and concerns of the Trustees, including concerns regarding the investment performance of certain of the funds they oversee. The Independent Trustees were advised by their independent legal counsel regarding their responsibilities and other regulatory requirements related to the approval and continuation of mutual fund investment management agreements under applicable law. In addition, the Investment Advisers and their affiliates provided the Independent Trustees with a written response to a formal request for information sent on behalf of the Independent Trustees by their independent legal counsel. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent legal counsel, without representatives of the Investment Advisers or their affiliates present.

Nature, Extent, and Quality of the Services Provided Under the Management Agreements

As part of their review, the Trustees considered the nature, extent, and quality of the services provided to the Funds by the Investment Advisers. In this regard, the Trustees considered both the investment advisory services and non-advisory services that are provided by the Investment Advisers and their affiliates. The Trustees noted the transition in the leadership and changes in personnel of various of the Investment Advisers’ portfolio management teams that had occurred in recent periods, and the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Advisers. They also noted the Investment Advisers’ commitment to maintaining high quality systems and expending substantial resources to respond to ongoing changes to the regulatory and control environment in which the Funds and their service providers operate, as well as the efforts of the Investment Advisers and their affiliates to combat cyber security risks. The Trustees concluded that the Investment Advisers continued to commit substantial financial and operational resources to the Funds and expressed confidence that the Investment Advisers would continue to do so in the future. The Trustees also recognized that the Investment Advisers had made significant commitments to address regulatory compliance requirements applicable to the Funds and the Investment Advisers and their affiliates.

Investment Performance

The Trustees also considered the investment performance of the Funds. In this regard, they compared the investment performance of each Fund to its peers using rankings and ratings compiled by the Outside Data Provider as of December 31, 2015, and updated performance information prepared by the Investment Advisers using the peer group identified by the Outside Data Provider as of March 31, 2016. The information on each Fund’s investment performance was provided for the one-, three-, five-, and ten-year periods ending on the applicable dates, to the extent that each Fund had been in existence for those periods. The

145

GOLDMAN SACHS MULTI-SECTOR FIXED INCOME FUNDS

Statement Regarding Basis for Approval of Management Agreements (Unaudited) (continued)

Trustees also reviewed each Fund’s investment performance relative to its performance benchmark. As part of this review, they considered the investment performance trends of the Funds over time, and reviewed the investment performance of each Fund in light of its investment objective and policies and market conditions. The Trustees also received information comparing the Funds’ performance (with the exception of the Global Income Fund) to that of composites of accounts with comparable investment strategies managed by GSAM.

In addition, the Trustees considered materials prepared and presentations made by the Investment Advisers’ senior management and portfolio management personnel in which Fund performance was assessed. The Trustees also considered the Investment Advisers’ periodic reports with respect to the Funds’ risk profiles, and how the Investment Advisers’ approach to risk monitoring and management influences portfolio management.

The Trustees observed that the Bond Fund’s Institutional Shares had placed in the first quartile of the Fund’s peer group and had outperformed the Fund’s benchmark index for the one-, three-, and five-year periods ended March 31, 2016. The Trustees noted that the Core Fixed Income Fund’s Institutional Shares had placed in the first quartile of the Fund’s peer group for the one-, three-, and five-year periods and in the third quartile for the ten-year period, and had outperformed the Fund’s benchmark index for the five-year period and underperformed for the one-, three-, and ten-year periods ended March 31, 2016. They noted that the Global Income Fund’s Institutional Shares had placed in the top half of the Fund’s peer group for the one-, three-, five-, and ten-year periods, and had outperformed the Fund’s benchmark index for the five-year period and underperformed for the one-, three-, and ten-year periods ended March 31, 2016. The Trustees observed that the Strategic Income Fund’s Institutional Shares had placed in the top half of the Fund’s peer group for the three- and five-year periods and in the third quartile for the one-year period; had outperformed the Fund’s LIBOR-based benchmark index by 2.17% for the five-year period and underperformed by 2.49% and 0.37%, respectively, for the one- and three-year periods; and had outperformed the average performance of a group of competitor funds, as determined by GSAM, for the three- and five-year periods and underperformed for the one-year period ended March 31, 2016.

Costs of Services Provided and Competitive Information

The Trustees considered the contractual terms of the Management Agreements and the fee rates payable by each Fund under its respective Management Agreement. In this regard, the Trustees considered information on the services rendered by the Investment Advisers to the Funds, which included both advisory and administrative services that were directed to the needs and operations of the Funds as registered mutual funds.

In particular, the Trustees reviewed analyses prepared by the Outside Data Provider regarding the expense rankings of the Funds. The analyses provided a comparison of each Fund’s management fee and breakpoints to those of a relevant peer group and category universe; an expense analysis which compared each Fund’s overall net and gross expenses to a peer group and a category universe; and data comparing each Fund’s net expenses to the peer and category medians. The analyses also compared each Fund’s transfer agency, custody, and distribution fees, other expenses and fee waivers/reimbursements to those of the peer group and category medians. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Funds.

In addition, the Trustees considered the Investment Advisers’ undertakings to implement fee waivers and/or expense limitations. They also considered, to the extent that the Investment Advisers manage other types of accounts having investment objectives and policies similar to those of the Funds, comparative fee information for services provided by the Investment Advisers to those accounts, and information that indicated that services provided to the Funds differed in various significant respects from the services provided to other types of accounts which, in many cases, operated under less stringent legal and regulatory structures, required fewer services from the Investment Advisers to a smaller number of client contact points, and were less time-intensive.

In addition, the Trustees noted that shareholders are able to redeem their Fund shares at any time if shareholders believe that the Fund fees and expenses are too high or if they are dissatisfied with the performance of the Fund.

Profitability

The Trustees reviewed the Investment Advisers’ revenues and pre-tax profit margins with respect to the Trust and each of the Funds. In this regard the Trustees noted that they had received, among other things, profitability analyses and summaries, revenue and expense schedules by Fund and by function (i.e., investment management, transfer agency and distribution and service), and information on the Investment Advisers’ expense allocation methodology. They observed that the profitability and expense figures are substantially similar to those used by the Investment Advisers for many internal purposes, including compensation decisions among various business groups, and are thus subject to a vigorous internal debate about how certain revenue and expenses should be allocated. The Trustees also noted that the internal audit group within the Goldman Sachs organization had audited the expense allocation methodology and was satisfied with the reasonableness, consistency, and accuracy of the Investment Advisers’ expense

146

GOLDMAN SACHS MULTI-SECTOR FIXED INCOME FUNDS

Statement Regarding Basis for Approval of Management Agreements (Unaudited) (continued)

allocation methodology and profitability analysis calculations. Profitability data for the Trust and each Fund were provided for 2015 and 2014, and the Trustees considered this information in relation to the Investment Advisers’ overall profitability. The Trustees considered the Investment Advisers’ revenues and pre-tax profit margins both in absolute terms and in comparison to information on the reported pre-tax profit margins earned by certain other asset management firms.

Economies of Scale

The Trustees considered the information that had been provided regarding the Investment Advisers’ profitability. The Trustees also considered the breakpoints in the fee rate payable under the Management Agreements for each of the Funds at the following annual percentage rates of the average daily net assets of the Funds:

Average Daily Net Assets	Bond Fund			Core Fixed Income Fund			Global Income Fund			Strategic Income Fund
First $1 billion		0.45	%		0.40	%		0.65	%		0.60	%
Next $1 billion		0.41			0.36			0.59			0.54
Next $3 billion		0.39			0.34			0.56			0.51
Next $3 billion		0.38			0.33			0.55			0.50
Over $8 billion		0.37			0.32			0.54			0.49

The Trustees noted that the breakpoints were designed to share potential economies of scale, if any, with the Funds and their shareholders as assets under management reach those asset levels. The Trustees considered the amounts of assets in the Funds; the Funds’ recent share purchase and redemption activity; the information provided by the Investment Advisers relating to the costs of the services provided by the Investment Advisers and their affiliates and their realized profits; information comparing fee rates charged by the Investment Advisers with fee rates charged to other funds in the peer groups; and GSAM’s undertakings to waive a portion of its management fee with respect to the Bond Fund and the Investment Advisers’ undertakings to limit certain expenses of each Fund that exceed specified levels. Upon reviewing these matters at the Annual Meeting, the Trustees concluded that the fee breakpoints represented a means of assuring that benefits of scalability, if any, would be passed along to shareholders at the specified asset levels. They also noted that GSAM had passed along savings to shareholders of the Strategic Income Fund, which had asset levels above at least the first breakpoint during the prior fiscal year.

Other Benefits to the Investment Advisers and Their Affiliates

The Trustees also considered the other benefits derived by the Investment Advisers and their affiliates from their relationships with the Funds as stated above, including: (a) transfer agency fees received by Goldman, Sachs & Co. (“Goldman Sachs”); (b) futures commissions earned by Goldman Sachs for executing futures transactions on behalf of the Funds; (c) trading efficiencies resulting from aggregation of orders of the Funds with those for other funds or accounts managed by the Investment Advisers; (d) the Investment Advisers’ ability to leverage the infrastructure designed to service the Funds on behalf of their other clients; (e) the Investment Advisers’ ability to cross-market other products and services to Fund shareholders; (f) Goldman Sachs’ retention of certain fees as Fund Distributor; (g) the Investment Advisers’ ability to negotiate better pricing with custodians on behalf of their other clients, as a result of the relationship with the Funds; and (h) the possibility that the working relationship between the Investment Advisers and the Funds’ third-party service providers may cause those service providers to be more likely to do business with other areas of Goldman Sachs. In the course of considering the foregoing, the Independent Trustees requested and received further information quantifying certain of these fall-out benefits.

Other Benefits to the Funds and Their Shareholders

The Trustees also noted that the Funds receive certain potential benefits as a result of their relationship with the Investment Advisers, including: (a) trading efficiencies resulting from aggregation of orders of the Funds with those of other funds or accounts managed by the Investment Advisers; (b) enhanced servicing from vendors because of the volume of business generated by the Investment Advisers and their affiliates; (c) enhanced servicing from broker-dealers because of the volume of business generated by the Investment Advisers and their affiliates; (d) the Investment Advisers’ ability to negotiate favorable terms with derivatives counterparties on behalf of the Funds as a result of the size and reputation of the Goldman Sachs organization; (e) the Investment Advisers’ knowledge and experience gained from managing other accounts and products; (f) the Investment Advisers’ ability to hire and retain qualified personnel to provide services to the Funds because of the reputation of the Goldman Sachs organization; (g) the Funds’ access, through the Investment Advisers, to certain firmwide resources (e.g., proprietary risk management systems

147

GOLDMAN SACHS MULTI-SECTOR FIXED INCOME FUNDS

Statement Regarding Basis for Approval of Management Agreements (Unaudited) (continued)

and databases), subject to certain restrictions; and (h) the Funds’ access to certain affiliated distribution channels. In addition, the Trustees noted the competitive nature of the mutual fund marketplace, and considered that many of the Funds’ shareholders invested in the Funds in part because of the Funds’ relationship with the Investment Advisers and that those shareholders have a general expectation that the relationship will continue.

Conclusion

In connection with their consideration of the Management Agreements, the Trustees gave weight to each of the factors described above, but did not identify any particular factor as controlling their decision. After deliberation and consideration of all of the information provided, including the factors described above, the Trustees concluded, in the exercise of their business judgment, that the management fees paid by each of the Funds were reasonable in light of the services provided to it by its respective Investment Adviser, the Investment Advisers’ costs and each Fund’s current and reasonably foreseeable asset levels. The Trustees unanimously concluded that the Investment Advisers’ continued management likely would benefit each applicable Fund and its shareholders and that the Management Agreements should be approved and continued with respect to each applicable Fund until June 30, 2017.

148

FUNDS PROFILE

Goldman Sachs Funds

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

Today, the Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $1.15 trillion in assets under supervision as of September 30, 2016, 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. subject to legal, internal and regulatory restrictions.

Money Market

Financial Square Funds^SM

n Financial Square Treasury Solutions Fund¹

n Financial Square Government Fund¹

n Financial Square Money Market Fund²

n Financial Square Prime Obligations Fund²

n Financial Square Treasury Instruments Fund¹

n Financial Square Treasury Obligations Fund¹

n Financial Square Federal Instruments Fund¹

n Financial Square Tax-Exempt Money Market Fund²

Investor Funds^SM

n Investor Money Market Fund³

n Investor Tax-Exempt Money Market Fund^3,4

Fixed Income

Short Duration and Government

n Enhanced Income Fund

n High Quality Floating Rate Fund

n Short-Term Conservative Income Fund⁵

n Short Duration Government Fund

n Short Duration Income Fund

n Government Income Fund

n Inflation Protected Securities Fund

Multi-Sector

n Bond Fund

n Core Fixed Income Fund

n Global Income Fund

n Strategic Income Fund

Municipal and Tax-Free

n High Yield Municipal Fund

n Dynamic Municipal Income Fund

n Short Duration Tax-Free Fund

Single Sector

n Investment Grade Credit Fund

n U.S. Mortgages Fund

n High Yield Fund

n High Yield Floating Rate Fund

n Emerging Markets Debt Fund

n Local Emerging Markets Debt Fund

n Dynamic Emerging Markets Debt Fund

Fixed Income Alternatives

n Long Short Credit Strategies Fund

n Fixed Income Macro Strategies Fund

Fundamental Equity

n Growth and Income Fund

n Small Cap Value Fund

n Small/Mid Cap Value Fund

n Mid Cap Value Fund

n Large Cap Value Fund

n Focused Value Fund

n Capital Growth Fund

n Strategic Growth Fund

n Focused Growth Fund

n Small/Mid Cap Growth Fund

n Flexible Cap Growth Fund

n Concentrated Growth Fund

n Technology Opportunities Fund

n Growth Opportunities Fund

n Rising Dividend Growth Fund

n Dynamic U.S. Equity Fund

n Income Builder Fund

Tax-Advantaged Equity

n U.S. Tax-Managed Equity Fund

n International Tax-Managed Equity Fund

n U.S. Equity Dividend and Premium Fund

n International Equity Dividend and Premium Fund

Equity Insights

n Small Cap Equity Insights Fund

n U.S. Equity Insights Fund

n Small Cap Growth Insights Fund

n Large Cap Growth Insights Fund

n Large Cap Value Insights Fund

n Small Cap Value Insights Fund

n International Small Cap Insights Fund⁶

n International Equity Insights Fund

n Emerging Markets Equity Insights Fund

Fundamental Equity International

n Strategic International Equity Fund

n Focused International Equity Fund

n Asia Equity Fund

n Emerging Markets Equity Fund

n N-11 Equity Fund

Select Satellite

n Real Estate Securities Fund

n International Real Estate Securities Fund

n Commodity Strategy Fund

n Global Real Estate Securities Fund

n Dynamic Commodity Strategy Fund

n Dynamic Allocation Fund

n Absolute Return Tracker Fund

n Long Short Fund

n Managed Futures Strategy Fund

n MLP Energy Infrastructure Fund

n Multi-Manager Alternatives Fund

n Multi-Asset Real Return Fund

n Absolute Return Multi-Asset Fund

n Global Infrastructure Fund

Total Portfolio Solutions

n Global Managed Beta Fund

n Multi-Manager Non-Core Fixed Income Fund

n Multi-Manager U.S. Dynamic Equity Fund

n Multi-Manager Global Equity Fund

n Multi-Manager International Equity Fund

n Tactical Tilt Overlay Fund⁷

n Balanced Strategy Portfolio

n Multi-Manager U.S. Small Cap Equity Fund

n Multi-Manager Real Assets Strategy Fund

n Growth and Income Strategy Portfolio

n Growth Strategy Portfolio

n Equity Growth Strategy Portfolio

n Satellite Strategies Portfolio

n Enhanced Dividend Global Equity Portfolio

n Tax-Advantaged Global Equity Portfolio

n Strategic Factor Allocation Fund

n Target Date 2020 Portfolio

n Target Date 2025 Portfolio

n Target Date 2030 Portfolio

n Target Date 2035 Portfolio

n Target Date 2040 Portfolio

n Target Date 2045 Portfolio

n Target Date 2050 Portfolio

n Target Date 2055 Portfolio

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 on March 31, 2016, the Goldman Sachs Financial Square Tax-Free Money Market Fund was renamed the Goldman Sachs Investor Tax-Exempt Money Market Fund.

⁵  Effective on July 29, 2016, the Goldman Sachs Limited Maturity Obligations Fund was renamed the Goldman Sachs Short-Term Conservative Income Fund.

⁶  Effective at the close of business on February 5, 2016, the Goldman Sachs International Small Cap Fund was reorganized with and into the Goldman Sachs International Small Cap Insights Fund.

⁷  Effective on June 1, 2016, the Goldman Sachs Tactical Tilt Implementation Fund was renamed the Goldman Sachs Tactical Tilt Overlay Fund.

Financial Square Funds^SM and Investor Funds^SM are registered service marks of Goldman, Sachs & Co.

* 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 Ashok N. Bakhru, Chairman Kathryn A. Cassidy Diana M. Daniels Herbert J. Markley James A. McNamara Jessica Palmer Alan A. Shuch Roy W. Templin Gregory G. Weaver	OFFICERS James A. McNamara, President Scott M. McHugh, Principal Financial Officer, Senior Vice President and Treasurer Caroline Kraus, Secretary
	GOLDMAN SACHS ASSET MANAGEMENT INTERNATIONAL Investment Adviser
GOLDMAN, SACHS & CO. Distributor and Transfer Agent	GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser

Visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.

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

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

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

The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s web site at http://www.sec.gov within 60 days after the Funds’ first and third fiscal quarters. The Funds’ Forms N-Q 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 be obtained by calling 1-800-SEC-0330. Forms N-Q 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 our judgment as of the date of this presentation and are subject to change without notice. These forecasts do not take into account the specific investment objectives, restrictions, tax and financial situation or other needs of any specific client. Actual data will vary and may not be reflected here. These forecasts are subject to high levels of uncertainty that may affect actual performance. Accordingly, these forecasts should be viewed as merely representative of a broad range of possible outcomes. These forecasts are estimated, based on assumptions, and are subject to significant revision and may change materially as economic and market conditions change. Goldman Sachs has no obligation to provide updates or changes to these forecasts. Case studies and examples are for illustrative purposes only.

Fund holdings and allocations shown are as of September 30, 2016 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities.

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

Copyright 2016 Goldman, Sachs & Co. All rights reserved. 71388-TMPL-11/2016 MSFISAR-16 / 105K

Goldman Sachs Funds

Semi-Annual Report	September 30, 2016
	Municipal Fixed Income Funds
	Dynamic Municipal Income
	High Yield Municipal
	Short Duration Tax-Free

Goldman Sachs Municipal Fixed Income Funds

n DYNAMIC MUNICIPAL INCOME

n HIGH YIELD MUNICIPAL

n SHORT DURATION TAX-FREE

TABLE OF CONTENTS
Investment Process	1
Market Review	2
Portfolio Management Discussions and Performance Summaries	4
Schedules of Investments	19
Financial Statements	84
Financial Highlights	88
Notes to the Financial Statements	94
Other Information	110

NOT FDIC-INSURED May Lose Value No Bank Guarantee

GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS

What Differentiates the Goldman Sachs Asset Management Fixed Income Investment Process?

At Goldman Sachs Asset Management, L.P. (“GSAM”), the goal of our fixed income investment process is to provide consistent, strong performance by actively managing our portfolios within a research-intensive, risk-managed framework.

A key element of our fixed income investment philosophy is to evaluate the broadest global opportunity set to capture relative value across sectors and instruments. Our globally integrated investment process involves managing dynamically along the risk/return spectrum, as we continue to develop value-added strategies through:

n Assess relative value among securities and sectors

n Leverage the vast resources of GSAM in selecting securities for each portfolio

n Team approach to decision making

n Manage risk by avoiding significant sector and interest rate bets

n Careful management of yield curve strategies — while closely managing portfolio duration

Fixed Income portfolios that:

n Include domestic investment options, tax-free income opportunities, and access to areas of specialization such as high yield securities

n Capitalize on GSAM’s industry-renowned credit research capabilities

n Use a risk-managed framework to seek total return, recognizing the importance of investors’ capital accumulation goals as well as their need for income

1

MARKET REVIEW

Goldman Sachs Municipal Fixed Income Funds

Market Review

The municipal bond market generated positive returns during the six months ended September 30, 2016 (the “Reporting Period”), supported by a flattening yield curve and favorable supply and demand dynamics overall. (Yield curve indicates a spectrum of maturities. A flattening yield curve means the differential in yields between longer-term and shorter-term maturities narrowed.)

When the Reporting Period began in the second quarter of 2016, municipal bond prices rose and the yield curve flattened. However, during the third calendar quarter, investors’ concerns about the Federal Reserve’s (the “Fed”) interest rate policy and weakening market technicals, or supply and demand factors, drove up municipal bond yields, pushing down prices.

For the Reporting Period overall, shorter-term municipal yields (as represented by two-year maturities) rose, while longer-term municipal yields fell. As a result, the municipal yield curve flattened. The yield on a two-year AAA-rated municipal security increased 15 basis points to 0.82%; the yield on a 10-year AAA-rated municipal security fell 19 basis points to 1.51%; and the yield on a 30-year AAA-rated municipal security decreased 38 basis points to 2.31%. (A basis point is 1/100th of a percentage point.) By comparison, the yield on a two-year U.S. Treasury security rose four basis points to 0.76%; the yield on a 10-year U.S. Treasury fell 17 basis points to 1.59%; and the yield on a 30-year U.S. Treasury security decreased 30 basis points to 2.32%. (Source: GSAM, MMD and Bloomberg.)

The municipal bond market was supported by strong demand despite heavy issuance throughout Reporting Period. Primary market issuance was robust, with approximately $224 billion of new supply for the Reporting Period overall. However, municipal bond mutual funds saw average investment inflows of $1.4 billion per week and the Reporting Period ended with 26 consecutive weeks of inflows. (Source: Lipper.)

For most states, the fiscal 2017 budget season ended on July 1, 2016 with little fanfare. State and local revenues continued to expand during fiscal 2016, though slowly, reflecting weak U.S. Gross Domestic Product (“GDP”) and inflation rates. Those states and localities with greater dependence upon fossil fuel extraction and exploration had more challenging fiscal 2016 performance and consequently have more challenging fiscal 2017 budgets. That said, the firming of oil prices during the Reporting Period provided some stability to these affected states and localities. In addition, Illinois’ and Pennsylvania’s budget processes reflected a continuation of the political gridlock from the 2016 fiscal year, although some signs of easing were evident in both states. In terms of Puerto Rico, the passage by the U.S. Congress of the Puerto Rico Oversight, Management and Economic Stability Act (“PROMESA”) on June 30, 2016 effectively stayed any potential litigation that could result from the commonwealth’s missed July 2016 debt payments. Given that the default had largely been anticipated by the municipal bond market because of earlier statements by Puerto Rico’s governor, the commonwealth’s general obligation bond prices were largely unchanged afterwards. On August 31, 2016, the White House announced the appointment of the seven members of the Financial Oversight and Management Board (“FOMB”) for Puerto Rico. In general, the appointments were viewed favorably by many of the parties who had an interest in solving the fiscal crisis in Puerto Rico. The appointed members appeared to have significant experience, which, in our view, should allow them to address the commonwealth’s issues, including expertise in budget management, pension reform, bankruptcy and first-hand knowledge of Puerto Rico’s financial and debt history. The passage of PROMESA and the appointments to the FOMB led to a rally in Puerto Rico credits during the Reporting Period.

2

MARKET REVIEW

High Yield Municipals

During the Reporting Period, the high yield municipal bond market outperformed the investment grade municipal bond market. The main drivers of outperformance among high yield municipal bonds were Puerto Rico credits and the tobacco sector. Both segments rose by more than 10%, as measured by the Bloomberg Barclays High Yield Municipal Bond Index, during the Reporting Period. As mentioned previously, the passage of PROMESA and the appointments to the FOMB led to a Puerto Rico credit rally, helping the commonwealth’s municipal bonds outpace the Bloomberg Barclays High Yield Municipal Index for the Reporting Period as a whole.

Looking Ahead

At the end of the Reporting Period, municipal bond market technicals were weakening, with demand slowing and issuance increasing in advance of the U.S. presidential election in November 2016. That said, we believe the tax environment should continue to be supportive for municipal bonds, even if interest rates remain low. Although the size and timing of potential Fed action will likely be dependent on economic data, we continue to expect one interest rate increase before the end of 2016. Higher rates, in our view, could make the tax-exempt benefits of municipal bonds even more attractive and could boost the relative performance of the asset class. Meanwhile, we anticipate an increase in infrastructure investment by states and municipalities, and we expect their governments to take advantage of persistently low interest rates to issue debt. We also expect to see more headlines around pension cost escalation, as this remains a serious challenge for some states and localities.

In the months ahead, we intend to maintain our approach in which we focus on seeking attractive risk/return opportunities across maturities along the municipal bond yield curve and inclusive of all credit qualities. We will continue seeking to keep the Funds invested in the most tax-efficient manner.

3

PORTFOLIO RESULTS

Goldman Sachs Dynamic Municipal Income Fund

Investment Objective

The Fund seeks a high level of current income that is exempt from regular federal income tax.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Municipal Fixed Income Investment Management Team discusses the Goldman Sachs Dynamic Municipal Income Fund’s (the “Fund”) performance and positioning for the six-month period ended September 30, 2016 (the “Reporting Period”).

Q How did the Fund perform during the Reporting Period?

A During the Reporting Period, the Fund’s Class A, C, Institutional, Service and IR Shares generated cumulative total returns, without sales charges, of 3.74%, 3.42%, 3.98%, 3.65% and 3.87%, respectively. These returns compare to the 1.33% cumulative total return of the Fund’s benchmark, the Bloomberg Barclays Municipal Bond 1-10 Year Blend Index (the “Index”), during the same time period.

Q What key factors were responsible for the Fund’s performance during the Reporting Period?

A During the Reporting Period, the Fund benefited overall from its sector positioning and bottom-up issue selection. The Fund’s exposure to longer maturity securities also added to relative performance, as the municipal yield curved flattened, meaning the differential between longer-term and shorter- term yields narrowed. In addition, the Fund’s duration and yield curve positioning enhanced results. (Duration is a measure of the Fund’s sensitivity to changes in interest rates. Yield curve is a spectrum of maturities.)

Q Which municipal bond market sectors most significantly affected Fund performance during the Reporting Period?

A As headlines about Puerto Rico became more constructive, the Fund was aided by its overweight position in Puerto Rico municipal bonds. The Fund’s overweights in the tobacco and hospital sectors also proved advantageous. Conversely, the Fund’s underweight in New York credits was a modest detractor, as the state’s municipal bonds outperformed the Index during the Reporting Period.

Q How did duration and yield curve positioning decisions affect the Fund’s performance during the Reporting Period?

A The Fund’s long duration positioning versus that of the Index bolstered relative performance, as longer maturity municipal yields fell during the Reporting Period. The Fund also benefited from its yield curve positioning relative to the Index, especially its exposure to the longer-maturity segment of the municipal yield curve, as the yield curve flattened.

Q How did the Fund use derivatives and similar instruments during the Reporting Period as a whole?

A During the Reporting Period, the Fund used municipal inverse variable rate securities to take advantage of the steepness of the municipal yield curve. Although the municipal yield curve flattened during the Reporting Period overall, yields on shorter-term maturity municipal bonds remained lower than those on longer-term maturity municipal bonds. Municipal inverse variable rate securities have an inverse relationship to short-term interest rates — the interest rate they pay generally increases as short-term interest rates fall and vice versa — and they therefore have the potential to increase or decrease the Fund’s income. In addition, the Fund used municipal credit default swaps as we sought to capture the upside potential of select securities that were trading below what we considered their intrinsic value. Also, to manage against potential changes in interest rates, the Fund employed interest rate swap contracts and U.S. Treasury futures during the Reporting Period overall. Derivatives did not have a material impact, on a net basis, on the Fund’s performance during the Reporting Period.

4

PORTFOLIO RESULTS

Q What changes did you make in the Fund’s weightings and investments during the Reporting Period?

A During the Reporting Period, we increased the Fund’s exposures to special assessment and general obligation bonds. We decreased its allocations to hospital credits and tobacco bonds. In addition, we reduced the Fund’s exposure to higher quality A-rated issues. We increased the Fund’s exposure to lower quality BBB-rated issues and other lower credit quality rated municipal bonds.

Q How was the Fund positioned relative to its benchmark index at the end of the Reporting Period?

A At the end of the Reporting Period, the Fund held a longer duration position compared to that of the Index. It was underweight relative to the Index in higher credit quality investment grade municipal bonds and overweight in BBB-rated and other lower credit quality issues. Relative to the Index, the Fund was overweight in Puerto Rico, California and Texas municipal bonds and underweight in New York municipal bonds.

5

FUND BASICS

Dynamic Municipal Income Fund

as of September 30, 2016

PERFORMANCE REVIEW
April 1, 2016– September 30, 2016	Fund Total Return (based on NAV)1			Bloomberg Barclays Municipal Bond 1-10 Yr Blend Index2			30-Day Standardized Subsidized Yield3			30-Day Standardized Unsubsidized Yield3			30-Day Taxable Equivalent Yield4
Class A		3.74	%		1.33	%		2.09	%		1.92	%		3.69	%
Class C		3.42			1.33			1.42			1.24			2.51
Institutional		3.98			1.33			2.51			2.32			4.43
Service		3.65			1.33			2.01			1.83			3.55
Class IR		3.87			1.33			2.42			2.23			4.28

¹  The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

²  The Bloomberg Barclays Municipal Bond 1-10 Year Blend Index is an unmanaged broad-based total return index composed of approximately 40,000 investment grade, fixed rate, and tax-exempt issues, with a remaining maturity of at least one year. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.

³  The method of calculation of the 30-Day Standardized Subsidized Yield is mandated by the Securities and Exchange Commission and is determined by dividing the net investment income per share earned during the last 30 days of the period by the maximum public offering price (“POP”) per share on the last day of the period. This number is then annualized. The 30-Day Standardized Subsidized Yield reflects fee waivers and/or expense reimbursements recorded by the Fund during the period. Without waivers and/or reimbursements, yields would be reduced. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. The 30-Day Standardized Unsubsidized Yield does not adjust for any fee waivers and/or expense reimbursements in effect. If the Fund does not incur any fee waivers and/or expense reimbursements during the period, the 30-Day Standardized Subsidized Yield and 30-Day Standardized Unsubsidized Yield will be identical.

⁴  The 30-Day Taxable Equivalent Yield of the Fund is calculated by dividing the current 30-Day Standardized Subsidized Yield by 1 minus the highest 2015 federal income tax rate of 43.4%.

The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted 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 Fund distributions or the redemption of Fund shares.

6

FUND BASICS

STANDARDIZED TOTAL RETURNS5
For the period ended 9/30/16	One Year			Five Years			Ten Years			Since Inception		Inception Date
Class A		2.84	%		4.00	%		3.78	%		4.70%		7/20/93
Class C		5.06			4.03			3.40			3.86		8/15/97
Institutional		7.25			5.15			4.53			5.01		8/15/97
Service		6.63			4.63			4.00			4.77		8/15/97
Class IR		7.08			5.05			N/A			5.06		7/30/10

⁵ 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 3.75% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Prior to July 29, 2009, the maximum initial sales charge applicable to Class A Shares of the Fund was 4.5%, which is not reflected in the figures shown. Because Institutional Shares, Service Shares and Class IR Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.

The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted 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 Fund distributions or the redemption of Fund shares.

EXPENSE RATIOS6
	Net Expense Ratio (Current)			Gross Expense Ratio (Before Waivers)
Class A		0.78	%		0.99	%
Class C		1.53			1.75
Institutional		0.44			0.65
Service		0.94			1.16
Class IR		0.53			0.74

⁶  The expense ratios of the Fund, 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 Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to a contractual arrangement, the Fund’s waivers and/or expense limitations will remain in place through at least July 29, 2017, and prior to such date the investment adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

7

FUND BASICS

SECTOR ALLOCATION⁷

Percentage of Market Value

⁷  The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. The above graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments.

8

PORTFOLIO RESULTS

Goldman Sachs High Yield Municipal Fund

Investment Objective

The Fund seeks a high level of current income that is exempt from regular federal income tax and may also consider the potential for capital appreciation.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Municipal Fixed Income Investment Management Team discusses the Goldman Sachs High Yield Municipal Fund’s (the “Fund”) performance and positioning for the six-month period ended September 30, 2016 (the “Reporting Period”).

Q How did the Fund perform during the Reporting Period?

A During the Reporting Period, the Fund’s Class A, C, Institutional and IR Shares generated cumulative total returns, without sales charges, of 6.16%, 5.76%, 6.31% and 6.17%, respectively. These returns compare to the 4.78% cumulative total return of the Fund’s benchmark, the Goldman Sachs High Yield Municipal Fund Composite Index (“High Yield Municipal Composite”), during the same time period.

The High Yield Municipal Fund Composite is composed 60% of the Bloomberg Barclays High Yield Municipal Bond Index (with dividends reinvested) and 40% of the Bloomberg Barclays Municipal Bond Index (with dividends reinvested), which generated cumulative total returns of 6.45% and 2.30%, respectively, during the Reporting Period.

Q What key factors were responsible for the Fund’s performance during the Reporting Period?

A The Fund’s holdings of longer maturity securities added to relative performance, as the municipal yield curve flattened during the Reporting Period, meaning the differential between longer-term and shorter-term yields narrowed. (Yield curve is a spectrum of maturities.) Individual issue selection within the tobacco sector also contributed positively. In addition, our tactical management of the Fund’s duration positioning enhanced results. (Duration is a measure of the Fund’s sensitivity to changes in interest rates.) Conversely, the Fund’s underweight compared to the High Yield Municipal Composite in Puerto Rico municipal bonds detracted from performance.

Q Which municipal bond market sectors most significantly affected Fund performance?

A The Fund’s overweight position relative to the High Yield Municipal Composite in the hospital sector boosted relative returns during the Reporting Period. An underweight position in tobacco municipal bonds detracted from performance, as the sector posted strong returns. However, as mentioned previously, individual issue selection within the tobacco sector added to the Fund’s relative returns.

Q How did duration and yield curve positioning decisions affect the Fund’s performance?

A During the Reporting Period, the tactical management of the Fund’s duration positioning versus that of the High Yield Municipal Composite added to relative performance. The Fund benefited from a long duration position when municipal yields fell during the second quarter of 2016. Subsequently, our decision to shorten the Fund’s duration position aided performance as municipal yields rose during the third quarter of 2016. The Fund’s yield curve positioning did not have a meaningful impact on performance during the Reporting Period.

Q How did the Fund use derivatives and similar instruments during the Reporting Period?

A The Fund used municipal credit default swaps as we sought to capture the upside potential of select securities that were trading below what we considered their intrinsic value. In addition, the Fund employed interest rate swaps, tied to LIBOR (London interbank offered rates, which are floating interest rates widely used as reference rates in bank,

9

PORTFOLIO RESULTS

corporate and government lending agreements), to manage the Fund’s duration position during the Reporting Period. Also during the Reporting Period, the Fund used municipal inverse variable rate securities to take advantage of the steepness of the municipal yield curve. Although the municipal yield curve flattened during the Reporting Period overall, yields on shorter-term maturity municipal bonds remained lower than those on longer-term maturity municipal bonds. Municipal inverse variable rate securities have an inverse relationship to short-term interest rates — the interest rate they pay generally increases as short-term interest rates fall and vice versa — and they therefore have the potential to increase or decrease the Fund’s income. Derivatives did not have a material impact, on a net basis, on the Fund’s performance during the Reporting Period.

Q What changes did you make in the Fund’s weightings and investments during the Reporting Period?

A During the Reporting Period, we reduced the Fund’s exposure to the tobacco sector, increasing its underweight position versus the High Yield Municipal Composite. We increased the Fund’s allocation to the municipal debt of Illinois and decreased its exposure to the municipal debt of Florida.

Q How was the Fund positioned relative to its benchmark index at the end of the Reporting Period?

A At the end of the Reporting Period, the Fund was overweight relative to the High Yield Municipal Composite in the hospital sector and underweight in the tobacco sector. Compared to the High Yield Municipal Composite, the Fund was underweight higher credit quality AAA-rated and AA-rated issues and overweight lower credit quality BBB-rated and CCC-rated issues.

10

FUND BASICS

High Yield Municipal Fund

as of September 30, 2016

PERFORMANCE REVIEW
April 1, 2016– September 30, 2016	Fund Total Return (based on NAV)1			Goldman Sachs High Yield Municipal Fund Composite Index2			Bloomberg Barclays Municipal High Yield Bond Index3			Bloomberg Barclays Municipal Bond Index4			30-Day Standardized Subsidized Yield5			30-Day Standardized Unsubsidized Yield5			30-Day Taxable Equivalent Yield6
Class A		6.16	%		4.78	%		6.45	%		2.30	%		2.33	%		2.27	%		4.12	%
Class C		5.76			4.78			6.45			2.30			1.70			1.64			3.00
Institutional		6.31			4.78			6.45			2.30			2.73			2.72			4.82
Class IR		6.17			4.78			6.45			2.30			2.69			2.63			4.75

¹  The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

²  The Goldman Sachs High Yield Municipal Fund Composite Index is comprised of the Bloomberg Barclays Municipal High Yield Bond Index (60%) (with dividends reinvested) and the Bloomberg Barclays Municipal Bond Index (40%) (with dividends reinvested).

³  The Bloomberg Barclays Municipal High Yield Bond Index is an unmanaged index made up of bonds that are non-investment grade, unrated, or rated below Ba1 by Moody’s Investors Service with a remaining maturity of at least one year. The Bloomberg Barclays Municipal High Yield Bond Index does not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.

⁴  The Bloomberg Barclays Municipal Bond Index is an unmanaged broad-based total return index composed of approximately 40,000 investment grade, fixed rate, and tax-exempt issues, with a remaining maturity of at least one year. The Bloomberg Barclays Municipal Bond Index does not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.

⁵  The method of calculation of the 30-Day Standardized Subsidized Yield is mandated by the Securities and Exchange Commission and is determined by dividing the net investment income per share earned during the last 30 days of the period by the maximum public offering price (“POP”) per share on the last day of the period. This number is then annualized. The 30-Day Standardized Subsidized Yield reflects fee waivers and/or expense reimbursements recorded by the Fund during the period. Without waivers and/or reimbursements, yields would be reduced. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. The 30-Day Standardized Unsubsidized Yield does not adjust for any fee waivers and/or expense reimbursements in effect. If the Fund does not incur any fee waivers and/or expense reimbursements during the period, the 30-Day Standardized Subsidized Yield and 30-Day Standardized Unsubsidized Yield will be identical.

⁶  The 30-Day Taxable Equivalent Yield of the Fund is calculated by dividing the current 30-Day Standardized Subsidized Yield by 1 minus the highest 2015 federal income tax rate of 43.4%.

The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted 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 Fund distributions or the redemption of Fund shares.

11

FUND BASICS

STANDARDIZED TOTAL RETURNS7
For the period ended 9/30/16	One Year			Five Years			Ten Years			Since Inception			Inception Date
Class A		6.16	%		6.14	%		2.87	%		4.73	%	4/3/00
Class C		9.29			6.33			2.58			4.25		4/3/00
Institutional		11.46			7.43			3.67			5.39		4/3/00
Class IR		11.30			7.39			N/A			7.27		7/30/10

⁷ 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 4.5% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional and Class IR Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. The Fund will charge a 2% redemption fee on the redemption of shares (including by exchange) held for 60 calendar days or less. The performance figures do not reflect the deduction of the redemption fee. If reflected, the redemption fee would reduce the performance quoted.

The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted 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 Fund distributions or the redemption of Fund shares.

EXPENSE RATIOS8
	Net Expense Ratio (Current)			Gross Expense Ratio (Before Waivers)
Class A		0.86	%		0.93	%
Class C		1.61			1.68
Institutional		0.57			0.59
Class IR		0.61			0.68

⁸ The expense ratios of the Fund, 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 Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to a contractual arrangement, the Fund’s waivers and/or expense limitations will remain in place through at least July 29, 2017, and prior to such date the investment adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

12

FUND BASICS

SECTOR ALLOCATION⁹

Percentage of Market Value

⁹  The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. The above graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments.

13

PORTFOLIO RESULTS

Goldman Sachs Short Duration Tax-Free Fund

Investment Objective

The Fund seeks a high level of current income, consistent with relatively low volatility of principal, that is exempt from regular federal income tax.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Municipal Fixed Income Investment Management Team discusses the Goldman Sachs Short Duration Tax-Free Fund’s (the “Fund”) performance and positioning for the six-month period ended September 30, 2016 (the “Reporting Period”).

Q How did the Fund perform during the Reporting Period?

A During the Reporting Period, the Fund’s Class A, C, Institutional, Service and IR Shares generated cumulative total returns, without sales charges, of 0.95%, 0.75%, 1.21%, 0.96% and 1.08%, respectively. These returns compare to the 0.33% cumulative total return of the Fund’s benchmark, the Bloomberg Barclays Municipal Bond 1-3 Year Blend Index (with dividends reinvested) (the “Index”), during the same time period.

Q What key factors were responsible for the Fund’s performance during the Reporting Period?

A The Fund’s duration and yield curve strategy contributed positively to relative results during the Reporting Period. (Duration is a measure of the Fund’s sensitivity to changes in interest rates. Yield curve is a spectrum of maturities.) In addition, the Fund’s performance was aided by its holdings of longer-term securities, as the municipal yield curve flattened during the Reporting Period, meaning the differential between longer-term and shorter-term yields narrowed. In addition, sector positioning and bottom-up issue selection overall enhanced the Fund’s relative returns.

Q Which municipal bond market sectors most significantly affected Fund performance?

A During the Reporting Period, our selection of general obligation bonds added to the Fund’s relative performance. The Fund’s lower credit quality bias also supported positive returns, as municipal credit spreads (yield differentials versus taxable bonds of comparable maturity) tightened during the Reporting Period. In addition, the Fund’s investments in Puerto Rico municipal bonds bolstered results, as Puerto Rico credits rallied amidst positive headline news. Conversely, the Fund’s overweight in Florida credits detracted from relative returns, as Florida municipal bonds underperformed the Index during the Reporting Period.

Q How did duration and yield curve positioning decisions affect the Fund’s performance?

A During the Reporting Period, the Fund’s longer duration position relative to that of the Index contributed positively. Most of the outperformance occurred during the second quarter of 2016 when municipal securities rallied. These results were offset somewhat by the decline in municipal prices during the third calendar quarter.

Q How did the Fund use derivatives and similar instruments during the Reporting Period?

A During the Reporting Period, the Fund used municipal credit default swaps as we sought to capture the upside potential of select securities that were trading below what we considered their intrinsic value. Derivatives did not have a material impact, on a net basis, on the Fund’s performance during the Reporting Period.

Q What changes did you make in the Fund’s weightings and investments during the Reporting Period?

A We reduced the Fund’s exposure to appropriation credits during the Reporting Period. We increased its exposures to general obligation and water and sewer bonds. In addition, we increased the Fund’s allocation to the municipal debt of Massachusetts and decreased its exposure to the municipal debt of California.

14

PORTFOLIO RESULTS

Q How was the Fund positioned relative to its benchmark index at the end of the Reporting Period?

A At the end of the Reporting Period, the Fund had a slightly long duration position compared to that of the Index but in line with the Fund’s historical range. It was overweight relative to the Index in higher credit quality AAA-rated issues, BBB-rated issues and lower credit quality rated municipal bonds. In addition, the Fund was underweight California and Florida municipal bonds at the end of the Reporting Period.

15

FUND BASICS

Short Duration Tax-Free Fund

as of September 30, 2016

PERFORMANCE REVIEW
April 1, 2016– September 30, 2016	Fund Total Return (based on NAV)1			Bloomberg Barclays Municipal 1–3 Year Blend Index2			30-Day Standardized Subsidized Yield3			30-Day Standardized Unsubsidized Yield3			30-Day Taxable Equivalent Yield4
Class A		0.95	%		0.33	%		0.84	%		0.82	%		1.48	%
Class C		0.75			0.33			0.46			0.09			0.81
Institutional		1.21			0.33			1.15			1.13			2.03
Service		0.96			0.33			0.65			0.63			1.15
Class IR		1.08			0.33			1.10			1.08			1.94

¹  The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

²  The Bloomberg Barclays Municipal 1-3 Year Blend Index (with dividends reinvested), an unmanaged index, represents investment grade municipal bonds with maturities greater than one year and less than 4 years, and does not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.

³  The method of calculation of the 30-Day Standardized Subsidized Yield is mandated by the Securities and Exchange Commission and is determined by dividing the net investment income per share earned during the last 30 days of the period by the maximum public offering price (“POP”) per share on the last day of the period. This number is then annualized. The 30-Day Standardized Subsidized Yield reflects fee waivers and/or expense reimbursements recorded by the Fund during the period. Without waivers and/or reimbursements, yields would be reduced. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. The 30-Day Standardized Unsubsidized Yield does not adjust for any fee waivers and/or expense reimbursements in effect. If the Fund does not incur any fee waivers and/or expense reimbursements during the period, the 30-Day Standardized Subsidized Yield and 30-Day Standardized Unsubsidized Yield will be identical.

⁴  The 30-Day Taxable Equivalent Yield of the Fund is calculated by dividing the current 30-Day Standardized Subsidized Yield by 1 minus the highest 2015 federal income tax rate of 43.4%.

The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted 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 Fund distributions or the redemption of Fund shares.

16

FUND BASICS

STANDARDIZED TOTAL RETURNS5
For the period ended 9/30/16	One Year			Five Years			Ten Years			Since Inception			Inception Date
Class A		0.19	%		0.79	%		2.01	%		2.65	%	5/1/97
Class C		0.66			0.67			1.61			2.00		8/15/97
Institutional		2.05			1.42			2.51			3.29		10/1/92
Service		1.54			0.94			2.01			2.76		9/20/94
Class IR		1.97			1.33			N/A			1.47		7/30/10

⁵ 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 1.5% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (0.65% if redeemed within 12 months of purchase). Prior to July 29, 2009, the maximum initial sales charge applicable to Class A Shares of the Fund was 2.0%, which is not reflected in the figures shown. Because Institutional, Service and Class IR Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.

The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted 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 Fund distributions or the redemption of Fund shares.

EXPENSE RATIOS6
	Net Expense Ratio (Current)			Gross Expense Ratio (Before Waivers)
Class A		0.69	%		0.76	%
Class C		1.09			1.51
Institutional		0.39			0.42
Service		0.89			0.92
Class IR		0.44			0.51

⁶ The expense ratios of the Fund, 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 Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to a contractual arrangement, the Fund’s waivers and/or expense limitations will remain in place through at least July 29, 2017, and prior to such date the investment adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

17

FUND BASICS

SECTOR ALLOCATION⁷

Percentage of Market Value

⁷  The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. The above graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments.

18

GOLDMAN SACHS DYNAMIC MUNICIPAL INCOME FUND

Schedule of Investments

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – 98.8%
	Alabama – 2.7%
	Alabama State Port Authority RB for Docks Facilities Series 2010 (A-/NR)
$	2,500,000		5.750	%		10/01/30	$	2,919,400
	Alexander City Special Care Facilities Financing Authority Medical Facilities RB for Russell Hospital Corp. Series 2006 A (BB-/NR)
	1,780,000		5.750			12/01/36		1,784,646
	Black Belt Energy Gas District RB Series 2016 A (NR/Aa3)(a)
	5,000,000		4.000			06/01/21		5,551,650
	Health Care Authority RB for Baptist Health Series 2006 D (BBB+/A3)
	575,000		5.000			11/15/17		576,679
	100,000		5.000			11/15/21		100,327
	Houston County Health Care Authority RB for Southeast Alabama Medical Center Series 2016 A (BBB/NR)
	150,000		5.000			10/01/24		180,372
	150,000		5.000			10/01/25		182,311
	725,000		5.000			10/01/30		855,776
	Jefferson County Senior Lien Sewer RB Warrants Series 2013 A (AGM) (AA/A2)
	350,000		5.000			10/01/44		406,763
	Jefferson County Subordinate Lien Sewer RB Warrants Series 2013 D (BBB-/NR)
	1,000,000		5.000			10/01/21		1,128,080
	3,000,000		6.000			10/01/42		3,636,060
	6,000,000		6.500			10/01/53		7,531,140
								24,853,204
	Alaska – 0.0%
	Northern Tobacco Securitization Corp. RB Refunding Asset- Backed Bonds Series 2006 A (NR/B3)
	275,000		5.000			06/01/46		269,154
	Arizona – 1.8%
	Arizona Health Facilities Authority Hospital RB for Banner Health Series 2007 B (AA-/NR)(b)
	7,670,000		1.243			01/01/37		7,093,523
	Arizona State University System RB Refunding Series 2015 B (AA/Aa3)
	3,000,000		5.000			07/01/19		3,330,270
	City of Chandler, Arizona Excise Tax Revenue RB Series 2015 (AAA/Aa1)
	2,000,000		3.000			07/01/34		2,052,660
	Maricopa County Arizona Pollution Control Corp. PCRB Refunding for El Paso Electric Co. Project Series 2009 A (BBB/Baa1)
	2,200,000		7.250			02/01/40		2,496,252
	Yavapai County IDA Solid Waste Disposal RB for Waste Management, Inc. Project Series 2003 A-2 (AMT) (A-/NR)(a)
	1,410,000		1.600			03/01/18		1,418,615
								16,391,320
	State-Specific Municipal Debt Obligations – (continued)
	Arkansas – 0.9%
	Arkansas State Development Finance Authority Hospital RB Refunding for Washington Regional Medical Center Series 2015 B (NR/A3)
$	770,000		3.000	%		02/01/18	$	788,942
	1,845,000		3.000			02/01/19		1,915,645
	Arkansas State Development Finance Authority RB for Single Family Mortgage-Backed Securities Series 2008 B (AMT) (GNMA) (FNMA) (AA+/NR)
	415,000		5.500			07/01/23		438,804
	City of Little Rock Sewer RB Refunding Series 2015 (NR/Aa3)
	1,000,000		4.000			04/01/21		1,123,870
	Pulaski County Little Rock School District GO Bonds Refunding (ST AID WITHHLDG) (NR/Aa2)
	3,335,000		3.000			02/01/23		3,606,136
								7,873,397
	California – 16.5%
	Alameda Corridor Transportation Authority RB Refunding Second Subordinate Lien Series 2016 B (AGM) (AA/A2)
	2,000,000		3.000			10/01/34		1,991,720
	Alameda County Oakland Unified School District GO Refunding Bonds Series 2015 (AA-/NR)
	1,500,000		5.000			08/01/19		1,670,535
	Alhambra California Unified School District Election of 2008 GO Bonds Capital Appreciation for Elementary Schools Improvement District Series B (AGM) (AA/Aa2)(c)
	1,000,000		0.000			08/01/37		512,100
	Anaheim Community Facilities District No. 08-1 Special Tax Refunding Bonds for Platinum Triangle Series 2016 (NR/NR)
	875,000		4.000			09/01/24		1,005,121
	745,000		4.000			09/01/25		854,366
	535,000		4.000			09/01/26		607,942
	590,000		4.000			09/01/27		666,771
	575,000		4.000			09/01/28		644,696
	465,000		4.000			09/01/29		518,828
	California Educational Facilities Authority RB for California Institute of Technology Series 2009 (AA-/Aa2)(d)
	5,000,000		5.000			11/01/19		5,611,650
	California Health Facilities Financing Authority RB for Providence Health & Services Series 2008 C (AA-/Aa3)(d)
	1,000,000		6.500			10/01/18		1,111,190
	California Municipal Finance Authority Student Housing RB for Bowles Hall Foundation Series 2015 A (NR/Baa3)
	400,000		5.000			06/01/35		455,988
	California State GO Bonds Series 2004 B2 (AA+/Aa1)(a)
	1,650,000		0.780			10/01/16		1,650,000
	California State Various Purpose GO Bonds Series 2009 (AA-/Aa3)
	5,000,000		5.250			10/01/25		5,641,550
	5,000,000		6.500			04/01/33		5,698,250
	2,750,000		6.000			04/01/38		3,094,410
	California State Various Purpose GO Bonds Series 2010 (AA-/Aa3)
	1,250,000		6.000			03/01/33		1,461,025
	1,500,000		5.500			03/01/40		1,712,415

The accompanying notes are an integral part of these financial statements. 19

GOLDMAN SACHS DYNAMIC MUNICIPAL INCOME FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	California – (continued)
	California State Various Purpose GO Refunding Bonds for Kindergarten RMKT 10/09/12 Series 2004 B3 (AA+/Aa1)(a)
$	1,500,000		0.750	%		10/01/16	$	1,500,000
	California Statewide Communities Development Authority Community Facilities District No. 2007-01 Special Tax Refunding for Orinda Wilder Project Series 2015 (NR/NR)
	345,000		5.000			09/01/30		402,377
	375,000		5.000			09/01/37		431,955
	California Statewide Communities Development Authority RB for Enloe Medical Center Series 2008 (CAL MTG INS) (AA-/NR)(d)
	1,435,000		5.750			08/15/18		1,566,503
	California Statewide Communities Development Authority RB for Sutter Health Series 2011 A (AA-/Aa3)
	2,000,000		6.000			08/15/42		2,381,980
	California Statewide Communities Development Authority RB Refunding for Loma Linda University Medical Center Series 2016 A (BB/NR)(e)
	1,725,000		5.000			12/01/31		2,032,878
	California Statewide Community Development Authority Water & Wastewater RB Balance Series 2004 (AGM) (AA/A2)
	15,000		5.250			10/01/19		15,051
	Citrus Community College District GO Bonds Capital Appreciation for Election of 2004 Series 2009 C (AA-/Aa2)(c)
	3,500,000		0.000			06/01/34		2,026,185
	Commerce Community Development Commission Successor Agency Tax Allocation Refunding Series 2016 A (AGM) (AA/NR)
	250,000		3.000			08/01/33		254,693
	260,000		3.000			08/01/34		263,762
	275,000		3.125			08/01/35		281,908
	Foothill/Eastern Transportation Corridor Agency Toll Road RB Refunding Subseries B-3 (BBB-/Ba1)(a)
	675,000		5.500			01/15/23		804,904
	Fullerton Community Facilities District No. 1 Special Tax Refunding Bonds for Amerige Heights Series 2012 (A-/NR)
	500,000		5.000			09/01/32		580,130
	Golden State Tobacco Securitization Corp. California Tobacco Settlement RB Asset-Backed Bonds for Capital Appreciation Subseries 2007 B (CCC+/NR)(c)
	18,000,000		0.000			06/01/47		1,934,460
	Golden State Tobacco Securitization Corp. California Tobacco Settlement RB Asset-Backed Bonds for Capital Appreciation Subseries 2007 C (CCC/NR)(c)
	19,500,000		0.000			06/01/47		1,111,500
	Golden State Tobacco Securitization Corp. California Tobacco Settlement RB Senior Asset-Backed Bonds Series 2007 A-1 (B-/B3)
	3,000,000		5.750			06/01/47		3,043,980
	Golden State Tobacco Securitization Corp. California Tobacco Settlement RB Senior Asset-Backed Bonds Series 2007 A-2 (B-/B3)
	3,915,000		5.300			06/01/37		4,026,303
	Los Angeles Community College District GO Bonds for 2008 Election Series 2010 C (AA+/Aa1)(d)
	5,000,000		5.250			08/01/20		5,742,100
	State-Specific Municipal Debt Obligations – (continued)
	California – (continued)
	Los Angeles Department of Water & Power System RB RMKT 02/01/16 Subseries 2002 A-7 (AA-/Aa2)(a)
$	700,000		0.810	%		10/01/16	$	700,000
	Los Angeles Department of Water & Power System RB Subseries 2002 A-3 (AA-/Aa2)(a)
	2,000,000		0.810			10/01/16		2,000,000
	Menifee Union School District Riverside County GO Bonds Capital Appreciation for Election of 2008 Series 2009 C (ASSURED GTY) (AA/Aa3)(c)
	2,000,000		0.000			08/01/37		1,020,020
	4,500,000		0.000			08/01/38		2,207,745
	4,500,000		0.000			08/01/39		2,122,515
	Merced City School District GO Bonds Capital Appreciation for Election of 2003 Series 2005 (NATL-RE) (AA-/NR)(c)
	1,205,000		0.000			08/01/26		929,537
	M-S-R Energy Authority Gas RB Series 2009 A (BBB+/NR)
	1,750,000		6.500			11/01/39		2,554,895
	M-S-R Energy Authority Gas RB Series 2009 C (BBB+/NR)
	3,500,000		6.125			11/01/29		4,617,410
	Mt. Diablo Unified School District GO Bonds Capital Appreciation for Election of 2010 Series 2010 A (AGM) (AA/Aa3)(f)
	5,000,000		0.000			08/01/35		4,698,450
	Ontario Redevelopment Financing Authority Lease RB for Capital Projects Series 2007 (AMBAC) (AA-/WR)
	1,110,000		5.250			08/01/22		1,148,606
	Palm Springs Unified School District GO Bonds Election 2008 Series 2016 D (A+/Aa3)
	6,910,000		3.000			08/01/30		7,172,442
	Palomar Pomerado Health COPS Series 2009 (BB+/Ba1)
	2,500,000		6.750			11/01/39		2,751,100
	Palomar Pomerado Health GO Bonds Capital Appreciation for Election of 2004 Series 2009 A (ASSURED GTY) (AA/A2)(c)
	2,150,000		0.000			08/01/31		1,368,733
	4,150,000		0.000			08/01/32		2,534,903
	3,500,000		0.000			08/01/33		2,051,805
	Palomar Pomerado Health GO Bonds Capital Appreciation for Election of 2004 Series 2009 A (ASSURED GTY) (AA/A2)(f)
	6,450,000		0.000			08/01/38		7,859,132
	Port of Oakland RB Refunding Senior Lien Series 2012 P (AMT) (A+/A2)
	4,000,000		5.000			05/01/31		4,648,040
	Rancho Cordova Community Facilities District No. 2003-1 Special Tax Refunding for Sunridge Anatolia Series 2016 (NR/NR)
	590,000		4.000			09/01/23		671,048
	320,000		4.000			09/01/24		366,832
	400,000		4.000			09/01/25		460,728
	490,000		4.000			09/01/26		567,165
	305,000		4.000			09/01/27		350,110
	500,000		4.000			09/01/28		570,150
	River Islands Public Financing Authority Community Facilities District No. 2003-1 Special Tax Refunding Bonds Series 2015 A-1 (NR/NR)
	5,080,000		5.000			09/01/27		5,580,329
	485,000		5.250			09/01/34		533,165

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

GOLDMAN SACHS DYNAMIC MUNICIPAL INCOME FUND

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	California – (continued)
	Sacramento County Sanitation District Financing Authority RB Refunding for Sacramento County Regional Series 2007 B (NATL-RE FGIC) (AA/Aa3)(b)
$	5,000,000		1.094	%		12/01/35	$	4,689,450
	San Diego County Water Authority COPS Series 2008 A (AGM) (AA/Aa2)(d)
	830,000		5.000			05/01/18		884,083
	San Diego County Water Authority COPS Series 2008 A (AGM) (AAA/Aa2)(d)
	4,170,000		5.000			05/01/18		4,441,717
	San Diego Unified School District GO Bonds for Election of 2008 Series 2010 C (AA-/Aa2)(c)
	5,000,000		0.000			07/01/39		2,375,450
	San Francisco City & County Airport Commission San Francisco International Airport RB Refunding Second Series 2013 A (AMT) (A+/A1)
	2,000,000		5.500			05/01/28		2,419,480
	San Joaquin Hills Transportation Corridor Agency RB Refunding for Capital Appreciation Series 1997 A (NATL-RE) (AA-/A3)(c)
	1,605,000		0.000			01/15/26		1,260,647
	San Joaquin Hills Transportation Corridor Agency RB Refunding for Toll Road Senior Lien Series 2014 A (BBB-/NR)
	1,000,000		5.000			01/15/29		1,193,280
	Stockton Unified School District GO Bonds Refunding Series 2016 (A+/A2)
	2,735,000		5.000			08/01/25		3,479,166
	Tobacco Securitization Authority Northern California Tobacco Settlement RB Asset-Backed Bonds Series 2005 A-1 (B-/B3)
	1,650,000		5.375			06/01/38		1,650,841
	University of California Regents Medical Center Pooled RB Refunding Series 2007 C-2 (NATL-RE) (AA-/Aa3)(b)
	5,000,000		1.287			05/15/43		4,377,500
	Vernon California Redevelopment Agency Tax Allocation for Industrial Redevelopment Project Series 2005 (NATL-RE) (AA-/A3)
	725,000		5.250			09/01/19		725,914
	West Contra Costa Unified School District GO Bonds Capital Appreciation for Election of 2002 Series 2004 C (NATL-RE FGIC) (AA-/A3)(c)
	1,175,000		0.000			08/01/25		947,015
								151,238,629
	Colorado – 1.7%
	Colorado Health Facilities Authority RB Refunding for Christian Living Neighborhoods Project Series 2016 (NR/NR)(g)
	200,000		4.000			01/01/18		206,022
	200,000		4.000			01/01/19		209,776
	Colorado Health Facilities Authority RB Refunding for Covenant Retirement Communities, Inc. Series 2015 A (BBB+/NR)
	50,000		2.000			12/01/16		50,089
	625,000		4.000			12/01/19		675,988
	Denver City & County Airport RB Series 2013 A (AMT) (A/A2)
	5,000,000		5.500			11/15/29		6,007,600
	State-Specific Municipal Debt Obligations – (continued)
	Colorado – (continued)
	Denver Colorado Health and Hospital Authority Healthcare RB Series B (BBB/NR)(b)
$	5,000,000		1.664	%		12/01/33	$	4,672,650
	E-470 Public Highway Authority RB Series 2010 A (BBB+/A3)(c)
	6,000,000		0.000			09/01/40		2,789,280
	Palisade Metropolitan District No. 2 GO Refunding Limited Tax Bonds Series 2016 (NR/NR)
	500,000		4.375			12/01/31		501,165
	500,000		5.000			12/01/46		513,100
								15,625,670
	Connecticut – 0.3%
	Mohegan Tribal Finance Authority Tribal RB Economic Development Bonds Series 2015 (B-/NR)(e)
	2,340,000		7.000			02/01/45		2,438,888
	Delaware – 0.9%
	New Castle County Delaware GO Bonds Series 2015 (AAA/Aaa)
	5,000,000		5.000			10/01/26		6,422,850
	University of Delaware RB Series 2015 (AA+/Aa1)
	1,805,000		5.000			11/01/33		2,212,064
								8,634,914
	District of Columbia – 1.4%
	District of Columbia Tobacco Settlement Financing Corp. RB Asset-Backed Bonds Series 2001 (BBB/Baa1)
	980,000		6.500			05/15/33		1,223,324
	District of Columbia Water & Sewer Authority RB Public Utility Senior Lien Series 2009 A (AAA/Aa1)(d)
	5,000,000		6.000			10/01/18		5,501,550
	District of Columbia Water & Sewer Authority RB Refunding Public Utility Subordinate Lien Series 2016 A (AA+/Aa2)
	5,000,000		5.000			10/01/36		6,097,300
								12,822,174
	Florida – 9.0%
	Anthem Park Community Development District Special Assessment RB Refunding Senior Series 2016 A-1 (BBB-/NR)
	360,000		2.500			05/01/24		357,293
	370,000		3.000			05/01/25		376,734
	380,000		3.000			05/01/26		376,557
	395,000		3.125			05/01/27		390,256
	Anthem Park Community Development District Special Assessment RB Refunding Subordinate Series 2016 A-2 (NR/NR)
	425,000		4.250			05/01/27		424,630
	410,000		4.750			05/01/36		409,467
	Arbor Greene Community Development District Special Assessment Refunding Series 2006 (A/NR)
	670,000		5.000			05/01/19		698,214
	Avelar Creek Community Development District Special Assessment Refunding Series 2016 (BBB+/NR)
	175,000		2.250			05/01/22		175,089
	175,000		2.500			05/01/23		175,632
	180,000		2.500			05/01/24		179,505
	185,000		3.000			05/01/25		187,942
	195,000		3.000			05/01/26		195,967

The accompanying notes are an integral part of these financial statements. 21

GOLDMAN SACHS DYNAMIC MUNICIPAL INCOME FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	Florida – (continued)
	Bannon Lakes Community Development District Special Assessment RB Series 2016 (NR/NR)
$	100,000		4.500	%		11/01/25	$	101,574
	185,000		5.000			11/01/36		189,891
	320,000		5.000			11/01/48		326,096
	Bartram Park Community Development District Special Assessment RB Refunding for City of Jacksonville Florida Senior Lien Series 2015 A-1 (BBB/NR)
	500,000		4.250			05/01/29		523,025
	500,000		4.500			05/01/35		520,585
	Bellagio Community Development District Special Assessment Bond Series 2016 (BBB-/NR)
	160,000		2.500			11/01/22		159,819
	160,000		2.750			11/01/23		160,511
	170,000		3.000			11/01/25		171,210
	Century Gardens at Tamiami Community Development District Special Assessment Refunding Series 2016 (BBB/NR)
	235,000		2.500			05/01/23		234,998
	245,000		2.500			05/01/24		244,160
	250,000		3.000			05/01/25		253,785
	255,000		3.000			05/01/26		253,944
	Charlotte County Industrial Development Authority Utility System RB for Town & Country Utilities Project Series 2015 (AMT) (NR/NR)(e)
	1,250,000		5.500			10/01/36		1,285,687
	Citizens Property Insurance Corp. Senior Secured RB for High Risk Account Series 2009 A-1 (A+/A1)
	3,650,000		5.500			06/01/17		3,761,398
	City of Cape Coral Water & Sewer RB Refunding Series 2015 (A/A1)
	1,000,000		4.000			10/01/34		1,098,950
	Coconut Cay Community Development District Special Assessment Series 2006 (NR/NR)
	815,000		5.375			05/01/36		817,812
	Concord Station Community Development District Capital Improvement RB Refunding Senior Lien Series 2016 A-1 (BBB-/NR)
	880,000		2.375			05/01/23		874,421
	900,000		2.500			05/01/24		889,560
	930,000		2.750			05/01/25		922,263
	920,000		3.000			05/01/26		912,419
	985,000		3.200			05/01/27		976,253
	1,015,000		3.250			05/01/28		1,002,434
	Country Walk Community Development District Special Assessment RB Refunding Senior Lien Series 2015 A-1 (BBB+/NR)
	195,000		2.875			05/01/21		198,307
	200,000		3.000			05/01/22		204,120
	205,000		3.250			05/01/23		209,385
	215,000		3.375			05/01/24		220,715
	220,000		3.500			05/01/25		226,408
	Crossings At Fleming Island Community Development District RB Refunding Series 2007 (NATL-RE) (AA-/A3)
	125,000		4.750			10/01/36		127,459
	State-Specific Municipal Debt Obligations – (continued)
	Florida – (continued)
	Florida State Municipal Power Agency RB Series 2009 A (A+/A2)(d)
$	1,000,000		6.250	%		10/01/19	$	1,155,820
	Florida State Turnpike Authority RB Refunding for Department of Transportation Series 2016 A (AA/Aa2)
	2,500,000		3.000			07/01/33		2,534,575
	Grand Bay at Doral Community Development District Special Assessment for South Parcel Assessment Area Project Series 2016 (NR/NR)
	1,000,000		4.250			05/01/26		1,013,010
	Greater Orlando Aviation Authority Airport Facilities RB Refunding for Jetblue Airways Corp. Project Series 2013 (AMT) (NR/NR)
	920,000		5.000			11/15/36		973,489
	Greater Orlando Aviation Authority RB Refunding Series 2012 A (AMT) (AA-/Aa3)
	2,000,000		5.000			10/01/21		2,341,560
	Hacienda Lakes Community Development District Special Assessment Refunding Series 2016 (NR/NR)
	455,000		3.375			05/01/21		454,477
	550,000		3.875			05/01/26		545,858
	Hamal Florida Community Development District Special Assessment for Refunding and Improvement Series 2006 A (NATL-RE) (AA-/A3)
	2,755,000		5.375			05/01/22		2,788,859
	Heritage Landing Community Development District Special Assessment Refunding Bonds Series 2015 (BBB/NR)
	585,000		3.375			05/01/23		611,138
	605,000		3.500			05/01/24		636,666
	630,000		3.625			05/01/25		666,401
	650,000		3.750			05/01/26		687,102
	1,000,000		4.200			05/01/31		1,063,630
	High Ridge Quantum Community Development District Special Assessment for Boyton Beach Series 2005 A (NR/NR)
	1,585,000		5.750			05/01/35		1,587,235
	Highlands Community Development District Special Assessment Refunding Series 2016 (BBB-/NR)(g)
	1,225,000		4.250			05/01/31		1,309,206
	Lakewood Ranch Stewardship District Special Assessment RB for Lakewood Centre North Project Series 2015 (NR/NR)
	2,060,000		4.250			05/01/25		2,126,311
	1,735,000		4.875			05/01/35		1,824,908
	985,000		4.875			05/01/45		1,027,069
	Lakewood Ranch Stewardship District Special Assessment RB for Villages of Lakewood Ranch South Project Series 2016 (NR/NR)
	300,000		4.000			05/01/21		312,021
	235,000		4.250			05/01/26		248,198
	690,000		5.000			05/01/36		737,044
	1,360,000		5.125			05/01/46		1,434,419
	Longleaf Community Development District Special Assessment Refunding Series 2006 (NR/NR)(h)
	1,185,000		5.375			05/01/30		770,250

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

GOLDMAN SACHS DYNAMIC MUNICIPAL INCOME FUND

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	Florida – (continued)
	Meadow Pines Community Development District Special Assessment Refunding Bonds Senior Lien Series 2014 1 (A-/NR)
$	750,000		4.450	%		05/01/30	$	802,170
	Miami Special Obligation Non-Ad Valorem RB Refunding Series 2011 A (AGM) (AA/A1)
	1,200,000		6.000			02/01/30		1,422,936
	1,500,000		6.000			02/01/31		1,777,980
	Miami Special Obligation RB Refunding for Port of Miami Tunnel Project Series 2012 (A/A1)(e)
	5,000,000		5.000			03/01/30		5,890,950
	Miami-Dade County Florida Aviation RB Refunding RMKT 03/17/08 Series 2003 E (AMT) (NATL-RE) (AA-/NR)
	575,000		5.250			10/01/16		575,000
	Miromar Lakes Community Development District Capital Improvement RB Refunding Series 2015 (NR/NR)
	810,000		3.500			05/01/20		810,964
	North Sumter County Utility Dependent District RB Series 2010 (AGM) (AA/A2)
	1,250,000		5.375			10/01/40		1,422,813
	Palm Glades Community Development District Special Assessment Refunding Bonds Series 2016 (BBB/NR)
	520,000		2.500			05/01/22		524,862
	530,000		2.750			05/01/23		535,411
	Pentathlon Community Development District Special Assessment Revenue Refunding Series 2012 (A-/NR)
	1,330,000		4.500			11/01/33		1,403,669
	Port Everglades Authority RB for Port Facilities Series 1986 (ETM) (AA+/Aaa)(d)
	365,000		7.125			11/01/16		366,694
	Randal Park Community Development District Special Assessment RB Series 2015 (NR/NR)
	875,000		4.250			11/01/25		884,257
	South Kendall Community Development District Special Assessment Refunding Series 2016 (BBB-/NR)
	350,000		2.500			11/01/23		350,899
	355,000		2.750			11/01/24		361,188
	370,000		3.000			11/01/25		377,078
	St. Petersburg Health Facilities Authority RB Refunding for All Children’s Hospital Series 2009 A (AA-/Aa3)(d)
	2,000,000		6.500			11/15/19		2,336,100
	Stonebrier Community Development District Special Assessment Refunding Series 2016 (A-/NR)
	265,000		2.500			05/01/23		265,636
	275,000		2.500			05/01/24		273,493
	280,000		3.000			05/01/25		284,239
	290,000		3.000			05/01/26		289,757
	Tampa Palms Open Space & Transportation Community Development District Special Assessment Refunding for Capital Improvement Area 7 Project Series 2004 (NATL-RE) (AA-/A3)
	595,000		4.500			05/01/18		613,320
	Tapestry Community Development District Special Assessment RB Series 2016 (NR/NR)
	325,000		3.625			05/01/21		327,073
	State-Specific Municipal Debt Obligations – (continued)
	Florida – (continued)
	Thousand Oaks Community Development District Special Assessment Series 2005 A-1 (NR/NR)
$	785,000		5.350	%		05/01/35	$	785,879
	Tison’s Landing Community Development District Special Assessment RB Refunding & Improvement Bonds Senior Series 2016 A-1 (BBB/NR)
	205,000		3.000			05/01/27		201,888
	215,000		3.125			05/01/28		214,893
	TSR Community Development District Special Assessment RB for Village 1 Project Series 2015 (NR/NR)
	435,000		3.625			11/01/20		439,124
	530,000		4.375			11/01/25		546,562
	Turnbull Creek Community Development District Senior Special Assessment Refunding Bonds Series 2015 A-1 (BBB/NR)
	1,000,000		4.250			05/01/31		1,071,180
	Two Creeks Community Development District RB Refunding for Capital Improvement Senior Lien Series 2016 A-1 (BBB-/NR)
	370,000		2.125			05/01/22		367,588
	380,000		2.250			05/01/23		374,726
	390,000		2.500			05/01/24		385,215
	400,000		2.625			05/01/25		392,296
	410,000		3.000			05/01/26		403,944
	420,000		3.125			05/01/27		410,537
	435,000		3.250			05/01/28		426,343
	Verano #1 Community Development District Special Assessment Bonds for District #1 Project Series 2015 (NR/NR)
	750,000		4.750			11/01/25		765,698
	Verona Walk Community Development District Special Assessment Senior Lien RB Refunding for Capital Improvement Series 2013 A-1 (A/NR)
	490,000		4.250			05/01/30		509,066
	Village Community Development District No. 6 Special Assessment Series 2007 (NR/NR)
	1,575,000		5.250			05/01/37		1,604,862
	Waters Edge Community Development District Capital Improvement RB Refunding Senior Lien Series 2015 A-1 (BBB+/NR)
	2,150,000		4.000			05/01/31		2,273,066
	Wiregrass Community Development District Capital Improvement RB Series 2016 (NR/NR)
	135,000		4.875			05/01/36		138,054
	250,000		5.000			05/01/47		255,525
	Wynnfield Lakes Community Development District Special Assessment Refunding Bonds Series 2014 (BBB+/NR)
	1,470,000		4.500			05/01/36		1,543,044
								82,669,700
	Georgia – 1.5%
	Atlanta Airport RB Refunding Series 2012 C (AMT) (AA-/Aa3)
	1,250,000		5.000			01/01/27		1,443,675
	Burke County Development Authority Pollution Control RB for Georgia Power Company Plant Vogtle Project First Series 2008 (A-/A3)(a)
	3,500,000		1.650			06/18/21		3,514,210

The accompanying notes are an integral part of these financial statements. 23

GOLDMAN SACHS DYNAMIC MUNICIPAL INCOME FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	Georgia – (continued)
	Metropolitan Atlanta Rapid Transit Authority Sales Tax RB Series 2009 A (AA+/Aa2)
$	4,075,000		5.250	%		07/01/36	$	4,518,279
	Milledgeville & Baldwin County Development Authority Student Housing RB Refunding for Georgia College & State University Foundation Property V, LLC Project Series 2007 (AMBAC) (A+/WR)(b)
	5,000,000		1.083			10/01/33		4,480,500
								13,956,664
	Guam – 1.3%
	Guam Government Limited Obligation RB Section 30 Series 2009 A (BBB+/NR)(d)
	850,000		5.625			12/01/19		972,664
	750,000		5.750			12/01/19		861,135
	Guam Government Limited Obligation RB Section 30 Series 2016 A (BBB+/NR)
	2,755,000		5.000			12/01/25		3,369,199
	2,255,000		5.000			12/01/26		2,786,391
	2,000,000		5.000			12/01/27		2,453,020
	Guam Power Authority RB 2014 Series A (AGM) (AA/A2)
	325,000		5.000			10/01/39		375,820
	250,000		5.000			10/01/44		288,510
	Guam Waterworks Authority RB for Water & Wastewater System Series 2016 (A-/Baa2)
	680,000		5.000			01/01/46		782,918
								11,889,657
	Idaho – 0.3%
	Idaho Health Facilities Authority RB for St. Luke’s Health System Project Series 2008 (A-/A3)
	1,000,000		6.750			11/01/37		1,112,590
	Nez Perce County PCRB Refunding for Potlatch Corp. Project Series 2016 (BB/Ba1)
	2,000,000		2.750			10/01/24		1,995,720
								3,108,310
	Illinois – 9.0%
	Chicago Illinois Board of Education GO Bonds Capital Appreciation for School Reform Series 1998 B-1 (NATL-RE FGIC) (AA-/A3)(c)
	1,895,000		0.000			12/01/26		1,272,511
	Chicago Illinois Board of Education GO Bonds Capital Appreciation for School Reform Series 1998 B-1 (NATL-RE) (AA-/A3)(c)
	2,720,000		0.000			12/01/29		1,542,213
	Chicago Illinois Board of Education GO Bonds Capital Appreciation Series 2009 C (BBB+/Ba1)(c)
	510,000		0.000			01/01/31		238,160
	Chicago Illinois Board of Education GO Bonds Refunding Series 2015 A (B+/NR)(a)
	5,000,000		4.840			03/01/17		4,994,350
	Chicago Illinois Board of Education GO Bonds Series 2015 C (B+/NR)
	2,500,000		6.000			12/01/35		2,457,900
	State-Specific Municipal Debt Obligations – (continued)
	Illinois – (continued)
	Chicago Illinois Board of Education Unlimited Tax GO Bonds Refunding for Dedicated Revenues Series 2016 A (B+/NR)
$	8,760,000		7.000	%		12/01/44	$	9,331,152
	Chicago Illinois Board of Education Unlimited Tax GO Bonds Refunding for Dedicated Revenues Series 2016 B (B+/NR)
	3,225,000		6.500			12/01/46		3,328,651
	Chicago Illinois Capital Appreciation Refunding & Project Series C (BBB+/Ba1)(c)
	750,000		0.000			01/01/32		329,055
	Chicago Illinois GO Bonds Project and Refunding RMKT 06/08/15 Series 2005 D (BBB+/Ba1)
	300,000		5.500			01/01/37		316,635
	2,720,000		5.500			01/01/40		2,863,208
	Chicago Illinois GO Bonds Project Refunding Series 2014 A (BBB+/Ba1)
	1,500,000		5.250			01/01/33		1,574,415
	630,000		5.000			01/01/34		653,965
	450,000		5.000			01/01/36		464,864
	Chicago Illinois GO Bonds Project Series 2011 A (BBB+/Ba1)
	640,000		5.000			01/01/40		647,258
	Chicago Illinois GO Bonds Project Series 2012 A (BBB+/Ba1)
	150,000		5.000			01/01/34		154,302
	Chicago Illinois GO Bonds Refunding Capital Appreciation Series 2007 C (NATL-RE) (AA-/A3)
	5,000,000		5.000			01/01/30		5,177,500
	Chicago Illinois GO Bonds Refunding Series 2009 C (BBB+/Ba1)
	675,000		5.000			01/01/40		681,493
	Chicago Illinois GO Bonds Refunding Series 2015 C (BBB+/NR)
	1,200,000		5.000			01/01/38		1,243,944
	Chicago Illinois GO Bonds Series 2015 A (BBB+/NR)
	1,320,000		5.500			01/01/39		1,390,422
	Chicago Illinois Midway Airport RB Refunding Second Lien Series 2013 A (AMT) (A/A3)
	2,000,000		5.500			01/01/29		2,378,880
	Chicago Illinois Sales Tax Refunding Series 2002 (AA/NR)
	1,000,000		5.000			01/01/25		1,172,060
	Chicago Illinois Tax Increment Allocation RB Refunding for Pilsen Redevelopment Project Series 2014 A (A/NR)
	1,135,000		5.000			06/01/20		1,250,202
	Chicago Illinois Water RB Refunding Second Lien Project RMKT 05/23/16 Series 2000 (A/Baa2)
	600,000		5.000			11/01/29		716,304
	Chicago Illinois Water RB Refunding Second Lien Project RMKT 05/23/16 Series 2004 (A/NR)
	1,500,000		5.000			11/01/26		1,821,630
	Illinois Finance Authority RB for Edward Hospital Obligated Group RMKT 04/09/08 Series 2008 A (AMBAC) (A/A2)
	350,000		6.250			02/01/33		373,013
	Illinois Sports Facilities Authority Refunding Bonds Series 2014 (AGM) (AA/NR)
	4,160,000		5.000			06/15/27		4,795,606
	Illinois State GO Bonds Series 2003 (NATL-RE) (AA-/A3)
	975,000		5.000			06/01/19		976,882
	Illinois State GO Bonds Series 2012 (BBB+/Baa2)
	2,445,000		5.000			03/01/19		2,606,859

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

GOLDMAN SACHS DYNAMIC MUNICIPAL INCOME FUND

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	Illinois – (continued)
	Illinois State GO Bonds Series 2013 (BBB+/Baa2)
$	5,500,000		5.250	%		07/01/28	$	6,188,985
	5,120,000		5.500			07/01/38		5,713,408
	Metropolitan Pier & Exposition Authority RB for McCormick Place Expansion Project Residual Series 2002 A (NATL-RE) (AA-/A3)(f)
	2,000,000		0.000			06/15/24		2,254,000
	Metropolitan Pier & Exposition Authority Refunding Bonds for McCormick Place Expansion Project Series 2012 B (ST APPROP) (BBB/NR)
	1,000,000		5.000			12/15/28		1,117,250
	Railsplitter Tobacco Settlement Authority Tobacco Settlement RB Series 2010 (A-/NR)
	1,125,000		6.000			06/01/28		1,336,736
	Round Lake Illinois Lakewood Grove Special Service Area No. 1 Special Tax Refunding Series 2007 (ASSURED GTY) (AA/NR)
	2,320,000		5.500			03/01/32		2,359,626
	Southwestern Illinois Development Authority RB Capital Appreciation for Local Government Program Series 2007 (AGM) (AA/NR)(c)
	6,000,000		0.000			12/01/25		4,593,060
	Springfield Illinois Senior Lien Electric RB Refunding Series 2015 (AGM) (AA/A2)
	4,000,000		3.500			03/01/30		4,217,560
								82,534,059
	Indiana – 0.5%
	Indianapolis Indiana Airport Authority RB Refunding Special Facilities for Federal Express Corp. Project Series 2004 (AMT) (ETM) (BBB/Baa2)(d)
	640,000		5.100			01/15/17		647,360
	Jasper County PCRB Refunding for Northern Indiana Public Service Co. Project RMKT 08/25/08 Series 1994 C (NATL-RE) (AA-/A3)
	650,000		5.850			04/01/19		722,878
	Whiting City Environmental Facilities RB for BP Products North America Inc. Project Series 2015 (AMT) (A-/A2)(a)
	3,000,000		5.000			11/01/22		3,525,300
								4,895,538
	Iowa – 0.3%
	Coralville Iowa COPS Series 2006 D (NR/Ba2)
	1,325,000		5.250			06/01/22		1,328,776
	Coralville Iowa COPS Series 2016 E (BBB/NR)
	300,000		4.000			06/01/19		317,355
	460,000		4.000			06/01/20		492,941
	500,000		4.000			06/01/21		540,530
								2,679,602
	Kentucky – 1.8%
	Louisville & Jefferson County Metro Government Health System RB for Norton Healthcare, Inc. Series 2016 A (A-/NR)
	3,175,000		4.000			10/01/34		3,484,658
	4,600,000		4.000			10/01/36		5,011,056
	State-Specific Municipal Debt Obligations – (continued)
	Kentucky – (continued)
	Louisville & Jefferson County Metropolitan Government RB for Jewish Hospital St. Mary’s Healthcare Series 2008 (NR/Aaa)(d)
$	3,750,000		6.125	%		02/01/18	$	4,008,450
	University of Kentucky General Receipts Refunding Bonds Series 2015 A (AA/Aa2)
	3,260,000		4.000			04/01/26		3,788,804
								16,292,968
	Louisiana – 1.3%
	East Baton Rouge Parish Louisiana Sales Tax RB for Road and Street Improvement Series 2009 A (ASSURED GTY) (AA/A2)(d)
	1,230,000		5.250			08/01/19		1,377,292
	Louisiana Public Facilities Authority RB Refunding for Energy LLC Project Series 2016 A (A/A2)
	2,125,000		3.375			09/01/28		2,204,773
	Louisiana Public Facilities Authority RB Refunding for Energy LLC Project Series 2016 B (A/A2)
	1,625,000		3.500			06/01/30		1,690,878
	New Orleans Aviation Board GARBs Series 2015 B (AMT) (A-/A3)
	3,750,000		5.000			01/01/34		4,350,113
	New Orleans Louisiana Aviation Board RB Refunding for Restructuring GARBs Series 2009 A-1 (ASSURED GTY) (AA/A3)
	1,350,000		6.000			01/01/23		1,494,922
	Port of New Orleans Board of Commissioners RB Refunding Series 2013 B (AMT) (BBB+/A3)
	500,000		5.000			04/01/30		568,985
								11,686,963
	Maine – 0.2%
	Maine Turnpike Authority RB Refunding Series 2015 (AA-/Aa3)
	1,565,000		5.000			07/01/26		1,969,678
	Maryland – 0.9%
	City of Annapolis GO Bonds Refunding for Public Improvements Series 2015 B (AA+/Aa2)
	1,725,000		4.000			08/01/27		2,096,634
	Frederick County Maryland Special Tax for Lake Linganore Village Community Development Series 2001 A (ASSURED GTY) (AA/NR)
	155,000		5.600			07/01/20		155,443
	555,000		5.700			07/01/29		556,094
	Maryland State GO Bonds for State and Local Facilities Loan First Series 2016 (AAA/Aaa)
	1,000,000		3.000			06/01/31		1,051,020
	Maryland State Industrial Development Financing Authority RB Refunding for Synagro-Baltimore Series 2008 A (AMT) (BBB+/NR)
	500,000		5.625			12/01/16		501,680
	Maryland State Transportation Authority RB Refunding Series 2007 (AAA/Aa1)
	1,500,000		5.000			03/01/19		1,524,885

The accompanying notes are an integral part of these financial statements. 25

GOLDMAN SACHS DYNAMIC MUNICIPAL INCOME FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	Maryland – (continued)
	Prince George’s County GO Bonds Refunding for Consolidated Public Improvement Bonds Series 2016 B (AAA/Aaa)
$	2,375,000		4.000	%		07/15/21	$	2,701,800
								8,587,556
	Massachusetts – 1.3%
	Massachusetts Bay Transportation Authority Sales Tax RB Refunding for Capital Appreciation Senior Series 2016 A (AA+/Aa2)(c)
	2,000,000		0.000			07/01/21		1,876,460
	Massachusetts Development Finance Agency RB for Harvard University Series 2010 B-2 (AAA/Aaa)
	5,000,000		5.250			02/01/34		5,854,950
	Massachusetts Educational Financing Authority RB Series 2008 H (AMT) (ASSURED GTY) (AA/A1)
	935,000		6.350			01/01/30		968,931
	Massachusetts State Health & Educational Facilities Authority RB for Boston Medical Center Project Series 2008 B (BBB/Baa2)(d)
	2,575,000		5.750			07/01/18		2,790,888
	Massachusetts State Health & Educational Facilities Authority RB for Boston Medical Center Project Series 2008 B (NR/NR)(d)
	315,000		5.750			07/01/18		341,410
								11,832,639
	Michigan – 2.9%
	Allendale Public School GO Bonds Refunding Series 2016 (Q-SBLF) (AA-/NR)
	2,700,000		5.000			05/01/23		3,266,757
	Michigan Finance Authority Hospital Project RB Refunding Ascension Senior Credit Series 2016 E-1 (AA+/Aa2)(a)
	3,000,000		1.100			08/15/19		2,996,610
	Michigan Finance Authority Local Government Loan Program RB for Detroit Financial Recovery Income Tax Revenue and Refunding Local Project Bonds Series 2014 F (A/NR)
	1,000,000		3.875			10/01/23		1,095,060
	Michigan Finance Authority Local Government Loan Program RB for Detroit Water and Sewerage Department Sewage Disposal System Local Project Senior Lien Series 2014 D-4 (A-/Baa1)
	1,000,000		5.000			07/01/34		1,147,580
	Michigan Finance Authority Local Government Loan Program RB Refunding for Detroit Water and Sewer Department Sewage Disposal System Second Lien Local Project Series 2015 C (BBB+/Baa2)
	1,945,000		5.000			07/01/33		2,281,174
	Michigan Finance Authority Local Government Loan Program RB Refunding for Detroit Water and Sewer Series 2014 D-1 (AGM) (AA/A2)
	400,000		5.000			07/01/35		463,544
	Michigan Finance Authority Local Government Loan Program RB Refunding for Detroit Water and Sewer Series 2014 D-1 (NATL-RE FGIC) (AA-/A3)
	650,000		5.000			07/01/36		747,877
	State-Specific Municipal Debt Obligations – (continued)
	Michigan – (continued)
	Michigan Finance Authority Local Government Loan Program RB Refunding for Detroit Water and Sewerage Department Sewage Disposal System Local Project Senior Lien Series 2014 C-1 (A-/Baa1)
$	1,000,000		5.000	%		07/01/44	$	1,101,900
	Michigan Finance Authority Local Government Loan Program RB Refunding for Detroit Water and Sewerage Department Sewage Disposal System Local Project Senior Lien Series 2014 C-3 (AGM) (AA/A2)
	325,000		5.000			07/01/32		380,341
	250,000		5.000			07/01/33		291,615
	Michigan Strategic Fund RB Refunding for The Detroit Edison Company Pollution Control Bonds Project Series 1995 CC (A/Aa3)(a)
	1,115,000		1.450			09/01/21		1,112,369
	Michigan Tobacco Settlement Finance Authority Asset Backed RB Senior Series 2007 A (B-/NR)
	570,000		6.000			06/01/48		572,890
	Roseville Community School District GO Bonds Refunding (Q-SBLF) (AA-/NR)
	1,000,000		5.000			05/01/20		1,128,730
	Warren Consolidated School District Unlimited Tax GO Bonds Refunding for School Building and Site Bonds Series 2016 (Q-SBLF) (AA-/NR)
	1,145,000		5.000			05/01/25		1,411,304
	1,215,000		5.000			05/01/26		1,509,552
	3,705,000		5.000			05/01/27		4,545,739
	Washtenaw County Ypsilanti Community Schools Unlimited Tax GO Bonds Refunding Series 2015 B (Q-SBLF) (AA-/NR)
	1,860,000		5.000			05/01/22		2,174,191
								26,227,233
	Minnesota – 0.2%
	Minneapolis Minnesota Health Care System RB for Fairview Health Services Series 2008 A (A+/A2)(d)
	1,500,000		6.750			11/15/18		1,681,395
	Mississippi – 0.3%
	Mississippi Development Bank Special Obligation RB for Hinds Community College District Capital Improvement Project Series 2009 (ASSURED GTY) (NR/Aa2)(d)
	1,095,000		5.375			10/01/19		1,237,449
	Mississippi State GO Bonds Series 2015 F (AA/Aa2)
	1,000,000		4.000			11/01/35		1,108,220
								2,345,669
	Nevada – 0.3%
	Clark County School District Limited Tax GO Bonds Refunding Series 2015 B (AA-/A1)
	1,000,000		5.000			06/15/18		1,068,080
	Washoe County Sierra Pacific Power Company Project RB Refunding for Nevada Gas & Water Facilities Series 2016 B (A+/A2)(a)
	1,800,000		3.000			06/01/22		1,931,598
								2,999,678

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

GOLDMAN SACHS DYNAMIC MUNICIPAL INCOME FUND

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	New Jersey – 4.9%
	New Jersey Economic Development Authority RB for School Facilities Construction Series 2009 (ASSURED GTY) (AA/A3)
$	15,000		6.000	%		12/15/34	$	16,492
	New Jersey Economic Development Authority RB for School Facilities Construction Series 2009 (ASSURED GTY) (AA+/A3)(d)
	985,000		6.000			12/15/18		1,091,390
	New Jersey Economic Development Authority RB for School Facilities Construction Series 2009 BB (A-/A3)(d)
	360,000		5.000			09/01/19		400,586
	New Jersey Economic Development Authority RB Refunding for School Facilities Construction Series 2009 AA (A-/A3)
	4,000,000		5.500			12/15/29		4,340,080
	New Jersey Educational Facilities Authority RB Refunding for The College of New Jersey Series 2016 F (A/A2)
	2,250,000		3.000			07/01/40		2,190,128
	New Jersey Health Care Facilities Financing Authority RB for St. Joseph’s Healthcare System Series 2008 (BBB-/Baa3)(d)
	2,500,000		6.625			07/01/18		2,749,550
	New Jersey State Higher Education Assistance Authority RB for Student Loan Series 2008 A (AMT) (ASSURED GTY) (AA/A2)
	2,050,000		6.125			06/01/30		2,161,828
	New Jersey State Housing and Mortgage Finance Agency RB for Single Family Housing Series 2008 AA (AA/Aa3)
	145,000		6.150			10/01/23		149,051
	New Jersey State Turnpike Authority RB Refunding Series 2000 B (NATL-RE) (AA-/A2)(b)
	6,300,000		1.365			01/01/30		5,624,504
	New Jersey State Turnpike Authority RB Series 2009 G (A+/A2)
	1,900,000		5.000			01/01/18		1,994,772
	New Jersey Transportation Trust Fund Authority RB Capital Appreciation for Transportation System Bonds Series 2010 A (A-/A3)(c)
	5,000,000		0.000			12/15/28		3,224,400
	New Jersey Transportation Trust Fund Authority RB for Transportation System Bonds Series 2006 C (NATL-RE) (AA-/A3)(c)
	4,675,000		0.000			12/15/27		3,163,292
	New Jersey Transportation Trust Fund Authority RB for Transportation System Bonds Series 2011 B (A-/A3)
	1,000,000		5.000			06/15/42		1,097,490
	New Jersey Transportation Trust Fund Authority RB for Transportation System Bonds Series 2011 B (AMBAC) (A-/A3)
	1,305,000		5.250			12/15/22		1,528,494
	New Jersey Transportation Trust Fund Authority RB for Transportation System Bonds Series 2013 A (A-/A3)
	2,475,000		5.000			06/15/20		2,732,499
	New Jersey Transportation Trust Fund Authority RB for Transportation System Series 2011 A (ST APPROP) (A-/A3)
	5,260,000		5.500			06/15/41		5,934,753
	Plainsboro Township GO General Improvement Bonds Series 2016 (AAA/NR)
	1,000,000		2.000			08/01/22		1,036,840
	State-Specific Municipal Debt Obligations – (continued)
	New Jersey – (continued)
	Tobacco Settlement Financing Corp. Tobacco Settlement Asset- Backed Bonds Series 2007 1-A (B-/B3)
$	5,385,000		5.000	%		06/01/41	$	5,178,054
								44,614,203
	New Mexico – 0.4%
	Farmington New Mexico PCRB Refunding for Public Service Co. of New Mexico San Juan Project Series 2010 D (BBB+/Baa2)
	2,500,000		5.900			06/01/40		2,846,725
	Santa Fe County New Mexico RB for Gross Receipts Series 2008 (AGM) (AA+/Aa3)(d)
	1,000,000		5.250			06/01/18		1,071,830
								3,918,555
	New York – 6.4%
	Brooklyn Arena Local Development Corp. Pilot RB Refunding for Barclays Center Series 2016 A (AGM) (AA/A2)
	230,000		3.000			07/15/43		223,783
	Brooklyn Arena Local Development Corp. Pilot RB Refunding for Barclays Center Series 2016 A (NR/Baa3)
	1,075,000		5.000			07/15/42		1,281,733
	Chautauqua County Industrial Development Agency Exempt Facility RB for Dunkirk NRG Power Project Series 2009 (BB+/Baa3)
	200,000		5.875			04/01/42		215,416
	City of New Rochelle Corp. for Local Development RB for Iona College Project Series 2015 A (BBB/Baa2)
	325,000		5.000			07/01/25		398,717
	335,000		5.000			07/01/26		408,298
	425,000		5.000			07/01/27		514,237
	Erie County New York Industrial Development Agency RB for the City of Buffalo School District Series 2008 A (AGM) (ST AID WITHHLDG) (AA/Aa2)(d)
	9,000,000		5.750			05/01/18		9,688,680
	Metropolitan Transportation Authority RB Refunding Series 2016 C-2B (AA-/A1)(a)
	3,250,000		5.000			02/15/20		3,651,017
	New York City GO Bonds Fiscal 2014 Series I Subseries I-2 (AA/Aa2)(a)
	2,000,000		0.860			10/01/16		2,000,000
	New York City GO Bonds Fiscal 2015 Series F Subseries F6 (AA/Aa2)(a)
	1,500,000		0.860			10/01/16		1,500,000
	New York City Municipal Water Finance Authority RB for Water & Sewer System Second General Resolution Fiscal 2011 Subseries AA2 (AA+/Aa1)(a)
	1,500,000		0.860			10/01/16		1,500,000
	New York City Municipal Water Finance Authority RB for Water & Sewer System Second General Resolution Fiscal 2011 Subseries DD-2 (AA+/Aa1)(a)
	1,100,000		0.860			10/01/16		1,100,000
	New York City Transitional Finance Authority RB Future Tax Subordinate Fiscal 2013 Series C (AAA/Aa1)(a)
	1,500,000		0.860			10/01/16		1,500,000

The accompanying notes are an integral part of these financial statements. 27

GOLDMAN SACHS DYNAMIC MUNICIPAL INCOME FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	New York – (continued)
	New York City Transitional Finance Authority RB Future Tax Subordinate Fiscal 2015 Subseries E-4 (AAA/Aa1)(a)
$	2,000,000		0.860	%		10/01/16	$	2,000,000
	New York Housing Development Corp. Multi-Family Mortgage RB for 8 Spruce Street Series 2014 Class E (BBB-/NR)
	1,000,000		3.500			02/15/48		1,044,590
	New York Liberty Development Corporation RB for 3 World Trade Center Project Series 2014 (NR/NR)(e)
	2,825,000		5.000			11/15/44		3,250,954
	New York State Energy Research & Development Authority RB Refunding for Central Hudson Gas & Electric Corp. Projects Series 1999 B (AMT) (AMBAC) (A-/A2)(b)
	5,400,000		1.365			07/01/34		4,855,381
	New York State Thruway Authority Junior Indebtedness RB Series 2013 A (A-/A3)
	1,000,000		5.000			05/01/19		1,100,240
	New York State Urban Development Corp. General Purpose Personal Income Tax RB Series 2014 A (AAA/Aa1)
	5,000,000		5.000			03/15/31		6,133,500
	New York Transportation Development Corp. Special Facility RB Refunding for Laguardia Airport Terminal B Redevelopment Project Series 2016 A (AMT) (AGM) (AA/A2)
	2,100,000		4.000			01/01/51		2,192,295
	New York Transportation Development Corp. Special Facility RB Refunding for Laguardia Airport Terminal B Redevelopment Project Series 2016 A (AMT) (BBB/Baa3)
	700,000		5.000			07/01/41		793,429
	700,000		5.000			07/01/46		791,728
	1,750,000		5.250			01/01/50		2,004,450
	TSASC, Inc. RB Series 2006 1 (BB-/NR)
	5,000,000		5.000			06/01/26		5,006,800
	Westchester County GO Bonds Refunding Series 2016 A (AAA/Aa1)
	2,650,000		5.000			01/01/22		3,191,183
	Westchester County Local Development Corporation RB for Westchester Medical Center Obligated Group Project Series 2016 (BBB/Baa2)
	1,000,000		5.000			11/01/23		1,209,380
	1,000,000		5.000			11/01/24		1,228,450
								58,784,261
	North Carolina – 0.7%
	Charlotte North Carolina Water and Sewer System RB Series 2009 B (AAA/Aaa)
	2,000,000		5.000			07/01/38		2,257,440
	North Carolina Eastern Municipal Power Agency Power System RB Series 2008 C (ETM) (ASSURED GTY) (AA/A3)(d)
	270,000		6.000			01/01/19		286,378
	North Carolina Medical Care Commission Health Care Facilities RB Refunding First Mortgage for Pennybyrn at Maryfield Series 2015 (NR/NR)
	1,225,000		3.000			10/01/16		1,225,000
	1,500,000		4.000			10/01/17		1,534,425
	885,000		5.000			10/01/18		940,622
	State-Specific Municipal Debt Obligations – (continued)
	North Carolina – (continued)
	North Carolina Medical Care Commission Retirement Facilities RB Refunding First Mortgage for United Church Homes and Services Series 2015 A (NR/NR)
$	620,000		4.000	%		09/01/25	$	649,202
								6,893,067
	Ohio – 2.7%
	Buckeye Ohio Tobacco Settlement Financing Authority RB Senior Turbo Asset-Backed Bonds Series 2007 A-2 (B-/Caa1)
	20,945,000		5.125			06/01/24		20,407,132
	Ohio Water Development Authority PCRB Refunding for FirstEnergy Nuclear Generation Project Series 2009 A (BB+/Baa2)(a)
	4,000,000		4.375			06/01/22		4,020,920
								24,428,052
	Oklahoma – 0.2%
	Tulsa Municipal Airport Trust RB Refunding for American Airlines, Inc. Series 2015 (AMT) (BB-/NR)(a)
	1,500,000		5.000			06/01/25		1,750,785
	Oregon – 0.9%
	Deschutes County Oregon Hospital Facilities Authority RB Refunding for Cascade Healthcare Series 2008 (NR/A2)(d)
	1,500,000		8.250			01/01/19		1,741,605
	Oregon State Department of Transportation Highway User Tax RB Refunding Series 2015 A (AAA/Aa1)
	3,140,000		5.000			11/15/25		4,028,808
	Portland Oregon Community College District GO Bonds Refunding Series 2013 (AA/Aa1)
	2,000,000		5.000			06/15/26		2,438,520
								8,208,933
	Pennsylvania – 3.0%
	Lackawanna County GO Bonds Series A (BAM) (AA/NR)
	2,205,000		3.125			09/15/33		2,238,384
	Mifflin County Pennsylvania School District GO Bonds Series 2007 (NATL-RE-IBC) (XLCA) (ST AID WITHHLDG) (AA-/A3)(d)
	2,000,000		7.500			09/01/17		2,120,080
	Montgomery County IDA RB for Whitemarsh Continuing Care Retirement Community Project Series 2015 (NR/NR)
	650,000		3.000			01/01/17		650,507
	Pennsylvania Economic Development Financing Authority PCRB Refunding for PPL Electric Utilities Corp. Project RMKT 10/01/10 Series 2008 (A/A1)
	2,500,000		4.000			10/01/23		2,703,750
	Pennsylvania Economic Development Financing Authority Solid Waste Disposal RB for Waste Management, Inc. Project Series 2004 A (A-/NR)(a)
	1,000,000		1.500			05/01/18		1,000,650
	Pennsylvania Economic Development Financing Authority Solid Waste Disposal RB Refunding for Republic Services, Inc. Project RMKT 10/03/16 Series 2010 A (AMT) (BBB+/NR)(a)
	1,785,000		0.750			01/03/17		1,785,000

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

GOLDMAN SACHS DYNAMIC MUNICIPAL INCOME FUND

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	Pennsylvania – (continued)
	Pennsylvania Higher Educational Facilities Authority RB for Foundation for Indiana University of Pennsylvania Series 2007 A (XLCA) (BBB+/WR)(b)
$	1,685,000		1.033	%		07/01/27	$	1,605,737
	Pennsylvania State Commonwealth GO Bonds Refunding First Series 2016 (AA-/Aa3)
	4,000,000		5.000			09/15/19		4,445,800
	Pennsylvania State Commonwealth GO Bonds Refunding First Series 2016 (AGM) (AA/Aa3)
	4,000,000		5.000			09/15/25		5,030,520
	Pennsylvania Turnpike Commission RB Refunding Subordinate Second Series 2016 B (A-/A3)
	2,000,000		5.000			06/01/39		2,320,360
	Pennsylvania Turnpike Commission RB Series 2013 C (A/A1)
	1,720,000		5.500			12/01/29		2,127,210
	Scranton City GO Notes Refunding Series 2016 (BB/NR)
	375,000		5.000			11/15/26		410,449
	500,000		5.000			11/15/32		540,345
	Scranton Redevelopment Authority RB Refunding for Guaranteed Lease Series 2016 A (MUN GOVT GTD) (BB/NR)
	300,000		5.000			11/15/21		320,592
	450,000		5.000			11/15/28		481,698
								27,781,082
	Puerto Rico – 4.5%
	Puerto Rico Commonwealth Aqueduct & Sewer Authority RB Senior Lien Series 2008 A (CC/Caa3)
	3,635,000		6.125			07/01/24		2,898,912
	2,000,000		6.000			07/01/38		1,540,000
	2,500,000		6.000			07/01/44		1,918,750
	Puerto Rico Commonwealth Aqueduct & Sewer Authority RB Senior Lien Series 2012 A (CC/Caa3)
	1,060,000		5.750			07/01/37		810,900
	Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2009 B (D/Caa3)(h)
	3,000,000		6.500			07/01/37		1,920,000
	Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2012 A (D/Caa3)(h)
	3,955,000		5.000			07/01/41		2,392,775
	Puerto Rico Commonwealth GO Bonds Refunding Subseries 2003 C-7 (NATL-RE) (AA-/A3)
	2,000,000		6.000			07/01/27		2,109,540
	Puerto Rico Commonwealth GO Bonds Series 2014 A (D/Caa3)(h)
	5,175,000		8.000			07/01/35		3,383,156
	Puerto Rico Commonwealth Highway & Transportation Authority RB Refunding Series 2007 N (NATL-RE) (AA-/A3)
	1,600,000		5.250			07/01/33		1,749,808
	Puerto Rico Electric Power Authority RB Refunding Series 2007 UU (AGM) (AA/A2)(b)
	2,700,000		0.953			07/01/29		1,971,000
	Puerto Rico Electric Power Authority RB Series 2013 A (D/Caa3)
	3,000,000		6.750			07/01/36		2,035,500
	Puerto Rico Electric Power Authority RB Series 2016 E-1 (NR/NR)
	590,915		10.000			01/01/21		605,428
	State-Specific Municipal Debt Obligations – (continued)
	Puerto Rico – (continued)
	Puerto Rico Electric Power Authority RB Series 2016 E-2 (NR/NR)
$	590,915		10.000	%		07/01/21	$	605,428
	Puerto Rico Electric Power Authority RB Series 2016 E-3 (NR/NR)
	196,972		10.000			01/01/22		201,809
	Puerto Rico Electric Power Authority RB Series 2016 E-4 (NR/NR)
	196,972		10.000			07/01/22		201,810
	Puerto Rico Public Buildings Authority RB Refunding for Government Facilities Series 2007 M-2 (AMBAC) (COMWLTH GTD) (NR/Caa3)(a)
	3,175,000		5.500			07/01/17		3,213,767
	Puerto Rico Sales Tax Financing Corp. RB for Capital Appreciation First Subseries 2009 A (CC/Ca)
	13,000,000		6.750			08/01/32		7,280,000
	Puerto Rico Sales Tax Financing Corp. RB for Capital Appreciation Series 2010 A (CC/Ca)(c)
	7,000,000		0.000			08/01/35		829,220
	Puerto Rico Sales Tax Financing Corp. RB for Capital Appreciation Subseries 2009 A (CC/Ca)(c)
	6,500,000		0.000			08/01/34		773,565
	Puerto Rico Sales Tax Financing Corp. RB for Capital Appreciation Subseries 2010 C (CC/Ca)(c)
	1,400,000		0.000			08/01/37		148,876
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB First Subseries 2009 A (CC/Ca)
	5,805,000		5.000			08/01/24		3,040,369
	3,950,000		6.500			08/01/44		2,172,500
								41,803,113
	South Carolina – 0.7%
	Clemson University Athletic Facilities RB Series 2015 (NR/Aa3)
	1,385,000		4.000			05/01/25		1,632,042
	1,570,000		4.000			05/01/26		1,814,873
	Clemson University Higher Education RB Series 2015 B (AA/Aa2)
	3,000,000		3.125			05/01/36		3,051,000
								6,497,915
	South Dakota – 0.1%
	South Dakota Health & Educational Facilities Authority RB for Avera Health Series 2008 B (AA-/A1)
	500,000		5.500			07/01/35		536,160
	300,000		5.250			07/01/38		318,216
								854,376
	Tennessee – 0.5%
	Knox County Tennessee Health, Educational & Housing Facilities Board RB for University Health System, Inc. Series 2007 (BBB+/NR)
	2,700,000		5.250			04/01/36		2,752,056
	Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board RB for Charter Village Apartments Series 2007 (AMT) (FNMA) (NR/NR)(a)
	1,000,000		4.850			06/01/25		1,005,850

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

GOLDMAN SACHS DYNAMIC MUNICIPAL INCOME FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	Tennessee – (continued)
	Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board RB for Vanderbilt University Medical Center Series 2016 A (NR/A3)
$	400,000		5.000	%		07/01/40	$	475,292
	700,000		5.000			07/01/46		825,216
								5,058,414
	Texas – 11.6%
	Central Texas Regional Mobility Authority RB Refunding Senior Lien Series 2016 (BBB+/Baa2)
	250,000		5.000			01/01/40		292,935
	435,000		5.000			01/01/46		507,784
	City of Celina Texas Municipal Corp. Special Assessment RB for Glen Crossing Public Improvement District Phase#1 Project Series 2016 (NR/NR)
	250,000		4.200			09/01/27		248,477
	575,000		4.800			09/01/37		568,244
	650,000		5.250			09/01/46		641,277
	City of Lewisville Texas Combination Contract & Special Assessment RB Refunding for Lewisville Castle Hills Public Improvement District No. 3 Project Series 2015 (AGM) (AA/NR)
	1,415,000		4.000			09/01/25		1,610,369
	Dallas Area Rapid Transit Sales Tax RB Refunding Senior Lien Series 2014 A (AA+/Aa2)
	5,000,000		5.000			12/01/26		6,273,100
	Dallas County Utility & Reclamation District GO Bonds Refunding RMKT 06/25/08 Series 2005 B (AMBAC) (A-/A3)
	2,675,000		5.375			02/15/29		2,720,395
	Dallas-Fort Worth International Airport Joint RB Refunding Series 2014 A (AMT) (A+/NR)
	2,500,000		5.250			11/01/30		2,978,800
	Houston Airport System RB Refunding for United Airlines, Inc. Series 2015 B-2 (AMT) (BB-/NR)
	2,500,000		5.000			07/15/20		2,745,175
	Houston Airport System RB Refunding Senior Lien Series 2009 A (AA-/Aa3)
	10,000,000		5.500			07/01/34		10,750,200
	Houston Airport System RB Subordinate Lien Series 2002 D-2 (AMT) (XLCA) (A+/A1)(b)
	3,825,000		1.044			07/01/32		3,600,123
	Houston Utilities System RB Refunding First Lien Series 2016 B (AA/Aa2)
	3,750,000		5.000			11/15/36		4,616,850
	Joint Guadalupe County RB Refunding and Improvement Bonds for City of Seguin Hospital Mortgage Series 2015 (BB/NR)
	700,000		5.000			12/01/17		723,443
	1,550,000		5.000			12/01/18		1,641,512
	1,545,000		5.000			12/01/19		1,671,227
	State-Specific Municipal Debt Obligations – (continued)
	Texas – (continued)
	Kaufman County Fresh Water Supply District No. 1-C Refunding for Road Series 2016 (AGM) (AA/NR)
$	455,000		3.000	%		09/01/23	$	480,289
	280,000		3.000			09/01/24		295,128
	505,000		3.000			09/01/25		530,816
	530,000		4.000			09/01/26		601,354
	560,000		4.000			09/01/27		630,672
	490,000		4.000			09/01/28		545,483
	Lamar Consolidated Independent School District Unlimited Tax Schoolhouse Bonds Series 2014 A (PSF-GTD) (AAA/Aaa)(a)
	1,500,000		1.050			08/15/18		1,499,985
	Matagorda County Texas Navigation District No. 1 PCRB Refunding for Central Power & Light Co. Project RMKT 07/01/09 Series 2001 A (BBB+/Baa1)
	1,300,000		6.300			11/01/29		1,448,681
	Matagorda County Texas Navigation District No. 1 PCRB Refunding for Central Power & Light Co. Project Series 1996 (AMT) (NATL-RE) (AA-/A3)
	2,500,000		5.200			05/01/30		2,599,050
	New Hope Cultural Education Facilities Finance Corp. Student Housing RB for Station II, LLC – Texas A&M University Collegiate Housing Corpus Christi Project Series 2016 A (BBB-/Baa3)
	645,000		4.000			04/01/22		709,977
	320,000		4.000			04/01/23		355,677
	275,000		4.000			04/01/24		307,797
	365,000		4.000			04/01/25		409,015
	375,000		4.000			04/01/26		419,565
	New Hope Cultural Education Facilities Finance Corp. Student Housing RB for Tarleton State University Collegiate Housing Project Series 2015 A (BBB-/Baa3)
	250,000		5.000			04/01/30		294,190
	North Texas Tollway Authority RB Convertible Capital Appreciation Special Project System Series 2011 (AA+/NR)(f)
	1,000,000		0.000			09/01/43		1,089,350
	North Texas Tollway Authority RB First Tier Series 2009 A (A/A1)
	205,000		6.250			01/01/39		226,931
	North Texas Tollway Authority RB First Tier Series 2009 A (A/NR)
	470,000		6.250			01/01/24		523,820
	North Texas Tollway Authority RB First Tier Series 2009 A (NR/NR)(d)
	2,925,000		6.250			01/01/19		3,263,393
	North Texas Tollway Authority RB First Tier Series 2016 A (A/A1)
	615,000		5.750			01/01/40		650,080
	North Texas Tollway Authority RB Special Project System Series 2011 A (AA+/NR)
	1,000,000		5.500			09/01/41		1,187,440
	1,000,000		6.000			09/01/41		1,215,740
	North Texas Tollway Authority System RB Refunding First Tier Series 2008 A (NR/A1)(d)
	1,890,000		5.750			01/01/18		2,003,381

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

GOLDMAN SACHS DYNAMIC MUNICIPAL INCOME FUND

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	Texas – (continued)
	North Texas Tollway Authority System RB Refunding First Tier Series 2008 A (NR/NR)(d)
$	2,495,000		5.750	%		01/01/18	$	2,643,078
	North Texas Tollway Authority System RB Refunding First Tier Series 2016 A (A/A1)
	1,500,000		5.000			01/01/22		1,780,170
	North Texas Tollway Authority System RB Refunding for Capital Appreciation First Tier Series 2008 I (A/A1)
	6,000,000		6.500			01/01/43		7,950,120
	Port of Houston Authority Harris County Unlimited Tax GO Bonds Refunding Series 2008 A (AMT) (AAA/Aaa)
	3,000,000		6.125			10/01/33		3,323,760
	Round Rock Texas Independent School District Unlimited Tax GO Bonds for School Building Series 2009 (AA/Aaa)
	2,730,000		5.250			08/01/34		2,944,687
	Tarrant County Cultural Education Facilities Finance Corp. RB for Air Force Village Obligated Group Series 2007 (BB+/NR)
	425,000		5.125			05/15/37		436,020
	Tarrant County Cultural Education Facilities Finance Corp. RB Refunding for Air Force Village Obligated Group Series 2016 (BB+/NR)(g)
	2,000,000		4.000			05/15/18		2,070,940
	2,375,000		4.000			05/15/19		2,498,666
	2,475,000		5.000			05/15/20		2,719,307
	2,100,000		5.000			05/15/21		2,342,781
	2,730,000		5.000			05/15/22		3,094,701
	Texas Municipal Gas Acquisition & Supply Corp. I RB Senior Lien Series 2008 D (BBB+/Baa1)
	4,950,000		6.250			12/15/26		6,268,977
	Texas Private Activity Bond Surface Transportation Corp. RB Senior Lien for Mobility Partners LLC Series 2009 (BBB-/Baa2)
	3,255,000		6.875			12/31/39		3,842,300
	Texas Transportation Commission Central Turnpike System RB Refunding Second Tier Series 2015 C (BBB+/Baa1)
	1,380,000		5.000			08/15/42		1,605,533
								106,398,765
	U.S. Virgin Islands – 0.8%
	Virgin Islands Public Finance Authority RB Refunding for Virgin Islands Gross Receipts Taxes Loan Note Series 2014 C (BBB+/NR)
	1,450,000		5.000			10/01/39		1,424,422
	Virgin Islands Public Finance Authority RB Series 2014 A (AGM) (AA/A2)
	5,000,000		5.000			10/01/34		5,720,250
								7,144,672
	Virginia – 1.7%
	Amelia County IDA Solid Waste Disposal RB Refunding for Waste Management, Inc. Project Series 2002 (AMT) (A-/NR)(a)
	2,500,000		2.125			04/01/20		2,558,075
	Fairfax County Economic Development Authority Residential Care Facilities Mortgage RB Refunding for Goodwin House Incorporated Series 2016 A (BBB/NR)
	1,250,000		4.000			10/01/42		1,339,338
	State-Specific Municipal Debt Obligations – (continued)
	Virginia – (continued)
	Newport News Economic Development Authority Residential Care Facilities RB Refunding For Lifespire of Virginia Series 2016 (NR/NR)(g)
$	450,000		2.000	%		12/01/18	$	450,274
	Tobacco Settlement Financing Corp. Senior Asset-Backed Bonds Series 2007 B-1 (B-/B3)
	3,500,000		5.000			06/01/47		3,419,255
	Virginia Commonwealth Transportation Board RB Refunding for U.S. Route 58 Corridor Development Program Series 2016 C (AA+/Aa1)
	2,285,000		5.000			05/15/23		2,823,803
	Virginia Port Authority Port Facilities RB Refunding Series 2015 A (AMT) (A+/Aa3)
	2,750,000		5.000			07/01/30		3,277,065
	Virginia Small Business Financing Authority Senior Lien RB for Elizabeth River Crossings Opco, LLC Project Series 2012 (AMT) (BBB/NR)
	750,000		5.500			01/01/42		873,488
	Washington County IDA RB for Mountain States Health Alliance Series 2009 C (BBB+/Baa1)
	1,000,000		7.750			07/01/38		1,126,180
								15,867,478
	Washington – 1.0%
	Puttable Floating Option Tax-Exempt Receipts (RITES) GO Bonds Series 2009 A (NR/NR)(e)(i)
	700,000		14.236			01/01/23		1,010,457
	Puttable Floating Option Tax-Exempt Receipts (RITES) GO Bonds Series 2009 B (NR/NR)(e)(i)
	730,000		14.242			01/01/24		1,052,755
	University of Washington RB Refunding Series 2012 A (AA+/Aaa)
	2,500,000		5.000			07/01/29		2,999,150
	Washington Health Care Facilities Authority RB for MultiCare Health System RMKT 02/26/09 Series 2008 A (ASSURED GTY) (AA/Aa3)(d)
	250,000		6.000			08/15/19		285,242
	Washington Health Care Facilities Authority RB for MultiCare Health System RMKT 02/26/09 Series 2008 B (ASSURED GTY) (AA/Aa3)(d)
	250,000		6.000			08/15/19		285,242
	Washington State GO Bonds Series 1992 B & AT-7 (AA+/Aa1)
	135,000		6.400			06/01/17		139,932
	Washington State Health Care Facilities Authority RB for Virginia Mason Medical Center Series 2007 B (ACA) (BBB/Baa2)
	3,000,000		6.000			08/15/37		3,108,150
								8,880,928
	West Virginia – 0.4%
	West Virginia Economic Development Authority Solid Waste Disposal Facilities RB Refunding for Appalachian Power Co. – Amos Project Series 2011 A (AMT) (BBB+/Baa1)(a)
	2,375,000		1.700			09/01/20		2,371,414

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

GOLDMAN SACHS DYNAMIC MUNICIPAL INCOME FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	West Virginia – (continued)
	West Virginia Hospital Finance Authority Hospital RB Refunding and Improvement for West Virginia United Health System Obligated Group Series 2009 C (A/A2)(d)
$	1,000,000		5.500	%		06/01/19	$	1,119,580
								3,490,994
	Wisconsin – 1.0%
	Public Finance Authority Exempt Facilities RB Refunding for Celanese Project Series 2016 C (AMT) (BBB-/Baa3)
	1,000,000		4.300			11/01/30		1,080,630
	Public Finance Authority Pass-Through RB for Natgasoline LLC Series 2016 (NR/NR)(e)
	4,000,000		10.000			06/30/21		4,050,800
	Public Finance Authority Senior Airport Facilities RB Refunding for Transportation Infrastructure Properties LLC Obligated Group Series 2012 B (AMT) (BBB/NR)
	2,000,000		5.250			07/01/28		2,291,120
	Wisconsin State Health & Educational Facilities Authority RB for Upland Hills Health, Inc. Series 2006 A (BBB/NR)
	375,000		5.125			05/15/29		376,012
	Wisconsin State Health & Educational Facilities Authority RB for Upland Hills Health, Inc. Series 2006 B (BBB/NR)
	100,000		5.000			05/15/36		100,207
	Wisconsin State Health & Educational Facilities Authority RB Refunding for Fort Healthcare, Inc. Series 2014 (BBB+/NR)
	350,000		4.000			05/01/17		355,670
	375,000		4.000			05/01/18		389,449
	285,000		4.000			05/01/19		300,025
	410,000		5.000			05/01/20		449,225
								9,393,138
	TOTAL INVESTMENTS – 98.8%
	(Cost $861,619,016)						$	907,273,390
	OTHER ASSETS IN EXCESS OF     LIABILITIES – 1.2%							10,815,363
	NET ASSETS – 100.0%						$	918,088,753

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
(a)	Security with “Put” features and resetting interest rates. Maturity dates disclosed are the puttable dates. Interest rate disclosed is that which is in effect on September 30, 2016.
(b)	Variable rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate or distribution rate disclosed is that which is in effect on September 30, 2016.
(c)	Issued with a zero coupon. Income is recognized through the accretion of discount.
(d)	Pre-refunded security. Maturity date disclosed is pre-refunding date.

(e)	Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities may be deemed 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 $21,013,369, which represents approximately 2.3% of net assets as of September 30, 2016.
(f)	Zero coupon bond until next reset date.
(g)	When-issued security.
(h)	Security is currently in default.
(i)	Inverse floating rate security. Interest rate disclosed is that which is in effect on September 30, 2016.

Security ratings disclosed, if any, are issued by either Standard & Poor’s, Moody’s Investor Service or Fitch and are unaudited. A brief description of the ratings is available in the Fund’s Statement of Additional Information.

Investment Abbreviations:
ACA	—Insured by American Capital Access
AGM	—Insured by Assured Guaranty Municipal Corp.
AMBAC	—Insured by American Municipal Bond Assurance Corp.
AMT	—Alternative Minimum Tax
ASSURED GTY	—Insured by Assured Guaranty
BAM	—Build America Mutual Assurance Co.
CAL MTG INS	—Insured by California Mortgage Insurance
COMWLTH GTD	—Commonwealth Guaranteed
COPS	—Certificates of Participation
ETM	—Escrowed to Maturity
FGIC	—Insured by Financial Guaranty Insurance Co.
FNMA	—Federal National Mortgage Association
GARB	—General Airport Revenue Bond
GNMA	—Government National Mortgage Association
GO	—General Obligation
IDA	—Industrial Development Authority
LIBOR	—London Interbank Offered Rate
MUN GOVT GTD	—Municipal Government Guaranteed
NATL-RE	—Insured by National Public Finance Guarantee Corp.
NATL-RE FGIC	—Insured by National Public Finance Guarantee Corp., which reinsures Financial Guaranty Insurance Co.
NATL-RE-IBC	—Insured by National Public Finance Guarantee Corp. – Insured Bond Certificates
NR	—Not Rated
PCRB	—Pollution Control Revenue Bond
PSF-GTD	—Guaranteed by Permanent School Fund
Q-SBLF	—Qualified School Board Loan Fund
RB	—Revenue Bond
RITES	—Residual Interest Tax Exempt Securities
RMKT	—Remarketed
ST AID WITHHLDG	—State Aid Withholding
ST APPROP	—State Appropriation
WR	—Withdrawn Rating
XLCA	—Insured by XL Capital Assurance, Inc.

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

GOLDMAN SACHS DYNAMIC MUNICIPAL INCOME FUND

ADDITIONAL INVESTMENT INFORMATION

FUTURES CONTRACTS — At September 30, 2016, the Fund had the following futures contracts:

Type	Number of Contracts Long (Short)			Expiration Date	Current Value			Unrealized Gain (Loss)
U.S. Ultra Long Treasury Bonds		(49	)	December 2016	$	(9,009,875	)	$	168,748
10 Year U.S. Ultra Treasury Notes		(33	)	December 2016		(4,757,156	)		2,089
TOTAL								$	170,837

SWAP CONTRACTS — At September 30, 2016, the Fund had the following swap contracts:

OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS

												Market Value
Counterparty	Referenced Obligation	Notional Amount (000’s)		Rates Received (Paid)			Termination Date		Credit Spread on September 30, 2016(a)			Upfront Payments Made (Received)			Unrealized Gain (Loss)
Protection Sold:
Bank of America, N.A.	California State Various Purpose GO Bonds Series 2003, 5.250%, 02/01/18	$	1,000		1.000	%		03/20/23		0.925	%	$	(32,095	)	$	36,767
JPMorgan Chase Bank, N.A.	California State Various Purpose GO Bonds Series 2003, 5.250%, 02/01/18		1,000		1.000			03/20/23		0.925			(32,095	)		36,766
TOTAL												$	(64,190	)	$	73,533

(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 or its counterparty to make a payment or otherwise be required to perform under the swap contract is generally greater as the credit spread and term of the swap contract increase.

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACT

			Rates Exchanged			Market Value
Notional Amount (000’s)(a)		Termination Date	Payments Received		Payments Made	Upfront Payments Made (Received)			Unrealized Gain (Loss)
$	16,200	12/21/46		3 Month LIBOR	2.250%	$	(1,394,112	)	$	(403,025	)

(a) Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to September 30, 2016.

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

GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND

Schedule of Investments

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – 98.2%
	Alabama – 3.5%
	Alexander City Special Care Facilities Financing Authority Medical Facilities RB for Russell Hospital Corp. Series 2006 A (BB-/NR)
$	755,000		5.375	%		12/01/16	$	757,998
	4,425,000		5.500			12/01/21		4,440,266
	5,775,000		5.625			12/01/26		5,793,653
	16,695,000		5.750			12/01/36		16,738,574
	Houston County Health Care Authority RB for Southeast Alabama Medical Center Series 2016 A (BBB/NR)
	850,000		5.000			10/01/24		1,022,108
	850,000		5.000			10/01/25		1,033,098
	4,125,000		5.000			10/01/30		4,869,068
	Jefferson County Senior Lien Sewer RB Warrants Series 2013 C (AGM) (AA/A2)(a)
	5,750,000		0.000			10/01/38		4,796,363
	6,000,000		0.000			10/01/42		4,987,740
	Jefferson County Subordinate Lien Sewer RB Warrants Series 2013 D (BBB-/NR)
	6,500,000		6.000			10/01/42		7,878,130
	19,850,000		7.000			10/01/51		25,613,844
	71,520,000		6.500			10/01/53		89,771,189
								167,702,031
	Alaska – 0.7%
	Northern Tobacco Securitization Corp. RB Refunding Asset- Backed Bonds Series 2006 A (NR/B3)
	31,945,000		5.000			06/01/46		31,265,849
	Arizona – 1.8%
	Apache County IDA PCRB for Tucson Electric Power Company Series 2012 A (BBB+/A3)
	4,500,000		4.500			03/01/30		5,027,130
	Arizona Health Facilities Authority Hospital RB for Banner Health Series 2007 B (AA-/NR)(b)
	51,500,000		1.243			01/01/37		47,629,260
	City of Tempe IDA RB Refunding for Friendship Village Series 2012 A (NR/NR)
	1,250,000		6.250			12/01/42		1,357,950
	1,325,000		6.250			12/01/46		1,437,519
	Maricopa County Arizona Pollution Control Corp. PCRB Refunding for El Paso Electric Co. Project Series 2009 A (BBB/Baa1)
	8,800,000		7.250			02/01/40		9,985,008
	Maricopa County Arizona Pollution Control Corp. PCRB Refunding for Public Service Co. of New Mexico Palo Verde Project Series 2003 A (BBB+/Baa2)
	5,000,000		6.250			01/01/38		5,735,450
	Pima County IDA RB Refunding for Tucson Electric Power Co. Project Series 2012 A (BBB+/A3)
	5,350,000		4.500			06/01/30		6,003,877
	Pima County IDA RB Refunding for Tucson Electric Power Co. Project Series 2013 A (BBB+/A3)
	3,390,000		4.000			09/01/29		3,739,882
	University Medical Center Corp. RB Series 2009 (NR/WR)(c)
	500,000		6.250			07/01/19		570,880
	1,360,000		6.500			07/01/19		1,561,960
	State-Specific Municipal Debt Obligations – (continued)
	Arizona – (continued)
	University Medical Center Corp. RB Series 2011 (NR/WR)(c)
$	3,500,000		6.000	%		07/01/21	$	4,257,155
								87,306,071
	California – 15.5%
	ABC Unified School District GO Bonds Series 2001 C (NATL-RE) (AA-/Aa3)(d)
	1,600,000		0.000			08/01/26		1,268,224
	Alameda Corridor Transportation Authority RB Refunding Second Subordinate Lien Series 2016 B (BBB+/Baa2)
	5,825,000		5.000			10/01/36		7,030,775
	4,850,000		5.000			10/01/37		5,849,246
	Alameda County Oakland Unified School District GO Bonds Election of 2012 Series 2015 A (AA-/Aa3)
	3,000,000		5.000			08/01/40		3,600,900
	Alhambra California Unified School District Election of 2008 GO Bonds Capital Appreciation for Elementary Schools Improvement District Series B (AGM) (AA/Aa2)(d)
	4,995,000		0.000			08/01/37		2,557,940
	Alvord Unified School District GO Bonds Capital Appreciation for 2007 Election Series 2007 B (AGM) (AA/A2)(d)
	1,210,000		0.000			08/01/36		617,947
	Anaheim Community Facilities District No. 08-1 Special Tax Refunding Bonds for Platinum Triangle Series 2016 (NR/NR)
	2,000,000		4.000			09/01/41		2,184,600
	2,875,000		4.000			09/01/46		3,132,600
	Calaveras Unified School District GO Bonds for Capital Appreciation Series 2000 (AGM) (AA/A2)(d)
	1,055,000		0.000			08/01/25		839,991
	California County Tobacco Securitization Agency RB Asset- Backed Bonds for Los Angeles County Securitization Corp. Series 2006 A (NR/B3)
	15,885,000		5.450			06/01/28		16,318,819
	California Municipal Finance Authority COPS for Community Hospitals of Central California Obligated Group Series 2009 (A-/Baa1)
	19,500,000		5.500			02/01/39		21,133,125
	California Pollution Control Financing Authority Solid Waste Disposal RB Refunding for Waste Management, Inc. Project Series 2015 B-2 (AMT) (A-/NR)(e)
	7,475,000		3.125			11/03/25		7,927,163
	California Pollution Control Financing Authority Water Furnishing RB for Poseidon Resources Series 2012 (AMT) (BBB-/Baa3)(f)
	15,355,000		5.000			11/21/45		17,237,677
	California State GO Bonds Series 2004 B2 (AA+/Aa1)(e)
	8,500,000		0.780			10/01/16		8,500,000
	California Statewide Communities Development Authority Community Facilities District No. 2007-01 Special Tax Refunding for Orinda Wilder Project Series 2015 (NR/NR)
	2,000,000		5.000			09/01/30		2,332,620
	2,125,000		5.000			09/01/37		2,447,745
	California Statewide Communities Development Authority RB for California Baptist University Series 2007 A (NR/NR)
	2,000,000		5.400			11/01/27		2,114,660
	11,850,000		5.500			11/01/38		12,527,464

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

GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	California – (continued)
	California Statewide Communities Development Authority RB for Lancer Plaza Project Series 2013 (NR/NR)
$	1,875,000		5.875	%		11/01/43	$	2,083,537
	California Statewide Communities Development Authority RB for Methodist Hospital Project Series 2009 (FHA) (NR/WR)(c)
	5,340,000		6.625			08/01/19		6,183,453
	California Statewide Communities Development Authority RB Refunding for Loma Linda University Medical Center Series 2016 A (BB/NR)(f)
	9,750,000		5.250			12/01/56		11,128,748
	California Statewide Financing Authority Tobacco Settlement RB Capital Appreciation for Turbo Pooled Program Series 2006 B (CCC/NR)(d)
	35,000,000		0.000			06/01/46		4,601,800
	Capistrano Unified School District Special Tax for Capital Appreciation Series 2005 (NATL-RE) (AA-/A3)(d)
	7,000,000		0.000			09/01/33		4,126,920
	City of Davis Redevelopment Agency Tax Allocation for Davis Redevelopment Project Series 2011 A (A+/NR)
	750,000		6.500			12/01/26		941,722
	2,830,000		7.000			12/01/36		3,597,751
	City of Fremont Community Facilities District No. 1 Special Tax for Pacific Commons Series 2015 (NR/NR)
	3,000,000		5.000			09/01/45		3,370,980
	City of Goleta Redevelopment Agency Tax Allocation for Goleta Old Town Redevelopment Project Series 2011 (NR/NR)
	670,000		7.750			12/01/31		676,003
	5,000,000		8.000			06/01/44		5,046,500
	City of Palo Alto Limited Obligation Refunding Improvement Bonds for University Avenue Area Off-Street Parking Assessment District Series 2012 (BBB/NR)
	600,000		5.000			09/02/30		676,278
	Coachella Valley Unified School District GO Bonds Capital Appreciation Series 2012 D (AGM) (AA/WR)(d)
	2,500,000		0.000			08/01/43		925,350
	Coronado Community Development Agency Tax Allocation for Coronado Community Development Project Series 2005 (AMBAC) (A+/NR)
	175,000		5.000			09/01/20		175,555
	Denair California Unified School District GO Bonds Capital Appreciation Election 2001 Series 2003 B (NATL-RE) (AA-/A3)(d)
	1,305,000		0.000			08/01/27		941,466
	El Rancho California Unified School District GO Bonds Capital Appreciation Election 2003 Series 2007 (NATL-RE) (A/A3)(d)
	5,400,000		0.000			08/01/32		3,232,332
	Fairfield COPS Capital Appreciation for Water Financing Series 2007 A (XLCA) (A+/WR)(d)
	4,180,000		0.000			04/01/29		2,885,370
	Folsom Cordova Unified School District No. 4 GO for School Facilities Improvement Capital Appreciation for Election of 2006 Series 2007 A (NATL-RE) (AA-/A1)(d)
	3,360,000		0.000			10/01/32		2,070,869
	State-Specific Municipal Debt Obligations – (continued)
	California – (continued)
	Foothill/Eastern Transportation Corridor Agency Toll Road RB Refunding Capital Appreciation Senior Lien Series 2015 A (AGM) (AA/A2)(d)
$	12,000,000		0.000	%		01/15/35	$	6,284,880
	Foothill/Eastern Transportation Corridor Agency Toll Road RB Refunding Series 2013 A (BBB-/Ba1)
	13,535,000		6.000			01/15/53		16,289,102
	Foothill/Eastern Transportation Corridor Agency Toll Road RB Refunding Subseries B-3 (BBB-/Ba1)(e)
	4,425,000		5.500			01/15/23		5,276,591
	Fullerton Public Financing Authority Tax Allocation Series 2005 (AMBAC) (A/WR)
	200,000		5.000			09/01/27		203,136
	Golden State Tobacco Securitization Corp. California Tobacco Settlement RB Asset-Backed Bonds for Capital Appreciation Subseries 2007 B (CCC+/NR)(d)
	125,785,000		0.000			06/01/47		13,518,114
	Golden State Tobacco Securitization Corp. California Tobacco Settlement RB Asset-Backed Bonds for Capital Appreciation Subseries 2007 C (CCC/NR)(d)
	307,000,000		0.000			06/01/47		17,499,000
	Golden State Tobacco Securitization Corp. California Tobacco Settlement RB Asset-Backed Bonds Series 2015 A (ST APPROP) (A+/A1)
	55,010,000		5.000			06/01/45		65,463,550
	Golden State Tobacco Securitization Corp. California Tobacco Settlement RB Senior Asset-Backed Bonds Series 2007 A-1 (B-/B3)
	28,355,000		5.750			06/01/47		28,770,684
	Golden State Tobacco Securitization Corp. California Tobacco Settlement RB Senior Asset-Backed Bonds Series 2007 A-2 (B-/B3)
	27,780,000		5.300			06/01/37		28,569,785
	Inland Empire Tobacco Securitization Authority RB Turbo Asset- Backed Bonds for Capital Appreciation Series 2007 C-1 (CCC/NR)(d)
	101,195,000		0.000			06/01/36		27,445,096
	Inland Empire Tobacco Securitization Authority RB Turbo Asset- Backed Bonds for Capital Appreciation Series 2007 C-2 (CCC/NR)(d)
	71,235,000		0.000			06/01/47		8,982,734
	Inland Empire Tobacco Securitization Authority RB Turbo Asset- Backed Bonds for Capital Appreciation Series 2007 D (CCC/NR)(d)
	260,660,000		0.000			06/01/57		3,250,430
	Lammersville Joint Unified School District Special Tax Bonds for Community Facilities District No. 2007-1 Series 2013 (NR/NR)
	2,750,000		6.000			09/01/43		3,333,605
	Lemoore Redevelopment Agency Tax Allocation for Lemoore Redevelopment Project Series 2011 (A-/NR)
	665,000		6.625			08/01/24		667,188
	1,000,000		7.250			08/01/31		1,003,740
	9,315,000		7.375			08/01/40		9,350,769

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

GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	California – (continued)
	Los Angeles County GO Bonds for Westside Union School District Election Series 2008 B (AA-/Aa3)(d)
$	49,925,000		0.000	%		08/01/50	$	14,837,710
	Los Angeles Department of Water & Power System RB Subseries 2002 A-3 (AA-/Aa2)(e)
	6,200,000		0.810			10/01/16		6,200,000
	Los Angeles Unified School District GO Bonds for 2008 Election Series A (AAA/Aa2)
	7,000,000		5.000			07/01/40		8,475,950
	Lynwood Redevelopment Agency Tax Allocation for Housing Projects Series 2011 A (A-/NR)
	1,625,000		6.750			09/01/26		1,953,575
	1,500,000		7.000			09/01/31		1,801,320
	875,000		7.250			09/01/38		1,061,673
	Merced-Union High School District Election of 2008 GO Bonds Series 2011 C (NR/Aa3)(d)
	3,750,000		0.000			08/01/35		2,040,300
	M-S-R Energy Authority Gas RB Series 2009 A (BBB+/NR)
	8,250,000		6.500			11/01/39		12,044,505
	M-S-R Energy Authority Gas RB Series 2009 B (BBB+/NR)
	2,000,000		6.500			11/01/39		2,919,880
	M-S-R Energy Authority Gas RB Series 2009 C (BBB+/NR)
	10,000,000		6.125			11/01/29		13,192,600
	13,500,000		6.500			11/01/39		19,709,190
	Mt. Diablo Unified School District GO Bonds Capital Appreciation for Election of 2010 Series 2010 A (AGM) (AA/Aa3)(a)
	7,000,000		0.000			08/01/30		6,658,400
	New Haven Unified School District GO Bonds Refunding for Capital Appreciation Series 2009 (ASSURED GTY) (AA/Aa3)(d)
	860,000		0.000			08/01/25		697,383
	1,105,000		0.000			08/01/26		864,883
	5,550,000		0.000			08/01/30		3,732,930
	7,830,000		0.000			08/01/32		4,873,001
	7,000,000		0.000			08/01/34		4,017,440
	Orange County California Community Facilities District No. 2015-1 Village of Esencia Special Tax Bonds Series 2015 A (NR/NR)
	3,000,000		5.250			08/15/45		3,552,450
	Palomar Pomerado Health COPS Series 2009 (BB+/Ba1)
	16,000,000		6.750			11/01/39		17,607,040
	Palomar Pomerado Health COPS Series 2010 (BBB-/Ba1)
	6,500,000		6.000			11/01/41		6,946,030
	Palomar Pomerado Health GO Bonds Capital Appreciation for Election of 2004 Series 2009 A (ASSURED GTY) (AA/A2)(a)
	10,750,000		0.000			08/01/38		13,098,552
	Placer Union High School District GO Bonds for Capital Appreciation Series 2000 A (NATL-RE) (AA-/Aa2)(d)
	1,805,000		0.000			08/01/25		1,457,321
	State-Specific Municipal Debt Obligations – (continued)
	California – (continued)
	Rancho Cordova Community Facilities District No. 2003-1 Special Tax Refunding for Sunridge Anatolia Series 2016 (NR/NR)
$	500,000		4.000	%		09/01/29	$	566,845
	500,000		4.000			09/01/30		564,500
	650,000		4.000			09/01/31		730,217
	900,000		3.000			09/01/32		883,197
	820,000		3.000			09/01/33		801,853
	750,000		3.000			09/01/34		729,660
	1,000,000		4.000			09/01/37		1,099,520
	Rialto Unified School District GO Election of 2010 Series 2011 A (AGM) (AA/A1)(d)
	6,170,000		0.000			08/01/36		3,156,140
	River Islands Public Financing Authority Community Facilities District No. 2003-1 Special Tax Refunding Bonds Series 2015 A-1 (NR/NR)
	6,815,000		5.500			09/01/45		7,556,472
	River Islands Public Financing Authority Special Tax for Community Facilities District No. 2003-1 Series 2015 B (NR/NR)
	22,500,000		5.500			09/01/45		24,948,000
	Riverside County Redevelopment Agency Tax Allocation for Capital Appreciation Jurupa Valley Redevelopment Project Area Series 2011 B (A/NR)(d)
	2,220,000		0.000			10/01/33		1,251,991
	2,220,000		0.000			10/01/35		1,144,432
	1,840,000		0.000			10/01/37		871,921
	5,100,000		0.000			10/01/38		2,307,240
	8,425,000		0.000			10/01/39		3,659,820
	13,395,000		0.000			10/01/40		5,558,925
	7,275,000		0.000			10/01/41		2,903,307
	6,360,000		0.000			10/01/42		2,440,332
	Riverside County Redevelopment Agency Tax Allocation for Jurupa Valley Redevelopment Project Area Series 2011 B (A/NR)
	1,225,000		6.500			10/01/25		1,517,689
	1,950,000		6.750			10/01/30		2,433,932
	Riverside County Transportation Commission Toll Revenue Senior Lien Bonds Series 2013 A (BBB-/NR)
	2,000,000		5.750			06/01/48		2,349,280
	Sacramento County Sanitation District Financing Authority RB Refunding for Sacramento County Regional Series 2007 B (NATL-RE FGIC) (AA/Aa3)(b)
	2,625,000		1.094			12/01/35		2,461,961
	Sacramento County Water Financing Authority RB for Water Agency Zones 40 & 41 2007 Water System Project Series 2007 B (NATL-RE) (AA-/Aa3)(b)
	330,000		1.114			06/01/34		307,606
	San Bernardino City Unified School District GO Bonds Capital Appreciation for Election of 1999 Series 2003 C (NATL-RE) (AA-/A2)(d)
	1,420,000		0.000			08/01/25		1,140,501
	San Diego County California Regional Transportation Commission Sales Tax RB Series A (AAA/Aa2)(e)
	10,000,000		0.870			10/07/16		10,000,000

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

GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	California – (continued)
	San Diego Unified School District GO Bonds Refunding Series 2012 R-1 (AA-/Aa2)(d)
$	10,000,000		0.000	%		07/01/30	$	6,880,500
	3,000,000		0.000			07/01/31		1,988,400
	San Francisco City & County Redevelopment Financing Authority Tax Allocation for Mission Bay North Redevelopment Series 2011 C (A-/NR)(c)
	2,500,000		6.750			02/01/21		3,107,750
	San Francisco City & County Redevelopment Financing Authority Tax Allocation for Mission Bay North Redevelopment Series 2011 D (BBB+/NR)(c)
	435,000		6.625			02/01/21		538,456
	San Francisco City & County Redevelopment Financing Authority Tax Allocation for Mission Bay South Redevelopment Series 2009 D (BBB+/NR)(c)
	750,000		6.250			08/01/19		860,648
	555,000		6.375			08/01/19		638,805
	305,000		6.500			08/01/19		352,116
	1,000,000		6.625			08/01/19		1,157,950
	San Francisco City & County Redevelopment Financing Authority Tax Allocation for Mission Bay South Redevelopment Series 2011 D (BBB+/NR)(c)
	2,500,000		7.000			02/01/21		3,134,125
	San Joaquin Hills Transportation Corridor Agency RB Refunding for Toll Road Senior Lien Series 2014 A (BBB-/NR)
	3,000,000		5.000			01/15/29		3,579,840
	San Juan Unified School District GO Bonds for Capital Appreciation Series 2000 (NATL-RE) (AA-/Aa2)(d)
	1,580,000		0.000			08/01/24		1,347,013
	1,595,000		0.000			08/01/25		1,313,866
	San Mateo Special Tax Bonds for Community Facilities District No. 2008-1 Bay Meadows Series 2013 (NR/NR)
	2,000,000		5.000			09/01/42		2,193,400
	San Mateo Special Tax Bonds for Community Facilities District No. 2008-1 Bay Meadows Series 2014 (NR/NR)
	2,000,000		5.500			09/01/44		2,239,980
	Santa Monica Redevelopment Agency Tax Allocation for Earthquake Recovery Redevelopment Project Series 2011 (AA/NR)
	2,000,000		5.000			07/01/42		2,292,360
	Santa Monica Redevelopment Agency Tax Allocation for Earthquake Recovery Redevelopment RB Series 2011 (AA/NR)
	2,000,000		5.000			07/01/32		2,322,980
	Santee Community Development Commission Tax Allocation for Santee Community Redevelopment Project Series 2011 A (A/NR)
	1,000,000		7.000			08/01/31		1,211,090
	2,000,000		7.000			08/01/41		2,424,040
	Stockton Public Financing Authority Water RB for Delta Water Supply Project Series 2010 A (A/A3)
	2,000,000		6.250			10/01/40		2,527,980
	Tejon Ranch Public Facilities Financing Authority Special Tax for Community Facilities District No. 2008-1 Industrial Complex Public Improvements Series 2012 B (NR/NR)
	4,000,000		5.250			09/01/42		4,420,160
	State-Specific Municipal Debt Obligations – (continued)
	California – (continued)
	Temecula Redevelopment Agency Tax Allocation for Housing Redevelopment Project No. 1 Series 2011 A (BBB+/NR)
$	1,000,000		6.750	%		08/01/31	$	1,220,890
	2,100,000		7.000			08/01/39		2,647,596
	Tobacco Securitization Authority Northern California Tobacco Settlement RB Asset-Backed Bonds Series 2005 A-1 (B-/B3)
	6,850,000		5.375			06/01/38		6,853,494
	4,200,000		5.500			06/01/45		4,200,000
	Tobacco Securitization Authority Southern California Tobacco Settlement RB Senior Asset-Backed Bonds for San Diego County Tobacco Asset Securitization Corp. Series 2006 A-1 (BB+/B2)
	2,235,000		5.000			06/01/37		2,235,112
	Tustin California Community Facilities District No. 2014-1 Tustin Legacy/Standard Pacific Special Tax Bonds Series 2015 A (NR/NR)
	750,000		5.000			09/01/40		862,020
	1,000,000		5.000			09/01/45		1,144,330
	Union City Community Redevelopment Agency Tax Allocation for Community Redevelopment Project Sub Lien Series 2011 (A+/NR)
	1,500,000		6.875			12/01/33		1,919,115
	University of California Regents Medical Center Pooled RB Refunding Series 2007 C-2 (NATL-RE) (AA-/Aa3)(b)
	10,000,000		1.287			05/15/43		8,755,000
	West Hollywood Community Development Commission Tax Allocation for East Side Redevelopment Project Series 2011 A (A-/NR)
	1,000,000		7.250			09/01/31		1,284,060
	5,000,000		7.500			09/01/42		6,427,300
	William S. Hart Union High School District GO Bonds Capital Appreciation 2008 Election Series B (AGM) (AA/Aa2)(d)
	8,360,000		0.000			08/01/34		4,814,775
	Yosemite Community College District GO Bonds Election of 2004 Series 2010 D (AA-/Aa2)(a)
	19,135,000		0.000			08/01/42		14,706,204
								736,923,363
	Colorado – 2.2%
	Colorado Health Facilities Authority RB for Covenant Retirement Communities, Inc. Series 2012 A (BBB+/NR)
	3,500,000		4.500			12/01/33		3,636,465
	3,500,000		5.000			12/01/33		3,934,595
	Colorado Health Facilities Authority RB for Covenant Retirement Communities, Inc. Series 2013 A (BBB+/NR)
	3,000,000		5.750			12/01/36		3,598,110
	Colorado Health Facilities Authority RB for The Evangelical Lutheran Good Samaritan Society Project Series 2013 (BBB+/Baa1)
	3,000,000		5.625			06/01/43		3,535,170
	Colorado Regional Transportation District Tax-Exempt Private Activity RB for Denver Transit Partners Eagle P3 Project Series 2010 (BBB+/Baa3)
	12,860,000		6.000			01/15/41		14,707,082

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

GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	Colorado – (continued)
	Copperleaf Metropolitan District No. 2 Limited Tax Convertible to Unlimited Tax GO Refunding (NR/NR)
$	500,000		5.250	%		12/01/30	$	531,175
	2,000,000		5.750			12/01/45		2,122,480
	Cross Creek Metropolitan District No. 2 GO Bonds Refunding Limited Tax Series 2006 (NR/NR)(b)
	4,500,000		5.000			12/01/17		4,492,215
	Denver Colorado City & County Special Facilities Airport RB Refunding for United Air Lines, Inc. Project Series 2007 A (AMT) (BB-/B1)
	925,000		5.250			10/01/32		952,398
	7,000,000		5.750			10/01/32		7,265,230
	Denver Colorado Health and Hospital Authority Healthcare RB Series B (BBB/NR)(b)
	16,520,000		1.664			12/01/33		15,438,436
	E-470 Public Highway Authority RB Refunding Capital Appreciation Series 2006 B (NATL-RE) (AA-/A3)(d)
	3,000,000		0.000			09/01/39		1,116,900
	E-470 Public Highway Authority RB Series 2004 A (NATL-RE) (AA-/A3)(d)
	15,000,000		0.000			09/01/28		11,015,700
	4,100,000		0.000			09/01/34		2,392,924
	E-470 Public Highway Authority RB Series 2004 B (NATL-RE) (AA-/A3)(d)
	1,715,000		0.000			09/01/28		984,050
	E-470 Public Highway Authority RB Series 2010 A (BBB+/A3)(d)
	20,000,000		0.000			09/01/40		9,297,600
	Leyden Rock Metropolitan District No. 10 Limited Tax GO Refunding & Improvement Bonds Series 2016 A (NR/NR)
	1,250,000		5.000			12/01/45		1,270,850
	Palisade Metropolitan District No. 2 GO Refunding Limited Tax Bonds Series 2016 (NR/NR)
	2,135,000		4.375			12/01/31		2,139,974
	1,825,000		5.000			12/01/46		1,872,815
	Park Meadows Business Improvement District RB Series 2007 (NR/NR)
	475,000		5.300			12/01/27		488,994
	720,000		5.350			12/01/31		741,535
	Plaza Metropolitan District No. 1 RB Refunding Series 2013 (NR/NR)(f)
	1,000,000		5.000			12/01/40		1,076,630
	Public Authority for Colorado Energy RB for Natural Gas Purchase Series 2008 (BBB+/Baa1)
	4,000,000		6.500			11/15/38		5,828,560
	Sierra Ridge Metropolitan District No. 2 Douglas County GO Bonds Series 2016 A (NR/NR)
	750,000		4.500			12/01/31		763,290
	1,500,000		5.500			12/01/46		1,587,705
	Southglenn Metropolitan District Special RB Refunding Series 2016 (NR/NR)
	1,535,000		5.000			12/01/30		1,650,831
	810,000		5.000			12/01/36		849,747
	2,100,000		5.000			12/01/46		2,181,060
	State-Specific Municipal Debt Obligations – (continued)
	Colorado – (continued)
	Vista Ridge Metropolitan District GO Bonds Refunding Limited Tax Subseries 2006 B (NR/NR)(a)
$	1,725,000		0.000	%		12/01/40	$	1,276,672
								106,749,193
	Connecticut – 0.4%
	Mohegan Tribal Finance Authority Tribal RB Economic Development Bonds Series 2015 (B-/NR)(f)
	17,450,000		7.000			02/01/45		18,187,437
	Town of Hamden Refunding GO Series 2013 (AGM) (AA/A2)
	500,000		5.000			08/15/23		602,110
								18,789,547
	Delaware – 0.2%
	Bridgeville Delaware Special Obligation Special Tax for Heritage Shores Special Development District Series 2005 A (NR/NR)
	5,597,000		5.450			07/01/35		5,598,959
	Delaware Economic Development Authority Gas Facilities RB Refunding for Delmarva Power & Light Co. Project Series 2010 (BBB+/Baa1)
	3,000,000		5.400			02/01/31		3,410,220
	Delaware Economic Development Authority RB for Indian River Power LLC Project Series 2010 (NR/Baa3)
	2,050,000		5.375			10/01/45		2,239,809
								11,248,988
	District of Columbia – 1.7%
	Metropolitan Washington DC Airports Authority Dulles Toll Road RB Second Senior Lien Capital Appreciation for Dulles Metrorail and Capital Improvement Project Series 2009 C (ASSURED GTY) (AA/A3)(a)
	25,000,000		0.000			10/01/41		33,905,500
	Metropolitan Washington DC Airports Authority Dulles Toll Road RB Second Senior Lien Capital Appreciation for Dulles Metrorail and Capital Improvement Project Series 2010 B (BBB+/Baa1)(a)
	37,100,000		0.000			10/01/44		45,340,281
								79,245,781
	Florida – 12.4%
	Amelia National Community Development District Special Assessment for Capital Improvement Series 2004 A (NR/NR)
	3,845,000		6.300			05/01/35		3,849,652
	Amelia National Community Development District Special Assessment for Capital Improvement Series 2006 A (NR/NR)
	1,390,000		5.375			05/01/37		1,244,286
	Anthem Park Community Development District Special Assessment RB Refunding Senior Series 2016 A-1 (BBB-/NR)
	1,725,000		3.500			05/01/31		1,713,287
	2,170,000		3.750			05/01/36		2,166,962
	Arborwood Community Development District RB Capital Improvement for Master Infrastructure Projects Series 2005 A-2 (NR/NR)
	14,370,000		5.350			05/01/36		14,405,781

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

GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	Florida – (continued)
	Arborwood Community Development District Special Assessment Capital Improvement for Centex Homes Project Series 2006 A-2 (NR/NR)
$	205,000		5.250	%		05/01/36	$	205,496
	Arborwood Community Development District Special Assessment Capital Improvement for Centex Homes Project Series 2006 A-3 (NR/NR)
	2,835,000		5.500			05/01/36		2,843,221
	Arborwood Community Development District Special Assessment Capital Improvement Refunding Series 2014 B (NR/NR)
	9,040,000		6.900			05/01/25		10,085,024
	Arborwood Community Development District Special Assessment Capital Improvement Refunding Series 2014 B A-1 (NR/NR)
	4,065,000		6.900			05/01/36		4,668,165
	Arborwood Community Development District Special Assessment Capital Improvement Refunding Series 2014 B A-2 (NR/NR)
	1,035,000		6.900			05/01/36		1,188,573
	Avelar Creek Community Development District Special Assessment Refunding Series 2016 (BBB+/NR)
	1,070,000		3.625			05/01/31		1,099,211
	675,000		4.000			05/01/36		700,009
	Babcock Ranch Community Independent Special District Special Assessment RB Series 2015 (NR/NR)
	2,380,000		5.250			11/01/46		2,440,333
	Bannon Lakes Community Development District Special Assessment RB Series 2016 (NR/NR)
	375,000		4.500			11/01/25		380,902
	1,000,000		5.000			11/01/36		1,026,440
	1,850,000		5.000			11/01/48		1,885,243
	Bartram Park Community Development District Special Assessment RB Refunding for City of Jacksonville Florida Senior Lien Series 2015 A-1 (BBB/NR)
	2,000,000		4.250			05/01/29		2,092,100
	Bartram Park Community Development District Special Assessment RB Refunding for City of Jacksonville Subordinate Lien Series 2015 A-2 (NR/NR)
	1,000,000		5.000			05/01/35		1,037,370
	Bellagio Community Development District Special Assessment Bond Series 2016 (BBB-/NR)
	490,000		3.750			11/01/31		497,811
	1,500,000		4.125			11/01/46		1,514,145
	Bellagio Community Development District Special Assessment Bonds Series 2013 (BBB-/NR)
	805,000		6.000			11/01/27		942,880
	3,000,000		6.500			11/01/43		3,890,220
	Belmont Community Development District Capital Improvement Phase 1 Project Series 2013 A (NR/NR)
	775,000		6.125			11/01/33		943,741
	1,000,000		6.500			11/01/43		1,224,320
	State-Specific Municipal Debt Obligations – (continued)
	Florida – (continued)
	Bexley Community Development District Special Assessment Bonds Series 2016 (NR/NR)
$	390,000		3.500	%		05/01/21	$	393,443
	500,000		4.100			05/01/26		508,715
	1,755,000		4.700			05/01/36		1,783,361
	3,200,000		4.875			05/01/47		3,232,832
	Brevard County Health Facilities Authority RB for Health First, Inc. Project Series 2009 (A/A2)(c)
	4,750,000		7.000			04/01/19		5,458,985
	Bridgewater Community Development District Special Assessment Refunding Bonds for Assessment Area Two Series 2015 (NR/NR)
	8,070,000		5.750			05/01/35		8,941,157
	Century Gardens at Tamiami Community Development District Special Assessment Refunding Series 2016 (BBB/NR)
	900,000		4.250			05/01/37		939,573
	Century Parc Community Development District Special Assessment Refunding Series 2012 (A-/NR)
	200,000		3.500			11/01/20		206,114
	210,000		3.750			11/01/21		217,178
	215,000		3.875			11/01/22		222,609
	25,000		4.000			11/01/23		25,896
	1,705,000		4.500			11/01/31		1,773,950
	Charlotte County Industrial Development Authority Utility System RB for Town & Country Utilities Project Series 2015 (AMT) (NR/NR)(f)
	500,000		5.500			10/01/36		514,275
	City of Cape Coral Water & Sewer RB Refunding Series 2015 (A/A1)
	1,750,000		4.000			10/01/34		1,923,162
	CityPlace Community Development District Special Assessment RB Refunding Series 2012 (A/NR)
	2,250,000		5.000			05/01/26		2,649,128
	Concord Station Community Development District Capital Improvement RB Refunding Senior Lien Series 2016 A-1 (BBB-/NR)
	3,000,000		3.500			05/01/32		2,975,010
	1,300,000		3.625			05/01/35		1,283,516
	1,750,000		3.750			05/01/46		1,710,152
	Concord Station Community Development District Capital Improvement RB Refunding Subordinate Lien Series 2016 A-2 (NR/NR)
	640,000		4.125			05/01/26		636,231
	945,000		4.625			05/01/35		928,207
	300,000		4.750			05/01/46		291,630
	Concorde Estates Community Development District Special Assessment for Capital Improvement Series 2004 A (NR/NR)(g)
	3,305,000		5.850			05/01/35		33
	Concorde Estates Community Development District Special Assessment for Capital Improvement Series 2004 B (NR/NR)(g)
	3,980,000		5.000			05/01/11		40
	Concorde Estates Community Development District Special Assessment for Capital Improvement Series 2011 A-1 (NR/NR)
	3,690,000		5.850			05/01/35		3,700,590

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

GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	Florida – (continued)
	Concorde Estates Community Development District Special Assessment for Capital Improvement Series 2011 A-2 (NR/NR)
$	2,360,000		5.850	%		05/01/35	$	2,159,022
	Concorde Estates Community Development District Special Assessment for Capital Improvement Series 2011 B (NR/NR)(d)
	5,670,000		0.000			05/01/17		5,443,540
	Cory Lakes Community Development District Special Assessment Series 2001 A (NR/NR)
	50,000		8.375			05/01/17		51,214
	Cory Lakes Community Development District Special Assessment Series 2001 B (NR/NR)
	190,000		8.375			05/01/17		194,615
	Country Walk Community Development District Special Assessment RB Refunding Senior Lien Series 2015 A-1 (BBB+/NR)
	975,000		3.750			05/01/29		1,004,562
	1,785,000		4.125			05/01/35		1,855,597
	Durbin Crossing Community Development District Special Assessment Series 2005 A (NR/NR)
	35,920,000		5.500			05/01/37		35,144,846
	Escambia County Health Facilities Authority Health Care Facilities RB for Baptist Hospital, Inc. Project Series 2010 A (A-/A3)
	27,000,000		6.000			08/15/36		31,058,100
	Estancia at Wiregrass Community Development District Capital Improvement RB Series 2013 (NR/NR)
	1,270,000		6.375			11/01/26		1,501,800
	3,250,000		7.000			11/01/45		4,020,315
	Estancia at Wiregrass Community Development District Capital Improvements RB Series 2015 (NR/NR)
	1,000,000		5.250			11/01/35		1,061,590
	1,500,000		5.375			11/01/46		1,572,060
	Fishhawk Community Development District II Special Assessment RB Refunding Series 2013 A (A-/NR)
	1,480,000		4.375			05/01/34		1,575,075
	Florida Higher Educational Facilities Financing Authority RB Refunding for Nova Southeastern University Project Series 2012 A (A-/NR)
	600,000		5.000			04/01/32		695,496
	5,820,000		5.250			04/01/42		6,674,725
	Fontainbleau Lakes Community Development District Special Assessment RB Refunding Series 2016 (BBB+/NR)(h)
	700,000		4.000			05/01/31		740,383
	1,000,000		4.125			05/01/38		1,046,970
	Grand Bay at Doral Community Development District Special Assessment for South Parcel Assessment Area Project Series 2016 (NR/NR)
	1,925,000		4.750			05/01/36		1,960,535
	3,425,000		5.000			05/01/46		3,492,781
	Greater Orlando Aviation Authority Airport Facilities RB Refunding for Jetblue Airways Corp. Project Series 2013 (AMT) (NR/NR)
	3,165,000		5.000			11/15/26		3,416,744
	5,000,000		5.000			11/15/36		5,290,700
	State-Specific Municipal Debt Obligations – (continued)
	Florida – (continued)
	Greeneway Improvement District Special Assessment RB Series 2013 (NR/NR)
$	11,555,000		5.125	%		05/01/43	$	12,095,427
	Hacienda Lakes Community Development District Special Assessment Refunding Series 2016 (NR/NR)
	1,525,000		4.500			05/01/36		1,509,293
	2,305,000		4.625			05/01/46		2,281,097
	Heritage Harbour Market Place Community Development District Special Assessment for Capital Improvement Series 2005 (NR/NR)(g)
	7,555,000		5.600			05/01/36		3,777,576
	Heritage Harbour North Community Development District Special Assessment Series 2014 (NR/NR)
	1,100,000		5.000			05/01/34		1,162,975
	2,170,000		5.125			05/01/45		2,350,218
	Heritage Harbour South Community Development District RB Refunding for Senior Lien Capital Improvement Series 2013 A-1 (A/NR)
	500,000		5.050			05/01/31		539,655
	500,000		5.150			05/01/34		534,120
	Heritage Isle At Viera Community Development District Special Assessment Series 2005 (NR/NR)
	5,120,000		5.550			05/01/37		5,123,123
	Heritage Lake Park Community Development District Special Assessment Series 2005 (NR/NR)
	2,195,000		5.700			05/01/36		2,197,963
	Heritage Landing Community Development District Special Assessment Refunding Bonds Series 2015 (BBB/NR)
	2,205,000		4.200			05/01/31		2,345,304
	Heritage Landing Community Development District Special Assessment Refunding Series 2015 (BBB/NR)
	2,000,000		4.350			05/01/36		2,111,260
	Highlands Community Development District Special Assessment Refunding Series 2016 (BBB-/NR)(h)
	1,000,000		4.250			05/01/31		1,068,740
	2,150,000		4.250			05/01/36		2,270,852
	Islands At Doral III Community Development District Special Assessment Refunding Series 2013 (A-/NR)
	2,500,000		4.125			05/01/35		2,655,850
	Lakewood Ranch Stewardship District Special Assessment for Lake Club Project Series 2005 (NR/NR)
	2,650,000		7.210			11/01/20		2,855,163
	Lakewood Ranch Stewardship District Special Assessment for Lake Club Project Series 2006 B (NR/NR)
	6,275,000		6.770			11/01/20		6,660,411
	Lakewood Ranch Stewardship District Special Assessment RB for Country Club East Project Series 2013 A (NR/NR)
	2,380,000		6.700			05/01/33		2,759,991
	4,830,000		7.000			05/01/43		5,684,379
	Lakewood Ranch Stewardship District Special Assessment RB for Country Club East Project Series 2014 (NR/NR)
	4,465,000		5.350			05/01/34		4,761,967
	6,340,000		5.600			05/01/44		6,767,380

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

GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	Florida – (continued)
	Lakewood Ranch Stewardship District Special Assessment RB for Lakewood Centre & NW Sector Project Series 2011 (NR/NR)
$	19,610,000		8.000	%		05/01/40	$	24,099,121
	Lakewood Ranch Stewardship District Special Assessment RB for Lakewood Centre North Project Series 2015 (NR/NR)
	3,000,000		4.875			05/01/45		3,128,130
	Lakewood Ranch Stewardship District Special Assessment RB for Villages of Lakewood Ranch South Project Series 2016 (NR/NR)
	1,705,000		4.000			05/01/21		1,773,319
	1,335,000		4.250			05/01/26		1,409,974
	3,935,000		5.000			05/01/36		4,203,288
	7,795,000		5.125			05/01/46		8,221,543
	Lee County IDA Health Care Facilities RB for Shell Point/ Alliance Obligation Group Series 2006 (BBB/NR)
	17,960,000		5.125			11/15/36		18,046,567
	Lee County IDA Health Care Facilities RB Refunding for Shell Point Project Series 2011 B (BBB/NR)
	2,600,000		6.500			11/15/31		3,042,910
	Lee County IDA Health Care Facilities RB Refunding for Shell Point/Alliance Community Project Series 2007 (BBB/NR)
	9,000,000		5.000			11/15/29		9,156,870
	Longleaf Community Development District Special Assessment Refunding Series 2005 (NR/NR)
	4,450,000		5.400			05/01/30		4,052,037
	Longleaf Community Development District Special Assessment Refunding Series 2006 (NR/NR)(g)
	2,635,000		5.375			05/01/30		1,712,750
	Marshall Creek Community Development District Special Assessment Refunding Series 2015 A (NR/NR)
	1,940,000		5.000			05/01/32		2,018,104
	Meadow Pointe IV Community Development District RB for Capital Improvement Series 2005 (NR/NR)(g)
	880,000		5.250			05/01/15		9
	Meadow Pointe IV Community Development District RB for Capital Improvement Series 2007 B (NR/NR)(g)
	1,380,000		6.150			11/01/14		14
	Meadow Pointe IV Community Development District RB for Capital Improvement Series 2012 A-1 (NR/NR)
	420,000		6.000			05/01/36		418,064
	Meadow Pointe IV Community Development District RB for Capital Improvement Series 2012 A-2 (NR/NR)
	815,000		6.250			05/01/38		811,129
	Meadow Pointe IV Community Development District RB for Capital Improvement Series 2012 B (NR/NR)
	785,000		6.810			05/01/20		796,076
	Meadow Pointe IV Community Development District RB for Capital Improvement Series 2014 A (NR/NR)(a)
	645,000		0.000			05/01/35		658,790
	Meadow Pointe IV Community Development District RB for Capital Improvement Series 2014 B (NR/NR)(a)
	575,000		0.000			05/01/22		584,775
	Meadow Pointe IV Community Development District Special Assessment for Capital Improvement Series 2005 (NR/NR)(g)
	1,075,000		5.250			05/01/15		11
	State-Specific Municipal Debt Obligations – (continued)
	Florida – (continued)
	Miami Beach Health Facilities Authority Hospital RB Refunding for Mount Sinai Medical Center of Florida Series 2014 (BBB+/Baa1)
$	1,500,000		5.000	%		11/15/39	$	1,711,050
	Miami Special Obligation RB Refunding for Port of Miami Tunnel Project Series 2012 (A/A1)(f)
	11,760,000		5.000			03/01/30		13,855,514
	Midtown Miami Community Development District Special Assessment RB Refunding for Parking Garage Project Series 2014 A (NR/NR)
	3,465,000		5.000			05/01/29		3,742,373
	3,270,000		5.000			05/01/37		3,513,942
	Miromar Lakes Community Development District RB Refunding for Capital Improvement Series 2015 (NR/NR)
	3,265,000		5.000			05/01/28		3,463,447
	2,000,000		5.000			05/01/35		2,068,960
	Monterra Community Development District Special Assessment Refunding Bonds Series 2015 (AGM) (AA/NR)
	1,820,000		3.500			05/01/36		1,874,400
	Naples Reserve Community Development District Special Assessment Bonds Series 2014 (NR/NR)
	750,000		5.250			11/01/35		797,085
	1,250,000		5.625			11/01/45		1,344,137
	New River Community Development District Special Assessment RB for Capital Improvement Series 2010 A-1 (NR/NR)
	1,955,000		5.750			05/01/38		1,956,408
	New River Community Development District Special Assessment RB for Capital Improvement Series 2010 B-1 (NR/NR)
	910,000		5.000			05/01/19		914,541
	New River Community Development District Special Assessment Series 2006 B (NR/NR)(g)
	3,260,000		5.000			05/01/13		33
	Orlando Florida Community Redevelopment Agency Tax Increment RB Refunding for Conroy Road District Series 2012 (A-/NR)
	1,680,000		5.000			04/01/24		1,937,930
	1,765,000		5.000			04/01/25		2,028,056
	1,005,000		5.000			04/01/26		1,150,303
	Overoaks Community Development District RB for Capital Improvement Series 2010 A-1 (NR/NR)
	970,000		6.125			05/01/35		971,717
	Overoaks Community Development District RB for Capital Improvement Series 2010 A-2 (NR/NR)
	1,345,000		6.125			05/01/35		1,347,381
	Overoaks Community Development District RB for Capital Improvement Series 2010 B (NR/NR)
	1,200,000		5.125			05/01/17		1,202,340
	Overoaks Community Development District Special Assessment for Capital Improvement Series 2004 A (NR/NR)(g)
	1,200,000		5.125			05/01/09		600,000
	210,000		6.125			05/01/35		105,000
	Palm Glades Community Development District Special Assessment Refunding Bonds Series 2016 (BBB/NR)
	1,830,000		3.750			05/01/31		1,880,416
	1,875,000		4.000			05/01/36		1,936,763

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

GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	Florida – (continued)
	Panther Trace II Community Development District Special Assessment RB Refunding Series 2014 (AGM) (AA/NR)
$	530,000		4.125	%		05/01/35	$	560,374
	Paseo Community Development District Capital Improvement Revenue Bonds Capital Appreciation Series 2011 A-2 (NR/NR)(a)
	17,760,000		0.000			05/01/36		9,092,587
	Paseo Community Development District Capital Improvement Revenue Bonds Special Assessment Series 2011 A-1 (NR/NR)
	1,985,000		5.400			05/01/36		1,989,982
	Paseo Community Development District RB for Capital Improvement Series 2005 A (NR/NR)(g)
	6,355,000		5.400			05/01/36		64
	Paseo Community Development District RB for Capital Improvement Series 2005 B (NR/NR)(g)
	3,670,000		4.875			05/01/10		37
	Paseo Community Development District RB for Capital Improvement Series 2006 (NR/NR)(g)
	2,600,000		5.000			02/01/11		26
	Portofino Isles Community Development District Special Assessment RB Refunding Series 2013 (BBB-/NR)
	2,805,000		4.750			05/01/33		2,973,693
	Reunion East Community Development District Special Assessment Refunding Bonds Series 2015 1 (NR/NR)
	2,390,000		6.600			05/01/33		2,438,374
	Reunion East Community Development District Special Assessment Refunding Bonds Series 2015 A (NR/NR)
	3,070,000		5.000			05/01/25		3,413,134
	6,745,000		5.000			05/01/33		7,446,480
	Reunion East Community Development District Special Assessment Series 2002 A-2 (NR/NR)(g)
	2,170,000		7.200			05/01/22		22
	River Bend Community Development District Special Assessment RB Refunding Senior Series 2016 A-1 (BBB+/NR)
	2,395,000		4.000			05/01/31		2,531,587
	1,290,000		4.000			05/01/35		1,342,051
	River Hall Community Development District Special Assessment for Capital Improvement Series 2011 A (NR/NR)
	4,925,000		5.450			05/01/36		4,926,478
	Sandy Creek Community Development District Special Assessment Refunding Series 2007 B (NR/NR)
	1,530,000		5.500			05/01/20		1,546,218
	Sarasota County Public Hospital District RB for Sarasota Memorial Hospital Project Series 2009 A (AA-/A1)
	1,500,000		5.625			07/01/39		1,665,810
	South Kendall Community Development District Special Assessment Refunding Series 2016 (BBB-/NR)
	1,345,000		4.250			11/01/37		1,417,119
	330,000		4.125			11/01/40		342,824
	South Kendall Community Development District Special Assessment Series 2010 A (NR/NR)(c)
	1,890,000		6.200			11/01/17		1,996,842
	State-Specific Municipal Debt Obligations – (continued)
	Florida – (continued)
	South Village Community Development District Capital Improvement and Special Assessment Refunding Senior Lien Series 2016 A-1 (BBB/NR)
$	805,000		3.500	%		05/01/32	$	801,152
	505,000		3.625			05/01/35		500,607
	1,035,000		3.750			05/01/38		1,025,902
	South Village Community Development District Capital Improvement and Special Assessment Refunding Subordinate Lien Series 2016 A-2 (NR/NR)
	645,000		4.350			05/01/26		651,024
	500,000		4.875			05/01/35		503,790
	100,000		5.000			05/01/38		100,753
	South-Dade Venture Community Development District Special Assessment RB Refunding Series 2013 (NR/NR)
	2,015,000		5.250			05/01/34		2,249,002
	Southern Hills Plantation I Community Development District Special Assessment for Capital Improvement Series 2011 A-1 (NR/NR)
	4,115,000		5.800			05/01/35		4,096,277
	Southern Hills Plantation I Community Development District Special Assessment for Capital Improvement Series 2011 A-2 (NR/NR)
	3,070,000		5.800			05/01/35		2,795,358
	Spring Ridge Community Development District Special Assessment RB Series A-1 (NR/NR)
	1,335,000		4.800			05/01/35		1,359,791
	St. Petersburg Health Facilities Authority RB Refunding for All Children’s Hospital Series 2009 A (AA-/Aa3)(c)
	5,835,000		6.500			11/15/19		6,815,572
	Sterling Hill Community Development District RB for Capital Improvement Series 2003 B (NR/NR)(g)
	440,000		5.500			11/01/10		314,600
	Stonebrier Community Development District Special Assessment Refunding Series 2016 (A-/NR)
	1,610,000		3.500			05/01/31		1,616,488
	900,000		4.000			05/01/37		920,844
	Stonegate Community Development District Special Assessment Refunding Bonds Series 2013 (NR/NR)
	2,160,000		5.000			05/01/34		2,359,303
	Stoneybrook South Community Development District Special Assessment Bonds Refunding for Assessment Area Two-A Project Series 2014 (NR/NR)
	1,500,000		5.125			11/01/34		1,608,735
	3,500,000		5.500			11/01/44		3,771,040
	Stoneybrook South Community Development District Special Assessment RB Refunding for Assessment Area One Project Series 2013 (NR/NR)
	2,440,000		6.500			05/01/39		2,952,376
	Talis Park Community Development District Capital Improvement RB Series 2013 (NR/NR)
	1,370,000		5.250			11/01/34		1,456,324
	2,365,000		6.000			11/01/44		2,663,084

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

GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	Florida – (continued)
	Tapestry Community Development District Special Assessment RB Series 2016 (NR/NR)
$	390,000		4.250	%		05/01/26	$	396,611
	1,110,000		4.800			05/01/36		1,131,301
	1,715,000		5.000			05/01/46		1,747,602
	Tison’s Landing Community Development District Special Assessment RB Refunding & Improvement Bonds Senior Series 2016 A-1 (BBB/NR)
	700,000		3.375			05/01/32		687,078
	1,355,000		3.600			05/01/37		1,329,824
	Toscana Isles Community Development District Special Assessment RB Series 2014 (NR/NR)
	480,000		5.750			11/01/27		517,397
	2,000,000		6.250			11/01/44		2,292,360
	TSR Community Development District Special Assessment RB for Village 4 Project Series 2015 A (NR/NR)
	465,000		4.250			11/01/21		479,164
	2,440,000		5.625			11/01/45		2,561,048
	Turnbull Creek Community Development District Senior Special Assessment Refunding Series 2015 A-1 (BBB/NR)
	2,270,000		4.375			05/01/35		2,407,312
	Two Creeks Community Development District RB Refunding for Capital Improvement Senior Lien Series 2016 A-1 (BBB-/NR)
	1,800,000		3.500			05/01/32		1,772,316
	2,695,000		3.625			05/01/37		2,609,326
	Two Creeks Community Development District RB Refunding for Capital Improvement Subordinate Lien Series 2016 A-2 (NR/NR)
	625,000		4.750			05/01/37		617,700
	Venetian Community Development District Capital Improvement RB Refunding Series 2012 A-1 (NR/NR)
	500,000		5.500			05/01/34		540,485
	750,000		6.125			05/01/42		821,040
	Venetian Parc Community Development District Special Assessment Area One Project Series 2013 (NR/NR)
	620,000		6.000			11/01/27		738,972
	2,050,000		6.500			11/01/43		2,814,773
	Venetian Parc Community Development District Special Assessment Area Two Project Series 2013 (NR/NR)
	880,000		6.375			11/01/27		1,001,229
	2,300,000		7.125			11/01/44		2,713,310
	Verano #1 Community Development District Special Assessment Bonds for District #1 Project Series 2015 (NR/NR)
	750,000		5.125			11/01/35		786,832
	1,000,000		5.250			11/01/46		1,052,230
	Village Community Development District No. 10 Special Assessment RB Series 2012 (NR/NR)
	2,700,000		5.000			05/01/32		3,025,161
	6,365,000		5.125			05/01/43		7,161,898
	Village Community Development District No. 10 Special Assessment RB Series 2014 (NR/NR)
	5,000,000		6.000			05/01/44		5,974,150
	Village Community Development District No. 5 Special Assessment RB Refunding Phase I Series 2013 (A/NR)
	1,660,000		4.000			05/01/33		1,723,146
	State-Specific Municipal Debt Obligations – (continued)
	Florida – (continued)
	Village Community Development District No. 5 Special Assessment RB Refunding Phase II Series 2013 (A/NR)
$	2,320,000		4.000	%		05/01/34	$	2,397,163
	Village Community Development District No. 8 Special Assessment RB Series 2008 (NR/NR)
	7,600,000		6.375			05/01/38		8,124,248
	Village Community Development District No. 8 Special Assessment Refunding Phase II Series 2010 (NR/NR)
	7,955,000		6.125			05/01/39		9,193,832
	Village Community Development District No. 9 Special Assessment RB Series 2011 (NR/NR)
	4,860,000		7.000			05/01/41		5,881,135
	Village Community Development District No. 9 Special Assessment Refunding Series 2012 (NR/NR)
	1,975,000		5.500			05/01/42		2,265,878
	Villasol Community Development District RB Series 2003 A (NR/NR)
	2,195,000		6.600			05/01/34		2,196,580
	Waters Edge Community Development District Capital Improvement RB Refunding Series 2012 A-1 (NR/NR)
	14,000		5.350			05/01/39		14,003
	Waters Edge Community Development District Capital Improvement RB Refunding Series 2012 A-2 (NR/NR)
	630,000		6.600			05/01/39		569,331
	Waters Edge Community Development District Pasco County Capital Improvement RB Refunding Senior Lien Series 2015 A-1 (BBB+/NR)
	3,240,000		4.200			05/01/36		3,416,483
	Waterset North Community Development District Special Assessment RB Series 2014 (NR/NR)
	1,240,000		5.125			11/01/35		1,273,344
	2,000,000		5.500			11/01/45		2,060,320
	Winding Cypress Community Development District Special Assessment Phase 1 And Phase 2 Assessment Area Series 2015 (NR/NR)
	350,000		4.000			11/01/20		353,605
	400,000		4.375			11/01/25		412,848
	1,770,000		5.000			11/01/45		1,819,312
	Wiregrass Community Development District Capital Improvement RB Series 2014 (NR/NR)
	485,000		5.375			05/01/35		524,202
	3,060,000		5.625			05/01/45		3,282,248
	Wiregrass Community Development District Capital Improvement RB Series 2016 (NR/NR)
	780,000		4.875			05/01/36		797,644
	1,445,000		5.000			05/01/47		1,476,934
								591,576,749
	Georgia – 1.7%
	Altlanta Development Authority RB for New Downtown Atlanta Stadium Project Senior Lien Series 2015 A-1 (A+/Aa3)
	1,500,000		5.250			07/01/40		1,819,335
	5,500,000		5.250			07/01/44		6,646,915
	Altlanta Development Authority RB for New Downtown Atlanta Stadium Project Senior Lien Series 2015 B (A/A1)
	1,000,000		4.000			07/01/40		1,079,530

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

GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	Georgia – (continued)
	Atlanta Tax Allocation for Beltline Project RMKT 12/15/09 Series 2009 A (NR/A2)
$	7,095,000		7.500	%		01/01/31	$	7,981,591
	Clayton County Development Authority Special Facilities RB for Delta Airlines, Inc. Series 2009 A (BB/Baa3)
	11,700,000		8.750			06/01/29		14,236,560
	Fulton County Development Authority RB for Tuff Caub LLC Project Series 2007 A (NR/NR)
	2,015,000		5.250			11/01/28		2,020,743
	Marietta Development Authority University Facilities RB Refunding for Life University, Inc. Project Series 2008 (NR/Ba3)
	2,500,000		7.000			06/15/39		2,620,650
	Milledgeville & Baldwin County Development Authority Student Housing RB Refunding for Georgia College & State University Foundation Property V, LLC Project Series 2007 (AMBAC) (A+/WR)(b)
	49,820,000		1.083			10/01/33		44,643,702
								81,049,026
	Guam – 1.5%
	Guam Government Department of Education COPS for John F. Kennedy High School Project Series 2010 A (B+/NR)
	2,500,000		6.625			12/01/30		2,755,325
	3,355,000		6.875			12/01/40		3,702,410
	Guam Government Limited Obligation RB Section 30 Series 2009 A (BBB+/NR)(c)
	3,000,000		5.625			12/01/19		3,432,930
	2,750,000		5.750			12/01/19		3,157,495
	Guam Government Limited Obligation RB Section 30 Series 2016 A (BBB+/NR)
	3,410,000		5.000			12/01/46		3,978,413
	Guam International Airport Authority RB Refunding for Series 2013 C (AMT) (AGM) (AA/A2)
	7,300,000		6.125			10/01/43		8,793,288
	Guam International Airport Authority RB Refunding for Series 2013 C (AMT) (BBB/Baa2)
	2,000,000		6.375			10/01/43		2,394,480
	Guam Power Authority RB Series 2010 A (BBB/Baa2)
	10,000,000		5.500			10/01/40		11,080,200
	Guam Waterworks Authority RB for Water & Wastewater System Series 2010 (A-/Baa2)
	9,785,000		5.625			07/01/40		10,757,727
	Guam Waterworks Authority RB for Water & Wastewater System Series 2013 (A-/Baa2)
	13,705,000		5.500			07/01/43		15,985,375
	Guam Waterworks Authority RB for Water & Wastewater System Series 2016 (A-/Baa2)
	4,530,000		5.000			01/01/46		5,215,615
								71,253,258
	Idaho – 0.0%
	Idaho Health Facilities Authority RB Refunding for Madison Memorial Hospital Project Series 2016 (BB+/NR)
	1,000,000		5.000			09/01/37		1,147,170
	State-Specific Municipal Debt Obligations – (continued)
	Illinois – 12.1%
	Chicago Illinois Board of Education GO Bonds Capital Appreciation for School Reform Series 1998 B-1 (NATL-RE) (AA-/A3)(d)
$	2,500,000		0.000	%		12/01/27	$	1,596,650
	350,000		0.000			12/01/28		211,428
	8,925,000		0.000			12/01/29		5,060,386
	405,000		0.000			12/01/30		217,209
	Chicago Illinois Board of Education GO Bonds Capital Appreciation for School Reform Series 1999 A (NATL-RE) (AA-/A3)(d)
	125,000		0.000			12/01/29		70,965
	150,000		0.000			12/01/30		80,448
	Chicago Illinois Board of Education GO Bonds Capital Appreciation Refunding for School Reform Series 1999 A (NATL-RE) (AA-/A3)(d)
	15,035,000		0.000			12/01/31		7,614,175
	Chicago Illinois Board of Education GO Bonds Refunding for School Reform Series 1999 A (NATL-RE) (AA-/A3)
	9,535,000		5.500			12/01/26		11,161,290
	Chicago Illinois Board of Education GO Bonds Refunding Series 2005 A (AMBAC) (B+/B3)
	8,965,000		5.500			12/01/29		9,653,064
	Chicago Illinois Board of Education GO Bonds Series 2011 A (B+/B3)
	3,320,000		5.000			12/01/41		3,036,007
	Chicago Illinois Board of Education GO Bonds Series 2012 A (B+/B3)
	10,550,000		5.000			12/01/42		9,459,341
	Chicago Illinois Board of Education Unlimited Tax GO Bonds for Dedicated Alternate Revenues Series 2015 C (B+/NR)
	15,805,000		5.250			12/01/35		14,945,998
	15,235,000		5.250			12/01/39		14,247,010
	Chicago Illinois Board of Education Unlimited Tax GO Bonds for Dedicated Alternate Revenues Series 2015 E (B+/NR)
	5,315,000		5.125			12/01/32		4,973,352
	Chicago Illinois Board of Education Unlimited Tax GO Bonds for Dedicated Revenues Series 2011 A (B+/B3)
	315,000		5.500			12/01/39		299,937
	Chicago Illinois Board of Education Unlimited Tax GO Bonds Refunding for Dedicated Revenues Series 2005 A (AMBAC) (B+/B3)
	2,300,000		5.500			12/01/30		2,473,696
	Chicago Illinois Board of Education Unlimited Tax GO Bonds Refunding for Dedicated Revenues Series 2008 C (B+/B3)
	6,325,000		5.000			12/01/28		5,877,063
	Chicago Illinois Board of Education Unlimited Tax GO Bonds Refunding for Dedicated Revenues Series 2016 A (B+/NR)
	96,440,000		7.000			12/01/44		102,727,888
	Chicago Illinois Board of Education Unlimited Tax GO Refunding for Dedicated Revenues Series 2016 B (B+/NR)
	19,315,000		6.500			12/01/46		19,935,784
	Chicago Illinois Capital Appreciation Refunding & Project Series C (BBB+/Ba1)(d)
	11,415,000		0.000			01/01/32		5,008,217

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

GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	Illinois – (continued)
	Chicago Illinois GO Bonds Project and Refunding RMKT 06/08/15 Series 2005 D (BBB+/Ba1)
$	1,700,000		5.500	%		01/01/37	$	1,794,265
	Chicago Illinois GO Bonds Project Refunding Series 2014 A (BBB+/Ba1)
	8,375,000		5.250			01/01/33		8,790,484
	6,295,000		5.000			01/01/34		6,534,462
	10,500,000		5.000			01/01/36		10,846,815
	Chicago Illinois GO Bonds Project Series 2011 A (BBB+/Ba1)
	1,500,000		5.250			01/01/35		1,540,545
	3,000,000		5.000			01/01/40		3,034,020
	Chicago Illinois GO Bonds Project Series 2012 A (BBB+/Ba1)
	15,000,000		5.000			01/01/33		15,451,350
	3,850,000		5.000			01/01/34		3,960,418
	Chicago Illinois GO Bonds Refunding RMKT 06/08/15 Series 2007 F (BBB+/Ba1)
	2,500,000		5.500			01/01/42		2,629,900
	Chicago Illinois GO Bonds Refunding Series 2009 C (BBB+/Ba1)
	3,825,000		5.000			01/01/40		3,861,797
	Chicago Illinois GO Bonds Refunding Series 2014 A (BBB+/Ba1)
	4,230,000		5.000			01/01/35		4,377,627
	Chicago Illinois GO Bonds Refunding Series 2015 C (BBB+/NR)
	4,435,000		5.000			01/01/25		4,798,404
	13,300,000		5.000			01/01/38		13,787,046
	Chicago Illinois GO Bonds Series 2015 A (BBB+/NR)
	4,180,000		5.500			01/01/39		4,403,003
	Chicago Illinois Second Lien RB Refunding for Wastewater Transmission RMKT 10/19/15 Series 2008 C (A/NR)
	1,500,000		5.000			01/01/39		1,709,265
	Chicago Illinois Water RB Refunding Second Lien Project RMKT 05/23/16 Series 2000 (A/Baa2)
	1,500,000		5.000			11/01/28		1,798,050
	1,050,000		5.000			11/01/29		1,253,532
	1,000,000		5.000			11/01/30		1,191,900
	Cortland Illinois Special Service Area No. 9 Special Tax Bonds for Richland Trails Project Series 2007-1 (NR/NR)
	2,111,000		5.800			03/01/37		2,100,867
	Du Page County Special Service Area No. 31 Special Tax for Monarch Landing Project Series 2006 (NR/NR)
	1,450,000		5.625			03/01/36		1,456,366
	Illinois Finance Authority RB for Christian Homes, Inc. Series 2007 A (BBB-/NR)
	2,780,000		5.750			05/15/31		2,850,334
	Illinois Finance Authority RB for Christian Homes, Inc. Series 2007 A (NR/NR)(c)
	1,720,000		5.750			05/15/17		1,771,136
	Illinois Finance Authority RB for Christian Homes, Inc. Series 2010 (BBB-/NR)
	805,000		6.125			05/15/27		892,495
	Illinois Finance Authority RB for Christian Homes, Inc. Series 2010 (NR/NR)(c)
	445,000		6.125			05/15/20		525,162
	Illinois Finance Authority RB for Midwest Regional Medical Center Series 2006 A (NR/NR)(f)
	33,670,000		6.750			10/01/46		33,774,714
	State-Specific Municipal Debt Obligations – (continued)
	Illinois – (continued)
	Illinois Finance Authority RB Refunding for Franciscan Communities, Inc. Series 2013 A (BBB-/NR)
$	4,500,000		5.250	%		05/15/47	$	4,944,330
	Illinois Finance Authority RB Refunding for Illinois Wesleyan University Series 2016 (A-/Baa1)
	2,240,000		5.000			09/01/46		2,559,469
	Illinois Finance Authority RB Refunding for OSF Healthcare System Series 2010 A (A/A2)
	17,000,000		6.000			05/15/39		19,433,890
	Illinois Finance Authority Recovery Zone Facility RB for Navistar International Corp. Project Series 2010 (CCC-/Caa1)
	15,650,000		6.500			10/15/40		16,461,609
	Illinois Finance Authority Student Housing RB for MJH Educational Assistance IV Series 2004 B (NR/C)(g)
	3,225,000		5.000			06/01/24		967,500
	8,000,000		5.375			06/01/35		2,400,000
	Illinois Finance Authority Student Housing RB for MJH Educational Assistance IV Series 2004 B (NR/WR)(g)
	15,000		4.500			06/01/14		4,500
	Illinois State GO Bonds Series 2012 (BBB+/Baa2)
	500,000		5.000			03/01/31		536,120
	750,000		5.000			03/01/37		793,582
	Illinois State GO Bonds Series 2013 (BBB+/Baa2)
	5,050,000		5.500			07/01/38		5,635,295
	Illinois State GO Bonds Series 2014 (AGM) (AA/A2)
	20,000,000		5.000			02/01/39		21,949,200
	Illinois State GO Bonds Series 2014 (BBB+/Baa2)
	9,500,000		5.000			04/01/31		10,392,335
	15,000,000		5.000			05/01/31		16,422,300
	5,000,000		5.000			05/01/39		5,364,250
	Illinois State Toll Highway Authority Toll Highway Senior RB 2015 Series A (AA-/Aa3)
	7,920,000		5.000			01/01/40		9,268,776
	Lincolnshire Special Service Area No. 1 Special Tax for Sedgebrook Project Series 2004 A (NR/NR)
	2,163,000		6.250			03/01/34		2,167,348
	Metropolitan Pier & Exposition Authority RB for McCormick Place Expansion Project Residual Series 2002 A (NATL-RE) (AA-/A3)(d)
	9,900,000		0.000			06/15/30		5,856,939
	Metropolitan Pier & Exposition Authority RB for McCormick Place Expansion Project Residual Series 2010 A-3219 (BBB/NR)(f)(i)
	20,000,000		9.638			06/15/50		22,535,600
	Metropolitan Pier & Exposition Authority RB Refunding Capital Appreciation for McCormick Place Expansion Project Series 2010 B1 (AGM) (AA/A2)(d)
	3,200,000		0.000			06/15/44		1,014,848
	Plano Special Service Area No. 5 Special Tax for Lakewood Springs Club Unit 6 Series 2006 (NR/NR)(g)
	4,555,000		6.000			03/01/36		2,915,200
	Quad Cities Regional Economic Development Authority RB for Augustana College Series 2012 (NR/Baa1)
	840,000		4.750			10/01/29		928,763
	1,010,000		4.750			10/01/32		1,104,485

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

GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	Illinois – (continued)
	Regional Transportation Authority Illinois GO Bonds Series 2016 A (AA/Aa3)
$	7,730,000		4.000	%		06/01/46	$	8,220,082
	Southwestern Illinois Development Authority Health Facility RB for Memorial Group, Inc. Series 2013 (AA/NR)
	19,200,000		7.125			11/01/43		25,763,904
	5,000,000		7.625			11/01/48		6,925,850
	Southwestern Illinois Development Authority RB Capital Appreciation for United States Steel Corporation Project Series 2012 (AMT) (B/Caa1)
	12,505,000		5.750			08/01/42		11,449,328
	Springfield Illinois Senior Lien Electric RB Refunding Series 2015 (AGM) (AA/A2)
	13,625,000		4.000			03/01/40		14,557,222
	3,000,000		5.000			03/01/40		3,486,330
								577,842,920
	Indiana – 0.8%
	Anderson Indiana Economic Development RB Refunding & Improvement for Anderson University Project Series 2007 (BB+/NR)
	1,355,000		5.000			10/01/24		1,362,981
	1,500,000		5.000			10/01/32		1,502,055
	Gary/Chicago International Airport Authority Airport Development Zone RB Series 2014 (AMT) (BBB+/NR)
	1,300,000		5.000			02/01/29		1,393,249
	1,250,000		5.250			02/01/34		1,339,250
	1,500,000		5.000			02/01/39		1,559,535
	Indiana Finance Authority Environmental Improvement RB for United States Steel Corp. Project Series 2012 (AMT) (B/Caa1)
	795,000		5.750			08/01/42		727,886
	Indiana Finance Authority Hospital RB for Indiana University Health Obligated Group Series 2011 N (AA-/Aa3)
	2,000,000		5.125			03/01/38		2,243,420
	Indiana Finance Authority Midwestern Disaster Relief RB for Ohio Valley Electric Co. Project Series 2012 A (BBB-/Baa3)
	6,825,000		5.000			06/01/39		7,227,265
	Indiana Finance Authority RB for Private Activity for Ohio River Bridges East End Crossing Project Series 2013 A (AMT) (BBB/NR)
	6,250,000		5.000			07/01/48		7,125,875
	Indiana Municipal Power Agency Power Supply System RB Refunding Series 2016 A (A+/A1)
	7,750,000		5.000			01/01/42		9,230,638
	Indianapolis Airport Authority Special Facilities RB for United Air Lines, Inc. Project Series 1995 A (AMT) (NR/WR)(g)
	7,520,823		6.500			11/15/31		50,390
	Vigo County Hospital Authority RB for Vigo Union Hospital, Inc. Series 2007 (NR/NR)(c)(f)
	2,000,000		5.500			09/01/17		2,080,160
								35,842,704
	Iowa – 0.1%
	Coralville Iowa COPS Series 2006 D (NR/Ba2)
	2,550,000		5.250			06/01/26		2,557,268
	State-Specific Municipal Debt Obligations – (continued)
	Iowa – (continued)
	Pottawattamie County RB Refunding for Christian Homes, Inc. Series 2007 E (BBB-/NR)
$	1,355,000		5.750	%		05/15/31	$	1,389,281
								3,946,549
	Kentucky – 1.6%
	Kentucky Economic Development Finance Authority Hospital RB for Owensboro Medical Health System, Inc. Series 2010 A (BBB+/Baa3)
	8,000,000		6.375			06/01/40		9,151,520
	8,250,000		6.500			03/01/45		9,457,882
	Louisville & Jefferson County Metro Government Health System RB for Norton Healthcare, Inc. Series 2006 (A-/NR)
	6,815,000		5.000			10/01/30		6,815,000
	Louisville & Jefferson County Metro Government Health System RB for Norton Healthcare, Inc. Series 2013 A (A-/NR)
	5,000,000		5.750			10/01/42		6,050,350
	Louisville & Jefferson County Metro Government Health System RB for Norton Healthcare, Inc. Series 2016 A (A-/NR)
	17,575,000		4.000			10/01/34		19,289,090
	25,205,000		4.000			10/01/36		27,457,319
								78,221,161
	Louisiana – 2.5%
	Louisiana Local Government Environmental Facilities and Community Development Authority RB for Westlake Chemical Corp. Projects Series 2010 A-2 (BBB/Baa3)
	5,000,000		6.500			11/01/35		5,940,350
	Louisiana Local Government Environmental Facilities and Community Development Authority RB for Women’s Hospital Foundation Project Series 2010 A (A/A3)
	19,265,000		6.000			10/01/44		22,576,846
	Louisiana Public Facilities Authority RB Refunding for Energy LLC Project Series 2016 A (A/A2)
	14,475,000		3.375			09/01/28		15,018,391
	Louisiana Public Facilities Authority RB Refunding for Energy LLC Project Series 2016 B (A/A2)
	13,950,000		3.500			06/01/30		14,515,533
	New Orleans Aviation Board General Airport RB for North Terminal Project Series 2015 B (AMT) (A-/A3)
	12,000,000		5.000			01/01/40		13,768,200
	32,395,000		5.000			01/01/45		37,066,359
	New Orleans Aviation Board Gulf Opportunity Zone RB for Consolidated Rental Car Project Series 2009 A (A-/Baa1)
	7,470,000		6.500			01/01/40		8,250,690
								117,136,369
	Maryland – 1.1%
	Frederick County Maryland Educational Facilities RB for Mount St. Mary’s University Series 2007 (BB+/Ba2)
	2,590,000		5.000			09/01/30		2,620,769
	Frederick County Maryland Special Tax Limited Obligations Bonds for Jefferson Technology Park Series 2013 A (NR/NR)
	3,000,000		7.250			07/01/43		3,286,650

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

GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	Maryland – (continued)
	Frederick County Maryland Tax Incremental & Special Tax Limited Obligations Bonds for Jefferson Technology Park Series 2013 B (NR/NR)
$	8,860,000		7.125	%		07/01/43	$	10,055,037
	Maryland Stadium Authority RB for Baltimore City Public Schools Construction & Revitalization Program Series 2016 (AA-/Aa3)
	5,000,000		5.000			05/01/41		6,048,700
	10,000,000		5.000			05/01/46		12,050,200
	Maryland State Health & Higher Educational Facilities Authority RB for Doctors Community Hospital Series 2010 (BB+/Baa3)
	9,500,000		5.750			07/01/38		10,685,600
	Maryland State Health & Higher Educational Facilities Authority RB for Mercy Medical Center Series 2007 A (BBB/Baa2)(c)
	7,000,000		5.500			07/01/17		7,238,070
	Maryland State Health & Higher Educational Facilities Authority RB for Mercy Medical Center Series 2012 (BBB/Baa2)
	2,100,000		5.000			07/01/31		2,399,481
								54,384,507
	Massachusetts – 0.5%
	Massachusetts Development Finance Agency RB Series 2013 A (NR/NR)(f)
	2,250,000		6.500			11/15/43		2,475,157
	Massachusetts Development Finance Agency RB Simmons College Issue Series 2015 K (BBB+/Baa1)
	1,950,000		5.000			10/01/36		2,219,042
	Massachusetts State GO Bonds Consolidated Loan Series 2007 A (NATL-RE FGIC) (AA+/Aa1)(b)
	5,000,000		1.077			05/01/37		4,700,400
	Massachusetts State Health & Educational Facilities Authority RB for Suffolk University Series 2009 A (BBB/Baa2)
	12,500,000		5.750			07/01/39		13,948,625
								23,343,224
	Michigan – 1.7%
	Allen Park City Brownfield Redevelopment Authority Series 2007 (AMBAC) (CCC+/WR)
	7,095,000		5.000			05/01/32		7,100,250
	Detroit Michigan School District GO Bonds for School Building and Site Improvement Series 2002 A (FGIC-Q-SBLF) (AA-/Aa1)
	3,500,000		6.000			05/01/20		4,031,265
	3,000,000		6.000			05/01/21		3,554,940
	Detroit Michigan Sewage Disposal System RB Refunding Series 2006 D (AGM) (AA/A2)(b)
	4,675,000		1.033			07/01/32		4,285,573
	Detroit Michigan Water & Sewerage Department Sewage Disposal System RB Refunding Senior Lien Series 2012 A (A-/Baa1)
	2,000,000		5.250			07/01/39		2,272,780
	Michigan Finance Authority Local Government Loan Program RB Refunding for Detroit Financial Recovery Income Tax Local Project Series 2014 F (A/NR)
	2,000,000		4.500			10/01/29		2,201,260
	State-Specific Municipal Debt Obligations – (continued)
	Michigan – (continued)
	Michigan Finance Authority Local Government Loan Program RB Refunding for Detroit Water and Sewer Department Sewage Disposal System Second Lien Local Project Series 2015 C (BBB+/Baa2)
$	355,000		5.000	%		07/01/33	$	416,358
	Michigan Finance Authority Local Government Loan Program RB Refunding for Detroit Water and Sewer Series 2014 D-1 (AGM) (AA/A2)
	2,600,000		5.000			07/01/35		3,013,036
	Michigan Finance Authority Local Government Loan Program RB Refunding for Detroit Water and Sewerage Department Sewage Disposal System Local Project Senior Lien Series 2014 C-3 (AGM) (AA/A2)
	2,175,000		5.000			07/01/32		2,545,359
	1,750,000		5.000			07/01/33		2,041,305
	Michigan Finance Authority Local Government Loan Program RB Refunding for Detroit Water and Sewerage Department Water Supply System Series 2015 D-1 (A-/Baa1)
	1,250,000		5.000			07/01/34		1,452,350
	750,000		5.000			07/01/35		868,275
	Michigan Finance Authority Local Government Loan Program RB Refunding for Detroit Water and Sewerage Department Water Supply System Series 2015 D-2 (BBB+/Baa2)
	2,100,000		5.000			07/01/34		2,454,081
	Michigan Tobacco Settlement Finance Authority Asset Backed RB Senior Series 2007 A (B-/NR)
	3,330,000		6.000			06/01/48		3,346,883
	Michigan Tobacco Settlement Finance Authority RB for Capital Appreciation Series 2007 B (CCC+/NR)(d)
	284,775,000		0.000			06/01/52		11,604,581
	Michigan Tobacco Settlement Finance Authority RB for Capital Appreciation Series 2007 C (CCC/NR)(d)
	70,100,000		0.000			06/01/52		2,509,580
	Royal Oak Hospital Finance Authority RB for William Beaumont Hospital Series 2009 (NR/Aaa)(c)
	25,000,000		8.250			09/01/18		28,468,750
								82,166,626
	Minnesota – 0.2%
	Duluth Economic Development Authority Health Care Facilities RB for St. Luke’s Hospital Series 2012 (NR/NR)
	2,500,000		5.750			06/15/32		2,825,175
	3,750,000		6.000			06/15/39		4,311,375
								7,136,550
	Mississippi – 0.0%
	Mississippi Hospital Equipment & Facilities Authority RB Refunding & Improvement for South Central Hospital Series 2006 (BBB/NR)
	1,825,000		5.250			12/01/26		1,832,939
	Missouri – 0.1%
	Branson Regional Airport Transportation Development District RB for Branson Regional Airport Series 2007 A (NR/NR)(g)
	1,535,000		6.000			07/01/37		82,890

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

GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	Missouri – (continued)
	Branson Regional Airport Transportation Development District RB for Branson Regional Airport Series 2007 B (AMT) (NR/NR)(g)
$	7,750,000		6.000	%		07/01/25	$	418,500
	Kansas City Missouri Industrial Development Authority Senior Sales Tax RB Refunding and Improvement Bonds for Ward Parkway Center Community Improvement District Series 2016 A (NR/NR)(f)
	1,000,000		5.000			04/01/36		1,012,810
	1,150,000		5.000			04/01/46		1,136,004
	Stone Canyon Community Improvement District RB for Public Infrastructure Improvement Project Series 2007 (NR/NR)(g)
	1,250,000		5.750			04/01/27		312,500
	Strother Interchange Transportation Development District-Lees Summit RB Series 2006 (NR/NR)
	385,000		5.000			05/01/24		385,139
								3,347,843
	Nevada – 0.6%
	City of Las Vegas Special Improvement District No. 607 for Local Improvement Refunding Series 2013 (NR/NR)
	680,000		3.000			06/01/17		684,488
	670,000		4.000			06/01/18		688,492
	735,000		4.000			06/01/19		765,312
	625,000		4.000			06/01/20		659,781
	800,000		4.000			06/01/21		854,992
	435,000		5.000			06/01/22		489,810
	390,000		5.000			06/01/23		441,757
	200,000		4.250			06/01/24		216,980
	260,000		5.000			06/01/24		296,275
	Henderson Local Improvement District No. T-16 Special Assessment Limited Obligation Series 2005 (NR/NR)
	1,615,000		4.900			03/01/17		1,612,190
	2,025,000		5.000			03/01/20		2,002,786
	2,020,000		5.100			03/01/21		1,994,467
	1,060,000		5.100			03/01/22		1,039,616
	2,835,000		5.125			03/01/25		2,748,731
	Henderson Local Improvement District No. T-17 Special Assessment Limited Obligation Series 2005 (NR/NR)
	1,260,000		5.000			09/01/25		1,295,759
	Henderson Local Improvement District No. T-18 Limited Obligation Series 2016 (NR/NR)
	2,200,000		4.000			09/01/35		2,254,252
	Las Vegas Valley Water District GO Bonds for Water Improvement Series 2016 A (AA/Aa1)
	10,000,000		5.000			06/01/46		11,971,300
								30,016,988
	New Hampshire – 0.1%
	New Hampshire Health & Education Facilities Authority RB for The Memorial Hospital Series 2006 (BBB/Baa3)
	1,050,000		5.250			06/01/26		1,053,076
	4,185,000		5.250			06/01/36		4,195,086
								5,248,162
	State-Specific Municipal Debt Obligations – (continued)
	New Jersey – 4.2%
	New Jersey Economic Development Authority Cigarette Tax RB Refunding Series 2012 (BBB+/Baa1)
$	2,500,000		5.000	%		06/15/26	$	2,795,925
	1,000,000		5.000			06/15/28		1,107,250
	New Jersey Economic Development Authority Energy Facilities RB for UMM Energy Partners, LLC Project Series 2012 A (AMT) (NR/Baa3)
	1,000,000		4.750			06/15/32		1,075,750
	1,000,000		5.000			06/15/37		1,077,860
	1,000,000		5.125			06/15/43		1,081,040
	New Jersey Economic Development Authority Private Activity RB for Goethals Bridge Replacement Project Series 2013 (AMT) (BBB-/NR)
	1,000,000		5.375			01/01/43		1,164,060
	New Jersey Economic Development Authority RB for School Facilities Construction Series 2009 BB (A-/A3)(c)
	1,640,000		5.000			09/01/19		1,824,894
	New Jersey Economic Development Authority Special Facilities RB for Continental Airlines, Inc. Project Series 1998 (AMT) (BB-/B1)
	7,500,000		5.500			04/01/28		7,525,050
	New Jersey Economic Development Authority Special Facilities RB for Continental Airlines, Inc. Project Series 1999 (AMT) (BB-/B1)
	8,500,000		5.250			09/15/29		9,487,020
	New Jersey Economic Development Authority Special Facilities RB for Continental Airlines, Inc. Project Series 2000 A (AMT) (BB-/B1)
	5,000,000		5.625			11/15/30		5,768,000
	New Jersey Economic Development Authority Special Facilities RB for Continental Airlines, Inc. Project Series 2000 B (AMT) (BB-/B1)
	5,000,000		5.625			11/15/30		5,778,700
	New Jersey Health Care Facilities Financing Authority RB for St. Joseph’s Healthcare System Series 2008 (BBB-/Baa3)(c)
	31,880,000		6.625			07/01/18		35,062,262
	New Jersey Health Care Facilities Financing Authority RB for Trinitas Hospital Obligated Group Series 2007 A (BBB/Baa2)
	8,980,000		5.250			07/01/30		9,252,722
	New Jersey Health Care Facilities Financing Authority RB Refunding for University Hospital Series 2015 A (AGM) (AA/A2)
	9,700,000		4.125			07/01/38		10,634,692
	5,600,000		5.000			07/01/46		6,525,344
	New Jersey Health Care Facilities Financing Authority RB Refunding for Trinitas Regional Medical Center Series 2017 A (BBB/Baa2)(h)
	1,000,000		5.000			07/01/28		1,163,890
	1,000,000		5.000			07/01/29		1,156,010
	900,000		5.000			07/01/30		1,035,711
	New Jersey Transportation Trust Fund Authority RB Capital Appreciation for Transportation System Bonds Series 2006 C (AMBAC) (A-/A3)(d)
	3,900,000		0.000			12/15/35		1,792,908

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

GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	New Jersey – (continued)
	New Jersey Transportation Trust Fund Authority RB Capital Appreciation for Transportation System Bonds Series 2008 A (A-/A3)(d)
$	46,545,000		0.000	%		12/15/35	$	20,999,242
	New Jersey Transportation Trust Fund Authority RB Capital Appreciation for Transportation System Bonds Series 2010 A (A-/A3)(d)
	8,805,000		0.000			12/15/28		5,678,168
	4,875,000		0.000			12/15/36		2,135,250
	New Jersey Transportation Trust Fund Authority RB for Transportation Program Bonds 2015 Series AA (A-/A3)
	2,500,000		5.250			06/15/41		2,817,400
	5,075,000		5.000			06/15/45		5,506,375
	1,750,000		5.000			06/15/46		1,897,402
	New Jersey Transportation Trust Fund Authority RB for Transportation System Bonds Series 2006 C (NATL-RE) (AA-/A3)(d)
	25,900,000		0.000			12/15/27		17,524,976
	10,055,000		0.000			12/15/30		5,917,569
	New Jersey Transportation Trust Fund Authority RB for Transportation System Bonds Series 2011 B (A-/A3)
	12,875,000		5.000			06/15/42		14,130,184
	Newark New Jersey Housing Authority RB for South Ward Police Facility Series 2009 A (ASSURED GTY) (NR/A3)(c)
	2,000,000		6.750			12/01/19		2,359,740
	Tobacco Settlement Financing Corp. RB Senior Asset-Backed Bonds for Capital Appreciation Series 2007 1-A (B-/B3)
	3,950,000		4.750			06/01/34		3,776,792
	Tobacco Settlement Financing Corp. Tobacco Settlement Asset- Backed Bonds Series 2007 1-A (B-/B3)
	14,775,000		5.000			06/01/41		14,207,197
								202,259,383
	New Mexico – 0.3%
	Farmington New Mexico PCRB Refunding for Public Service Co. of New Mexico San Juan Project Series 2010 D (BBB+/Baa2)
	14,000,000		5.900			06/01/40		15,941,660
	New York – 3.5%
	Brooklyn Arena Local Development Corp. Pilot RB Refunding for Barclays Center Series 2016 A (AGM) (AA/A2)
	1,240,000		3.000			07/15/43		1,206,483
	Brooklyn Arena Local Development Corp. Pilot RB Refunding for Barclays Center Series 2016 A (NR/Baa3)
	5,775,000		5.000			07/15/42		6,885,590
	Chautauqua County Industrial Development Agency Exempt Facility RB for Dunkirk NRG Power Project Series 2009 (BB+/Baa3)
	2,650,000		5.875			04/01/42		2,854,262
	New York City Capital Resource Corp. RB for YMCA of Greater New York Project Series 2015 (A-/Baa1)
	1,000,000		5.000			08/01/40		1,153,980
	New York City GO Bonds Fiscal 2015 Series F Subseries F6 (AA/Aa2)(e)
	2,650,000		0.860			10/01/16		2,650,000
	State-Specific Municipal Debt Obligations – (continued)
	New York – (continued)
	New York City Housing Development Corp. Multi-Family Mortgage RB for 8 Spruce Street Series 2014 F (NR/NR)
$	2,000,000		4.500	%		02/15/48	$	2,186,060
	New York City Industrial Development Agency PILOT RB for Queens Baseball Stadium Project Series 2009 (ASSURED GTY) (AA/A3)
	1,000,000		6.125			01/01/29		1,105,170
	3,000,000		6.375			01/01/39		3,323,550
	5,000,000		6.500			01/01/46		5,543,550
	New York City Municipal Water Finance Authority RB for Water & Sewer System Second General Resolution Fiscal 2011 Subseries AA1 (AA+/Aa1)(e)
	2,500,000		0.860			10/01/16		2,500,000
	New York City Municipal Water Finance Authority RB for Water & Sewer System Second General Resolution Fiscal 2011 Subseries AA2 (AA+/Aa1)(e)
	1,165,000		0.860			10/01/16		1,165,000
	New York City Municipal Water Finance Authority RB for Water & Sewer System Second General Resolution Fiscal 2016 Subseries CC-1 (AA+/Aa1)
	10,000,000		5.000			06/15/37		12,358,900
	10,000,000		5.000			06/15/38		12,328,300
	New York City Transitional Finance Authority RB Future Tax Subordinate Fiscal 2013 Series C (AAA/Aa1)(e)
	1,000,000		0.860			10/01/16		1,000,000
	New York City Transitional Finance Authority RB Future Tax Subordinate Fiscal 2015 Subseries E-4 (AAA/Aa1)(e)
	7,250,000		0.860			10/01/16		7,250,000
	New York Convention Center Development Corporation RB Refunding for Hotel Unit Fee Secured Series 2015 (NR/Aa3)
	5,000,000		5.000			11/15/40		6,021,750
	New York Liberty Development Corporation RB for 3 World Trade Center Project Series 2014 (NR/NR)(f)
	35,100,000		5.000			11/15/44		40,392,378
	New York State Urban Development Corp. Personal Income Tax RB Refunding for State Facilities & Equipment RMKT 07/17/08 Series 2004 A-3-B (AAA/NR)(e)
	7,700,000		0.850			10/07/16		7,700,000
	New York Transportation Development Corp. Special Facility RB Refunding for Laguardia Airport Terminal B Redevelopment Project Series 2016 A (AMT) (AGM) (AA/A2)
	12,600,000		4.000			01/01/51		13,153,770
	New York Transportation Development Corp. Special Facility RB Refunding for Laguardia Airport Terminal B Redevelopment Project Series 2016 A (AMT) (BBB/Baa3)
	4,200,000		5.000			07/01/41		4,760,574
	4,200,000		5.000			07/01/46		4,750,368
	10,500,000		5.250			01/01/50		12,026,700
	Newburgh New York GO Serial Bonds Series 2012 A (NR/Baa2)
	1,565,000		5.750			06/15/35		1,782,519
	Onondaga Civic Development Corp. RB for St. Joseph’s Hospital Health Center Project Series 2014 A (NR/WR)(c)
	1,750,000		5.125			07/01/19		1,949,063
	Troy City Capital Resource Corp. RB for Rensselaer Polytechnic Institute Project Series 2010 A (A-/A3)
	5,000,000		5.125			09/01/40		5,664,650

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

GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	New York – (continued)
	Westchester County Local Development Corporation RB for Westchester Medical Center Obligated Group Project Series 2016 (BBB/Baa2)
$	4,375,000		5.000	%		11/01/46	$	5,106,981
								166,819,598
	North Carolina – 0.2%
	Columbus County Industrial Facilities and Pollution Control Financing Authority Recovery Zone Facility RB Series 2010 A (BBB/Baa2)
	1,000,000		5.700			05/01/34		1,150,440
	North Carolina Medical Care Commission Health Care Facilities RB Refunding First Mortgage for Lutheran Services for the Aging Series 2012 A (NR/NR)
	3,800,000		4.750			03/01/32		4,066,760
	1,000,000		5.000			03/01/37		1,093,870
	1,000,000		5.000			03/01/42		1,091,260
	North Carolina Medical Care Commission Retirement Facilities RB Refunding First Mortgage for United Church Homes and Services Series 2015 A (NR/NR)
	1,000,000		4.500			09/01/30		1,056,190
	2,000,000		5.000			09/01/37		2,173,880
								10,632,400
	Ohio – 4.8%
	Bowling Green City Student Housing RB for CFP I LLC – Bowling Green State University Project Series 2010 (BBB-/NR)
	7,000,000		6.000			06/01/45		7,647,990
	Buckeye Ohio Tobacco Settlement Financing Authority RB Senior Turbo Asset-Backed Bonds Series 2007 A-2 (B-/B3)
	20,000,000		6.500			06/01/47		20,392,200
	Buckeye Ohio Tobacco Settlement Financing Authority RB Senior Turbo Asset-Backed Bonds Series 2007 A-2 (B-/Caa1)
	47,095,000		5.125			06/01/24		45,885,600
	38,575,000		5.875			06/01/30		38,303,432
	Buckeye Ohio Tobacco Settlement Financing Authority RB Senior Turbo Asset-Backed Bonds Series 2007 A-3 (B-/Caa1)
	16,600,000		6.250			06/01/37		17,018,486
	Cleveland Airport Special RB for Continental Airlines, Inc. Project Series 1998 (AMT) (BB-/B1)
	22,320,000		5.375			09/15/27		22,389,862
	Hamilton County Health Care RB Refunding for Life Enriching Community Project Series 2006 A (BBB/NR)(c)
	24,790,000		5.000			01/01/17		25,035,173
	Hamilton County Health Care RB Refunding for Life Enriching Community Project Series 2012 (BBB/NR)
	2,000,000		5.000			01/01/42		2,212,760
	1,610,000		5.000			01/01/46		1,777,440
	Lorain County Port Authority Recovery Zone Facility RB for United States Steel Corp. Project Series 2010 (B/Caa1)
	8,730,000		6.750			12/01/40		8,728,952
	Muskingum County Hospital Facilities RB Refunding for Genesis Healthcare System Project Series 2013 (BB+/Ba2)
	8,000,000		5.000			02/15/48		8,564,160
	State-Specific Municipal Debt Obligations – (continued)
	Ohio – (continued)
	Ohio State Solid Waste Disposal RB for USG Corp. Project Series 1998 (AMT) (B+/B2)
$	7,250,000		5.650	%		03/01/33	$	7,259,788
	Ohio Water Development Authority PCRB Refunding for FirstEnergy Nuclear Generation Project Series 2009 A (BB+/Baa2)(e)
	21,260,000		4.375			06/01/22		21,371,190
								226,587,033
	Oklahoma – 1.1%
	Tulsa Municipal Airport Trust RB Refunding for American Airlines, Inc. Series 2000 B (AMT) (NR/NR)
	12,500,000		5.500			06/01/35		14,162,500
	Tulsa Municipal Airport Trust RB Refunding for American Airlines, Inc. Series 2001 A (AMT) (NR/NR)
	2,680,000		5.500			12/01/35		3,036,440
	Tulsa Municipal Airport Trust RB Refunding for American Airlines, Inc. Series 2001 B (AMT) (NR/NR)
	24,300,000		5.500			12/01/35		27,531,414
	Tulsa Municipal Airport Trust RB Refunding for American Airlines, Inc. Series 2015 (AMT) (BB-/NR)(e)
	3,500,000		5.000			06/01/25		4,085,165
	Weatherford Hospital Authority RB Series 2006 (NR/NR)
	2,200,000		6.000			05/01/25		2,265,230
	865,000		6.000			05/01/31		885,180
								51,965,929
	Oregon – 0.3%
	Forest Grove Oregon Student Housing RB for Oak Tree Foundation Project Series 2007 (NR/NR)
	4,665,000		5.500			03/01/37		4,709,178
	University of Oregon RB Series 2015 A (AA-/Aa2)
	7,345,000		5.000			04/01/45		8,766,404
								13,475,582
	Pennsylvania – 2.8%
	Allegheny County Higher Education Building Authority RB for Chatham University Series 2012 A (BBB/NR)
	1,500,000		5.000			09/01/30		1,722,420
	1,000,000		5.000			09/01/35		1,124,660
	Allentown Neighborhood Improvement Zone Development Authority Tax RB Series 2012 A (NR/Baa2)
	18,000,000		5.000			05/01/42		19,393,380
	Chester County IDA Student Housing RB for University Student Housing, LLC Project West Chester University Series 2013 A (NR/Baa3)
	500,000		5.000			08/01/35		557,990
	1,000,000		5.000			08/01/45		1,103,050
	City of Philadelphia GO Bonds Series 2011 (A+/A2)
	4,000,000		6.000			08/01/36		4,661,240
	Clairton Municipal Authority Sewer RB Series 2012 B (BBB+/NR)
	1,000,000		5.000			12/01/42		1,127,790
	Cumberland County Municipal Authority RB for Diakon Lutheran Social Ministries Project Series 2015 (BBB+/NR)
	1,500,000		5.000			01/01/38		1,719,840

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

GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	Pennsylvania – (continued)
	Geisinger Authority Health System RB for Geisinger Health System Series 2007 (AA/Aa2)(b)
$	49,750,000		1.277	%		05/01/37	$	43,771,542
	Lancaster County Hospital Authority Health Facilities RB for St. Anne’s Retirement Community, Inc. Project Series 2012 (BB+/NR)
	1,400,000		5.000			04/01/27		1,551,186
	1,500,000		5.000			04/01/33		1,634,925
	Pennsylvania Economic Development Financing Authority RB for The Pennsylvania Rapid Bridge Replacement Project Series 2015 (AMT) (BBB/NR)
	4,500,000		5.000			06/30/42		5,230,035
	Pennsylvania Economic Development Financing Authority Sewage Sludge Disposal RB for Philadelphia Biosolids Facility Project Series 2009 (BBB+/Baa3)
	7,400,000		6.250			01/01/32		8,115,062
	Pennsylvania Economic Development Financing Authority Special Facilities RB for US Airways Group, Inc. Project Series 2010 B (BB-/B1)
	2,460,000		8.000			05/01/29		2,874,535
	Pennsylvania Higher Educational Facilities Authority RB for Foundation for Indiana University of Pennsylvania Series 2007 A (XLCA) (BBB+/WR)(b)
	13,095,000		1.033			07/01/27		12,479,011
	10,750,000		1.083			07/01/39		8,825,428
	Pennsylvania Higher Educational Facilities Authority RB for La Salle University Series 2012 (BBB/NR)
	4,000,000		5.000			05/01/42		4,436,320
	Pennsylvania Higher Educational Facilities Authority Student Housing RB Refunding for University Properties, Inc. Student Housing Project Series 2016 A (NR/Baa3)
	400,000		5.000			07/01/35		462,356
	Philadelphia Hospitals & Higher Education Facilities Authority RB Refunding for Temple University Health System Obligated Group Series 2012 B (BBB-/Ba2)
	5,000,000		6.250			07/01/23		5,148,150
	Scranton City GO Notes Refunding Series 2016 (BB/NR)
	1,875,000		5.000			11/15/26		2,052,244
	2,625,000		5.000			11/15/32		2,836,811
	Scranton Redevelopment Authority RB Refunding for Guaranteed Lease Series 2016 A (MUN GOVT GTD) (BB/NR)
	1,700,000		5.000			11/15/21		1,816,688
	2,450,000		5.000			11/15/28		2,622,578
								135,267,241
	Puerto Rico – 6.8%
	Puerto Rico Commonwealth Aqueduct & Sewer Authority RB Senior Lien Series 2008 A (CC/Caa3)
	56,440,000		6.000			07/01/38		43,458,800
	38,845,000		6.000			07/01/44		29,813,537
	State-Specific Municipal Debt Obligations – (continued)
	Puerto Rico – (continued)
	Puerto Rico Commonwealth Aqueduct & Sewer Authority RB Senior Lien Series 2012 A (CC/Caa3)
$	115,000		4.500	%		07/01/27	$	86,825
	370,000		5.000			07/01/30		277,500
	5,115,000		5.125			07/01/37		3,836,250
	24,835,000		5.250			07/01/42		18,750,425
	3,470,000		6.000			07/01/47		2,654,550
	Puerto Rico Commonwealth GO Bonds for Public Improvement Series 2006 A (D/Caa3)(g)
	115,000		5.250			07/01/30		70,438
	Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2012 A (D/Caa3)(g)
	185,000		5.500			07/01/39		114,469
	Puerto Rico Commonwealth GO Bonds Series 2014 A (D/Caa3)(g)
	37,460,000		8.000			07/01/35		24,489,475
	Puerto Rico Commonwealth Highway & Transportation Authority RB (CC/Ca)
	215,000		5.000			07/01/28		56,975
	Puerto Rico Commonwealth Highway & Transportation Authority RB Refunding Series 2005 L (AMBAC) (CC/Ca)
	24,730,000		5.250			07/01/38		26,349,568
	Puerto Rico Commonwealth Highway & Transportation Authority RB Refunding Series 2007 N (NATL-RE) (AA-/A3)
	200,000		5.250			07/01/33		218,726
	Puerto Rico Commonwealth Infrastructure Financing Authority Special Tax RB Series 2005 C (AMBAC) (D/Ca)
	1,500,000		5.500			07/01/23		1,586,175
	1,000,000		5.500			07/01/27		1,071,110
	Puerto Rico Commonwealth Public Improvement GO Bonds Refunding Series 2009 B (D/Caa3)(g)
	645,000		5.875			07/01/36		404,737
	Puerto Rico Commonwealth Public Improvement GO Bonds Refunding Series 2011 A (D/Caa3)(g)
	1,260,000		5.750			07/01/41		784,350
	Puerto Rico Commonwealth Public Improvement GO Bonds Refunding Series 2011 C (D/Caa3)(g)
	205,000		6.500			07/01/40		131,200
	Puerto Rico Commonwealth Public Improvement GO Bonds Series 2007 A (D/Caa3)(g)
	4,000,000		5.250			07/01/32		2,450,000
	4,000,000		5.250			07/01/37		2,450,000
	Puerto Rico Electric Power Authority RB Refunding Series 2007 UU (AGM) (AA/A2)(b)
	33,042,000		0.953			07/01/29		24,120,660
	Puerto Rico Electric Power Authority RB Refunding Series 2010 ZZ (D/Caa3)
	9,700,000		5.250			07/01/26		6,523,250
	Puerto Rico Electric Power Authority RB Refunding Series 2012 A (D/Caa3)
	19,720,000		5.000			07/01/42		13,261,700
	Puerto Rico Electric Power Authority RB Series 2008 WW (D/Caa3)
	2,000,000		5.500			07/01/20		1,356,040
	3,275,000		5.000			07/01/28		2,202,437
	825,000		5.250			07/01/33		554,813

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

GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	Puerto Rico – (continued)
	Puerto Rico Electric Power Authority RB Series 2010 XX (D/Caa3)
$	7,590,000		5.250	%		07/01/40	$	5,104,275
	Puerto Rico Electric Power Authority RB Series 2013 A (D/Caa3)
	5,210,000		7.000			07/01/33		3,534,985
	5,205,000		6.750			07/01/36		3,531,593
	5,440,000		7.000			07/01/40		3,691,040
	Puerto Rico Electric Power Authority RB Series A-4 (NR/NR)
	747,236		10.000			07/01/19		765,588
	Puerto Rico Electric Power Authority RB Series B-4 (NR/NR)
	747,235		10.000			07/01/19		765,587
	Puerto Rico Electric Power Authority RB Series E-1 (NR/NR)
	5,036,850		10.000			01/01/21		5,160,555
	Puerto Rico Electric Power Authority RB Series E-2 (NR/NR)
	5,036,850		10.000			07/01/21		5,160,555
	Puerto Rico Electric Power Authority RB Series E-3 (NR/NR)
	1,678,950		10.000			01/01/22		1,720,185
	Puerto Rico Electric Power Authority RB Series E-4 (NR/NR)
	1,678,950		10.000			07/01/22		1,720,185
	Puerto Rico Infrastructure Financing Authority Special Tax RB Series 2005 A (AMBAC) (D/Ca)(d)
	4,750,000		0.000			07/01/34		1,603,505
	3,750,000		0.000			07/01/35		1,190,738
	Puerto Rico Public Buildings Authority RB Refunding for Government Facilities Series 2009 P (COMWLTH GTD) (D/Caa3)
	1,000,000		6.125			07/01/23		607,190
	Puerto Rico Sales Tax Financing Corp. RB First Subseries 2009 A (CC/Ca)
	2,000,000		6.375			08/01/39		1,090,000
	2,700,000		6.000			08/01/42		1,438,020
	Puerto Rico Sales Tax Financing Corp. RB First Subseries 2010 A (CC/Ca)
	4,925,000		5.375			08/01/39		2,585,625
	4,455,000		5.500			08/01/42		2,350,012
	Puerto Rico Sales Tax Financing Corp. RB First Subseries 2010 C (CC/Ca)(d)
	25,000,000		0.000			08/01/39		2,333,250
	Puerto Rico Sales Tax Financing Corp. RB First Subseries 2010 C (CC/Ca)
	40,875,000		5.250			08/01/41		21,459,375
	Puerto Rico Sales Tax Financing Corp. RB First Subseries 2011 A-1 (CC/Ca)
	1,500,000		5.000			08/01/43		780,000
	Puerto Rico Sales Tax Financing Corp. RB for Capital Appreciation First Subseries 2009 A (CC/Ca)
	23,300,000		6.750			08/01/32		13,048,000
	Puerto Rico Sales Tax Financing Corp. RB for Capital Appreciation Series 2010 A (CC/Ca)(d)
	10,000,000		0.000			08/01/33		1,360,900
	35,085,000		0.000			08/01/35		4,156,169
	Puerto Rico Sales Tax Financing Corp. RB for Capital Appreciation Series 2010 A (CC/Ca)(a)
	10,130,000		0.000			08/01/33		3,444,504
	State-Specific Municipal Debt Obligations – (continued)
	Puerto Rico – (continued)
	Puerto Rico Sales Tax Financing Corp. RB for Capital Appreciation Subseries 2009 A (CC/Ca)(d)
$	35,100,000		0.000	%		08/01/34	$	4,177,251
	Puerto Rico Sales Tax Financing Corp. RB for Capital Appreciation Subseries 2010 C (CC/Ca)(d)
	8,400,000		0.000			08/01/37		893,256
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB First Subseries 2009 A (CC/Ca)
	27,290,000		6.500			08/01/44		15,009,500
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB Refunding First Subseries 2010 C (CC/Ca)
	14,580,000		5.500			08/01/40		7,690,950
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB Refunding Series 2011 A-1 (CC/Ca)
	500,000		5.250			08/01/43		262,500
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB Refunding Series 2011 C (CC/Caa3)
	500,000		5.000			08/01/40		373,750
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB Refunding Subseries A (CC/Ca)
	485,000		5.750			08/01/37		257,050
								324,340,103
	Rhode Island – 0.2%
	Rhode Island Health and Educational Building Corp. RB Refunding for Care New England Series 2013 A (BB/NR)(c)
	2,500,000		6.000			09/01/23		3,265,925
	Tobacco Settlement Financing Corp. RB Asset-Backed Bonds Series 2007 B (CCC/NR)(d)
	124,220,000		0.000			06/01/52		7,500,404
								10,766,329
	South Carolina – 0.7%
	Lancaster County Assessment RB for Edgewater Improvement District Series 2003 A (NR/NR)
	3,589,000		6.875			11/01/35		3,588,605
	South Carolina Jobs – Economic Development Authority Hospital RB Refunding for Palmetto Health Series 2011 A (AGM) (AA/A2)
	4,000,000		6.500			08/01/39		4,852,120
	South Carolina Public Service Authority RB Tax-Exempt Series 2015 E (AA-/A1)
	7,750,000		5.250			12/01/55		9,246,215
	South Carolina State Ports Authority RB Series 2015 (AMT) (A+/A1)
	12,375,000		5.250			07/01/55		14,233,973
								31,920,913
	Tennessee – 0.5%
	Blount County Health & Educational Facilities Board RB Refunding for Asbury, Inc. Series 2007 A (NR/NR)
	1,210,000		5.125			04/01/23		1,235,120
	Johnson City Health & Educational Board Retirement Facilities RB for Mountain States Health Alliance Series 2012 A (BBB+/Baa1)
	1,500,000		5.000			08/15/42		1,652,460

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

GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	Tennessee – (continued)
	Johnson City Health & Educational Facilities Board RB for Mountain States Health Alliance Series 2010 A (BBB+/Baa1)
$	5,500,000		6.500	%		07/01/38	$	6,290,955
	Knox County Tennessee Health, Educational & Housing Facilities Board RB for University Health System, Inc. Series 2007 (BBB+/NR)
	2,000,000		5.250			04/01/36		2,038,560
	Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board RB for Vanderbilt University Medical Center Series 2016 A (NR/A3)
	2,500,000		5.000			07/01/40		2,970,575
	4,200,000		5.000			07/01/46		4,951,296
	Shelby County Health Educational & Housing Facilities Board RB for Trezevant Manor Project Series 2006 A (NR/NR)
	2,000,000		5.625			09/01/26		2,000,260
	Shelby County Health Educational & Housing Facilities Board RB Refunding for The Village at Germantown Residential Care Facility Mortgage Series 2012 (NR/NR)
	2,000,000		5.375			12/01/47		2,109,540
								23,248,766
	Texas – 7.2%
	Bexar County Texas Health Facilities Development Corp. RB for Army Retirement Residence Foundation Project Series 2010 (BBB/NR)(c)
	3,250,000		6.200			07/01/20		3,862,040
	Board of Managers, Joint Guadalupe County – City of Seguin Hospital Mortgage Improvement RB Refunding Bonds Series 2015 (BB/NR)
	1,950,000		5.250			12/01/35		2,184,429
	2,435,000		5.000			12/01/40		2,631,651
	1,950,000		5.000			12/01/45		2,095,060
	Brazos River Authority PCRB for TXU Energy Co. LLC Project Series 2006 (AMT) (NR/WR)(g)
	4,740,000		5.000			03/01/41		170,640
	Brazos River Authority PCRB Refunding for TXU Energy Co. LLC Project Series 2003 C (AMT) (NR/WR)(g)
	9,275,000		6.750			10/01/38		333,900
	Central Texas Regional Mobility Authority RB Refunding Senior Lien Series 2015A (BBB+/Baa2)
	3,900,000		5.000			01/01/45		4,531,332
	Central Texas Regional Mobility Authority RB Refunding Senior Lien Series 2016 (BBB+/Baa2)
	1,600,000		5.000			01/01/40		1,874,784
	2,465,000		5.000			01/01/46		2,877,444
	City of Celina Texas Municipal Corp. Special Assessment RB for Wells South Public Improvement District Major Improvement Area Project Series 2015 (NR/NR)
	3,920,000		7.500			09/01/45		4,476,248
	City of Celina, Texas Municipal Corp. Special Assessment RB for Wells South Public Improvement District Neighorhood Improvement Area #1 Project Series 2015 (NR/NR)
	1,845,000		6.250			09/01/45		1,990,238
	State-Specific Municipal Debt Obligations – (continued)
	Texas – (continued)
	Dallas County Flood Control District No. 1 Unlimited Tax GO Refunding Series 2015 (NR/NR)(f)
$	1,250,000		5.000	%		04/01/28	$	1,347,462
	3,250,000		5.000			04/01/32		3,443,635
	Fort Bend County Industrial Development Corp. RB for NRG Energy, Inc. Project Series 2012 A (NR/Baa3)
	1,545,000		4.750			05/01/38		1,659,407
	Fort Bend County Industrial Development Corp. RB for NRG Energy, Inc. Project Series 2012 B (NR/Baa3)
	5,685,000		4.750			11/01/42		6,105,974
	Grand Parkway Transportation Corp. System Toll RB First Tier Series 2013 A (BBB/NR)
	11,850,000		5.500			04/01/53		13,892,703
	Harris County Cultural Education Facilities Finance Corp. RB First Mortgage for Brazos Presbyterian Homes, Inc. Project Series 2013 B (BB+/NR)
	3,030,000		7.000			01/01/48		3,714,750
	Houston Airport System Special Facilities RB for Continental Airlines, Inc. Terminal Improvement Projects Series 2011 A (AMT) (BB-/B1)
	9,000,000		6.625			07/15/38		10,424,250
	Houston Airport System Special Facilities RB Refunding for United Airlines, Inc. Terminal E Project Series 2014 A (AMT) (BB-/B1)
	9,250,000		5.000			07/01/29		10,453,333
	Houston Airport System Special Facilities RB Refunding for United Airlines, Inc. Terminal Improvement Projects Series 2015 B-1 (AMT) (BB-/NR)
	7,500,000		5.000			07/15/35		8,349,525
	Houston Utilities System RB Refunding First Lien Series 2016 B (AA/Aa2)
	21,380,000		5.000			11/15/36		26,322,201
	Kaufman County Fresh Water Supply District No. 1-C Refunding for Road Series 2016 (AGM) (AA/NR)
	525,000		4.000			09/01/29		578,203
	1,100,000		3.000			09/01/32		1,075,415
	1,400,000		4.000			09/01/35		1,485,848
	Matagorda County Texas Navigation District No. 1 PCRB Refunding for Central Power & Light Co. Project RMKT 07/01/09 Series 2001 A (BBB+/Baa1)
	5,200,000		6.300			11/01/29		5,794,724
	Mission Economic Development Corp. RB for Natgasoline Project Senior Lien Series 2016 A (AMT) (BB-/NR)(f)
	14,000,000		5.750			10/01/31		14,921,900
	Mission Economic Development Corp. RB for Natgasoline Project Senior Lien Series 2016 B (AMT) (BB-/NR)(f)
	9,500,000		5.750			10/01/31		10,125,575
	New Hope Cultural Education Facilities Finance Corp. Student Housing RB for Station II, LLC – Texas A&M University Collegiate Housing Corpus Christi Project Series 2016 A (BBB-/Baa3)
	335,000		5.000			04/01/31		397,266
	300,000		5.000			04/01/36		346,281
	1,250,000		5.000			04/01/48		1,409,963

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

GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	Texas – (continued)
	New Hope Cultural Education Facilities Finance Corp. Student Housing RB for Tarleton State University Collegiate Housing Project Series 2015 A (BBB-/Baa3)
$	1,000,000		5.000	%		04/01/47	$	1,124,180
	New Hope Cultural Education Facilities Finance Corp. Student Housing RB for Texas A&M University at Galveston Collegiate Housing Project Series 2014 A (NR/Baa3)
	1,385,000		4.750			04/01/46		1,525,010
	North Texas Tollway Authority RB First Tier Series 2009 A (A/A1)
	4,790,000		6.250			01/01/39		5,302,434
	North Texas Tollway Authority RB First Tier Series 2009 A (NR/NR)(c)
	20,795,000		6.250			01/01/19		23,200,774
	North Texas Tollway Authority RB Refunding Toll Second Tier Series 2008 F (A-/A2)(c)
	32,000,000		5.750			01/01/18		33,919,680
	North Texas Tollway Authority System RB Refunding First Tier Series 2016 A (A/A1)
	3,000,000		5.000			01/01/39		3,560,730
	Rowlett Special Assessment RB for Bayside Public Improvement District North Improvement Area Project Series 2016 (NR/NR)
	280,000		5.750			09/15/36		285,298
	750,000		6.000			09/15/46		764,032
	Sabine River Authority Texas PCRB Refunding for TXU Electric Co. Project RMKT 11/29/05 Series 2001 C (NR/WR)(g)
	5,950,000		5.200			05/01/28		214,200
	San Antonio Texas Water System RB Refunding Junior Lien Series 2015 B (AA/Aa2)
	15,000,000		5.000			05/15/39		17,901,450
	Tarrant County Cultural Education Facilities Finance Corp. RB for Air Force Village Obligated Group Series 2007 (BB+/NR)
	4,180,000		5.125			05/15/37		4,288,387
	Tarrant County Cultural Education Facilities Finance Corp. RB Refunding for Air Force Village Obligated Group Series 2016 (BB+/NR)(h)
	7,300,000		5.000			05/15/45		8,018,101
	Texas Municipal Gas Acquisition & Supply Corp. I RB Senior Lien Series 2006 B (BBB+/Baa1)(b)
	7,825,000		1.270			12/15/26		7,312,228
	Texas Municipal Gas Acquisition & Supply Corp. I RB Senior Lien Series 2008 D (BBB+/Baa1)
	18,785,000		6.250			12/15/26		23,790,451
	Texas Private Activity Bond Surface Transportation Corp. RB Senior Lien for Blueridge Transportation Group, LLC SH 288 Toll Lanes Project Series 20016 (AMT) (BBB-/Baa3)
	3,900,000		5.000			12/31/50		4,467,528
	3,900,000		5.000			12/31/55		4,434,066
	Texas Private Activity Bond Surface Transportation Corp. RB Senior Lien for Mobility Partners LLC Series 2009 (BBB-/Baa2)
	7,500,000		6.875			12/31/39		8,853,225
	Texas Private Activity Bond Surface Transportation Corp. RB Senior Lien for Mobility Partners LLC Series 2013 (AMT) (BBB-/Baa3)
	5,000,000		6.750			06/30/43		6,214,350
	State-Specific Municipal Debt Obligations – (continued)
	Texas – (continued)
	Texas Transportation Commission Central Turnpike System RB Refunding Second Tier Series 2015 C (BBB+/Baa1)
$	7,850,000		5.000	%		08/15/42	$	9,132,926
	Texas Water Development Board State Water Implementation Revenue Fund RB Series 2015 A (AAA/NR)
	20,000,000		5.000			10/15/45		24,162,000
	Viridian Municipal Management District Tarrant County Special Assessment RB Series 2015 (NR/NR)
	350,000		4.000			12/01/21		372,967
	500,000		4.000			12/01/27		513,295
	1,550,000		4.750			12/01/35		1,614,185
	875,000		4.750			12/01/43		904,838
								340,752,516
	U.S. Virgin Islands – 0.3%
	Virgin Islands Public Finance Authority RB Refunding for Virgin Islands Gross Receipts Taxes Loan Note Series 2014 C (BBB+/NR)
	8,350,000		5.000			10/01/39		8,202,706
	Virgin Islands Public Finance Authority RB Refunding Series 2014 C (AGM) (AA/A2)
	3,515,000		5.000			10/01/39		3,997,153
	Virgin Islands Public Finance Authority RB Senior Lien Matching Fund Loan Notes Refunding for Cruzan Project Series 2009 A (NR/B2)
	2,000,000		6.000			10/01/39		2,024,820
								14,224,679
	Utah – 0.4%
	Carbon County Solid Waste Disposal RB Refunding for Sunnyside Cogeneration Series 1999 A (AMT) (NR/NR)
	17,870,000		7.100			08/15/23		20,391,814
	Vermont – 0.1%
	Vermont Educational & Health Buildings Financing Agency RB for St. Michael’s College Project Series 2012 (BBB+/Baa1)
	2,250,000		5.000			10/01/42		2,518,537
	Virginia – 0.5%
	Albemarle County IDA RB Refunding Westminster-Canterbury Series 2007 (NR/NR)
	1,000,000		5.000			01/01/31		1,006,340
	Alexandria City IDA for Residential Care Facilities Mortgage RB for Goodwin House, Inc. Series 2015 (BBB/NR)
	2,700,000		5.000			10/01/45		3,138,858
	Mosaic District Community Development Authority RB Series 2011 A (NR/NR)
	3,580,000		6.250			03/01/21		4,048,801
	2,000,000		6.625			03/01/26		2,281,960
	7,000,000		6.875			03/01/36		8,018,010
	Suffolk IDA Retirement Facilities RB Refunding First Mortgage for Lake Prince Center Series 2006 (NR/NR)
	660,000		5.150			09/01/24		660,000
	1,000,000		5.300			09/01/31		1,000,000
	Tobacco Settlement Financing Corp. Senior Asset-Backed Bonds Series 2007 B-1 (B-/B3)
	285,000		5.000			06/01/47		278,425

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

GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	Virginia – (continued)
	Washington County IDA RB for Mountain States Health Alliance Series 2009 C (BBB+/Baa1)
$	4,000,000		7.750	%		07/01/38	$	4,504,720
								24,937,114
	Washington – 0.5%
	Puttable Floating Option Tax-Exempt Receipts (RITES) GO Bonds Series 2009 A (NR/NR)(f)(i)
	3,955,000		14.236			01/01/23		5,709,082
	Puttable Floating Option Tax-Exempt Receipts (RITES) GO Bonds Series 2009 B (NR/NR)(f)(i)
	4,150,000		14.242			01/01/24		5,984,840
	Skagit County Public Hospital District No. 1 RB for Skagit Valley Hospital Series 2010 (NR/Baa2)
	4,000,000		5.750			12/01/35		4,479,720
	Washington Health Care Facilities Authority RB for Kadlec Regional Medical Center Series 2012 (NR/WR)(c)
	3,000,000		5.000			12/01/21		3,574,860
	Washington Health Care Facilities Authority RB for MultiCare Health System RMKT 02/26/09 Series 2008 A (ASSURED GTY) (AA/Aa3)(c)
	750,000		6.000			08/15/19		855,728
	Washington Health Care Facilities Authority RB for MultiCare Health System RMKT 02/26/09 Series 2008 B (ASSURED GTY) (AA/Aa3)(c)
	1,750,000		6.000			08/15/19		1,996,697
								22,600,927
	West Virginia – 0.1%
	West Virginia Economic Development Authority Solid Waste Disposal Facilities RB Refunding for Appalachian Power Co. – Amos Project Series 2010 A (BBB+/Baa1)
	4,000,000		5.375			12/01/38		4,576,920
	Wisconsin – 0.7%
	Public Finance Authority Exempt Facilities RB Refunding for Celanese Project Series 2016 C (AMT) (BBB-/Baa3)
	5,900,000		4.300			11/01/30		6,375,717
	Public Finance Authority Pass-Through RB for Natgasoline LLC Series 2016 (NR/NR)(f)
	21,000,000		10.000			06/30/21		21,266,700
	Public Finance Authority Student Housing RB for CHF- Cullowhee, LLC-Western Carolina University Project Series 2015 A (BBB-/NR)
	3,250,000		5.250			07/01/47		3,602,560
	Wisconsin State Health & Educational Facilities Authority RB for Upland Hills Health, Inc. Series 2006 B (BBB/NR)
	3,180,000		5.000			05/15/36		3,186,583
								34,431,560
	TOTAL STATE-SPECIFIC MUNICIPAL DEBT OBLIGATIONS
	(Cost $4,353,159,582)						$	4,682,382,572
	Corporate Obligation – 0.2%
	Materials – 0.2%
	AK Steel Corp.
$	5,200,000		7.625	%		10/01/21	$	5,011,500
	6,800,000		8.375			04/01/22		6,664,000
	TOTAL CORPORATE OBLIGATIONS
	(Cost $6,729,207)						$	11,675,500
	TOTAL INVESTMENTS – 98.4%
	(Cost $4,359,888,789)						$	4,694,058,072
	OTHER ASSETS IN EXCESS OF     LIABILITIES – 1.6%							75,824,527
	NET ASSETS – 100.0%						$	4,769,882,599

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
(a)	Zero coupon bond until next reset date.
(b)	Variable rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate or distribution rate disclosed is that which is in effect on September 30, 2016.
(c)	Pre-refunded security. Maturity date disclosed is pre-refunding date.
(d)	Issued with a zero coupon. Income is recognized through the accretion of discount.
(e)	Security with “Put” features and resetting interest rates. Maturity dates disclosed are the puttable dates. Interest rate disclosed is that which is in effect on September 30, 2016.
(f)	Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities may be deemed 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 $228,206,298, which represents approximately 4.8% of net assets as of September 30, 2016.
(g)	Security is currently in default.
(h)	When-issued security.
(i)	Inverse floating rate security. Interest rate disclosed is that which is in effect on September 30, 2016.

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

GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Security ratings disclosed, if any, are issued by either Standard & Poor’s, Moody’s Investor Service or Fitch and are unaudited. A brief description of the ratings is available in the Fund’s Statement of Additional Information.

Investment Abbreviations:
AGM	—Insured by Assured Guaranty Municipal Corp.
AMBAC	—Insured by American Municipal Bond Assurance Corp.
AMT	—Alternative Minimum Tax
ASSURED GTY	—Insured by Assured Guaranty
COMWLTH GTD	—Commonwealth Guaranteed
COPS	—Certificates of Participation
FGIC	—Insured by Financial Guaranty Insurance Co.
FHA	—Federal Housing Administration
GO	—General Obligation
IDA	—Industrial Development Authority
LIBOR	—London Interbank Offered Rate
MUN GOVT GTD	—Municipal Government Guaranteed
NATL-RE	—Insured by National Public Finance Guarantee Corp.
NATL-RE FGIC	—Insured by National Public Finance Guarantee Corp., which reinsures Financial Guaranty Insurance Co.
NR	—Not Rated
PCRB	—Pollution Control Revenue Bond
PILOT	—Payment in Lieu of Taxes
Q-SBLF	—Qualified School Board Loan Fund
RB	—Revenue Bond
RITES	—Residual Interest Tax Exempt Securities
RMKT	—Remarketed
ST APPROP	—State Appropriation
WR	—Withdrawn Rating
XLCA	—Insured by XL Capital Assurance, Inc.

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

GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND

ADDITIONAL INVESTMENT INFORMATION

SWAP CONTRACTS — At September 30, 2016, the Fund had the following swap contracts:

OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS

												Market Value
Counterparty	Referenced Obligation	Notional Amount (000’s)		Rates Received (Paid)			Termination Date		Credit Spread on September 30, 2016(a)			Upfront Payments Made (Received)			Unrealized Gain (Loss)
Protection Sold:
Bank of America, N.A.	California State Various Purpose GO Bonds, Series 2003, 5.250%, 02/01/2018	$	4,000		1.000	%		03/20/23		0.925	%	$	(128,379	)	$	147,066
JPMorgan Chase Bank, N.A.	California State Various Purpose GO Bonds, Series 2003, 5.250%, 02/01/2018		10,000		1.700			06/20/21		0.712			—			444,318
	California State Various Purpose GO Bonds, Series 2003, 5.250%, 02/01/2018		9,000		1.000			03/20/23		0.925			(288,853	)		330,898
	California State Various Purpose GO Bonds, Series 2003, 5.250%, 02/01/2018		15,000		1.000			09/20/23		0.976			(486,826	)		513,708
	Illinois State GO Bonds, Series A, 5.000%, 06/01/2029		10,000		1.830			06/20/21		3.353			—			(550,909	)
Morgan Stanley Co., Inc.	California State Various Purpose GO Bonds, Series 2003, 5.250%, 02/01/2018		10,000		1.000			12/20/23		0.998			(204,645	)		208,801
	Illinois State GO Bonds, Series A, 5.000%, 06/01/2029		10,000		1.000			12/20/23		3.830			(553,942	)		(725,495	)
TOTAL												$	(1,662,645	)	$	368,387

(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 or its counterparty to make a payment or otherwise be required to perform under the swap contract is generally greater as the credit spread and term of the swap contract increase.

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACT

			Rates Exchanged			Market Value
Notional Amount (000’s)(a)		Termination Date	Payments Received		Payments Made	Upfront Payments Made (Received)			Unrealized Gain (Loss)
$	92,600	12/21/46		3 Month LIBOR	2.250%	$	(7,968,368	)	$	(2,304,155	)

(a) Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to September 30, 2016.

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

GOLDMAN SACHS SHORT DURATION TAX-FREE FUND

Schedule of Investments

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – 99.4%
	Alabama – 1.3%
	Alabama 21st Century Authority Tobacco Settlement RB Series 2012 A (A/NR)
$	2,435,000		5.000	%		06/01/17	$	2,500,404
	1,500,000		5.000			06/01/18		1,599,540
	Alabama Federal Aid Highway Finance Authority Refunding for Grant Anticipation Bonds Series 2011 (AA/A1)
	11,400,000		4.000			03/01/17		11,542,614
	Alabama State GO Bonds Series 2007 A (AGM) (AA/Aa1)
	5,020,000		5.000			08/01/17		5,192,788
	Alabama State Public School & College Authority Capital Improvement RB Refunding Series 2014 B (AA/Aa1)
	8,275,000		5.000			01/01/21		9,604,131
	Black Belt Energy Gas District RB Series 2016 A (NR/Aa3)(a)
	20,000,000		4.000			06/01/21		22,206,600
	Houston County Health Care Authority RB for Southeast Alabama Medical Center Series 2016 A (BBB/NR)
	235,000		5.000			10/01/16		235,000
	100,000		3.000			10/01/17		101,675
	210,000		3.000			10/01/18		216,567
	160,000		3.000			10/01/19		166,702
	75,000		4.000			10/01/20		81,655
	85,000		4.000			10/01/21		93,842
	85,000		4.000			10/01/22		94,703
	Jefferson County Subordinate Lien Sewer RB Warrants Series 2013 D (BBB-/NR)
	1,000,000		5.000			10/01/16		1,000,000
	1,750,000		5.000			10/01/17		1,807,610
	1,875,000		5.000			10/01/18		1,987,537
	1,300,000		5.000			10/01/21		1,466,504
	1,745,000		5.000			10/01/22		2,001,934
								61,899,806
	Alaska – 0.1%
	North Slope Borough Alaska GO Bonds Series 2012 A (AA-/Aa2)
	340,000		4.000			06/30/17		347,789
	Northern Tobacco Securitization Corp. RB Asset-Backed Bonds Series 2006 A (NR/Ba1)
	4,015,000		4.625			06/01/23		4,042,784
								4,390,573
	Arizona – 3.4%
	Arizona Health Facilities Authority Hospital RB for Banner Health Series 2007 B (AA-/NR)(b)
	30,300,000		1.243			01/01/37		28,022,652
	Arizona Health Facilities Authority Hospital RB Refunding for Phoenix Children’s Hospital Series 2013 A (BBB+/NR)(a)
	5,000,000		2.690			02/05/20		5,109,400
	Arizona School Facilities Board COPS Refunding Series 2015 A (AA-/Aa3)
	8,000,000		5.000			09/01/20		9,163,040
	Arizona Transportation Board Excise Tax RB Refunding for Regional Area Road Series 2014 (AA+/Aa1)
	4,150,000		5.000			07/01/19		4,610,443
	Arizona Transportation Board Highway RB Series 2008 A (AAA/Aa1)(c)
	7,000,000		5.000			07/01/18		7,502,810
	State-Specific Municipal Debt Obligations – (continued)
	Arizona – (continued)
	Glendale City GO Bonds Refunding Series 2015 (AGM) (AA/A2)
$	365,000		4.000	%		07/01/18	$	383,502
	1,600,000		4.000			07/01/19		1,727,984
	3,000,000		4.000			07/01/20		3,318,960
	3,400,000		4.000			07/01/21		3,835,540
	1,665,000		5.000			07/01/22		2,000,497
	Glendale City Senior Lien Water & Sewer RB Refunding Obligations Series 2012 (AA/A1)
	1,500,000		5.000			07/01/17		1,544,940
	Glendale City Senior Lien Water & Sewer RB Refunding Obligations Series 2015 (AA/A1)
	4,635,000		4.000			07/01/18		4,874,073
	10,830,000		5.000			07/01/19		11,988,052
	Maricopa County Arizona COPS Series 2015 (AA+/Aa1)
	9,000,000		3.000			07/01/18		9,320,490
	Maricopa County Arizona Paradise Valley Unified School District No. 69 GO Bonds Refunding for School Improvement Project of 2011 Series 2015 E (AA/Aa2)
	2,860,000		4.000			07/01/18		3,011,065
	12,115,000		3.000			07/01/19		12,737,590
	Maricopa County Arizona Pollution Control Corp. PCRB Refunding for Arizona Public Service Co. Palo Verde Project RMKT 05/30/13 Series 2009 C (A-/A2)(a)
	6,500,000		1.750			05/30/18		6,577,545
	Maricopa County Arizona School Improvement Refunding for Peoria Unified School District No. 11 Series 2015 (AGM) (AA/A2)
	3,000,000		4.000			07/01/19		3,251,850
	Maricopa County Community College District GO Bonds Series 2013 (AAA/Aaa)
	9,920,000		2.000			07/01/17		10,009,677
	10,010,000		3.000			07/01/19		10,563,353
	Maricopa County Phoenix High School District No. 210 School Improvement GO Refunding Bonds Series 2014 (AA/Aa2)
	8,140,000		3.000			07/01/17		8,272,194
	1,000,000		4.000			07/01/18		1,052,820
	1,000,000		3.000			07/01/19		1,054,450
	Pima County COPS Series 2016 A (A+/NR)
	5,335,000		5.000			12/01/18		5,775,724
	Pima County GO Bonds Series 2013 A (AA-/NR)
	1,405,000		1.750			07/01/17		1,414,596
	Yavapai County IDA Solid Waste Disposal RB for Waste Management, Inc. Project Series 2002 (AMT) (A-/NR)(a)
	5,000,000		2.125			06/01/18		5,055,800
								162,179,047
	Arkansas – 1.0%
	Arkansas Development Finance Authority State Park Facilities RB Refunding for Mt. Magazine Project Series 2012 (AGM) (AA/NR)
	2,065,000		2.000			01/01/17		2,070,989
	1,885,000		3.000			01/01/18		1,933,878
	Arkansas Federal Highway Grant Anticipation GO Bonds RB Series 2014 (AA/Aa1)
	5,000,000		5.000			04/01/18		5,303,250

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

GOLDMAN SACHS SHORT DURATION TAX-FREE FUND

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	Arkansas – (continued)
	Arkansas State GO Bonds for Four-Lane Highway Construction & Improvement Series 2013 (AA/Aa1)
$	17,775,000		3.250	%		06/15/22	$	19,535,791
	Jefferson County Pollution Control RB Refunding for Entergy Arkansas, Inc. Project Series 2013 (A/A2)
	3,000,000		1.550			10/01/17		3,015,900
	Little Rock Arkansas School District GO Bonds Refunding Series 2015 (ST AID WITHHLDG) (NR/Aa2)
	6,000,000		3.000			02/01/21		6,503,700
	Little Rock Arkansas Sewer RB Refunding Series 2015 (NR/Aa3)
	1,240,000		3.000			04/01/20		1,321,307
	1,075,000		3.000			10/01/20		1,152,755
	North Little Rock School District No. 1 Construction GO Bonds Series 2013 B (ST AID WITHHLDG) (NR/Aa2)
	1,440,000		5.000			02/01/17		1,458,936
	Springdale Arkansas Sales and Use Tax RB Series 2012 (AA-/NR)
	845,000		2.000			11/01/16		845,718
	1,915,000		2.000			11/01/17		1,938,248
	1,465,000		2.000			11/01/18		1,489,817
	720,000		2.000			11/01/19		737,100
								47,307,389
	California – 9.0%
	Alameda Corridor Transportation Authority RB for Capital Appreciation Refunding Subordinate Lien Series 2004 A (AMBAC) (BBB+/Baa2)(d)
	745,000		0.000			10/01/19		704,688
	255,000		0.000			10/01/20		235,355
	Alameda Corridor Transportation Authority RB for Capital Appreciation Refunding Subordinate Lien Series 2004 A (ETM) (AMBAC) (AAA/Aaa)(c)(d)
	9,420,000		0.000			10/01/19		9,143,335
	12,300,000		0.000			10/01/20		11,787,459
	Anaheim Public Financing Authority Lease RB for Convention Center Expansion Project Series 2014 A (AA-/NR)
	1,250,000		5.000			05/01/17		1,280,200
	Anaheim Redevelopment Agency Tax Allocation Refunding for Merged Redevelopment Project Area Series 2007 A (AGM) (AA/A2)
	50,000		5.000			02/01/24		52,525
	Bay Area Toll Authority Toll Bridge Authority RB for San Francisco Bay Area RMKT 05/01/13 Series 2006 C-1 (AA/Aa3)(a)
	10,000,000		1.740			05/01/23		10,048,600
	Bay Area Toll Authority Toll Bridge Authority RB for San Francisco Bay Area RMKT 06/03/13 Series 2006 C-1 (AA/Aa1)(a)
	7,000,000		1.740			05/01/23		7,034,020
	Bay Area Toll Authority Toll Bridge Authority RB for San Francisco Bay Area Series 2001 A (AA/NR)(a)
	15,000,000		2.090			04/01/27		15,257,100
	Bay Area Toll Authority Toll Bridge Authority RB for San Francisco Bay Area Series 2006 C-2 (AA/Aa3)(a)
	26,050,000		1.450			08/01/17		26,098,453
	State-Specific Municipal Debt Obligations – (continued)
	California – (continued)
	Bay Area Toll Authority Toll Bridge Authority RB for San Francisco Bay Area Series 2014 (AA/Aa3)(a)
$	2,000,000		1.500	%		04/02/18	$	2,011,780
	Benicia Unified School District GO Bonds Refunding Series 1997 A (NATL-RE FGIC) (AA-/Aa3)(d)
	1,735,000		0.000			08/01/17		1,715,499
	1,510,000		0.000			08/01/18		1,472,627
	Bonita Canyon Public Facilities Financing Authority Special Tax for Community Facilities District No. 98-1 Series 2012 (NR/NR)
	735,000		3.000			09/01/17		743,144
	1,000,000		3.250			09/01/18		1,026,650
	California Department of Water Resources RB Refunding for California Central Valley Project Water System Series 2016 AV (AAA/Aa1)
	4,035,000		5.000			12/01/19		4,555,233
	2,840,000		5.000			12/01/20		3,311,326
	3,950,000		5.000			12/01/21		4,739,763
	California Health Facilities Financing Authority RB for Children’s Hospital Los Angeles Series 2012 B (BBB+/Baa2)(a)
	8,000,000		2.640			07/01/17		8,015,920
	California Health Facilities Financing Authority RB Refunding for Lucile Salter Packard Children’s Hospital at Stanford Series 2008 B (AA-/Aa3)(a)(c)
	5,000,000		1.450			03/15/17		5,015,500
	California Municipal Finance Authority RB Refunding for NorthBay Healthcare Group Series 2013 B (BBB-/NR)
	1,700,000		5.000			11/01/16		1,704,947
	3,480,000		5.000			11/01/17		3,624,246
	California Municipal Finance Authority RB Refunding for NorthBay Healthcare Group Series 2016 A (BBB-/NR)
	750,000		2.000			11/01/18		762,548
	855,000		2.000			11/01/19		872,707
	800,000		3.000			11/01/20		848,528
	California Municipal Finance Authority Student Housing RB for Bowles Hall Foundation Series 2015 A (NR/Baa3)
	150,000		3.000			06/01/20		156,447
	100,000		4.000			06/01/22		109,576
	California Pollution Control Financing Authority PCRB Refunding for U.S.A. Waste Services, Inc. Series 1998 A (AMT) (A-/NR)
	1,900,000		1.500			06/01/18		1,917,119
	California State University Systemwide RB Series 2016 B-1 (AA-/Aa2)(a)
	10,000,000		3.000			11/01/19		10,477,900
	California State Various Purpose GO Bonds Refunding Series 2012 (AA-/Aa3)
	2,055,000		5.000			09/01/19		2,295,456
	California State Various Purpose GO Bonds Series 2016 (AA-/Aa3)
	5,000,000		3.000			09/01/18		5,200,800
	4,000,000		5.000			09/01/18		4,311,480
	2,575,000		3.000			09/01/19		2,728,959
	5,000,000		5.000			09/01/20		5,770,350

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

GOLDMAN SACHS SHORT DURATION TAX-FREE FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	California – (continued)
	California State Various Purpose GO Bonds Series 2016 (AA-/Aa3)(a)
$	52,000,000		4.000	%		12/01/21	$	58,749,080
	Carlsbad Improvement Bonds Refunding Reassessment District No. 2012-1 Series 2013 (NR/NR)
	400,000		3.000			09/02/17		406,408
	Corona-Norco Unified School District Public Financing Authority Special Tax Refunding Senior Lien Series 2013 A (A-/NR)
	275,000		4.000			09/01/18		292,743
	Del Mar Race Track Authority RB Series 2015 (BBB-/NR)
	220,000		2.000			10/01/16		220,000
	295,000		3.000			10/01/17		299,971
	Fontana Redevelopment Agency Tax Allocation Refunding for Jurupa Hills Redevelopment Project Series 1999 A (A/NR)
	465,000		5.500			10/01/17		466,465
	Golden Empire Schools Financing Authority RB Refunding for Kern High School District Projects Series 2016 (SP-1/MIG1)(b)
	3,000,000		1.340			05/01/17		3,000,210
	Golden State Tobacco Securitization Corp. California Tobacco Settlement RB Asset-Backed Bonds for Capital Appreciation Subseries 2007 A-1 (BBB+/Aaa)
	5,225,000		5.000			06/01/17		5,374,801
	Golden State Tobacco Securitization Corp. California Tobacco Settlement RB Enhanced Asset-Backed Bonds Series 2013 A (ST APPROP) (A+/A1)
	4,225,000		3.000			06/01/17		4,292,896
	Golden State Tobacco Securitization Corp. California Tobacco Settlement RB Senior Asset-Backed Bonds Series 2007 A-1 (B/B3)
	15,225,000		4.500			06/01/27		15,471,340
	Irvine City Limited Obligation Improvement Bond Reassessment District No. 12-1 Series 2012 Act 1915 (BBB+/NR)
	1,215,000		4.000			09/02/17		1,252,920
	1,250,000		4.000			09/02/18		1,320,213
	1,895,000		4.000			09/02/19		2,047,320
	Irvine City Limited Obligation Improvement Bond Reassessment District No. 13-1 Series 2013 (BBB+/NR)
	625,000		2.000			09/02/17		632,344
	Irvine City Limited Obligation Improvement Bond Reassessment District No. 15-2 Series 2015 (NR/NR)
	400,000		3.000			09/02/17		407,288
	500,000		4.000			09/02/18		526,330
	1,000,000		4.000			09/02/19		1,072,350
	725,000		4.000			09/02/20		791,809
	775,000		5.000			09/02/21		893,358
	Lake Elsinore Public Financing Authority Local Agency RB Refunding for Community Facilities District No. 88-3 Series 2015 B (AGM) (AA/NR)
	1,235,000		5.000			09/01/20		1,404,899
	Lake Elsinore Public Financing Authority Local Agency RB Refunding Series 2015 (NR/NR)
	355,000		3.000			09/01/17		360,801
	1,495,000		4.000			09/01/18		1,570,722
	1,000,000		4.000			09/01/19		1,072,880
	840,000		5.000			09/01/21		968,209
	State-Specific Municipal Debt Obligations – (continued)
	California – (continued)
	Long Beach California Harbor Revenue Short-Term Notes Series 2014 C (AA/NR)
$	20,000,000		5.000	%		11/15/18	$	21,737,200
	Los Angeles Community Redevelopment Agency Tax Allocation for Hollywood Redevelopment Project Series 1998 C (NATL-RE) (AA-/A3)
	540,000		5.500			07/01/17		557,469
	Los Angeles County Metropolitan Transportation Authority Sales Tax RB Refunding First Tier Senior Series 2011 A (AAA/Aa1)
	10,000,000		5.000			07/01/17		10,311,700
	Los Angeles County Public Works Financing Authority Lease RB for Multiple Capital Projects II Series 2012 (AA/Aa3)
	1,500,000		5.000			08/01/18		1,610,880
	Los Angeles Unified School District GO Refunding Bonds Election of 2008 Series 2016 A (AAA/Aa2)
	20,000,000		3.000			07/01/20		21,525,400
	Manteca Unified School District Special Tax Community Facilities District No. 1989-2 Series 2013 B (AGM) (AA/A2)
	275,000		4.000			09/01/17		282,518
	Miramar Ranch North California Special Tax Refunding for Community Facilities District No.1 Series 2012 (A/NR)
	1,895,000		4.000			09/01/17		1,947,321
	3,075,000		4.000			09/01/19		3,322,845
	Modesto Irrigation District RB for Electric System Series 2011 A (A+/A2)
	1,000,000		5.000			07/01/17		1,031,020
	Mountain View California Shoreline Regional Park Community Tax Allocation Series 2011 A (A/NR)
	225,000		4.000			08/01/17		230,643
	350,000		5.000			08/01/18		375,410
	Murrieta Public Financing Authority Special Tax RB Refunding Series 2012 (BBB-/NR)
	1,965,000		5.000			09/01/18		2,108,327
	1,000,000		5.000			09/01/19		1,107,270
	Natomas Unified School District GO Bonds Refunding Series 2013 (BAM) (AA/A1)
	410,000		3.000			09/01/18		425,752
	730,000		4.000			09/01/20		809,526
	650,000		4.000			09/01/21		735,449
	Palm Desert Financing Authority RB Tax Allocation for Project Area No. 1 As Amended Series 2006 A (NATL-RE) (AA-/A3)
	700,000		5.250			04/01/20		714,959
	Palm Desert Financing Authority Tax Allocation RB Refunding for Housing Set-Aside Series 2007 (NATL-RE) (NR/A3)
	100,000		5.000			10/01/20		103,603
	Palo Alto Limited Obligation Refunding & Improvement for University Avenue Area Off-Street Parking Assessment District Series 2012 (BBB/NR)
	385,000		3.000			09/02/18		398,329
	Rancho Cordova Community Facilities District No. 2003-1 Special Tax Refunding for Sunridge Anatolia Series 2016 (NR/NR)
	355,000		2.000			09/01/17		358,610
	450,000		3.000			09/01/18		467,289
	650,000		4.000			09/01/20		715,572
	380,000		4.000			09/01/22		428,678

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

GOLDMAN SACHS SHORT DURATION TAX-FREE FUND

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	California – (continued)
	Rancho Cucamonga Redevelopment Agency Set Aside Allocation for Rancho Redevelopment Housing Series 2007 A (NATL-RE) (AA-/A3)
$	150,000		5.500	%		09/01/17	$	156,277
	Roseville Finance Authority Special Tax Revenue Refunding Bonds Series 2012 (A/NR)
	1,855,000		3.000			09/01/17		1,892,248
	Sacramento City Schools Joint Powers Financing Authority Lease RB Refunding Series 2014 A (BAM) (AA/NR)
	1,065,000		4.000			03/01/17		1,078,983
	1,000,000		4.000			03/01/18		1,044,490
	Sacramento County Regional Transit District Farebox RB Series 2012 (A-/A3)
	530,000		4.000			03/01/17		536,524
	250,000		5.000			03/01/18		263,920
	730,000		5.000			03/01/19		796,124
	Sacramento County Sanitation District Financing Authority RB Refunding for Sacramento County Regional Series 2007 B (NATL-RE FGIC) (AA/Aa3)(b)
	43,220,000		1.094			12/01/35		40,535,606
	Salida Area Public Facilities Financing Agency Community Facilities District No. 1988-1 Special Tax Bonds Series 2011 (AGM) (AA/NR)
	1,515,000		3.000			09/01/17		1,545,694
	1,310,000		3.000			09/01/18		1,364,640
	San Bernardino City Unified School District GO Bonds Refunding Series 2013 A (A/A2)
	800,000		5.000			08/01/18		857,480
	San Bernardino City Unified School District GO Bonds Refunding Series 2013 A (AGM) (AA/A2)
	150,000		5.000			08/01/19		166,342
	San Diego Public Facilities Financing Authority RB Refunding for Senior Sewer Series 2016 A (AA+/NR)
	5,000,000		4.000			05/15/21		5,686,400
	San Diego Redevelopment Agency Tax Allocation for Centre City Redevelopment Series 2006 A (AMBAC) (AA-/A2)
	1,450,000		5.250			09/01/21		1,454,698
	665,000		5.250			09/01/23		667,148
	San Francisco City & County Airport Commission San Francisco International Airport RB Refunding Second Series 2010 D (AGM) (AA/A1)
	4,455,000		5.000			05/01/17		4,563,123
	San Francisco City & County GO Bonds for Clean & Safe Neighborhood Parks Series 2012 B (AA+/Aa1)
	2,750,000		4.000			06/15/19		2,979,487
	San Francisco City & County Redevelopment Financing Authority Tax Allocation for San Francisco Redevelopment Project Series 2003 B (NATL-RE FGIC) (AA-/A2)
	135,000		5.250			08/01/17		135,136
	San Jacinto Redevelopment Agency Tax Allocation for Redevelopment Project Area Series 2005 (XLCA) (A-/WR)
	160,000		3.900			08/01/17		161,672
	San Juan Unified School District Election of 2012 GO Bonds Series 2014 B (NR/Aa2)
	2,000,000		3.000			08/01/19		2,119,060
	State-Specific Municipal Debt Obligations – (continued)
	California – (continued)
	San Marcos Public Financing Authority Special Tax RB Refunding Series 2012 (A-/NR)
$	1,260,000		2.250	%		09/01/17	$	1,274,389
	1,000,000		4.000			09/01/19		1,081,800
	San Ramon Valley Unified School District GO Bonds Series 1998) A (NATL-RE FGIC) (AA/Aa1)(d)
	2,000,000		0.000			07/01/18		1,961,540
	Simi Valley Community Development Agency Tax Allocation Refunding for Tapo Canyon and West End Project Series 2003 (NATL-RE FGIC) (AA-/A3)
	600,000		5.250			09/01/18		601,926
	Stockton Public Financing Authority RB Refunding Series 2016 A (A-/NR)
	400,000		2.000			09/02/17		403,136
	710,000		2.000			09/02/18		721,083
	410,000		2.000			09/02/19		417,573
	Stockton Unified School District GO Bonds Refunding Series 2012 (AGM) (AA/A2)
	400,000		4.000			07/01/17		408,956
	1,090,000		5.000			07/01/19		1,206,554
	Temecula Public Financing Authority for Wolf Creek Community Facilities District 03-03 Series 2012 Special Tax Refunding Bonds (NR/NR)
	600,000		3.000			09/01/17		609,042
	Tobacco Securitization Authority Northern California Tobacco Settlement RB Asset-Backed Bonds Series 2005 A-1 (B+/B2)
	1,160,000		4.750			06/01/23		1,167,459
	University of California Regents Medical Center Pooled RB Refunding Series 2007 C-2 (NATL-RE) (AA-/Aa3)(b)
	3,500,000		1.157			05/15/30		3,388,105
	15,000,000		1.287			05/15/43		13,132,500
	Ventura County Capital Appreciation GO Bonds for Conejo Valley Unified School District for Election of 2014 Series A (AGM) (AA/A1)(d)
	1,775,000		0.000			08/01/20		1,661,897
	Western Riverside Water and Wastewater Financing Authority Local Agency RB Refunding Series 2013 A-1 (BBB+/NR)
	525,000		4.000			09/01/17		539,642
								425,812,021
	Colorado – 0.8%
	Colorado E-470 Public Highway Authority Senior RB Refunding Series 2015 A (BBB+/A3)
	1,000,000		5.000			09/01/20		1,135,120
	Colorado Health Facilities Authority RB Refunding for Covenant Retirement Communities, Inc. Series 2015 A (BBB+/NR)
	500,000		2.000			12/01/16		500,890
	500,000		4.000			12/01/18		529,585
	1,000,000		5.000			12/01/20		1,141,780
	Denver Colorada City & County Board Water Commissioners RB Refunding for Master Resolution Water Series 2016 A (AAA/Aaa)
	3,385,000		5.000			09/15/20		3,910,216
	2,770,000		5.000			09/15/21		3,292,893

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

GOLDMAN SACHS SHORT DURATION TAX-FREE FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	Colorado – (continued)
	Denver Colorada City & County Board Water Commissioners RB Refunding for Master Resolution Water Series 2016 B (AAA/Aaa)
$	3,210,000		5.000	%		09/15/19	$	3,588,588
	2,655,000		5.000			09/15/21		3,156,184
	Denver Colorado Health and Hospital Authority Healthcare RB Series B (BBB/NR)(b)
	16,355,000		1.664			12/01/33		15,284,238
	Jefferson County School District No. R-1 GO Bonds Series 2012 (ST AID WITHHLDG) (AA-/Aa2)
	1,750,000		3.000			12/15/16		1,757,595
	Larimer County School District No. R-1 GO Refunding and Improvement Bonds Series 2012 (ST AID WITHHLDG) (NR/Aa2)
	1,000,000		2.000			12/15/17		1,013,270
	Plaza Metropolitan District No. 1 Tax Allocation Refunding Series 2013 (NR/NR)(e)
	1,000,000		4.000			12/01/16		1,003,320
								36,313,679
	Connecticut – 1.4%
	Connecticut State GO Bonds Refunding Series 2006 E (AA-/Aa3)
	5,250,000		5.000			12/15/17		5,292,367
	Connecticut State GO Bonds Series 2013 A (AA-/Aa3)(b)
	3,000,000		1.180			03/01/17		2,998,890
	2,000,000		1.260			03/01/18		1,996,280
	Connecticut State GO Bonds Series 2013 C (AA-/Aa3)
	7,555,000		5.000			07/15/19		8,354,395
	Connecticut State GO Bonds Series 2015 C (AA-/Aa3)(b)
	10,000,000		1.640			06/15/20		10,040,600
	Connecticut State GO Bonds Series 2016 D (AA-/Aa3)
	12,490,000		5.000			08/15/20		14,254,962
	Connecticut State Health & Educational Facilities Authority RB for Sacred Heart University Series 2012 H (AGM) (AA/A2)
	1,000,000		2.000			07/01/17		1,005,420
	1,260,000		4.000			07/01/18		1,318,288
	New Haven GO Bonds Refunding Series 2012 A (A-/Baa1)
	4,090,000		5.000			11/01/16		4,101,820
	New Haven GO Bonds Refunding Series 2015 B (BAM) (AA/Baa1)
	6,115,000		5.000			08/15/21		7,108,382
	Town of Hamden GO Refunding Bonds Series 2013 (A+/Baa1)
	1,685,000		5.000			08/15/18		1,797,305
	2,000,000		5.000			08/15/19		2,190,560
	West Haven GO Refunding Bonds Series 2012 (AGM) (AA/A2)
	2,000,000		4.000			08/01/17		2,043,500
	2,100,000		4.000			08/01/18		2,199,813
								64,702,582
	Delaware – 0.2%
	Delaware Transportation Authority Transportation System Senior RB Refunding Series 2010 A (AA+/Aa2)
	1,900,000		5.000			07/01/19		2,107,518
	New Castle County GO Bonds Refunding Series 2015 (AAA/Aaa)
	1,000,000		5.000			10/01/20		1,156,030
	State-Specific Municipal Debt Obligations – (continued)
	Delaware – (continued)
	Sussex County Delaware GO Bonds Refunding Series 2012 A (AA+/Aa1)
$	865,000		3.000	%		09/15/17	$	882,949
	Sussex County Delaware GO Bonds Refunding Series 2012 B (AA+/Aa1)
	1,435,000		4.000			09/15/17		1,478,251
	University of Delaware RB Series 2013 A (AA+/Aa1)
	4,265,000		3.000			11/01/17		4,364,971
								9,989,719
	Florida – 3.1%
	Anthem Park Community Development District Special Assessment RB Refunding Senior Series 2016 A-1 (BBB-/NR)
	310,000		2.000			05/01/17		311,745
	315,000		2.000			05/01/18		318,125
	320,000		2.000			05/01/19		323,453
	325,000		2.000			05/01/20		327,688
	335,000		2.250			05/01/21		338,494
	340,000		2.250			05/01/22		339,820
	350,000		2.500			05/01/23		350,206
	Atlantic Beach Health Care Facilities RB Refunding for Fleet Landing Project Series 2013 A (BBB/NR)
	300,000		3.000			11/15/16		300,648
	970,000		4.000			11/15/18		1,022,690
	Avelar Creek Community Development District Special Assessment Refunding Series 2016 (BBB+/NR)
	140,000		2.000			05/01/17		140,853
	160,000		2.000			05/01/18		161,912
	165,000		2.000			05/01/19		166,906
	170,000		2.000			05/01/20		171,229
	170,000		2.000			05/01/21		169,704
	Bartram Park Community Development District Special Assessment RB Refunding for City of Jacksonville Florida Senior Lien Series 2015 A-1 (BBB/NR)
	560,000		1.500			05/01/17		560,633
	570,000		2.000			05/01/18		572,993
	580,000		2.300			05/01/19		586,229
	600,000		2.600			05/01/20		609,234
	615,000		3.000			05/01/21		629,274
	500,000		3.125			05/01/22		514,315
	500,000		3.250			05/01/23		512,810
	Century Gardens at Tamiami Community Development District Special Assessment Refunding Series 2016 (BBB/NR)
	170,000		2.000			05/01/17		171,025
	210,000		2.000			05/01/18		212,312
	215,000		2.000			05/01/19		217,429
	220,000		2.000			05/01/20		221,514
	225,000		2.250			05/01/21		226,953
	Century Parc Community Development District Special Assessment Refunding Series 2012 (A-/NR)
	180,000		2.500			11/01/16		180,009
	185,000		2.750			11/01/17		185,895
	190,000		3.000			11/01/18		192,328
	195,000		3.250			11/01/19		200,054

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

GOLDMAN SACHS SHORT DURATION TAX-FREE FUND

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	Florida – (continued)
	Citizens Property Insurance Corp. Senior Secured RB for High Risk Account Series 2007 A (ETM) (NATL-RE) (AA-/A1)(c)
$	6,235,000		5.000	%		03/01/17	$	6,340,746
	Citizens Property Insurance Corp. Senior Secured RB for High Risk Account Series 2009 A-1 (A+/A1)
	3,000,000		5.500			06/01/17		3,091,560
	CityPlace Community Development District Special Assessment RB Refunding Series 2012 (A/NR)
	615,000		5.000			05/01/17		628,352
	1,375,000		5.000			05/01/18		1,453,691
	1,890,000		5.000			05/01/19		2,056,774
	Concord Station Community Development District Capital Improvement RB Refunding Senior Lien Series 2016 A-1 (BBB-/NR)
	780,000		2.000			05/01/17		783,767
	795,000		2.000			05/01/18		803,506
	810,000		2.000			05/01/19		820,182
	830,000		2.000			05/01/20		838,018
	845,000		2.000			05/01/21		846,834
	860,000		2.125			05/01/22		853,498
	Country Walk Community Development District Special Assessment Senior Lien RB Refunding Series 2015 A-1 (BBB+/NR)
	175,000		1.500			05/01/17		175,089
	180,000		2.250			05/01/18		180,636
	185,000		2.500			05/01/19		186,286
	190,000		2.750			05/01/20		192,523
	Double Branch Community Development District Special Assessment Refunding Senior Lien Series 2013 A-1 (A-/NR)
	500,000		2.125			05/01/17		501,005
	250,000		2.400			05/01/18		252,042
	250,000		2.700			05/01/19		254,490
	250,000		3.000			05/01/20		257,878
	Fishhawk Community Development District II Special Assessment Refunding Series 2013 A (A-/NR)
	360,000		2.100			05/01/17		359,957
	Florida Higher Educational Facilities Financing Authority RB for Nova Southeastern University Project Series 2012 A (A-/Baa1)
	825,000		3.000			04/01/17		832,664
	500,000		5.000			04/01/18		529,100
	500,000		5.000			04/01/19		546,195
	Florida State Full Faith and Credit State Board of Education Public Education Capital Outlay Tax-Exempt Bonds Series 2008 C (AAA/Aa1)
	2,990,000		5.000			06/01/20		3,305,116
	Florida State Municipal Power Agency RB Refunding for St. Lucie Project Series 2002-1 (AMBAC) (A/A2)(a)
	1,500,000		1.470			10/01/21		1,370,673
	Florida State Municipal Power Agency RB Refunding for St. Lucie Project Series 2002-2 (AMBAC) (A/A2)(b)
	5,400,000		1.365			10/01/21		4,934,442
	Florida State Municipal Power Agency RB Refunding for St. Lucie Project Series 2002-3 (AMBAC) (A/A2)(b)
	375,000		1.365			10/01/21		342,669
	State-Specific Municipal Debt Obligations – (continued)
	Florida – (continued)
	Fontainbleau Lakes Community Development District Special Assessment RB Refunding Series 2016 (BBB+/NR)(f)
$	205,000		2.000	%		05/01/17	$	205,988
	215,000		2.000			05/01/18		217,475
	220,000		2.000			05/01/19		222,778
	225,000		2.000			05/01/20		226,996
	230,000		2.000			05/01/21		230,099
	235,000		2.500			05/01/22		238,776
	245,000		2.500			05/01/23		247,362
	245,000		2.500			05/01/24		245,167
	255,000		2.750			05/01/25		255,191
	260,000		3.000			05/01/26		263,450
	Heritage Landing Community Development District Special Assessment Refunding Series 2015 (BBB/NR)
	500,000		2.250			05/01/17		502,355
	415,000		2.000			05/01/18		416,345
	425,000		2.250			05/01/19		427,541
	535,000		2.500			05/01/20		540,666
	Highlands Community Development District Special Assessment Refunding Series 2016 (BBB-/NR)(f)
	255,000		2.000			05/01/17		256,367
	275,000		2.000			05/01/18		278,132
	280,000		2.000			05/01/19		283,475
	285,000		2.250			05/01/20		289,868
	290,000		2.250			05/01/21		293,129
	295,000		2.250			05/01/22		295,000
	305,000		2.500			05/01/23		306,833
	315,000		2.750			05/01/24		320,377
	320,000		3.000			05/01/25		326,048
	Lakeland Hospital RB for Lakeland Regional Health System Series 2011 (NR/A2)
	5,020,000		5.000			11/15/16		5,042,640
	6,315,000		5.000			11/15/17		6,591,913
	6,250,000		5.000			11/15/18		6,761,312
	Manatee County Florida Public Utilities RB Refunding Series 2011 (AA+/Aa2)
	1,180,000		4.000			10/01/16		1,180,000
	Mediterra South Community Development District Capital Improvement RB Refunding Series 2012 (A-/NR)
	275,000		3.600			05/01/17		276,955
	285,000		3.800			05/01/18		293,257
	Miami Beach Health Facilities Authority Hospital RB Refunding for Mount Sinai Medical Center Series 2012 (BBB+/Baa1)
	1,750,000		4.000			11/15/17		1,809,640
	2,220,000		4.000			11/15/18		2,353,955
	Miami Special Obligation Non-Ad Valorem RB for Port of Miami Tunnel Project Series 2012 (A/A1)(e)
	2,210,000		4.000			03/01/17		2,237,559
	2,300,000		4.000			03/01/18		2,396,370
	2,390,000		5.000			03/01/19		2,608,279
	2,510,000		5.000			03/01/20		2,805,904
	2,635,000		5.000			03/01/21		3,052,331
	2,770,000		5.000			03/01/22		3,243,282
	Miami Special Obligation Refunding Series 2011 A (AGM) (AA/A1)
	830,000		5.000			02/01/17		840,881

The accompanying notes are an integral part of these financial statements. 63

GOLDMAN SACHS SHORT DURATION TAX-FREE FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	Florida – (continued)
	Miami-Dade County IDA Solid Waste Disposal RB for Waste Management Inc. Project Series 2006 (A-/NR)
$	2,000,000		1.500	%		10/01/18	$	2,021,220
	Miami-Dade County School Board COPS Series 2007 B (NATL-RE FGIC) (AA-/A1)(c)
	2,500,000		5.000			05/01/17		2,559,675
	Orange County School Board COPS Series A (NATL-RE) (AA/Aa2)(c)
	1,110,000		5.000			08/01/17		1,147,840
	Orlando Florida Capital Improvement Special RB Refunding Series 2016 B (AA/Aa2)
	1,525,000		5.000			10/01/21		1,802,367
	Orlando Florida Community Redevelopment Agency Tax Increment RB Refunding for Conroy Road District Series 2012 (A-/NR)
	1,180,000		5.000			04/01/17		1,201,677
	1,245,000		5.000			04/01/18		1,312,516
	1,305,000		5.000			04/01/19		1,417,843
	1,375,000		5.000			04/01/20		1,533,510
	Osceola County School Board COPS Series 2013 A (A/Aa3)
	500,000		4.000			06/01/17		510,335
	Palm Beach County Health Facilities Authority Hospital RB Refunding for Jupiter Medical Center, Inc. Project Series 2013 A (BBB+/Baa2)
	370,000		4.000			11/01/16		370,892
	720,000		4.000			11/01/17		742,032
	630,000		4.000			11/01/18		664,133
	Palm Glades Community Development District Special Assessment Refunding Bonds Series 2016 (BBB/NR)
	360,000		2.000			05/01/17		361,145
	475,000		2.000			05/01/18		477,123
	485,000		2.000			05/01/19		486,086
	Parklands Lee Community Development District Special Assessment Refunding Senior Lien Series 2013 A-1 (A/NR)
	130,000		2.125			05/01/17		130,077
	135,000		2.250			05/01/18		135,310
	140,000		2.875			05/01/19		141,753
	Portofino Isles Community Development District Special Assessment Refunding Series 2013 (BBB-/NR)
	220,000		2.250			05/01/17		220,260
	225,000		2.625			05/01/18		226,606
	230,000		3.000			05/01/19		234,460
	Reunion East Community Development District Special Assessment Refunding Series 2015 A (NR/NR)
	2,525,000		4.000			05/01/20		2,625,217
	River Bend Community Development District Special Assessment RB Refunding Senior Series 2016 A-1 (BBB+/NR)
	320,000		2.000			05/01/17		321,821
	355,000		2.000			05/01/18		359,409
	360,000		2.000			05/01/19		364,979
	365,000		2.000			05/01/20		368,778
	375,000		2.000			05/01/21		374,996
	385,000		2.500			05/01/22		391,021
	395,000		2.500			05/01/23		398,586
	405,000		2.500			05/01/24		404,996
	415,000		2.750			05/01/25		416,573
	425,000		3.000			05/01/26		430,304
	State-Specific Municipal Debt Obligations – (continued)
	Florida – (continued)
	Sausalito Bay Community Development District Special Assessment Refunding Series 2013 (A-/NR)
$	90,000		2.125	%		05/01/17	$	90,012
	95,000		2.500			05/01/18		95,349
	90,000		2.750			05/01/19		90,983
	100,000		3.000			05/01/20		101,218
	South Florida Water Management District Leasing Corp. COPS Series 2006 (AMBAC) (AA/Aa3)(c)
	12,375,000		5.000			10/01/16		12,375,000
	South Kendall Community Development District Special Assessment Refunding Series 2016 (BBB-/NR)
	280,000		2.000			11/01/17		282,778
	320,000		2.000			11/01/18		324,829
	325,000		2.000			11/01/19		329,761
	330,000		2.250			11/01/20		336,326
	330,000		2.250			11/01/21		333,798
	335,000		2.250			11/01/22		334,809
	South Village Community Development District Capital Improvement and Special Assessment Refunding Senior Lien Series 2016 A-1 (BBB/NR)
	290,000		2.000			05/01/17		291,383
	295,000		2.000			05/01/18		298,201
	300,000		2.000			05/01/19		303,543
	310,000		2.000			05/01/20		312,886
	100,000		2.000			05/01/21		100,304
	100,000		2.125			05/01/22		99,816
	100,000		2.375			05/01/23		99,908
	100,000		2.500			05/01/24		99,520
	100,000		2.750			05/01/25		99,771
	100,000		3.000			05/01/26		100,081
	South-Dade Venture Community Development District Special Assessment RB Refunding Series 2012 (BBB-/NR)
	320,000		3.750			05/01/17		323,312
	330,000		4.000			05/01/18		340,214
	345,000		4.125			05/01/19		362,667
	375,000		4.375			05/01/21		408,581
	390,000		4.500			05/01/22		432,042
	Spicewood Community Development District Special Assessment Refunding Series 2013 (BBB/NR)
	110,000		2.250			05/01/17		109,961
	110,000		2.500			05/01/18		110,270
	115,000		2.875			05/01/19		116,612
	Stonebrier Community Development District Special Assessment Refunding Series 2016 (A-/NR)
	200,000		2.000			05/01/17		200,840
	240,000		2.000			05/01/18		241,894
	245,000		2.000			05/01/19		246,347
	250,000		2.000			05/01/20		250,170
	255,000		2.250			05/01/21		255,770
	260,000		2.250			05/01/22		259,592
	Tampa Tax Allocation RB Refunding Cigarette – H. Lee Moffitt Cancer Center Series 2012 A (A+/A1)
	425,000		4.000			09/01/17		436,696

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

GOLDMAN SACHS SHORT DURATION TAX-FREE FUND

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	Florida – (continued)
	Trails at Monterey Community Development District Special Assessment Refunding Series 2012 (A-/NR)
$	105,000		2.750	%		05/01/17	$	105,201
	110,000		3.000			05/01/18		110,858
	110,000		3.250			05/01/19		112,069
	115,000		3.500			05/01/20		117,442
	115,000		3.750			05/01/21		117,324
	125,000		3.875			05/01/22		128,886
	125,000		4.000			05/01/23		129,531
	135,000		4.125			05/01/24		139,997
	140,000		4.150			05/01/25		144,855
	145,000		4.250			05/01/26		150,981
	Turnbull Creek Community Development District Senior Special Assessment Refunding Series 2015 A-1 (BBB/NR)
	415,000		2.300			05/01/19		419,980
	125,000		2.600			05/01/20		128,008
	Two Creeks Community Development District RB Refunding for Capital Improvement Senior Lien Series 2016 A-1 (BBB-/NR)
	170,000		2.000			05/01/17		170,753
	170,000		2.000			05/01/18		171,634
	175,000		2.000			05/01/19		176,934
	175,000		2.000			05/01/20		176,386
	360,000		2.250			05/01/21		364,068
	Venetian Isles Community Development District Special Assessment RB Refunding Series 2013 (A+/NR)
	225,000		2.125			05/01/17		226,544
	230,000		2.500			05/01/18		235,368
	235,000		2.875			05/01/19		240,842
	240,000		3.000			05/01/20		248,400
	Village Community Development District No. 10 Special Assessment RB Series 2012 (NR/NR)
	1,155,000		4.500			05/01/23		1,270,650
	Village Community Development District No. 7 Special Assessment RB Refunding Series 2015 (A/NR)
	1,185,000		3.000			05/01/17		1,197,940
	1,465,000		3.000			05/01/19		1,521,359
	Waters Edge Community Development District Capital Improvement RB Refunding Senior Lien Series 2015 A-1 (BBB+/NR)
	365,000		2.500			05/01/17		367,361
	375,000		2.500			05/01/18		380,040
	385,000		2.000			05/01/19		385,959
	390,000		2.375			05/01/20		392,730
	400,000		2.625			05/01/21		404,216
	Wyndam Park Community Development District Special Assessment Refunding Series 2013 (A-/NR)
	90,000		2.125			05/01/17		89,996
	95,000		2.250			05/01/18		95,307
	95,000		2.875			05/01/19		96,023
								146,124,295
	Georgia – 1.6%
	Cobb County Kennestone Hospital Authority RB Refunding Anticipation Certificates Series 2012 (A/A2)
	790,000		4.000			04/01/17		801,684
	State-Specific Municipal Debt Obligations – (continued)
	Georgia – (continued)
	Colquitt County School District Sales Tax GO Bonds Series 2013 (ST AID WITHHLDG) (NR/Aa1)
$	1,650,000		4.000	%		01/01/17	$	1,662,391
	DeKalb County Water and Sewerage RB Second Resolution Series 2011 A (A+/Aa3)
	1,500,000		5.000			10/01/16		1,500,000
	Dougherty County School District Sales Tax GO Bonds for Georgia State Aid Intercept Program Series 2013 (ST AID WITHHLDG) (NR/Aa1)
	2,055,000		5.000			12/01/17		2,154,051
	Douglas County School District GO Bonds Refunding Series 2012 (ST AID WITHHLDG) (AA+/Aa1)
	2,985,000		4.000			04/01/17		3,031,954
	Fulton County Development Authority RB Refunding for Spelman College Series 2012 (NR/A1)
	1,010,000		4.000			06/01/18		1,060,298
	Georgia State GO Bonds Refunding Series 2011 E-2 (AAA/Aaa)
	11,495,000		4.000			09/01/17		11,828,240
	Gwinnett County School District Sales Tax GO Bonds Series 2012 A (AAA/Aaa)
	15,765,000		4.500			10/01/17		16,339,950
	Jackson County School District GO Bonds Refunding Series 2012 (ST AID WITHHLDG) (AA+/Aa2)
	3,030,000		5.000			03/01/17		3,081,783
	4,215,000		5.000			03/01/18		4,460,692
	Metropolitan Atlanta Rapid Transit Authority RB Series 2000 A (AAA/Aa1)(a)
	7,700,000		1.140			07/01/17		7,700,000
	Milledgeville & Baldwin County Development Authority Student Housing RB Refunding for Georgia College & State University Foundation Property V, LLC Project Series 2007 (AMBAC) (A+/WR)(b)
	14,000,000		1.033			10/01/24		13,652,800
	Richmond County Board of Education GO Bonds for Sales Tax Series 2012 (ST AID WITHHLDG) (AA+/Aa1)
	2,500,000		5.000			10/01/16		2,500,000
	2,000,000		3.000			10/01/17		2,043,460
	Thomas County School District Sales Tax GO Bonds Series 2012 (ST AID WITHHLDG) (AA+/NR)
	2,655,000		4.000			03/01/17		2,689,754
								74,507,057
	Guam – 0.1%
	Guam Government Limited Obligation RB Section 30 Series 2016 A (BBB+/NR)
	300,000		2.000			12/01/16		300,411
	355,000		5.000			12/01/17		369,175
	1,000,000		5.000			12/01/18		1,072,710
	1,500,000		5.000			12/01/19		1,652,535
	Guam Government Privilege Special Tax Refunding Bonds Series 2015 D (A/NR)
	265,000		4.000			11/15/18		278,674
	1,525,000		5.000			11/15/21		1,754,512

The accompanying notes are an integral part of these financial statements. 65

GOLDMAN SACHS SHORT DURATION TAX-FREE FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	Guam – (continued)
	Guam Waterworks Authority RB for Water & Wastewater System Series 2016 (A-/Baa2)
$	310,000		5.000	%		07/01/21	$	356,088
	500,000		5.000			07/01/22		583,955
								6,368,060
	Hawaii – 0.7%
	Hawaii State GO Bonds Series 2015 DK (NR/NR)(c)
	1,000,000		5.000			05/01/18		1,065,160
	Hawaii State GO Refunding Bonds Series 2016 FH (AA+/Aa1)(f)
	15,000,000		3.000			10/01/21		16,297,950
	Honolulu City and County GO Bonds Series C (AA+/Aa1)
	10,220,000		4.000			10/01/19		11,120,586
	Honolulu City and County Wastewater System RB Senior First Bond Resolution Series 2012 A (AA/Aa2)
	2,400,000		2.000			07/01/17		2,421,336
								30,905,032
	Idaho – 0.1%
	Boise City Independent School District GO Bonds Refunding Series 2012 B (AA/Aa1)
	1,000,000		3.000			08/01/17		1,018,070
	2,095,000		4.000			08/01/18		2,214,834
								3,232,904
	Illinois – 9.3%
	Chicago Illinois Board of Education Dedicated Revenues Series 2007 D (AGM) (AA/A2)
	5,000,000		5.000			12/01/21		5,177,950
	Chicago Illinois Board of Education GO Bonds Capital Appreciation for School Reform Series 1998 B-1 (NATL-RE FGIC) (AA-/A3)(d)
	8,990,000		0.000			12/01/16		8,952,422
	Chicago Illinois Board of Education GO Bonds Refunding Capital Appreciation for School Reform Series 1999 A (NATL-RE FGIC) (AA-/A3)(d)
	11,185,000		0.000			12/01/16		11,138,247
	Chicago Illinois Board of Education GO Bonds Refunding Series 1999 A (NATL-RE FGIC) (AA-/A3)(d)
	1,070,000		0.000			12/01/17		1,031,576
	6,595,000		0.000			12/01/19		5,960,759
	Chicago Illinois Board of Education GO Bonds Refunding Series 2015 A (B+/NR)(a)
	30,000,000		4.840			03/01/17		29,966,100
	Chicago Illinois Board of Education GO Bonds Series 1999 A (NATL-RE-IBC FGIC) (AA-/A3)
	1,575,000		5.250			12/01/20		1,739,650
	Chicago Illinois Capital Appreciation GO Bonds Refunding and Project Series C (BBB+/Ba1)(d)
	4,645,000		0.000			01/01/23		3,506,046
	Chicago Illinois Emergency Telephone System GO Bonds Refunding Series 1999 (NATL-RE) (AA-/A3)
	9,750,000		5.500			01/01/23		10,850,092
	State-Specific Municipal Debt Obligations – (continued)
	Illinois – (continued)
	Chicago Illinois GO Bonds Project and Refunding RMKT 05/29/15 Series 2003 B (BBB+/Ba1)
$	2,000,000		5.000	%		01/01/23	$	2,141,260
	Chicago Illinois GO Bonds Project and Refunding Series 2009 A (BBB+/Ba1)
	5,400,000		5.000			01/01/22		5,644,026
	Chicago Illinois GO Bonds Project and Refunding Series 2014 A (BBB+/Ba1)
	2,075,000		5.000			01/01/22		2,221,661
	Chicago Illinois GO Bonds Refunding Capital Appreciation Series 2007 C (NATL-RE) (AA-/A3)
	5,000,000		5.000			01/01/30		5,177,500
	Chicago Illinois GO Bonds Refunding Series 2012 C (BBB+/Ba1)
	14,345,000		5.000			01/01/22		15,358,905
	Chicago Illinois GO Bonds Refunding Series 2015 C (BBB+/NR)
	1,350,000		5.000			01/01/20		1,412,276
	2,000,000		5.000			01/01/21		2,119,560
	16,000,000		5.000			01/01/22		17,130,880
	13,250,000		5.000			01/01/23		14,185,847
	Chicago Illinois Midway Airport Second Lien RB Refunding Series 2014 B (A/A3)
	400,000		5.000			01/01/19		435,332
	Chicago Illinois Modern Schools Across Chicago Program GO Bonds Series 2010 A (BBB+/Ba1)
	2,500,000		5.000			12/01/16		2,508,875
	6,450,000		4.000			12/01/17		6,534,302
	Chicago Illinois O’Hare International Airport RB Refunding General Airport Senior Lien Series 2015 B (A/NR)
	4,000,000		5.000			01/01/21		4,606,600
	Chicago Illinois Sales Tax Refunding RMKT 06/09/15 Series 2002 (AA/NR)
	1,250,000		5.000			01/01/21		1,402,725
	Chicago Illinois Wastewater Transmission RB Refunding Second Lien Project Series 2008 C (A/NR)
	1,000,000		5.000			01/01/21		1,125,220
	Chicago Illinois Water RB Refunding Second Lien Project RMKT 05/23/16 Series 2004 (A/NR)
	2,500,000		5.000			11/01/20		2,812,725
	Chicago Illinois Water RB Refunding Second Lien Project Series 2012 (A/Baa2)
	550,000		4.000			11/01/16		551,073
	Cook County Illinois GO Refunding Bonds Series 2012 C (AA-/A2)
	1,500,000		5.000			11/15/19		1,654,155
	1,000,000		4.000			11/15/20		1,089,690
	Glenview GO Refunding Bonds Series 2012 B (NR/Aaa)
	1,245,000		4.000			12/01/16		1,251,088
	1,295,000		4.000			12/01/17		1,340,727
	1,365,000		4.000			12/01/18		1,445,166
	Glenview GO Refunding Bonds Series 2012 C (NR/Aaa)
	1,650,000		3.000			12/01/17		1,689,352
	Illinois Educational Facilities Authority RB for University of Chicago Series 2001 B-2 (AA-/Aa2)(a)
	6,000,000		1.550			02/13/20		6,053,040

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

GOLDMAN SACHS SHORT DURATION TAX-FREE FUND

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	Illinois – (continued)
	Illinois Finance Authority RB Refunding for Illinois Wesleyan University Series 2016 (A-/Baa1)
$	220,000		4.000	%		09/01/17	$	224,965
	255,000		4.000			09/01/20		275,862
	500,000		4.000			09/01/21		547,725
	Illinois State Build Illinois Sales Tax RB Series 2011 (AAA/NR)
	2,385,000		4.000			06/15/17		2,435,371
	Illinois State GO Bonds First Series 2001 (NATL-RE) (AA-/A3)
	3,000,000		5.500			08/01/17		3,101,160
	Illinois State GO Bonds Refunding Series 2006 (BBB+/Baa2)
	225,000		5.000			01/01/17		227,137
	Illinois State GO Bonds Refunding Series 2009 A (BBB+/Baa2)
	16,000,000		4.000			09/01/20		16,407,520
	Illinois State GO Bonds Refunding Series 2010 (BBB+/Baa2)
	10,705,000		5.000			01/01/17		10,806,698
	18,505,000		5.000			01/01/18		19,224,474
	16,490,000		5.000			01/01/20		17,876,809
	Illinois State GO Bonds Refunding Series 2012 (BBB+/Baa2)
	6,970,000		5.000			08/01/17		7,176,591
	7,295,000		5.000			08/01/19		7,854,891
	10,925,000		5.000			08/01/20		11,981,229
	Illinois State GO Bonds Series 2003 A (BBB+/Baa2)
	7,525,000		5.000			10/01/16		7,525,000
	Illinois State GO Bonds Series 2005 (AGM) (AA/A2)
	1,095,000		4.250			09/01/18		1,096,632
	Illinois State GO Bonds Series 2012 (BBB+/Baa2)
	200,000		5.000			03/01/17		203,146
	14,360,000		4.000			01/01/19		14,937,272
	1,430,000		5.000			03/01/21		1,582,009
	Illinois State GO Bonds Series 2012 A (BBB+/Baa2)
	10,085,000		3.000			01/01/18		10,231,232
	Illinois State GO Bonds Series 2013 (BBB+/Baa2)
	9,070,000		5.000			07/01/17		9,318,518
	3,645,000		5.000			07/01/19		3,916,735
	Illinois State GO Bonds Series 2013 A (BBB+/Baa2)
	2,250,000		5.000			04/01/17		2,291,985
	Illinois State GO Bonds Series 2014 (BBB+/Baa2)
	9,155,000		5.000			04/01/17		9,325,832
	3,450,000		4.000			02/01/18		3,547,738
	3,730,000		5.000			02/01/19		3,969,429
	Illinois State Sales Tax RB Junior Obligation Series 2016 A (AAA/NR)
	1,475,000		5.000			06/15/22		1,756,622
	Illinois State Sales Tax RB Refunding Junior Obligation Series 2016 C (AAA/NR)
	675,000		4.000			06/15/21		754,785
	2,875,000		5.000			06/15/22		3,423,924
	Illinois State Sales Tax RB Refunding Junior Obligation Series 2016 D (AAA/NR)
	3,185,000		4.000			06/15/21		3,561,467
	Illinois Unemployment Insurance Fund Building Receipts RB Series 2012 B (AA/NR)
	7,500,000		5.000			12/15/17		7,559,925
	11,980,000		5.000			06/15/18		12,075,001
	State-Specific Municipal Debt Obligations – (continued)
	Illinois – (continued)
	McHenry and Lake County Community Highschool No. 156 GO Bonds Refunding Series 2013 (NR/Aa2)
$	2,245,000		3.000	%		02/01/17	$	2,260,333
	2,690,000		3.000			02/01/18		2,761,554
	Quad Cities Regional Economic Development Authority RB for Augustana College Series 2012 (NR/Baa1)
	840,000		3.000			10/01/17		850,996
	Railsplitter Tobacco Settlement Authority Tobacco Settlement RB Series 2010 (A/NR)
	10,000,000		5.000			06/01/17		10,275,300
	Regional Transportation Authority Illinois GO Refunding Series 2011 A (AGM) (GO OF AUTH) (AA/Aa3)
	13,545,000		5.000			06/01/17		13,898,795
	Springfield Electric RB Refunding Senior Lien Series 2015 (A/A3)
	2,000,000		5.000			03/01/21		2,302,860
	Springfield Electric RB Senior Lien Series 2007 (NATL-RE) (AA-/A3)(c)
	7,500,000		5.000			03/01/17		7,627,200
	University of Illinois Board Trustees COP RB Refunding Series 2016 A (A+/Aa3)
	13,775,000		2.000			08/15/17		13,866,742
	5,000,000		5.000			08/15/20		5,656,050
	5,000,000		5.000			08/15/21		5,789,400
								438,721,741
	Indiana – 0.6%
	City of Whiting Environmental Facilities RB for BP Products North America, Inc. Project Series 2008 (A-/A2)(a)
	15,000,000		1.850			10/01/19		15,179,250
	Delaware County Indiana Hospital Authority RB Refunding for Ball Memorial Hospital, Inc. Obligated Group Series 2009 A (ETM) (NR/WR)(c)
	1,085,000		5.500			08/01/17		1,126,425
	4,585,000		5.625			08/01/18		4,977,339
	Indiana Finance Authority Hospital RB for Indiana University Health Obligated Group Series 2012 A (A/A2)
	520,000		5.000			05/01/17		531,898
	855,000		5.000			05/01/20		963,790
	Indiana Health Facilities Financing Authority RB for Ascension Series 2001 (AA+/Aa2)(a)
	4,590,000		1.600			02/01/17		4,599,685
	Indiana State Finance Authority RB for Community Foundation of Northwest Indiana Obligated Group Series 2012 (A/NR)
	800,000		5.000			03/01/18		843,736
	500,000		5.000			03/01/19		539,460
	650,000		5.000			03/01/20		718,399
								29,479,982
	Iowa – 0.1%
	Iowa Finance Authority Health Facilities RB for Mercy Medical Center Projects Series 2012 (A/A2)
	1,400,000		4.000			08/15/17		1,430,184
	Iowa Finance Authority State Revolving Fund RB Series 2013 (AAA/Aaa)
	1,000,000		5.000			08/01/18		1,075,440

The accompanying notes are an integral part of these financial statements. 67

GOLDMAN SACHS SHORT DURATION TAX-FREE FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	Iowa – (continued)
	Iowa State University of Science and Technology RB Refunding for Memorial Union Series 2013 (AA/Aa2)
$	1,055,000		1.500	%		07/01/17	$	1,060,507
								3,566,131
	Kansas – 1.1%
	Johnson County Public Building Commission RB Refunding for Kansas Lease Purchase Series 2015 B (AAA/Aaa)
	2,735,000		2.000			09/01/19		2,813,112
	3,810,000		2.000			09/01/20		3,939,235
	Johnson County Unified School District No. 229 GO Bonds for Kansas Blue Valley Series 2015 B (AA+/Aaa)
	8,125,000		5.000			10/01/19		9,084,725
	Johnson County Unified School District No. 512 GO Bonds for Kansas Shawnee Mission Series 2012 A (NR/Aaa)
	6,085,000		4.000			10/01/18		6,456,002
	Olathe Health Facilities RB for Medical Center Series 2012 B (A+/NR)(a)
	3,000,000		2.000			03/01/17		3,002,220
	Sedgwick County Kansas Unified School District No. 259 GO Bonds Refunding and Improvement Series 2015 A (NR/Aa2)
	3,455,000		4.000			10/01/20		3,844,966
	3,000,000		4.000			10/01/21		3,399,360
	Wichita GO Refunding Bonds Series 2012 A (AA+/Aa1)
	2,550,000		4.000			09/01/17		2,622,522
	2,640,000		3.000			09/01/18		2,742,960
	2,585,000		4.000			09/01/19		2,810,412
	Wichita GO Refunding Bonds Series 811 (AA+/Aa1)
	5,405,000		5.000			06/01/18		5,766,432
	Wichita GO Sales Tax Bonds Series 2012 D (AA+/Aa1)
	1,075,000		3.000			10/01/17		1,097,715
	1,130,000		3.000			10/01/19		1,197,755
	Wyandotte County/Kansas City Unified Government RB Refunding Sales Tax Special Obligation for Redevelopment Project Area B Sub Lien Series 2012 (AA-/NR)
	1,400,000		5.000			12/01/16		1,409,128
								50,186,544
	Kentucky – 1.8%
	Kentucky Public Transportation Infrastructure Authority Subordinate Toll Revenue BANS for Downtown Crossing Project Series 2013 A (BBB-/Baa3)
	15,000,000		5.000			07/01/17		15,436,950
	Kentucky State Property and Buildings Commission for Project 100 RB Refunding Series 2011 A (A/Aa3)
	5,040,000		4.000			08/01/17		5,168,470
	Kentucky State Property and Buildings Commission for Project 99 RB Refunding Series 2010 A (A/Aa3)
	4,480,000		5.000			11/01/18		4,828,320
	Kentucky State Turnpike Authority Economic Development Road RB Refunding for Revitalization Projects Series 2016 A (AA-/Aa2)
	950,000		2.000			07/01/20		975,944
	State-Specific Municipal Debt Obligations – (continued)
	Kentucky – (continued)
	Louisville & Jefferson County Metro Government Environmental Facilities RB Refunding for Louisville Gas and Electric Company Project Series 2003 A (A/A1)(a)
$	10,000,000		1.150	%		06/01/17	$	10,004,500
	Louisville & Jefferson County Metro Government Health System RB for Norton Healthcare, Inc. Series 2016 A (A-/NR)
	1,000,000		5.000			10/01/18		1,076,930
	625,000		5.000			10/01/19		694,525
	550,000		5.000			10/01/20		628,622
	Louisville & Jefferson County Metropolitan Sewer District, Kentucky Sewer & Drainage System RB Refunding Series 2016 C (AA/Aa3)
	17,170,000		5.000			05/15/20		19,593,202
	Louisville & Jefferson County PCRB for Louisville Gas & Electric Company Project Series 2003 A (A/A1)(a)
	10,500,000		1.650			04/03/17		10,529,925
	Trimble County Kentucky Pollution Control RB for Gas and Electric Company Project Series 2001 A (A/A1)(a)
	6,000,000		1.050			03/01/18		5,994,120
	University of Kentucky General Receipts RB Refunding Series 2015 B (AA/Aa2)
	3,730,000		5.000			10/01/18		4,029,221
	University of Kentucky General Receipts RB Refunding Series 2015 C (AA/Aa2)
	1,705,000		4.000			10/01/18		1,808,255
	University of Louisville General Receipts RB Refunding Series 2016 C (AA-/Aa3)
	4,680,000		3.000			09/01/21		5,054,587
								85,823,571
	Louisiana – 0.8%
	City of Shreveport Louisiana Water and Sewer RB Refunding Series 2014 A (BAM) (AA/A3)
	3,000,000		5.000			12/01/19		3,331,200
	Ernest N. Morial New Orleans Exhibition Hall Authority Special Tax Refunding Bonds Series 2012 (A+/A1)
	375,000		2.000			07/15/17		377,985
	1,740,000		4.000			07/15/17		1,780,733
	680,000		2.000			07/15/18		690,622
	1,040,000		4.000			07/15/18		1,092,749
	1,000,000		5.000			07/15/19		1,105,810
	Jefferson Parish Sales Tax RB Refunding School Series 2012 (AA/NR)
	1,015,000		3.000			02/01/17		1,022,227
	1,565,000		3.000			02/01/18		1,608,303
	Louisiana Local Government Environmental Facilities & Community Development Authority RB for BRCC Facilities Corp. Project Series 2011 (AGM) (AA/A2)
	1,250,000		3.000			12/01/16		1,253,975
	Louisiana Public Facilities Authority RB for Hurricane Recovery Program Series 2007 (AGC-ICC) (AMBAC) (AA/A1)(c)
	8,250,000		5.000			06/01/17		8,474,895
	Louisiana State Offshore Terminal Authority Deepwater Port RB for LOOP LLC Project Series 2007 B-1A1 (BBB/A3)(a)
	3,000,000		1.375			10/01/16		3,000,000

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

GOLDMAN SACHS SHORT DURATION TAX-FREE FUND

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	Louisiana – (continued)
	New Orleans Audubon Commission for Aquarium Tax Bonds Series 2011 (A/NR)
$	500,000		5.000	%		10/01/16	$	500,000
	2,825,000		5.000			10/01/17		2,936,192
	New Orleans GO Bonds Refunding Series 2012 (AA-/A3)
	4,145,000		4.000			12/01/16		4,164,274
	4,030,000		4.000			12/01/17		4,166,133
	New Orleans Regional Transit Authority Sales Tax RB Series 2010 (AGM) (AA/Aa3)
	610,000		4.000			12/01/16		613,032
								36,118,130
	Maine – 0.1%
	Maine Governmental Facilities Authority Lease Rental RB Series 2015 B (AA-/Aa3)
	685,000		5.000			10/01/19		760,980
	1,985,000		4.000			10/01/20		2,192,671
	1,345,000		4.000			10/01/21		1,510,865
								4,464,516
	Maryland – 4.1%
	Baltimore County Maryland GO Bonds 74th Issue for Metropolitan District Public Improvement Series 2011 (AAA/Aaa)
	9,000,000		5.000			02/01/17		9,122,760
	Carroll County Maryland Consolidated Public Improvement and Refunding Bonds Series 2011 (AAA/Aa1)
	2,075,000		5.000			11/01/17		2,167,171
	3,055,000		4.000			11/01/18		3,250,948
	Charles County Maryland GO Bonds Refunding Series 2011 (AAA/Aa1)
	1,115,000		4.000			11/01/16		1,117,609
	5,405,000		4.000			11/01/17		5,587,473
	City of Baltimore Revenue Bonds for Water Projects Series 2002 Subseries B (NATL-RE FGIC) (AA/Aa2)(b)
	11,350,000		0.572			07/01/37		9,531,716
	City of Baltimore Revenue Bonds for Water Projects Series 2002 Subseries C (AA-/Aa3)(b)
	7,025,000		0.692			07/01/37		5,727,847
	Maryland State Department of Transportation Consolidated RB Series 2013 (AAA/Aa1)
	6,965,000		4.000			02/15/20		7,668,465
	Maryland State Department of Transportation Consolidated RB Series 2015 (AAA/Aa1)
	8,220,000		5.000			02/01/18		8,664,127
	15,995,000		5.000			02/01/19		17,514,045
	Maryland State Economic Development Corporation Student Housing RB Refunding for University of Maryland College Park Projects Series 2016 (AGM) (AA/A2)
	1,250,000		4.000			06/01/17		1,274,850
	795,000		4.000			06/01/18		833,247
	600,000		4.000			06/01/19		643,284
	600,000		4.000			06/01/20		656,292
	660,000		4.000			06/01/21		735,808
	Maryland State GO Bonds for State and Local Facilities Loan Second Series 2014 C (AAA/Aaa)
	68,585,000		5.000			08/01/21		81,290,371
	State-Specific Municipal Debt Obligations – (continued)
	Maryland – (continued)
	Maryland State GO Bonds for State and Local Facilities Loan Series 2012 B (AAA/Aaa)
$	8,980,000		5.000	%		03/15/20	$	10,219,330
	Maryland State GO Bonds for State and Local Facilities Loan Series 2013 B (AAA/Aaa)(c)
	5,140,000		5.000			03/01/21		6,011,795
	Prince George’s County GO Bonds Refunding for Consolidated Public Improvement Bonds Series 2016 B (AAA/Aaa)
	5,000,000		4.000			07/15/21		5,688,000
	University of Maryland RB Refunding for Maryland Auxiliary Facility & Tuition Series 2016 B (AA+/Aa1)
	4,970,000		3.000			04/01/21		5,391,556
	University of Maryland RB Refunding Revolving Loan Series 2003 A (AA+/Aa1)(a)
	2,010,000		1.250			06/01/18		2,015,246
	Washington Suburban Sanitary District GO Bonds Refunding Consolidated Public Improvement Series 2015 (AAA/Aaa)
	9,905,000		3.000			06/01/19		10,454,926
								195,566,866
	Massachusetts – 3.6%
	Massachusetts Bay Transportation Authority Sales Tax RB Refunding for Capital Appreciation Senior Series 2016 A (AA+/Aa2)(d)
	8,255,000		0.000			07/01/21		7,745,089
	Massachusetts Commonwealth General Obligation Refunding Bonds Series 2016 C (AA+/Aa1)
	6,985,000		5.000			04/01/20		7,935,449
	20,000,000		5.000			04/01/22		24,060,800
	Massachusetts Commonwealth Transportation Fund RB for Rail Enhancement Program Series 2015 A (AAA/Aa1)
	4,000,000		5.000			06/01/20		4,582,200
	11,155,000		5.000			06/01/21		13,174,055
	Massachusetts Development Finance Agency RB for Boston University Series 2008 U-1 (A+/A1)(a)
	7,000,000		1.420			03/30/17		6,994,540
	Massachusetts Development Finance Agency RB for Partners HealthCare System Series 2014 M-5 (AA-/Aa3)(a)
	19,530,000		1.390			01/30/18		19,494,455
	Massachusetts School Building Authority RB Refunding Senior Dedicated Sales Tax Series 2012 B (AA+/Aa2)
	3,000,000		5.000			08/15/20		3,454,590
	Massachusetts State Development Finance Agency RB Refunding for Boston University Issue Series Z-1 (A+/A1)
	10,000,000		1.500			08/01/19		10,133,200
	Massachusetts State GO Bonds Consolidated Loan Series 2007 A (NATL-RE FGIC) (AA+/Aa1)(b)
	15,000,000		1.077			05/01/37		14,101,200
	Massachusetts State GO Bonds Consolidated Loan Series 2012 A (BHAC-CR) (AA+/Aa1)(b)
	26,250,000		1.077			05/01/37		24,689,700
	Massachusetts State GO Bonds Consolidated Loan Series 2012 D (AA+/Aa1)(b)
	7,000,000		1.270			01/01/18		7,003,360

The accompanying notes are an integral part of these financial statements. 69

GOLDMAN SACHS SHORT DURATION TAX-FREE FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	Massachusetts – (continued)
	Massachusetts State GO Bonds Refunding Series 2013 A (AA+/Aa1)(b)
$	6,000,000		1.200	%		02/01/17	$	6,000,900
	Massachusetts State GO Refunding Bonds Series 2007 A (AA+/Aa1)(b)
	8,000,000		1.057			11/01/25		7,905,600
	Massachusetts State Health & Educational Facilities Authority RB for Amherst College Series 2009 K-2 (AA+/Aaa)(a)
	2,735,000		1.700			11/01/16		2,736,368
	Massachusetts State Health & Educational Facilities Authority RB for Massachusetts Institute of Technology Series 2008 O (AAA/Aaa)(c)
	8,750,000		5.000			07/01/18		9,370,637
								169,382,143
	Michigan – 3.9%
	Allendale Public School GO Bonds Refunding Series 2016 (Q-SBLF) (AA-/NR)
	2,500,000		5.000			05/01/22		2,970,450
	1,275,000		5.000			11/01/22		1,531,415
	Detroit Michigan Sewage Disposal System RB Refunding Senior Lien Series 2004 A (AGM) (AA/A2)
	2,990,000		5.250			07/01/20		3,404,324
	Detroit Michigan Water Supply System RB Senior Lien Series 2011 A (A-/Baa1)
	1,295,000		5.000			07/01/17		1,325,433
	Macomb County Michigan L’anse Creuse Public Schools Unlimited Tax GO Bonds Refunding Series 2015 (Q-SBLF) (AA-/NR)
	1,250,000		5.000			05/01/20		1,410,913
	Macomb County Michigan Roseville Community Schools Unlimited Tax GO Bonds Refunding Series 2014 (Q-SBLF) (AA-/NR)
	250,000		5.000			05/01/17		255,602
	365,000		5.000			05/01/18		386,652
	900,000		5.000			05/01/19		987,084
	Michigan Finance Authority Hospital RB Refunding for Beaumont Health Credit Group Series 2015 A (A/A1)
	2,300,000		4.000			08/01/20		2,525,377
	3,500,000		5.000			08/01/21		4,071,270
	Michigan Finance Authority Hospital RB Refunding for Henry Ford Health System Series 2016 (A/A3)
	200,000		5.000			11/15/19		223,138
	200,000		5.000			11/15/20		229,182
	500,000		5.000			11/15/21		586,320
	Michigan Finance Authority Local Government Loan Program RB for City Of Detroit Distributable State Aid Fourth Lien Utgo Refunding Local Project Bonds Series 2016 C-3 (MUN GOVT GTD) (A-/A2)
	3,500,000		5.000			04/01/20		3,906,035
	Michigan Finance Authority Local Government Loan Program RB for Detroit Financial Recovery Income Tax Revenue and Refunding Local Project Bonds Series 2014 F (A/NR)
	500,000		3.400			10/01/20		524,355
	500,000		3.600			10/01/21		532,415
	500,000		3.800			10/01/22		542,905
	State-Specific Municipal Debt Obligations – (continued)
	Michigan – (continued)
	Michigan Finance Authority Local Government Loan Program RB for Detroit Water and Sewerage Department Sewage Disposal System RB Refunding Local Project Bonds Senior Lien Series 2014 C-3 (AGM) (AA/A2)
$	5,125,000		5.000	%		07/01/21	$	5,914,506
	Michigan Finance Authority Local Government Loan Program RB for Detroit Water and Sewerage Department Sewage Disposal System RB Refunding Local Project Bonds Senior Lien Series 2014 C-5 (NATL-RE FGIC) (AA-/A3)
	5,570,000		5.000			07/01/17		5,733,535
	1,500,000		5.000			07/01/18		1,598,040
	Michigan Finance Authority Local Government Loan Program RB for Detroit Water and Sewerage Department Water Supply System RB Refunding Local Project Bonds Senior Lien Series 2014 D-1 (AGM) (AA/A2)
	3,165,000		5.000			07/01/20		3,566,227
	10,000,000		5.000			07/01/21		11,540,500
	9,225,000		5.000			07/01/22		10,888,175
	5,000,000		5.000			07/01/23		6,003,950
	Michigan Finance Authority Local Government Loan Program RB for Detroit Water and Sewerage Department Water Supply System RB Refunding Local Project Bonds Senior Lien Series 2014 D-3 (NATL-RE FGIC) (AA-/A3)
	7,410,000		5.000			07/01/18		7,894,318
	5,000,000		5.000			07/01/19		5,486,150
	1,390,000		5.000			07/01/20		1,566,210
	Michigan Finance Authority Local Government Loan Program RB for Detroit Water and Sewerage Department Water Supply System RB Refunding Local Project Bonds Series 2015 D-1 (A-/Baa1)
	200,000		3.000			07/01/17		202,846
	700,000		5.000			07/01/19		767,067
	375,000		5.000			07/01/20		421,811
	750,000		5.000			07/01/21		862,583
	Michigan Finance Authority Local Government Loan Program RB for Public Lighting Authority Local Project Bonds Series 2014 B (A-/NR)
	1,400,000		4.000			07/01/18		1,454,418
	1,125,000		5.000			07/01/19		1,221,705
	1,200,000		5.000			07/01/20		1,336,836
	Michigan Finance Authority Local Government Loan Program RB Refunding for Regional Convention Facility Local Project Series 2014 H-1 (AA-/NR)
	1,255,000		4.000			10/01/17		1,289,437
	1,135,000		5.000			10/01/18		1,214,632
	825,000		5.000			10/01/19		909,340
	1,140,000		5.000			10/01/20		1,263,610
	Michigan Finance Authority RB for Detroit School District Series 2011 (ETM) (ST AID WITHHLDG) (B/NR)(c)
	7,500,000		5.250			06/01/17		7,704,150
	Michigan Finance Authority RB Refunding for Detroit School District Series 2012 (ETM) (ST AID WITHHLDG) (B/NR)(c)
	1,375,000		4.000			06/01/17		1,401,235

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

GOLDMAN SACHS SHORT DURATION TAX-FREE FUND

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	Michigan – (continued)
	Michigan Finance Authority RB Refunding for Unemployment Obligation Assessment Series 2012 A (AAA/Aaa)
$	9,000,000		5.000	%		01/01/18	$	9,461,520
	10,000,000		5.000			07/01/19		11,100,900
	Michigan Finance Authority RB Refunding for Unemployment Obligation Assessment Series 2012 B (AAA/Aaa)
	4,085,000		5.000			01/01/20		4,530,020
	Michigan Flushing Community Schools Unlimited Tax GO Bonds Refunding Series 2015 (Q-SBLF) (NR/Aa1)
	1,040,000		4.000			05/01/19		1,114,360
	500,000		4.000			05/01/20		546,970
	Michigan State Hospital Finance Authority RB Refunding for Ascension Health Credit Group Series 2010 F-1 (AA+/Aa2)(a)
	3,050,000		2.000			05/30/18		3,100,874
	Michigan State Strategic Fund Tax-Exempt Adjustable Mode Facilities RB for Waste Management, Inc. Project Series 2001 (AMT) (A-/NR)(a)
	10,800,000		1.500			08/01/17		10,831,644
	Michigan Strategic Fund RB Refunding for The Detroit Edison Company Pollution Control Bonds Project Series 1995 CC (A/Aa3)(a)
	4,000,000		1.450			09/01/21		3,990,560
	Michigan Strategic Fund RB Refunding for The Detroit Edison Company Pollution Control Bonds Project Series 2008 ET-2 (A/Aa3)(a)
	2,000,000		1.450			09/01/21		1,995,280
	Pinckney Community Schools Livingston and Washtenaw County GO Refunding Bonds Series 2014 (Q-SBLF) (AA-/NR)
	645,000		4.000			05/01/17		655,526
	1,000,000		5.000			05/01/18		1,059,480
	2,475,000		5.000			05/01/20		2,775,168
	Rochester Community School District GO Refunding Bonds Series 2012 (Q-SBLF) (AA-/NR)
	875,000		4.000			05/01/18		916,825
	700,000		4.000			05/01/19		750,050
	Royal Oak Hospital Finance Authority RB for William Beaumont Hospital Series 2014 D (A/A1)
	1,500,000		5.000			09/01/19		1,659,990
	St. Clair County Michigan East China School District 2015 School Bus GO Bonds Refunding Series I (Q-SBLF) (AA-/NR)
	3,170,000		3.000			05/01/19		3,316,549
	University of Michigan RB Refunding Series 2010 C (AAA/Aaa)
	4,555,000		5.000			04/01/21		5,174,799
	Warren Consolidated School District Unlimited Tax GO Bonds Refunding Series 2016 B (BAM) (AA/NR)
	1,260,000		4.000			05/01/17		1,281,798
	1,625,000		4.000			05/01/18		1,698,499
	1,790,000		5.000			05/01/19		1,963,200
	Washtenaw County Ypsilanti Community Schools Unlimited Tax GO Bonds Refunding Series 2015 A (Q-SBLF) (AA-/NR)
	1,420,000		4.000			05/01/19		1,513,322
	Washtenaw County Ypsilanti Community Schools Unlimited Tax GO Bonds Refunding Series 2016 A (Q-SBLF) (AA-/NR)
	1,260,000		4.000			05/01/20		1,369,154
	1,000,000		5.000			05/01/21		1,143,620
	1,000,000		5.000			05/01/22		1,168,920
	State-Specific Municipal Debt Obligations – (continued)
	Michigan – (continued)
	Wayne County Airport Authority RB Refunding for Detroit Metropolitan Wayne County Airport Series 2012 A (A/A2)
$	1,270,000		5.000	%		12/01/18	$	1,368,413
	1,385,000		5.000			12/01/19		1,539,275
	Western Township Utilities Authority Sewage Disposal System Limited Tax RB for Series 2012 (MUN GOVT GTD) (AA/NR)
	1,000,000		4.000			01/01/19		1,060,740
								182,741,607
	Minnesota – 0.7%
	Circle Pines Minnesota Independent School District No. 012 GO Bonds Series 2015 A (SD CRED PROG) (AA+/NR)(d)
	675,000		0.000			02/01/21		637,686
	Circle Pines Minnesota Independent School District No. 012 GO Refunding Bonds Series 2012 A (SD CRED PROG) (AA+/NR)
	3,575,000		4.000			02/01/17		3,612,287
	Farmington Minnesota Independent School District No. 192 GO School Building Refunding Bonds Series 2012 D (SD CRED PROG) (NR/Aa2)
	2,595,000		1.500			06/01/17		2,607,196
	3,190,000		1.500			06/01/18		3,222,953
	Minneapolis Minnesota Convention Center GO Bonds Refunding Series 2011 A (AAA/Aa1)
	7,980,000		2.000			12/01/17		8,084,379
	Minnesota Higher Education Facilities Authority RB for University of St. Thomas Series 2013 7-U (NR/A2)
	500,000		5.000			04/01/18		529,405
	Minnesota State Trunk Highway GO Bonds Refunding Series 2014 E (AA+/Aa1)
	12,220,000		2.000			08/01/18		12,477,964
	Watertown Independent School District No. 111 GO Refunding Bonds for School Building Series 2012 B (SD CRED PROG) (AA+/NR)
	1,000,000		3.000			02/01/17		1,007,220
								32,179,090
	Mississippi – 0.1%
	Mississippi Development Bank Special Obligation RB for Marshall County IDA Mississippi Highway Construction Project Series 2012 (AA-/Aa3)
	3,845,000		1.000			01/01/17		3,846,461
	Missouri – 1.5%
	City of Columbia Electric Utility Special Obligation RB for Annual Appropriation Series 2012 E (AA/NR)
	1,995,000		4.000			09/01/18		2,111,967
	2,075,000		4.000			09/01/19		2,247,225
	Missouri State Development Finance Board Infrastructure Facilities Leasehold Improvement and RB Refunding for City of Independence Electric System Projects Series 2012 F (A/NR)
	1,180,000		4.000			06/01/18		1,236,770
	960,000		4.000			06/01/19		1,019,136
	1,000,000		4.000			06/01/20		1,080,800

The accompanying notes are an integral part of these financial statements. 71

GOLDMAN SACHS SHORT DURATION TAX-FREE FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	Missouri – (continued)
	Missouri State Highways and Transportation Commission Second Lien GO Refunding State Road Bonds Series 2014 B (AAA/Aa1)
$	34,540,000		5.000	%		05/01/18	$	36,796,153
	24,275,000		5.000			05/01/19		26,806,397
	St. Louis Airport RB Refunding for Lambert St. Louis International Airport Series 2013 (A-/A3)
	765,000		5.000			07/01/18		816,369
								72,114,817
	Montana – 0.4%
	Forsyth Montana Pollution Control RB Refunding for Northwestern Corp. Colstrip Project Series 2016 (A-/A1)
	11,000,000		2.000			08/01/23		11,062,920
	Montana State Department of Transportation Refunding Grant Anticipation Notes for Highway 93 Advance Construction Project-Garvees Series 2012 (AA/A2)
	1,600,000		2.000			06/01/17		1,610,736
	2,000,000		3.000			06/01/17		2,026,460
	1,750,000		3.000			06/01/18		1,807,015
	800,000		4.000			06/01/18		839,168
								17,346,299
	Nebraska – 0.6%
	Gas Supply RB Refunding for Central Plains Energy Project Series 2014 (NR/Aa3)(a)
	20,000,000		5.000			12/01/19		22,247,400
	Lincoln County Hospital Authority No. 1 RB Refunding for Great Plains Regional Medical Center Project Series 2012 (A-/NR)
	775,000		4.000			11/01/16		776,674
	435,000		4.000			11/01/17		448,455
	750,000		4.000			11/01/19		800,715
	690,000		4.000			11/01/20		749,340
	Omaha Nebraska Special Tax RB Refunding for Performing Arts Project Series 2012 (AA+/Aa3)
	1,215,000		2.000			10/15/16		1,215,401
	1,765,000		3.000			10/15/17		1,803,936
	1,785,000		3.000			10/15/18		1,855,025
								29,896,946
	Nevada – 1.5%
	Clark County Department of Aviation RB Refunding for Airport System Junior Subordinate Lien Series 2015 B (AMT) (A+/A2)
	18,285,000		3.000			07/01/17		18,549,218
	Clark County Improvement District Refunding for Special Improvement District No. 142 Mountain Edge Local Improvement Series 2012 (BBB/NR)
	3,375,000		4.000			08/01/17		3,422,216
	Clark County School District Limited Tax GO Bonds Refunding Series 2015 B (AA-/A1)
	11,900,000		5.000			06/15/18		12,710,152
	10,300,000		5.000			06/15/19		11,372,127
	Las Vegas City Limited Tax GO Bonds Medium-Term Various Purpose Series 2011 A (AA/Aa2)
	2,700,000		4.000			12/01/16		2,713,554
	2,810,000		4.000			12/01/17		2,824,725
	State-Specific Municipal Debt Obligations – (continued)
	Nevada – (continued)
	Nevada State Limited Tax GO Bonds Refunding for Capital Improvement Series 2015 D (AA/Aa2)
$	18,085,000		5.000	%		04/01/21	$	21,165,961
								72,757,953
	New Hampshire – 1.0%
	New Hampshire Business Finance Authority RB for Pollution Control Project Series 2001 A (AMT) (NATL-RE) (AA-/A1)(b)
	50,475,000		0.613			05/01/21		46,183,938
	New Hampshire State Business Finance Authority RB for Waste Management, Inc. Series 2003 (AMT) (A-/NR)(a)
	1,200,000		2.125			06/01/18		1,214,568
								47,398,506
	New Jersey – 6.1%
	Atlantic County College GO Bonds Series 2013 (ST AID WITHHLDG) (AA/Aa2)
	2,025,000		1.000			03/01/17		2,025,486
	Bergen County New Jersey GO Refunding Bonds for General Improvement Series 2011 A (ST AID WITHHLDG) (NR/Aaa)
	1,725,000		2.000			12/01/16		1,728,364
	2,355,000		2.000			12/01/17		2,386,062
	Burlington County New Jersey GO Bonds Series 2015 A (AA/Aa2)
	1,080,000		2.000			05/01/18		1,097,820
	1,275,000		2.000			05/01/19		1,305,332
	Casino Reinvestment Development Authority Luxury Tax RB Series 2014 (BBB+/Baa2)
	785,000		4.000			11/01/16		785,950
	1,000,000		4.000			11/01/17		1,018,320
	East Brunswick Township Board of Education Refunding Bonds Series 2012 (SCH BD RES FD) (NR/Aa2)
	1,130,000		4.000			11/01/18		1,197,427
	1,300,000		5.000			11/01/19		1,451,892
	Gloucester County Improvement Authority RB Refunding for Solid Waste Management, Inc. Project Series 1999 A (A-/NR)(a)
	2,950,000		2.125			12/01/17		2,984,279
	Gloucester County New Jersey GO Bonds Refunding Series 2011 (AA/NR)
	1,245,000		3.000			10/01/17		1,271,805
	Hudson County New Jersey GO Refunding Bonds Series 2015 (AGM) (AA/A1)
	700,000		4.000			02/15/19		744,807
	725,000		4.000			02/15/20		787,415
	1,025,000		4.000			02/15/21		1,133,681
	Mercer County New Jersey GO Bonds Series 2015 (AA+/NR)
	2,155,000		0.050			02/01/18		2,132,092
	2,355,000		0.050			02/01/19		2,304,297
	Mercer County New Jersey GO Bonds Series 2016 (AA+/NR)
	2,580,000		1.500			07/15/18		2,605,413
	2,535,000		1.500			07/15/19		2,567,524
	2,730,000		1.500			07/15/20		2,770,295
	3,380,000		1.500			07/15/21		3,414,341

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

GOLDMAN SACHS SHORT DURATION TAX-FREE FUND

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	New Jersey – (continued)
	Middlesex County New Jersey GO Bonds for General Improvements Series 2013 (AAA/NR)
$	2,845,000		2.000	%		01/15/17	$	2,854,901
	Middlesex County New Jersey GO Bonds for General Improvements Series 2016 (AAA/NR)
	4,675,000		3.000			01/15/20		4,978,828
	Morris County Improvement Authority RB Refunding for Governmental Loan Series 2015 (CNTY GTD) (AAA/Aaa)
	4,000,000		3.000			05/01/19		4,214,160
	New Jersey Economic Development Authority RB for School Facilities Construction Bonds Series 2010 DD-1 (A-/A3)
	2,845,000		5.000			12/15/16		2,867,675
	New Jersey Economic Development Authority RB for School Facilities Construction Bonds Series 2010 DD-1 (ETM) (NR/NR)(c)
	4,655,000		5.000			12/15/16		4,692,938
	New Jersey Economic Development Authority RB for School Facilities Construction Bonds Series 2011 GG (ETM) (ST APPROP) (NR/A3)(c)
	4,485,000		5.000			09/01/19		4,997,456
	New Jersey Educational Facilities Authority RB for Rider University Series 2012 A (BBB/Baa2)
	1,240,000		5.000			07/01/17		1,271,273
	1,265,000		4.000			07/01/18		1,319,281
	New Jersey Educational Facilities Authority RB Refunding for New Jersey City University Series 2016 D (AGM) (AA/A2)
	2,085,000		3.000			07/01/19		2,185,789
	2,150,000		3.000			07/01/20		2,284,568
	2,210,000		3.000			07/01/21		2,373,209
	New Jersey Health Care Facilities Financing Authority RB for Princeton Healthcare System Issue Series 2016 A (BBB/Baa2)
	750,000		5.000			07/01/21		874,492
	New Jersey Health Care Facilities Financing Authority RB Refunding for Barnabas Health Series 2012 A (A-/A3)
	350,000		5.000			07/01/17		360,223
	400,000		5.000			07/01/18		426,716
	New Jersey Health Care Facilities Financing Authority RB Refunding for Trinitas Regional Medical Center Series 2017 A (BBB/Baa2)(f)
	6,600,000		5.000			07/01/17		6,654,978
	4,300,000		5.000			07/01/18		4,477,676
	1,530,000		5.000			07/01/19		1,637,880
	1,000,000		5.000			07/01/20		1,097,060
	1,000,000		5.000			07/01/21		1,120,170
	1,240,000		5.000			07/01/22		1,411,046
	New Jersey State GO Bonds Refunding Series 2016 T (A/A2)
	7,515,000		5.000			06/01/18		7,980,329
	New Jersey State Transit Corp. Refunding Grant Anticipation Notes Series 2014 A (A/A3)
	7,500,000		5.000			09/15/18		8,002,650
	New Jersey State Turnpike Authority RB Refunding Series 2014 C (A+/A2)
	22,000,000		5.000			01/01/20		24,759,900
	New Jersey State Turnpike Authority RB Series 2000 C (NATL-RE) (AA-/A2)(b)
	21,625,000		1.365			01/01/30		19,306,562
	State-Specific Municipal Debt Obligations – (continued)
	New Jersey – (continued)
	New Jersey State Turnpike Authority RB Series 2000 D (NATL-RE) (AA-/A2)(b)
$	21,500,000		1.470	%		01/01/30	$	19,195,305
	New Jersey State Turnpike Authority RB Series 2012 B (A+/A2)
	10,000,000		5.000			01/01/19		10,864,600
	New Jersey Transportation Trust Fund Authority RB Capital Appreciation for Transportation System Bonds Series 2010 A (A-/A3)(d)
	5,365,000		0.000			12/15/26		3,793,109
	New Jersey Transportation Trust Fund Authority RB for Transportation Program Bonds Series 2012 AA (ST APPROP) (A-/A3)
	2,945,000		5.000			06/15/19		3,196,562
	New Jersey Transportation Trust Fund Authority RB for Transportation Program Bonds Series 2014 AA (A-/A3)
	1,900,000		5.000			06/15/17		1,950,559
	10,000,000		5.000			06/15/21		11,218,300
	New Jersey Transportation Trust Fund Authority RB for Transportation Program Bonds Series 2015 AA (A-/A3)
	1,000,000		5.000			06/15/21		1,121,830
	New Jersey Transportation Trust Fund Authority RB for Transportation System Bonds Series 2006 A (A-/A3)
	15,550,000		5.250			12/15/20		17,513,032
	New Jersey Transportation Trust Fund Authority RB for Transportation System Bonds Series 2008 A (AA+/Aaa)(c)
	1,435,000		6.000			12/15/18		1,594,974
	New Jersey Transportation Trust Fund Authority RB for Transportation System Bonds Series 2010 D (A-/A3)
	3,015,000		5.000			12/15/23		3,506,234
	New Jersey Transportation Trust Fund Authority RB for Transportation System Bonds Series 2011 B (A-/A3)
	1,000,000		5.000			06/15/17		1,026,610
	New Jersey Transportation Trust Fund Authority RB for Transportation System Bonds Series 2013 A (A-/A3)
	2,010,000		4.000			06/15/18		2,094,762
	1,485,000		5.000			06/15/20		1,639,499
	New Jersey Transportation Trust Fund Authority RB for Transportation System Series 2004 B (NATL-RE) (AA-/A3)
	6,800,000		5.500			12/15/16		6,860,792
	New Jersey Transportation Trust Fund Authority RB for Transportation System Series 2011 A (ST APPROP) (A-/A3)
	5,115,000		5.000			06/15/23		5,809,003
	New Jersey Transportation Trust Fund Authority RB for Transportation System Series 2013 A (A-/A3)
	6,235,000		5.000			12/15/19		6,859,685
	New Jersey Transportation Trust Fund Authority RB Refunding for Transportation Systems Series 2010 D (A-/A3)
	26,545,000		5.250			12/15/23		31,304,253
	New Jersey Turnpike Authority Turnpike RB Series 2014 B-3 (A+/A2)(a)
	2,750,000		0.921			01/01/18		2,741,585
	Somerset County New Jersey GO Bonds Series 2015 B (AAA/Aaa)
	1,215,000		2.000			07/01/18		1,238,850

The accompanying notes are an integral part of these financial statements. 73

GOLDMAN SACHS SHORT DURATION TAX-FREE FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	New Jersey – (continued)
	Toms River Township Board of Education School District GO Refunding Bonds Series 2012 (SCH BD RES FD) (AA-/NR)
$	855,000		3.000	%		07/15/17	$	868,406
	Toms River Township General Improvement Bonds Series 2010 (AA/NR)
	3,260,000		3.000			06/15/18		3,375,958
	Union County New Jersey GO Bonds Refunding Series B (ETM) (NR/NR)(c)
	25,000		3.000			03/01/19		26,204
	Union County New Jersey GO Bonds Series B (AA+/Aa1)
	1,240,000		3.000			03/01/19		1,300,004
	Wayne Township School District GO Refunding and General Improvement Bonds Series 2016 (NR/Aaa)
	1,250,000		2.000			07/15/19		1,282,412
	1,300,000		2.000			07/15/20		1,342,679
								289,587,569
	New Mexico – 0.6%
	Farmington City PCRB Refunding for Public Servicing Co. of New Mexico San Juan & Four Corners Projects Series 2016 B (BBB+/Baa2)(a)
	15,000,000		1.875			10/01/21		15,007,050
	New Mexico State Capital Projects GO Bonds Series 2013 (AA+/Aaa)
	6,030,000		2.000			03/01/17		6,059,185
	New Mexico State Severance Tax RB Series 2010 A (AA-/Aa2)
	2,000,000		5.000			07/01/17		2,061,140
	New Mexico State Severance Tax RB Series 2011 A-1 (AA-/Aa2)
	5,475,000		5.000			07/01/17		5,642,371
								28,769,746
	New York – 14.4%
	Brooklyn Arena Local Development Corp. Pilot RB Refunding for Barclays Center Series 2016 A (NR/Baa3)
	1,250,000		5.000			07/15/21		1,455,350
	500,000		5.000			07/15/22		594,360
	500,000		5.000			07/15/23		604,485
	City of Yonkers New York School GO Bonds Refunding Series 2014 A (AGM) (AA/A2)
	2,890,000		5.000			09/01/18		3,106,490
	3,135,000		5.000			09/01/19		3,480,790
	Long Island Power Authority Electric System RB Refunding Series 2008 A (BHAC) (AA+/Aa1)(c)
	20,000,000		5.500			05/01/19		22,312,200
	Metropolitan Transportation Authority RB Refunding Series 2008 B-4 (AA-/A1)(a)
	20,425,000		5.000			11/15/19		22,861,090
	Metropolitan Transportation Authority RB Refunding Series 2012 C (AA-/A1)
	730,000		4.000			11/15/16		732,643
	Metropolitan Transportation Authority RB Refunding Series 2016 C-2B (AA-/A1)(a)
	13,675,000		5.000			02/15/20		15,362,358
	Metropolitan Transportation Authority RB Series 2011 B (AA-/A1)(a)
	50,000,000		0.701			11/01/17		49,860,000
	State-Specific Municipal Debt Obligations – (continued)
	New York – (continued)
	New York City GO Bonds Fiscal 2014 Series 2013 D Subseries D3 (AA/Aa2)(a)
$	3,000,000		0.860	%		10/03/16	$	3,000,000
	New York City GO Bonds Fiscal 2015 Series F Subseries F6 (AA/Aa2)(a)
	7,500,000		0.860			10/03/16		7,500,000
	New York City GO Bonds Refunding RMKT 03/19/13 Subseries 2008 J-4 (AA/Aa2)(b)
	6,250,000		1.390			08/01/25		6,253,625
	New York City GO Bonds Series 2014 J (AA/Aa2)
	52,045,000		5.000			08/01/18		55,823,467
	New York City Transitional Finance Authority Fiscal 2016 Subseries E-4 (AAA/Aa1)(a)
	6,400,000		0.860			10/03/16		6,400,000
	New York City Transitional Finance Authority RB Future Tax Subordinate Fiscal 2013 Series B (AAA/Aa1)
	8,620,000		5.000			11/01/17		9,005,745
	New York City Transitional Finance Authority RB Future Tax Subordinate Fiscal 2013 Series B (ETM) (NR/NR)(c)
	2,030,000		5.000			11/01/17		2,119,482
	New York City Transitional Finance Authority RB Future Tax Subordinate Fiscal 2013 Series C (AAA/Aa1)(a)
	10,000,000		0.860			10/03/16		10,000,000
	New York City Transitional Finance Authority RB Future Tax Subordinate Fiscal 2013 Series D (AAA/Aa1)
	5,240,000		5.000			11/01/17		5,474,490
	New York City Transitional Finance Authority RB Future Tax Subordinate Fiscal 2013 Series D (ETM) (NR/NR)(c)
	6,890,000		5.000			11/01/17		7,193,711
	New York City Transitional Finance Authority RB Future Tax Subordinate Fiscal 2015 Subseries E-4 (AAA/Aa1)(a)
	9,000,000		0.860			10/10/16		9,000,000
	New York City Transitional Finance Authority RB Refunding for Future Tax Fiscal 2013 Series 2012 E (AAA/Aa1)
	13,310,000		5.000			11/01/17		13,905,622
	3,775,000		5.000			11/01/22		4,597,799
	New York State Dormitory Authority General Purpose Personal Income Tax RB Series 2015 E (AAA/Aa1)
	7,145,000		5.000			03/15/21		8,357,149
	New York State Dormitory Authority North Shore-Long Island Jewish Obligated Group RB Series 2011 A (A-/A3)
	2,215,000		4.000			05/01/17		2,252,810
	New York State Dormitory Authority RB Refunding for Long Island University Series 2012 A (BBB/Baa3)
	3,000,000		4.000			09/01/17		3,073,470
	3,665,000		5.000			09/01/18		3,937,383
	New York State Dormitory Authority State Sales Tax RB Series 2015 A (AAA/Aa1)
	23,960,000		5.000			03/15/19		26,323,654
	New York State Dormitory Authority State Sales Tax RB Series 2015 B (AAA/Aa1)
	15,275,000		5.000			03/15/20		17,366,453
	30,000,000		5.000			03/15/21		35,146,500
	New York State Dormitory Authority Tax Exempt General Purpose Personal Income Tax RB Series 2011 E (AAA/Aa1)
	8,475,000		5.000			08/15/17		8,777,558

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

GOLDMAN SACHS SHORT DURATION TAX-FREE FUND

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	New York – (continued)
	New York State Energy Research & Development Authority Facilities RB Refunding for Consolidated Edison Co. Subseries 1999 A-2 (AMT) (AMBAC) (A-/A2)(b)
$	70,150,000		0.980	%		05/01/34	$	63,619,780
	New York State Energy Research & Development Authority Pollution Control RB for Rochester Gas & Electric Corp. Series (NATL-RE) (AA-/A3)(a)
	6,550,000		1.260			08/01/32		5,927,750
	New York State Energy Research & Development Authority RB Refunding for Central Hudson Gas & Electric Corp. Projects Series 1999 B (AMT) (AMBAC) (A-/A2)(b)
	27,750,000		1.365			07/01/34		24,951,265
	New York State Tax Exempt GO Bonds Series 2011 E (AA+/Aa1)
	6,950,000		5.000			12/15/17		7,295,346
	New York State Tax Exempt GO Bonds Subseries 2012 A-1 (AA/Aa2)
	3,000,000		5.000			10/01/17		3,122,640
	New York State Thruway Authority Junior Indebtedness RB Series 2013 A (A-/A3)
	29,525,000		5.000			05/01/19		32,484,586
	New York State Thruway Authority RB for General Highway and Bridge Trust Series 2011 A-1 (AA/NR)
	6,440,000		5.000			04/01/17		6,572,664
	New York State Urban Development Corp. General Purpose Personal Income Tax RB Refunding Series 2014 A (AAA/Aa1)
	20,000,000		5.000			03/15/20		22,731,000
	New York State Urban Development Corp. General Purpose Personal Income Tax RB Refunding Series 2015 A (AAA/Aa1)
	28,510,000		5.000			03/15/21		33,346,722
	New York State Urban Development Corp. RB for State Personal Income Tax Series 2013 E (AAA/Aa1)
	26,365,000		5.000			03/15/18		27,928,444
	New York Transportation Development Corp. Special Facility RB Refunding for Terminal One Group Association L.P. Project Series 2015 (AMT) (A-/Baa1)
	4,800,000		5.000			01/01/20		5,363,040
	2,000,000		5.000			01/01/21		2,295,280
	Niagara Frontier Transportation Authority RB Refunding for Buffalo International Airport Series 2014 B (BBB+/Baa1)
	700,000		5.000			04/01/17		714,231
	670,000		4.000			04/01/18		700,545
	300,000		5.000			04/01/19		329,502
	Rockland County GO Bonds Series 2014 A (AGM) (AA/A2)
	1,825,000		5.000			03/01/18		1,921,615
	2,250,000		5.000			03/01/19		2,439,248
	3,000,000		5.000			03/01/20		3,344,130
	Rockland County New York GO Bonds Refunding Series 2014 (BAM) (AA/Baa1)
	1,500,000		3.000			02/15/19		1,558,380
	635,000		3.000			02/15/20		667,810
	Suffolk County New York GO Bonds for Public Improvement Series 2012 B (AGM) (AA/A2)
	2,590,000		2.000			10/15/16		2,590,829
	State-Specific Municipal Debt Obligations – (continued)
	New York – (continued)
	Suffolk County New York GO Bonds for Public Improvement Series 2016 A (AGM) (AA/NR)
$	3,620,000		2.000	%		06/15/18	$	3,680,020
	4,080,000		2.000			06/15/19		4,175,023
	Suffolk County New York Refunding Serial Bonds Series 2012 B (A/A3)
	2,000,000		4.000			10/01/16		2,000,000
	1,000,000		4.000			10/01/17		1,030,050
	Suffolk Tobacco Asset Securitization Corp. RB Tobacco Settlement Asset-Backed Bonds Series 2012 B (A/NR)
	370,000		4.000			06/01/17		378,610
	490,000		4.000			06/01/18		515,985
	575,000		5.000			06/01/19		634,961
	620,000		5.000			06/01/20		699,967
	Tobacco Settlement Financing Corp. RB Asset-Backed Bonds for State Contingency Contract Secured Series 2011 B (ST APPROP) (AA/NR)
	30,000,000		5.000			06/01/17		30,793,800
	Triborough Bridge & Tunnel Authority RB General RMKT 06/28/12 Subseries 2005 B-4 (AA-/Aa3)(a)
	7,500,000		0.871			01/03/17		7,500,375
	Utility Debt Securitization Authority Restructuring RB Refunding Series 2016 B (AAA/Aaa)
	780,000		5.000			06/15/20		834,608
	1,975,000		5.000			12/15/23		2,349,618
	Westchester County GO Bonds Refunding Series 2016 A (AAA/Aa1)
	5,000,000		5.000			01/01/22		6,021,100
	Yonkers New York GO Bonds Series 2011 A (AGM) (A/A3)
	2,000,000		5.000			10/01/16		2,000,000
								678,397,608
	North Carolina – 1.2%
	North Carolina Eastern Municipal Power Agency Power System RB Refunding Series 2010 A (ETM) (AAA/WR)(c)
	4,760,000		5.000			01/01/21		5,530,977
	North Carolina Eastern Municipal Power Agency Power System RB Refunding Series 2012 B (ETM) (AAA/WR)(c)
	4,535,000		5.000			01/01/17		4,579,851
	4,900,000		5.000			01/01/19		5,337,374
	North Carolina Eastern Municipal Power Agency Power System RB Series 2012 A (ETM) (AAA/WR)(c)
	2,000,000		3.000			01/01/18		2,051,120
	1,275,000		5.000			01/01/18		1,338,916
	2,000,000		3.000			01/01/19		2,090,140
	1,000,000		5.000			01/01/19		1,089,260
	North Carolina GO Bonds Refunding Series 2005 B (AAA/Aaa)
	16,925,000		5.000			04/01/17		17,274,501
	North Carolina Grant and Revenue Anticipation Vehicle Bonds Series 2011 (AA/A2)(a)
	9,220,000		4.000			03/01/18		9,460,181
	North Carolina Medical Care Commission Health Care Facilities RB Refunding for Wake Forest Baptist Obligated Group Series 2012 B (A/A2)
	1,065,000		4.000			12/01/16		1,070,038
	1,375,000		5.000			12/01/18		1,491,985

The accompanying notes are an integral part of these financial statements. 75

GOLDMAN SACHS SHORT DURATION TAX-FREE FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	North Carolina – (continued)
	Raleigh North Carolina Combined Enterprise System RB Refunding Series 2015 B (AAA/Aa1)
$	6,140,000		5.000	%		12/01/20	$	7,131,733
								58,446,076
	Ohio – 0.7%
	Akron City Ohio Jedd RB Refunding Series 2011 (AA-/NR)
	1,425,000		5.000			12/01/16		1,433,835
	1,740,000		5.000			12/01/17		1,822,842
	Buckeye Ohio Tobacco Settlement Financing Authority RB Senior Turbo Asset-Backed Bonds Series 2007 A-2 (B-/Caa1)
	13,740,000		5.125			06/01/24		13,387,157
	3,415,000		5.375			06/01/24		3,373,678
	City of Columbus Various Purpose Limited Tax Bonds Series 2016 B (AAA/Aaa)
	1,600,000		1.500			08/15/21		1,624,880
	Cleveland Airport Various Purpose GO Refunding Bonds Series 2015 (AA/A1)
	1,455,000		5.000			12/01/20		1,675,258
	Dublin City School District GO Refunding Bonds Unlimited Tax Series 2012 (AAA/Aa1)
	500,000		4.000			12/01/16		502,510
	1,180,000		4.000			12/01/17		1,223,058
	Hamilton County Health Care RB Refunding for Life Enriching Community Project Series 2012 (BBB/NR)
	315,000		2.250			01/01/17		315,706
	400,000		4.000			01/01/18		412,220
	415,000		4.000			01/01/19		435,874
	435,000		4.000			01/01/20		463,980
	Hamilton County Sales Tax RB Refunding Series 2016 A (AA-/A1)
	3,100,000		3.000			12/01/19		3,274,220
	New Albany Community Authority RB Refunding Series 2012 C (NR/A1)
	1,100,000		4.000			10/01/17		1,133,055
	800,000		4.000			10/01/18		839,528
	Ohio State Higher Educational Facility Commission RB for Cleveland Clinic Health System Obligations Series 2013 A-2 (AA-/Aa2)(b)
	2,250,000		1.310			01/01/18		2,247,390
	University of Akron General Receipts Bonds Series 2015 A (AA-/A1)
	1,100,000		4.000			01/01/19		1,169,080
								35,334,271
	Oklahoma – 0.7%
	Cleveland Educational Facilities Authority RB for Norman Public Schools Project Series 2014 (A+/NR)
	1,520,000		5.000			07/01/17		1,564,399
	Oklahoma County Independent School District No. 1 Combined Purpose GO Bonds for Putnam City Board of Education District Series 2016 (A+/NR)
	5,000,000		2.000			01/01/18		5,055,200
	3,585,000		2.000			01/01/19		3,649,745
	2,900,000		2.000			01/01/21		2,981,026
	State-Specific Municipal Debt Obligations – (continued)
	Oklahoma – (continued)
	Oklahoma County Independent School District No. 12 Combined Purpose GO Bonds for Edmond School District Series 2012 (AA/NR)
$	5,470,000		2.000	%		03/01/17	$	5,494,943
	Oklahoma County Independent School District No. 12 Combined Purpose GO Bonds Series 2015 (AA/NR)
	5,000,000		2.000			03/01/17		5,022,800
	Oklahoma County Independent School District No. 52 GO Bonds for Midwest City-Del City School District Series 2012 (NR/Aa3)
	2,160,000		2.000			01/01/17		2,165,681
	Oklahoma County Independent School District No. 52 GO Bonds for Series 2013 (NR/Aa3)
	2,445,000		2.000			01/01/17		2,451,431
	Oklahoma County Independent School District No. 89 GO Bonds Series 2015 (AA/Aa3)
	6,200,000		3.000			07/01/19		6,515,208
								34,900,433
	Oregon – 1.0%
	Lane County Oregon Springfield School District No. 19 GO Bonds Refunding Series 2015 (SCH BD GTY) (AA+/Aa1)(d)
	3,740,000		0.000			06/15/20		3,505,540
	3,780,000		0.000			06/15/21		3,463,727
	Oregon Coast Community College District GO Bonds Refunding Series 2012 (SCH BD GTY) (NR/Aa1)
	790,000		2.000			06/15/17		796,660
	1,165,000		2.000			06/15/18		1,188,079
	1,445,000		3.000			06/15/19		1,518,868
	Oregon State GO Bonds for Article XI-M Seismic Projects Series 2016 H (AA+/Aa1)
	355,000		3.000			06/01/18		367,699
	340,000		3.000			06/01/19		358,693
	1,550,000		3.000			06/01/20		1,663,305
	Oregon State GO Bonds for Article XI-Q State Projects Series 2016 D (AA+/Aa1)
	1,875,000		2.000			05/01/18		1,909,481
	1,800,000		3.000			05/01/19		1,896,372
	4,265,000		3.000			05/01/20		4,571,355
	Oregon State GO Bonds Refunding for Article XI-Q State Projects Series 2016 F (AA+/Aa1)
	755,000		2.000			05/01/19		776,261
	2,475,000		3.000			05/01/20		2,652,779
	Oregon State GO Bonds Refunding for Article XI-Q State Projects Series 2016 G (AA+/Aa1)
	430,000		3.000			11/01/18		448,950
	405,000		3.000			11/01/19		430,458
	2,860,000		3.000			11/01/20		3,079,362
	Oregon State GO Bonds Refunding for Oregon University System Series 2012 B (AA+/Aa1)
	1,175,000		3.000			08/01/17		1,196,232
	1,120,000		3.000			08/01/18		1,163,859
	Portland City RB Refunding for Sewer System First Lien Series 2016 A (AA/Aa2)
	6,820,000		5.000			06/15/20		7,793,555

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

GOLDMAN SACHS SHORT DURATION TAX-FREE FUND

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	Oregon – (continued)
	Portland Oregon Community College District GO Bonds Refunding Series 2015 (AA/Aa1)
$	10,000,000		5.000	%		06/15/18	$	10,701,800
								49,483,035
	Pennsylvania – 2.9%
	Allegheny County Higher Education Building Authority RB for Chatham University Series 2012 A (BBB/NR)
	750,000		5.000			09/01/18		797,078
	Allegheny County Redevelopment Authority Tax Increment Refunding for Waterfront Project Series 2007 A (A/NR)
	645,000		4.250			12/15/17		669,033
	Allentown School District GO Refunding Series 2016 (AGM) (ST AID WITHHLDG) (AA/NR)
	500,000		2.000			02/15/19		507,525
	1,560,000		4.000			02/15/20		1,689,480
	Butler County Hospital Authority RB for Health System Project Series 2015 A (A-/Baa1)
	500,000		3.000			07/01/17		506,670
	1,265,000		3.000			07/01/18		1,300,293
	310,000		3.000			07/01/19		321,833
	265,000		4.000			07/01/20		286,282
	1,000,000		4.000			07/01/21		1,095,670
	Chester County Downingtown Area School District GO Bonds Series 2010 (ST AID WITHHLDG) (NR/Aaa)(a)
	5,000,000		1.540			05/01/19		5,001,400
	Chester County IDA RB for University Student Housing, LLC Project at West Chester University Series 2013 A (NR/Baa3)
	515,000		3.000			08/01/17		519,758
	530,000		3.000			08/01/18		538,475
	Cumberland County Municipal Authority RB Refunding for Diakon Lutheran Social Ministries Project Series 2015 (BBB+/NR)
	535,000		4.000			01/01/19		567,373
	1,000,000		4.000			01/01/20		1,082,360
	Montgomery County Higher Education and Health Authority RB Refunding for Holy Redeemer Health System Series 2014 A (BBB+/Baa3)
	1,000,000		4.000			10/01/18		1,049,610
	1,000,000		4.000			10/01/19		1,070,980
	Montgomery County IDA Pollution Control RB Refunding for PECO Energy Company Project Series 1999 B (BBB/Baa2)(a)
	5,000,000		2.500			04/01/20		5,087,250
	Pennsylvania Economic Development Financing Authority RB Refunding for Unemployment Compensation Series 2012 A (AA+/Aaa)
	6,635,000		5.000			07/01/19		7,363,523
	Pennsylvania Economic Development Financing Authority RB Refunding for Unemployment Compensation Series 2012 B (AA+/Aaa)
	6,965,000		5.000			07/01/22		7,057,774
	Pennsylvania Economic Development Financing Authority Solid Waste Disposal RB for Waste Management, Inc. Project Series 2004 A (A-/NR)(a)
	1,400,000		1.250			05/01/17		1,400,658
	1,750,000		1.500			05/01/18		1,751,137
	State-Specific Municipal Debt Obligations – (continued)
	Pennsylvania – (continued)
	Pennsylvania Economic Development Financing Authority Unemployment Compensation RB Series 2012 B (AA+/Aaa)
$	16,335,000		5.000	%		07/01/20	$	18,152,105
	Pennsylvania Higher Educational Facilities Authority RB for La Salle University Series 2012 (BBB/NR)
	440,000		3.000			05/01/17		444,325
	1,165,000		5.000			05/01/18		1,228,108
	1,000,000		5.000			05/01/19		1,084,810
	Pennsylvania Higher Educational Facilities Authority Student Housing RB for University Properties, Inc. Student Housing Project Series 2016 C-1B (NR/MIG1)
	5,000,000		0.875			02/01/18		4,977,550
	Pennsylvania State Commonwealth GO Bonds First Refunding Series 2015 (AA-/Aa3)
	8,115,000		5.000			08/15/20		9,225,538
	Pennsylvania State Commonwealth GO Bonds for City of Pittsburgh Series 2012 A (A+/A1)
	500,000		3.000			09/01/17		509,310
	550,000		4.000			09/01/17		565,185
	Pennsylvania State Commonwealth GO Bonds Refunding First Series 2016 (AA-/Aa3)
	3,000,000		5.000			09/15/18		3,227,460
	16,775,000		5.000			09/15/19		18,644,574
	13,670,000		5.000			09/15/20		15,574,641
	Pennsylvania State Commonwealth GO Bonds Refunding Second Series 2010 A (AA-/Aa3)
	7,520,000		5.000			05/01/21		8,564,378
	Pennsylvania State Commonwealth GO Bonds Second Series 2015 (AA-/Aa3)
	2,175,000		5.000			08/15/20		2,472,649
	Pennsylvania State GO Bonds First Refunding Series 2015 (AGM) (AA/Aa3)
	5,000,000		5.000			08/15/22		5,972,100
	Pennsylvania Turnpike Commission RB Series 2014 B-1 (A/A1)(b)
	7,000,000		1.720			12/01/20		6,978,930
	Philadelphia Hospitals & Higher Education Facilities Authority Hospital RB Refunding for Temple University Health System Series 2012 B (BBB-/Ba2)
	2,000,000		5.000			07/01/17		2,048,200
								139,334,025
	Puerto Rico – 1.9%
	Puerto Rico Commonwealth Aqueduct & Sewer Authority RB Senior Lien Series 2012 A (CC/Caa3)
	14,595,000		5.000			07/01/17		11,640,534
	7,285,000		5.000			07/01/19		5,755,296
	Puerto Rico Commonwealth Public Improvement GO Bonds Refunding Series 2002 A (FGIC) (D/Caa3)
	1,030,000		5.500			07/01/17		773,654
	Puerto Rico Electric Power Authority RB Refunding Series 2007 UU (AGM) (AA/A2)(b)
	36,100,000		0.953			07/01/29		26,353,000
	Puerto Rico Electric Power Authority RB Refunding Series 2007 UU (D/Caa3)(b)
	25,850,000		1.133			07/01/31		16,414,750

The accompanying notes are an integral part of these financial statements. 77

GOLDMAN SACHS SHORT DURATION TAX-FREE FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	Puerto Rico – (continued)
	Puerto Rico Public Buildings Authority RB Refunding for Government Facilities Series 2002 C (COMWLTH GTD) (CC/WR)(g)
$	654,385		5.500	%		07/01/16	$	359,912
	Puerto Rico Public Buildings Authority RB Refunding for Government Facilities Series 2007 M-2 (AMBAC) (COMWLTH GTD) (NR/Caa3)(a)
	1,000,000		5.500			07/01/17		1,012,210
	Puerto Rico Public Buildings Authority RB Refunding for Government Facilities Series 2013 M-2 (COMWLTH GTD) (D/Caa3)(a)
	10,850,000		5.750			07/01/17		6,568,807
	Puerto Rico Sales Tax Financing Corp. RB First Subseries 2009 A (CC/Ca)
	5,000,000		5.500			08/01/28		2,637,500
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB First Subseries 2009 A (CC/Ca)
	8,000,000		5.500			08/01/21		4,220,000
	10,000,000		5.500			08/01/22		5,275,000
	19,315,000		5.500			08/01/23		10,188,662
								91,199,325
	Rhode Island – 0.3%
	Providence GO Bonds Series 2013 A (BBB-/Baa1)
	315,000		4.000			01/15/18		326,268
	1,545,000		5.000			01/15/19		1,672,864
	Rhode Island Health and Educational Building Corp. Higher Education Facility RB Refunding for University of Rhode Island Auxiliary Enterprise Series 2013 C (A+/A1)
	600,000		5.000			09/15/17		622,326
	500,000		4.000			09/15/18		528,115
	Rhode Island Health and Educational Building Corp. RB for Newport Public School Financing Program Series 2013 C (AA+/NR)
	385,000		3.000			05/15/17		389,986
	280,000		4.000			05/15/18		293,759
	Tobacco Settlement Financing Corp. RB Asset-Backed Bonds Series 2015 B (BBB+/NR)
	8,300,000		2.250			06/01/41		8,365,985
								12,199,303
	South Carolina – 1.0%
	Anderson County School District No. 5 GO Bonds Refunding Series 2016 (SCSDE) (AA/Aa1)
	1,645,000		5.000			03/01/21		1,919,370
	Berkeley County School District GO Bonds Series 2014 A (SCSDE) (AA/Aa1)
	1,380,000		5.000			03/01/19		1,513,294
	Clemson University RB Refunding Series 2012 (AA-/Aa2)
	4,440,000		2.000			05/01/17		4,471,124
	5,000,000		2.000			05/01/18		5,090,400
	Colleton County South Carolina GO Bonds for Capital Project Sales Series 2015 (AA-/Aa3)
	725,000		1.500			07/01/18		732,866
	2,985,000		2.000			07/01/19		3,059,715
	State-Specific Municipal Debt Obligations – (continued)
	South Carolina – (continued)
	Florence County South Carolina Hospital RB for McLeod Regional Medical Center Project Series 2010 A (AA/NR)
$	1,905,000		4.000	%		11/01/16	$	1,909,458
	Georgetown County South Carolina School District GO Bonds Refunding Series 2011 B (SCSDE) (AA/Aa1)
	5,895,000		5.000			03/01/17		5,996,217
	Oconee County PCRB Refunding for Duke Power Co. Project Series 2009 (A/Aa2)
	6,000,000		3.600			02/01/17		6,054,300
	Richland County South Carolina GO Bonds Series 2012 A (ST AID WITHHLDG) (AAA/Aaa)
	2,000,000		4.000			03/01/17		2,026,340
	Richland County South Carolina School District No. 1 GO Bonds Refunding Series 2014 B (SCSDE) (AA/Aa1)
	2,755,000		5.000			03/01/18		2,912,779
	2,920,000		5.000			03/01/19		3,202,043
	3,165,000		5.000			03/01/20		3,590,091
	South Carolina Jobs-Economic Development Authority RB for Waste Management of South Carolina, Inc. Project Series 2001 (AMT) (A-/NR)
	2,500,000		1.875			11/01/16		2,502,325
	Spartanburg County South Carolina School District No. 1 GO Bonds Refunding Series 2014 D (SCSDE) (AA/Aa1)
	1,310,000		5.000			03/01/18		1,382,377
								46,362,699
	Tennessee – 0.1%
	Harpeth Valley Utilities District of Davidson and Williamson Counties RB Utilities Improvement Series 1998 (NATL-RE) (AA-/Aa3)
	875,000		5.250			09/01/17		909,807
	Tennessee State GO Bonds Refunding Special Tax Series 2015 B (AAA/Aaa)
	2,210,000		5.000			08/01/20		2,546,959
	Tennessee State GO Bonds Special Tax Series 2015 A (AAA/Aaa)
	2,655,000		5.000			08/01/20		3,059,808
								6,516,574
	Texas – 8.8%
	Austin Texas Water and Wastewater System RB Refunding Series 2014 (AA/Aa2)
	1,675,000		5.000			11/15/19		1,879,719
	Central Texas Regional Mobility Authority RB Refunding Senior Lien Series 2015 B (BBB+/Baa2)(a)
	7,500,000		5.000			01/07/21		8,424,600
	City of Arlington for Permanent Improvement Bonds Series 2015 A (AAA/Aa1)
	1,075,000		2.500			08/15/18		1,107,271
	725,000		3.000			08/15/19		765,158
	City of Carrollton Texas GO Refunding Bonds Series 2012 (AAA/Aa1)
	2,005,000		4.000			08/15/19		2,168,307
	City of El Paso Water and Sewer RB Refunding for Improvement Series 2012 A (AA+/NR)
	1,750,000		2.000			03/01/18		1,778,053
	845,000		4.000			03/01/19		906,144

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

GOLDMAN SACHS SHORT DURATION TAX-FREE FUND

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	Texas – (continued)
	City of Lewisville Texas Combination Contract & Special Assessment RB Refunding for Lewisville Castle Hills Public Improvement District No. 3 Project Series 2015 (AGM) (AA/NR)
$	300,000		3.000	%		09/01/17	$	304,902
	250,000		3.000			09/01/18		257,113
	375,000		3.000			09/01/19		390,386
	Corpus Christi Independent School District Unlimited Tax Refunding Series 2016 (PSF-GTD) (AAA/Aaa)
	2,860,000		4.000			08/15/21		3,237,005
	Cypress-Fairbanks Independent School District Unlimited Tax GO Bonds Refunding for School Building Series 2014 C (PSF-GTD) (AAA/Aaa)
	5,455,000		4.000			02/15/19		5,831,886
	Dallas Area Rapid Transit Sales Tax RB Senior Lien Series 2008 (BHAC-CR) (AA+/Aa1)(c)
	20,000,000		5.250			12/01/18		21,825,800
	Dallas County Highland Park Independent School District Unlimited Tax GO Bonds Refunding Series 2015 (NR/Aaa)
	2,070,000		4.000			02/15/20		2,274,723
	Dallas County Limited Tax GO Notes Series 2011 (AAA/Aaa)
	3,855,000		5.000			02/15/18		4,070,456
	Dallas-Fort Worth International Airport Joint RB Refunding Series 2011 D (A+/A2)
	750,000		4.000			11/01/16		751,785
	250,000		4.000			11/01/17		258,440
	Dallas-Fort Worth International Airport Joint RB Refunding Series 2012 B (A+/A2)
	1,750,000		5.000			11/01/18		1,897,718
	East Central Independent School District Unlimited Tax for School Building Series 2016 (PSF-GTD) (AAA/Aaa)
	1,115,000		4.000			08/15/18		1,178,432
	1,160,000		4.000			08/15/19		1,255,503
	1,205,000		4.000			08/15/20		1,335,767
	1,255,000		4.000			08/15/21		1,421,702
	1,305,000		4.000			08/15/22		1,502,407
	Fort Worth Texas GO Bonds Refunding and Improvement Series 2012 (AA+/Aa2)
	2,000,000		4.000			03/01/19		2,144,220
	Garland Independent School District Unlimited Tax Refunding Bonds Series 2011 A (PSF-GTD) (AAA/Aaa)(d)
	1,930,000		0.000			02/15/17		1,924,171
	Garland Independent School District Unlimited Tax Refunding Bonds Series 2015 A (PSF-GTD) (AAA/Aaa)
	6,640,000		2.000			02/15/18		6,739,467
	4,710,000		3.000			02/15/19		4,930,381
	Grand Prairie Independent School District GO Bonds Refunding Series 2016 (PSF-GTD) (AAA/NR)
	1,915,000		2.000			08/15/18		1,953,434
	Harris County Texas Spring Independent School District Unlimited Tax Refunding Bonds Series 2011 (PSF-GTD) (AAA/Aaa)
	2,250,000		4.000			08/15/17		2,311,065
	Houston Airport System RB Subordinate Lien Series 2002 C (AMT) (XLCA) (A+/A1)(b)
	16,275,000		1.049			07/01/32		15,302,528
	State-Specific Municipal Debt Obligations – (continued)
	Texas – (continued)
	Houston Airport System RB Subordinate Lien Series 2002 D-2 (AMT) (XLCA) (A+/A1)(b)
$	19,425,000		1.044	%		07/01/32	$	18,282,980
	Houston Independent School District Limited Tax GO Bonds Refunding Series 2014 B (PSF-GTD) (AAA/Aaa)
	10,000,000		5.000			02/15/18		10,554,700
	12,000,000		5.000			02/15/19		13,140,840
	Judson Independent School District Unlimited Tax Refunding for School Building Series 2016 (PSF-GTD) (AAA/Aaa)
	2,510,000		3.000			02/01/18		2,578,096
	2,000,000		4.000			02/01/19		2,138,320
	2,120,000		3.000			02/01/20		2,254,599
	1,200,000		5.000			02/01/22		1,435,776
	Kaufman County Fresh Water Supply District No. 1-C Refunding for Road Series 2016 (AGM) (AA/NR)
	370,000		3.000			09/01/19		384,219
	390,000		3.000			09/01/20		408,022
	310,000		3.000			09/01/21		325,450
	330,000		3.000			09/01/22		349,048
	Lamar Consolidated Independent School District Unlimited Tax Schoolhouse Bonds Series 2014 A (PSF-GTD) (AAA/Aaa)(a)
	5,000,000		1.050			08/15/18		4,999,950
	Leander Independent School District Unlimited Tax GO Bonds Refunding Series 2015 A (PSF-GTD) (AAA/NR)(d)
	2,000,000		0.000			08/15/19		1,945,380
	1,500,000		0.000			08/15/20		1,440,000
	Leander Independent School District Unlimited Tax GO Bonds Refunding Series 2016 (PSF-GTD) (AAA/NR)(d)
	2,500,000		0.000			08/16/20		2,399,925
	5,000,000		0.000			08/16/21		4,719,600
	Lubbock Health Facilities Development Corp. RB for St. Joseph Health System Series 2008 B (AA-/A1)
	3,300,000		5.000			07/01/17		3,396,888
	Mansfield Independent School District GO Bonds Series 2012 (PSF-GTD) (AAA/Aaa)(a)
	7,315,000		1.750			08/01/17		7,362,767
	Midway Independent School District Unlimited Tax GO Bonds Refunding Series 2015 (PSF-GTD) (AAA/NR)
	4,905,000		5.000			08/01/21		5,770,634
	Mission Economic Development Corp. Solid Waste Disposal RB for Waste Management, Inc. Project RMKT 06/01/15 Series 2006 (A-/NR)
	5,000,000		1.800			12/01/18		5,089,350
	New Hope Cultural Education Facilities Finance Corp. Student Housing RB for Station I, LLC – Texas A&M University Collegiate Housing Project Series 2014 A (AGM) (AA/A2)
	200,000		4.000			04/01/17		202,712
	170,000		4.000			04/01/20		183,610
	400,000		4.000			04/01/21		438,508
	New Hope Cultural Education Facilities Finance Corp. Student Housing RB for Station II, LLC – Texas A&M University Collegiate Housing Corpus Christi Project Series 2016 A (BBB-/Baa3)
	145,000		4.000			04/01/19		153,567
	300,000		4.000			04/01/20		322,749
	620,000		4.000			04/01/21		674,374

The accompanying notes are an integral part of these financial statements. 79

GOLDMAN SACHS SHORT DURATION TAX-FREE FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	Texas – (continued)
	North Texas Municipal Water District Upper East Fork Wastewater Interceptor System Contract RB Refunding & Improvement Series 2016 (AAA/Aa1)
$	1,755,000		4.750	%		06/01/19	$	1,929,447
	1,860,000		5.000			06/01/20		2,125,664
	1,975,000		5.000			06/01/21		2,322,620
	2,085,000		5.000			06/01/22		2,515,677
	North Texas Tollway Authority RB Refunding for First Tier Series 2008 A (NATL-RE-IBC) (AA-/A1)
	4,470,000		6.000			01/01/19		4,751,297
	North Texas Tollway Authority RB Refunding for First Tier Series 2012 C (A/A1)(a)
	18,000,000		1.950			01/01/19		18,189,360
	North Texas Tollway Authority System RB Refunding First Tier Series 2011 B (A/A1)
	3,000,000		5.000			01/01/19		3,262,200
	North Texas Tollway Authority System RB Refunding First Tier Series 2014 A (A/A1)
	2,000,000		5.000			01/01/20		2,247,480
	North Texas Tollway Authority System RB Refunding First Tier Series 2014 C (A/A1)(a)
	5,000,000		1.510			01/01/20		5,023,750
	North Texas Tollway Authority System RB Refunding for Second Tier Series 2015 A (A-/A2)
	1,070,000		4.000			01/01/18		1,110,628
	1,000,000		5.000			01/01/19		1,086,700
	Northside Texas Independent School District GO Bonds for School Building Series 2010 (PSF-GTD) (AAA/Aaa)(a)
	6,655,000		1.200			08/01/17		6,663,652
	Northwest Independent School District Unlimited Tax GO Refunding Bonds Series 2016 (PSF-GTD) (AAA/Aaa)
	1,940,000		2.000			02/15/19		1,986,521
	Plano Independent School District GO Bonds for School Building Series 2016 (PSF-GTD) (AAA/Aaa)
	16,415,000		5.000			02/15/21		19,110,671
	Round Rock Independent School District Unlimited Tax GO Bonds for School Building Series 2015 (PSF-GTD) (AAA/Aaa)(a)
	20,500,000		1.500			08/01/21		20,376,795
	Sam Rayburn Municipal Power Agency RB Refunding Series 2012 (BBB+/NR)
	2,315,000		5.000			10/01/19		2,574,674
	San Antonio Electric and Gas Systems Junior Lien RB Refunding Series 2012 A (AA-/NR)(a)
	5,000,000		2.000			12/01/18		5,065,600
	San Antonio Electric and Gas Systems Junior Lien RB Refunding Series 2012 C (AA-/Aa2)(a)
	7,000,000		2.000			12/01/16		7,012,250
	San Antonio Independent School District Unlimited Tax Refunding Bonds Series 2014 A (PSF-GTD) (AAA/Aaa)(a)
	8,720,000		2.000			08/01/17		8,794,730
	San Antonio Independent School District Unlimited Tax Refunding Bonds Series 2014 B (PSF-GTD) (AAA/Aaa)(a)
	9,700,000		2.000			08/01/18		9,862,281
	State-Specific Municipal Debt Obligations – (continued)
	Texas – (continued)
	Texas A&M University Financing System RB Refunding for Board of Regents Series 2015 A (AAA/Aaa)
$	2,250,000		5.000	%		05/15/18	$	2,399,085
	Texas A&M University Financing System RB Refunding for Board of Regents Series 2015 B (AAA/Aaa)
	2,650,000		5.000			05/15/18		2,825,589
	Texas Municipal Gas Acquisition & Supply Corp. III RB Series 2012 D (BBB/A3)
	3,000,000		5.000			12/15/16		3,025,350
	5,000,000		5.000			12/15/17		5,243,550
	4,500,000		5.000			12/15/18		4,890,690
	Texas Municipal Gas Acquisition & Supply Corp. RB for Senior Lien Series 2008 D (BBB+/Baa1)
	6,110,000		5.625			12/15/17		6,298,982
	Texas Municipal Gas Acquisition and Supply Corp. I RB for Gas Supply Senior Lien Series 2006 B (BBB+/Baa1)(b)
	1,975,000		1.120			12/15/17		1,967,949
	Texas Private Activity Bond Surface Transportation Corp. RB Senior Lien for Mobility Partners LLC Series 2009 (BBB-/Baa2)
	7,800,000		6.875			12/31/39		9,207,354
	Texas Public Finance Authority GO Refunding Bonds Series 2016 (AAA/Aaa)
	4,190,000		5.000			10/01/20		4,847,327
	Texas Transportation Commission Central Turnpike System RB Refunding Series 2015 A (A-/A3)(a)
	5,000,000		5.000			04/01/20		5,630,800
	Texas Transportation Commission Highway Improvement GO Bonds Series 2014 (AAA/Aaa)
	20,000,000		5.000			04/01/19		22,003,200
	2,500,000		5.000			04/01/21		2,933,075
	Texas Transportation Commission State Highway Fund First Tier RB Refunding Series 2014 A (AAA/Aaa)
	14,625,000		5.000			04/01/18		15,534,529
	Texas Water Development Board State Water Implementation Fund RB Series 2015 A (AAA/NR)
	2,300,000		4.000			10/15/19		2,503,826
	1,305,000		4.000			04/15/20		1,439,415
	Travis County GO Bonds for Texas Unlimited Tax Road Series 2016 (AAA/Aaa)
	3,035,000		1.500			03/01/18		3,062,922
	3,265,000		1.500			03/01/20		3,312,930
								414,219,177
	U.S. Virgin Islands – 0.3%
	Virgin Islands Public Finance Authority Grant Anticipation RB for Federal Highway Grant Anticipation Revenue Loan Note Series 2015 (A/NR)(e)
	250,000		5.000			09/01/18		264,162
	645,000		5.000			09/01/19		699,206
	825,000		5.000			09/01/20		913,325
	2,015,000		5.000			09/01/21		2,276,063

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

GOLDMAN SACHS SHORT DURATION TAX-FREE FUND

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	U.S. Virgin Islands – (continued)
	Virgin Islands Public Finance Authority RB Refunding for Virgin Islands Gross Receipts Taxes Loan Note Series 2012 A (BBB+/NR)
$	8,430,000		2.250	%		10/01/17	$	8,305,152
	2,085,000		4.000			10/01/22		2,012,484
								14,470,392
	Utah – 0.3%
	Board of Education of Alpine School District GO Refunding Bonds for Utah SCH BD GTY Program Series 2015 (SCH BD GTY) (AAA/Aaa)
	11,550,000		5.000			03/15/19		12,704,192
	Utah Associated Municipal Power Systems RB for Horse Butte Wind Project Series 2012 A (A/NR)
	500,000		5.000			09/01/17		518,070
	500,000		5.000			09/01/18		537,160
	500,000		5.000			09/01/19		550,770
								14,310,192
	Vermont – 0.1%
	Vermont Educational & Health Buildings Financing Agency RB Refunding for St. Michael’s College Project Series 2012 (BBB+/Baa1)
	1,420,000		4.000			10/01/16		1,420,000
	1,680,000		4.000			10/01/17		1,724,251
	Vermont Educational & Health Buildings Financing Agency RB Refunding for The University of Vermont Medical Center Project Series 2016 A (A-/A3)
	500,000		3.000			12/01/17		510,930
	450,000		4.000			12/01/19		487,148
	400,000		4.000			12/01/20		441,324
	350,000		5.000			12/01/21		408,278
								4,991,931
	Virginia – 2.7%
	Fairfax County GO Refunding Bonds for Virginia Public Improvement Series 2016 A (ST AID WITHHLDG) (AAA/Aaa)
	9,995,000		4.000			10/01/21		11,413,990
	Peninsula Ports Authority of Virginia Coal Terminal RB Refunding for Dominion Terminal Associates Project Series 2003 (BBB/NR)(a)
	2,750,000		1.550			10/01/19		2,750,000
	Virginia Commonwealth Transportation Board RB for Transportation Capital Projects Series 2012 (AA+/Aa1)
	5,000,000		5.000			05/15/19		5,526,450
	Virginia Commonwealth Transportation Board RB Refunding for Northern Virginia Transportation District Program Series 2014 A (AA+/Aa1)
	8,375,000		5.000			05/15/19		9,256,804
	Virginia Commonwealth Transportation Board RB Refunding for U.S. Route 58 Corridor Development Program Series 2014 B (AA+/Aa1)
	20,650,000		5.000			05/15/19		22,824,239
	11,680,000		5.000			05/15/20		13,337,275
	State-Specific Municipal Debt Obligations – (continued)
	Virginia – (continued)
	Virginia Commonwealth Transportation Board RB Refunding for U.S. Route 58 Corridor Development Program Series 2016 C (AA+/Aa1)
$	10,000,000		5.000	%		05/15/23	$	12,358,000
	Virginia Electric and Power Company Industrial Development Authority of Wise County RB for Solid Waste and Sewage Disposal RMKT 08/13/15 Series 2009 A (BBB+/A2)(a)
	6,000,000		2.150			09/01/20		6,168,120
	Virginia Electric and Power Company Industrial Development Authority of Wise County RB for Solid Waste and Sewage Disposal RMKT 11/02/15 Series 2010 A (BBB+/A2)(a)
	4,500,000		1.875			06/01/20		4,575,870
	Virginia State Housing Development Authority Homeownership Mortgage RB Series 2011 B (GO OF AUTH) (AA+/Aa1)
	1,900,000		2.200			03/01/17		1,910,355
	Virginia State Public Building Authority RB Refunding for Public Facilities Series 2014 C (AA+/Aa1)
	5,325,000		5.000			08/01/18		5,721,659
	Virginia State Public School Authority RB Refunding for School Financing Series 2015 A (ST AID WITHHLDG) (AA+/Aa1)
	26,140,000		4.000			08/01/19		28,331,839
	York County Economic Development Authority Electricity and Power RB Refunding Series 2009 A (BBB+/A2)(a)
	2,000,000		1.875			05/16/19		2,036,180
								126,210,781
	Washington – 1.3%
	City of Spokane Washington Water and Wastewater System RB Series 2014 (AA/Aa2)
	2,805,000		5.000			12/01/18		3,036,721
	Seattle City RB Refunding for Municipal Light & Power Improvement Series 2016 C (AA/Aa2)
	10,660,000		5.000			10/01/22		12,994,114
	Washington State COPS for State and Local Agency Real and Personal Property Series 2014 B (NR/Aa2)
	3,020,000		5.000			07/01/19		3,340,331
	Washington State COPS for State and Local Agency Real and Personal Property Series 2015 B (NR/Aa2)
	5,745,000		5.000			01/01/20		6,463,700
	Washington State COPS Refunding for State and Local Agency Real and Personal Property Series 2016 A (NR/Aa2)
	6,420,000		5.000			07/01/20		7,329,521
	Washington State Motor Vehicle Fuel Tax GO Bonds Refunding Series 2015 R-F (AA+/Aa1)
	6,770,000		5.000			07/01/19		7,503,597
	Washington State Various Purpose GO Bonds Series 2008 C (AA+/Aa1)(c)
	18,795,000		5.000			01/01/18		19,749,222
								60,417,206
	West Virginia – 0.4%
	Kanawha Putnam County Huntington Compound RB for Single Family Mortgage Series 1984 A (ETM) (AMBAC) (NR/Aaa)(c)(d)
	10,125,000		0.000			12/01/16		10,111,838

The accompanying notes are an integral part of these financial statements. 81

GOLDMAN SACHS SHORT DURATION TAX-FREE FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	State-Specific Municipal Debt Obligations – (continued)
	West Virginia – (continued)
	Mason County Pollution Control RB for Appalachian Power Co. Project Series 2003 L (BBB+/Baa1)(a)
$	3,000,000		1.625	%		10/01/18	$	3,006,720
	Monongalia County Board of Education Public School GO Refunding Bonds Series 2012 (AA-/NR)
	1,520,000		5.000			05/01/18		1,615,091
	Princeton West Virginia Hospitals RB Refunding Princeton Community Hospital Project Series 2012 A (BBB+/NR)
	500,000		5.000			05/01/17		511,175
	1,445,000		5.000			05/01/18		1,528,853
	1,565,000		5.000			05/01/19		1,701,437
								18,475,114
	Wisconsin – 0.6%
	Milwaukee Area Technical College District GO Promissory Notes Series 2016 C (NR/Aa2)
	1,815,000		2.000			06/01/20		1,874,677
	Wisconsin State GO Bonds Series 2006 A (AA/Aa2)(c)
	11,030,000		5.000			05/01/21		12,964,552
	Wisconsin State GO Bonds Series 2016 B (AA/Aa2)
	11,930,000		5.000			05/01/20		13,609,386
								28,448,615
	TOTAL INVESTMENTS – 99.4%
	(Cost $4,687,223,918)						$	4,697,397,539
	OTHER ASSETS IN EXCESS OF     LIABILITIES – 0.6%							30,695,400
	NET ASSETS – 100.0%						$	4,728,092,939

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
(a)	Security with “Put” features and resetting interest rates. Maturity dates disclosed are the puttable dates. Interest rate disclosed is that which is in effect on September 30, 2016.
(b)	Variable rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate or distribution rate disclosed is that which is in effect on September 30, 2016.
(c)	Pre-refunded security. Maturity date disclosed is pre-refunding date.
(d)	Issued with a zero coupon. Income is recognized through the accretion of discount.
(e)	Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities may be deemed 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 $21,499,801, which represents approximately 0.5% of net assets as of September 30, 2016.
(f)	When-issued security.
(g)	Security is curently in default.

Security ratings disclosed, if any, are issued by either Standard & Poor’s, Moody’s Investor Service or Fitch and are unaudited. A brief description of the ratings is available in the Fund’s Statement of Additional Information.

Investment Abbreviations:
AGC-ICC	—Agency Insured Custody Certificate
AGM	—Insured by Assured Guaranty Municipal Corp.
AMBAC	—Insured by American Municipal Bond Assurance Corp.
AMT	—Alternative Minimum Tax
BAM	—Build America Mutual Assurance Co.
BANS	—Bond Anticipation Notes
BHAC	—Insured by Berkshire Hathaway Assurance Corp.
BHAC-CR	—Insured by Berkshire Hathaway Assurance Corp. – Insured Custodial Receipts
CNTY GTD	—County Guaranteed
COMWLTH GTD	—Commonwealth Guaranteed
COPS	—Certificates of Participation
ETM	—Escrowed to Maturity
FGIC	—Insured by Financial Guaranty Insurance Co.
GO	—General Obligation
GO OF AUTH	—General Obligation of Authority
IDA	—Industrial Development Authority
MUN GOVT GTD	—Municipal Government Guaranteed
NATL-RE	—Insured by National Public Finance Guarantee Corp.
NATL-RE FGIC	—Insured by National Public Finance Guarantee Corp., which reinsures Financial Guaranty Insurance Co.
NATL-RE-IBC	—Insured by National Public Finance Guarantee Corp. – Insured Bond Certificates
NR	—Not Rated
PCRB	—Pollution Control Revenue Bond
PILOT	—Payment in Lieu of Taxes
PSF-GTD	—Guaranteed by Permanent School Fund
Q-SBLF	—Qualified School Board Loan Fund
RB	—Revenue Bond
RMKT	—Remarketed
SCH BD GTY	—School Bond Guaranty
SCH BD RES FD	—School Bond Reserve Fund
SCSDE	—South Carolina State Department of Education
SD CRED PROG	—School District Credit Program
ST AID WITHHLDG	—State Aid Withholding
ST APPROP	—State Appropriation
WR	—Withdrawn Rating
XLCA	—Insured by XL Capital Assurance, Inc.

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

GOLDMAN SACHS SHORT DURATION TAX-FREE FUND

ADDITIONAL INVESTMENT INFORMATION

SWAP CONTRACTS — At September 30, 2016, the Fund had the following swap contracts:

OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS

												Market Value
Counterparty	Referenced Obligation	Notional Amount (000’s)		Rates Received (Paid)			Termination Date		Credit Spread on September 30, 2016(a)			Upfront Payments Made (Received)			Unrealized Gain (Loss)
Protection Sold:
Bank of America, N.A.	California State Various Purpose GO Bonds Series 2003, 5.250%, 02/01/18	$	5,000		1.000	%		03/20/23		0.925	%	$	(5	)	$	23,363
JPMorgan Chase Bank, N.A.	California State Various Purpose GO Bonds Series 2003, 5.250%, 02/01/18		10,000		1.000			03/20/23		0.925			(320,948	)		367,665
TOTAL												$	(320,953	)	$	391,028

(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 or its counterparty to make a payment or otherwise be required to perform under the swap contract is generally greater as the credit spread and term of the swap contract increase.

The accompanying notes are an integral part of these financial statements. 83

GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS

Statements of Assets and Liabilities

September 30, 2016 (Unaudited)

	Dynamic Municipal Income Fund			High Yield Municipal Fund			Short Duration Tax-Free Fund
Assets:
Investments in unaffiliated issuers, at value (cost $861,619,016, $4,359,888,789 and $4,687,223,918)	$	907,273,390		$	4,694,058,072		$	4,697,397,539
Cash		3,091,718			4,726,895			4,966,439
Receivables:
Interest and dividends		10,747,774			65,294,090			40,143,254
Fund shares sold		8,386,465			12,757,793			21,215,867
Collateral on certain derivative contracts(a)		3,198,676			18,520,556			—
Investments sold on an extended-settlement basis		1,900,000			3,980,000			17,700,000
Investments sold		1,409,400			—			—
Reimbursement from investment adviser		25,595			46,010			41,674
Variation margin on certain derivative contracts		404,974			1,578,282			—
Unrealized gain on swap contracts		73,533			1,644,791			391,028
Other assets		994			5,653			5,733
Total assets		936,512,519			4,802,612,142			4,781,861,534
Liabilities:
Unrealized loss on swap contracts		—			1,276,404			—
Payables:
Investments purchased on an extended-settlement basis		14,870,844			16,451,642			40,456,526
Investments purchased		1,784,982			—			—
Fund shares redeemed		945,161			10,503,523			11,125,746
Management fees		293,732			2,018,791			1,335,147
Income distribution		258,163			400,613			176,612
Distribution and Service fees and Transfer Agency fees		127,415			286,641			210,491
Upfront payments received on swap contracts		64,190			1,662,645			320,953
Accrued expenses		79,279			129,284			143,120
Total liabilities		18,423,766			32,729,543			53,768,595
Net Assets:
Paid-in capital		895,980,074			5,594,950,060			4,700,964,817
Undistributed net investment income		8,648,560			125,178,936			16,198,604
Accumulated net realized gain (loss)		(32,035,600	)		(1,282,479,912	)		364,869
Net unrealized gain		45,495,719			332,233,515			10,564,649
NET ASSETS	$	918,088,753		$	4,769,882,599		$	4,728,092,939
Net Assets:
Class A	$	219,977,076		$	273,609,421		$	148,327,998
Class C		41,015,651			77,415,700			29,755,915
Institutional		638,265,643			4,394,911,715			4,545,351,510
Service		36,713			—			274,948
Class IR		18,793,670			23,945,763			4,382,568
Total Net Assets	$	918,088,753		$	4,769,882,599		$	4,728,092,939
Shares outstanding $0.001 par value (unlimited shares authorized):
Class A		13,730,814			28,128,611			13,976,896
Class C		2,559,290			7,959,068			2,806,823
Institutional		39,850,813			451,752,189			428,894,687
Service		2,280			—			25,948
Class IR		1,174,669			2,459,821			413,424
Net asset value, offering and redemption price per share:(b)
Class A		$16.02			$9.73			$10.61
Class C		16.03			9.73			10.60
Institutional		16.02			9.73			10.60
Service		16.10			—			10.60
Class IR		16.00			9.73			10.60

(a) Segregated for initial margin and/or collateral on transactions as follows:

Fund	Futures		Swaps
Dynamic Municipal Income	$	313,280	$	2,885,396
High Yield Municipal		—		18,520,556

(b) Maximum public offering price per share for Class A Shares of the Dynamic Municipal Income, High Yield Municipal and Short Duration Tax-Free Funds is $16.64, $10.19 and $10.77, respectively. At redemption, Class C Shares may be subject to a contingent deferred sales charge assessed on the amount equal to the lesser of the current net asset value (“NAV”) or the original purchase price of the shares.

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

GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS

Statements of Operations

For the Six Months Ended September 30, 2016 (Unaudited)

	Dynamic Municipal Income Fund			High Yield Municipal Fund			Short Duration Tax-Free Fund
Investment income:
Interest	$	16,715,881		$	130,729,438		$	40,238,302
Dividends — affiliated issuers		15,906			—			—
Total investment income		16,731,787			130,729,438			40,238,302
Expenses:
Management fees		2,215,705			11,679,688			8,076,185
Distribution and Service fees(a)		428,629			714,581			337,792
Transfer Agency fees(a)		273,239			1,059,355			984,201
Registration fees		45,549			53,232			71,928
Professional fees		38,107			76,753			64,499
Custody, accounting and administrative services		32,579			102,068			103,381
Printing and mailing costs		24,848			36,498			34,048
Trustee fees		11,528			15,953			16,468
Service share fees — Service Plan		45			—			286
Service share fees — Shareholder Administration Plan		45			—			286
Other		12,538			70,839			46,184
Total expenses		3,082,812			13,808,967			9,735,258
Less — expense reductions		(764,945	)		(368,536	)		(625,357	)
Net expenses		2,317,867			13,440,431			9,109,901
NET INVESTMENT INCOME		14,413,920			117,289,007			31,128,401
Realized and unrealized gain (loss):
Net realized gain (loss) from:
Investments		463,585			(452,728	)		296,408
Futures contracts		(1,114,979	)		—			—
Swap contracts		(1,310,555	)		(2,473,143	)		101,126
Net change in unrealized gain (loss) on:
Investments		15,852,854			151,651,730			18,514,435
Futures contracts		858,960			—			—
Swap contracts		107			159,272			79,301
Net realized and unrealized gain		14,749,972			148,885,131			18,991,270
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	29,163,892		$	266,174,138		$	50,119,671

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

	Distribution and Service Fees				Transfer Agency Fees
Fund	Class A		Class C		Class A		Class C		Institutional		Service		Class IR
Dynamic Municipal Income	$	250,155	$	178,474	$	130,080	$	23,202	$	111,315	$	7	$	8,635
High Yield Municipal		335,072		379,509		174,237		49,336		821,055		—		14,727
Short Duration Tax-Free		181,426		156,366		94,341		20,328		866,985		46		2,501

The accompanying notes are an integral part of these financial statements. 85

GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS

Statements of Changes in Net Assets

	Dynamic Municipal Income Fund
	For the Six Months Ended September 30, 2016 (Unaudited)			For the Fiscal Year Ended March 31, 2016
From operations:
Net investment income	$	14,413,920		$	24,019,261
Net realized gain (loss)		(1,961,949	)		(81,729	)
Net change in unrealized gain (loss)		16,711,921			(5,405,731	)
Net increase in net assets resulting from operations		29,163,892			18,531,801
Distributions to shareholders:
From net investment income
Class A Shares		(3,176,858	)		(5,733,553	)
Class C Shares		(431,352	)		(666,293	)
Institutional Shares		(9,771,072	)		(16,184,828	)
Service Shares		(551	)		(1,231	)
Class IR Shares		(225,968	)		(256,969	)
From net realized gains
Class A Shares		—			—
Class C Shares		—			—
Institutional Shares		—			—
Service Shares		—			—
Class IR Shares		—			—
Total distributions to shareholders		(13,605,801	)		(22,842,874	)
From share transactions:
Proceeds from sales of shares		251,239,866			316,136,355
Reinvestment of distributions		12,186,274			20,424,327
Cost of shares redeemed		(65,201,374	)		(221,233,382	)
Net increase in net assets resulting from share transactions		198,224,766			115,327,300
TOTAL INCREASE		213,782,857			111,016,227
Net assets:
Beginning of period		704,305,896			593,289,669
End of period	$	918,088,753		$	704,305,896
Undistributed net investment income	$	8,648,560		$	7,840,441

(a) Net of $87,490 of redemption fees.

(b) Net of $289,150 of redemption fees

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

GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS

High Yield Municipal Fund						Short Duration Tax-Free Fund
For the Six Months Ended September 30, 2016 (Unaudited)			For the Fiscal Year Ended March 31, 2016			For the Six Months Ended September 30, 2016 (Unaudited)			For the Fiscal Year Ended March 31, 2016
$	117,289,007		$	185,565,826		$	31,128,401		$	55,117,729
	(2,925,871	)		(20,605,848	)		397,534			1,981,923
	151,811,002			24,280,105			18,593,736			(19,918,658	)
	266,174,138			189,240,083			50,119,671			37,180,994
	(5,645,626	)		(11,741,798	)		(691,455	)		(1,435,525	)
	(1,313,836	)		(2,853,312	)		(86,995	)		(163,751	)
	(92,229,745	)		(155,835,712	)		(27,678,766	)		(49,661,394	)
	—			—			(887	)		(1,096	)
	(504,400	)		(887,924	)		(23,099	)		(39,229	)
	—			—			—			(15,946	)
	—			—			—			(3,381	)
	—			—			—			(420,779	)
	—			—			—			(17	)
	—			—			—			(366	)
	(99,693,607	)		(171,318,746	)		(28,481,202	)		(51,741,484	)
	599,391,132			1,237,695,837			1,094,992,979			2,297,530,366
	97,298,461			166,239,084			27,387,133			49,780,823
	(203,730,518	)(a)		(673,251,125	)(b)		(918,297,553	)		(2,159,864,506	)
	492,959,075			730,683,796			204,082,559			187,446,683
	659,439,606			748,605,133			225,721,028			172,886,193
	4,110,442,993			3,361,837,860			4,502,371,911			4,329,485,718
$	4,769,882,599		$	4,110,442,993		$	4,728,092,939		$	4,502,371,911
$	125,178,936		$	107,583,536		$	16,198,604		$	13,551,405

The accompanying notes are an integral part of these financial statements. 87

GOLDMAN SACHS DYNAMIC MUNICIPAL INCOME FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

			Income (loss) from investment operations
Year - Share Class	Net asset value, beginning of period		Net investment income(a)		Net realized and unrealized gain (loss)			Total from investment operations			Distributions to shareholders from net investment income
FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED)
2016 - A	$	15.69	$	0.27	$	0.31		$	0.58		$	(0.25	)
2016 - C		15.69		0.21		0.32			0.53			(0.19	)
2016 - Institutional		15.68		0.30		0.32			0.62			(0.28	)
2016 - Service		15.77		0.26		0.31			0.57			(0.24	)
2016 - IR		15.67		0.29		0.31			0.60			(0.27	)
FOR THE FISCAL YEARS ENDED MARCH 31,
2016 - A		15.81		0.56		(0.14	)		0.42			(0.54	)
2016 - C		15.82		0.45		(0.16	)		0.29			(0.42	)
2016 - Institutional		15.81		0.62		(0.16	)		0.46			(0.59	)
2016 - Service		15.89		0.54		(0.15	)		0.39			(0.51	)
2016 - IR		15.79		0.60		(0.15	)		0.45			(0.57	)
2015 - A		15.45		0.60		0.32			0.92			(0.56	)
2015 - C		15.46		0.48		0.32			0.80			(0.44	)
2015 - Institutional		15.45		0.65		0.32			0.97			(0.61	)
2015 - Service		15.53		0.58		0.32			0.90			(0.54	)
2015 - IR		15.43		0.63		0.33			0.96			(0.60	)
2014 - A		16.16		0.61		(0.76	)		(0.15	)		(0.56	)
2014 - C		16.16		0.50		(0.75	)		(0.25	)		(0.45	)
2014 - Institutional		16.16		0.67		(0.76	)		(0.09	)		(0.62	)
2014 - Service		16.24		0.59		(0.76	)		(0.17	)		(0.54	)
2014 - IR		16.14		0.65		(0.76	)		(0.11	)		(0.60	)
2013 - A		15.73		0.61		0.41			1.02			(0.59	)
2013 - C		15.73		0.49		0.40			0.89			(0.46	)
2013 - Institutional		15.72		0.66		0.42			1.08			(0.64	)
2013 - Service		15.80		0.59		0.41			1.00			(0.56	)
2013 - IR		15.71		0.64		0.41			1.05			(0.62	)
2012 - A		14.25		0.65		1.47			2.12			(0.64	)
2012 - C		14.25		0.54		1.46			2.00			(0.52	)
2012 - Institutional		14.25		0.70		1.46			2.16			(0.69	)
2012 - Service		14.32		0.63		1.47			2.10			(0.62	)
2012 - IR		14.26		0.68		1.44			2.12			(0.67	)

(a) Calculated based on the average shares outstanding methodology.

(b) Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.

(c) The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher.

(d) Annualized.

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

GOLDMAN SACHS DYNAMIC MUNICIPAL INCOME FUND

Net asset value, end of period		Total return(b)			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(c)
$	16.02		3.74	%	$	219,977		0.78	%(d)		0.97	%(d)		3.37	%(d)		3	%
	16.03		3.42			41,016		1.53	(d)		1.72	(d)		2.61	(d)		3
	16.02		3.98			638,266		0.44	(d)		0.63	(d)		3.70	(d)		3
	16.10		3.65			37		0.94	(d)		1.13	(d)		3.22	(d)		3
	16.00		3.87			18,794		0.53	(d)		0.72	(d)		3.59	(d)		3
	15.69		2.70			177,985		0.78			0.99			3.62			15
	15.69		1.86			30,116		1.54			1.75			2.87			15
	15.68		2.98			486,485		0.44			0.65			3.96			15
	15.77		2.53			36		0.94			1.16			3.46			15
	15.67		2.95			9,684		0.53			0.74			3.87			15
	15.81		6.00			172,221		0.78			1.01			3.79			14
	15.82		5.21			22,182		1.53			1.76			3.04			14
	15.81		6.36			393,120		0.44			0.67			4.12			14
	15.89		5.79			39		0.94			1.16			3.62			14
	15.79		6.27			5,728		0.53			0.76			4.00			14
	15.45		(0.83	)		160,259		0.79			1.00			3.99			15
	15.46		(1.50	)		20,131		1.54			1.75			3.24			15
	15.45		(0.49	)		305,706		0.45			0.66			4.33			15
	15.53		(0.98	)		37		0.94			1.16			3.83			15
	15.43		(0.58	)		2,357		0.54			0.75			4.23			15
	16.16		6.51			204,892		0.78			0.98			3.78			16
	16.16		5.72			27,047		1.53			1.73			3.03			16
	16.16		6.93			385,480		0.44			0.64			4.10			16
	16.24		6.31			42		0.94			1.15			3.63			16
	16.14		6.77			3,544		0.53			0.73			3.97			16
	15.73		15.09			348,890		0.81			0.99			4.32			9
	15.73		14.24			26,448		1.56			1.74			3.56			9
	15.72		15.41			221,617		0.47			0.65			4.66			9
	15.80		14.86			84		0.97			1.15			4.15			9
	15.71		15.15			1,527		0.56			0.74			4.43			9

The accompanying notes are an integral part of these financial statements. 89

GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

			Income (loss) from investment operations
Year - Share Class	Net asset value, beginning of period		Net investment income(a)		Net realized and unrealized gain (loss)			Total from investment operations			Distributions to shareholders from net investment income
FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED)
2016 - A	$	9.36	$	0.24	$	0.33		$	0.57		$	(0.20	)
2016 - C		9.36		0.20		0.34			0.54			(0.17	)
2016 - Institutional		9.36		0.25		0.34			0.59			(0.22	)
2016 - IR		9.37		0.25		0.32			0.57			(0.21	)
FOR THE FISCAL YEARS ENDED MARCH 31,
2016 - A		9.34		0.46		(0.02	)		0.44			(0.42	)
2016 - C		9.34		0.39		(0.02	)		0.37			(0.35	)
2016 - Institutional		9.34		0.48		(0.01	)		0.47			(0.45	)
2016 - IR		9.35		0.48		(0.01	)		0.47			(0.45	)
2015 - A		8.93		0.45		0.38			0.83			(0.42	)
2015 - C		8.93		0.38		0.39			0.77			(0.36	)
2015 - Institutional		8.93		0.48		0.38			0.86			(0.45	)
2015 - IR		8.93		0.48		0.39			0.87			(0.45	)
2014 - A		9.51		0.44		(0.60	)		(0.16	)		(0.42	)
2014 - C		9.51		0.37		(0.59	)		(0.22	)		(0.36	)
2014 - Institutional		9.52		0.47		(0.61	)		(0.14	)		(0.45	)
2014 - IR		9.51		0.47		(0.61	)		(0.14	)		(0.44	)
2013 - A		8.90		0.43		0.59			1.02			(0.41	)
2013 - C		8.90		0.36		0.59			0.95			(0.34	)
2013 - Institutional		8.91		0.46		0.59			1.05			(0.44	)
2013 - IR		8.91		0.45		0.58			1.03			(0.43	)
2012 - A		8.00		0.46		0.88			1.34			(0.44	)
2012 - C		8.00		0.40		0.88			1.28			(0.38	)
2012 - Institutional		8.00		0.49		0.88			1.37			(0.46	)
2012 - IR		8.00		0.47		0.90			1.37			(0.46	)

(a) Calculated based on the average shares outstanding methodology.

(b) Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.

(c) The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher.

(d) Annualized.

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

GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND

Net asset value, end of period		Total return(b)			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(c)
$	9.73		6.16	%	$	273,609		0.85	%(d)		0.92	%(d)		4.99	%(d)		4	%
	9.73		5.76			77,416		1.60	(d)		1.66	(d)		4.24	(d)		4
	9.73		6.31			4,394,912		0.56	(d)		0.58	(d)		5.26	(d)		4
	9.73		6.17			23,946		0.60	(d)		0.67	(d)		5.22	(d)		4
	9.36		4.89			262,193		0.86			0.93			4.98			11
	9.36		4.11			73,498		1.62			1.68			4.24			11
	9.36		5.19			3,754,010		0.57			0.59			5.25			11
	9.37		5.15			20,741		0.61			0.68			5.22			11
	9.34		9.47			257,803		0.86			0.93			4.89			14
	9.34		8.66			81,018		1.61			1.68			4.14			14
	9.34		9.79			3,005,752		0.57			0.59			5.18			14
	9.35		9.86			17,265		0.61			0.68			5.13			14
	8.93		(1.52	)		255,002		0.87			0.93			4.94			25
	8.93		(2.25	)		75,433		1.62			1.68			4.19			25
	8.93		(1.34	)		2,584,691		0.58			0.59			5.23			25
	8.93		(1.28	)		12,703		0.62			0.69			5.31			25
	9.51		11.64			347,693		0.86			0.92			4.62			19
	9.51		10.82			108,291		1.61			1.67			3.87			19
	9.52		11.95			3,425,590		0.57			0.58			4.90			19
	9.51		11.79			7,134		0.61			0.67			4.82			19
	8.90		17.08			348,577		0.88			0.94			5.42			27
	8.90		16.21			99,817		1.63			1.69			4.67			27
	8.91		17.55			2,957,868		0.58			0.60			5.72			27
	8.91		17.50			3,054		0.63			0.69			5.49			27

The accompanying notes are an integral part of these financial statements. 91

GOLDMAN SACHS SHORT DURATION TAX-FREE FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

			Income (loss) from investment operations								Distributions to shareholders
Year - Share Class	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
FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED)
2016 - A	$	10.56	$	0.06	$	0.04		$	0.10		$	(0.05	)	$	—		$	(0.05	)
2016 - C		10.55		0.04		0.04			0.08			(0.03	)		—			(0.03	)
2016 - Institutional		10.54		0.07		0.06			0.13			(0.07	)		—			(0.07	)
2016 - Service		10.54		0.05		0.05			0.10			(0.04	)		—			(0.04	)
2016 - IR		10.55		0.07		0.04			0.11			(0.06	)		—			(0.06	)
FOR THE FISCAL YEARS ENDED MARCH 31,
2016 - A		10.59		0.10		(0.04	)		0.06			(0.09	)		—	(e)		(0.09	)
2016 - C		10.58		0.06		(0.04	)		0.02			(0.05	)		—	(e)		(0.05	)
2016 - Institutional		10.58		0.14		(0.05	)		0.09			(0.13	)		—	(e)		(0.13	)
2016 - Service		10.58		0.09		(0.05	)		0.04			(0.08	)		—	(e)		(0.08	)
2016 - IR		10.58		0.13		(0.04	)		0.09			(0.12	)		—	(e)		(0.12	)
2015 - A		10.57		0.10		0.01			0.11			(0.09	)		—	(e)		(0.09	)
2015 - C		10.55		0.05		0.02			0.07			(0.04	)		—	(e)		(0.04	)
2015 - Institutional		10.55		0.13		0.02			0.15			(0.12	)		—	(e)		(0.12	)
2015 - Service		10.55		0.08		0.02			0.10			(0.07	)		—	(e)		(0.07	)
2015 - IR		10.55		0.12		0.02			0.14			(0.11	)		—	(e)		(0.11	)
2014 - A		10.69		0.10		(0.12	)		(0.02	)		(0.09	)		(0.01	)		(0.10	)
2014 - C		10.68		0.06		(0.13	)		(0.07	)		(0.05	)		(0.01	)		(0.06	)
2014 - Institutional		10.68		0.13		(0.13	)		—	(e)		(0.12	)		(0.01	)		(0.13	)
2014 - Service		10.67		0.08		(0.12	)		(0.04	)		(0.07	)		(0.01	)		(0.08	)
2014 - IR		10.68		0.13		(0.14	)		(0.01	)		(0.11	)		(0.01	)		(0.12	)
2013 - A		10.62		0.13		0.07			0.20			(0.13	)		—			(0.13	)
2013 - C		10.62		0.08		0.06			0.14			(0.08	)		—			(0.08	)
2013 - Institutional		10.61		0.16		0.07			0.23			(0.16	)		—			(0.16	)
2013 - Service		10.61		0.12		0.05			0.17			(0.11	)		—			(0.11	)
2013 - IR		10.61		0.15		0.07			0.22			(0.15	)		—			(0.15	)
2012 - A		10.44		0.18		0.18			0.36			(0.18	)		—			(0.18	)
2012 - C		10.44		0.14		0.18			0.32			(0.14	)		—			(0.14	)
2012 - Institutional		10.44		0.22		0.17			0.39			(0.22	)		—			(0.22	)
2012 - Service		10.43		0.17		0.17			0.34			(0.16	)		—			(0.16	)
2012 - IR		10.44		0.19		0.19			0.38			(0.21	)		—			(0.21	)

(a) Calculated based on the average shares outstanding methodology.

(b) Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.

(c) The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher.

(d) Annualized.

(e) Amount is less than $0.005 per share.

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

GOLDMAN SACHS SHORT DURATION TAX-FREE FUND

Net asset value, end of period		Total return(b)			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(c)
$	10.61		0.95	%	$	148,328		0.71	%(d)		0.75	%(d)		1.07	(d)		11	%
	10.60		0.75			29,756		1.11	(d)		1.50	(d)		0.67	(d)		11
	10.60		1.21			4,545,352		0.39	(d)		0.41	(d)		1.39	(d)		11
	10.60		0.96			275		0.89	(d)		0.91	(d)		0.89	(d)		11
	10.60		1.08			4,383		0.46	(d)		0.50	(d)		1.31	(d)		11
	10.56		0.62			147,949		0.73			0.76			0.98			24
	10.55		0.22			33,787		1.13			1.51			0.58			24
	10.54		0.86			4,316,949		0.39			0.42			1.32			24
	10.54		0.36			161		0.89			0.92			0.82			24
	10.55		0.87			3,526		0.48			0.51			1.23			24
	10.59		1.01			189,890		0.73			0.76			0.90			24
	10.58		0.71			35,443		1.13			1.51			0.50			24
	10.58		1.45			4,100,431		0.39			0.41			1.23			24
	10.58		0.96			60		0.89			0.92			0.76			24
	10.58		1.36			3,661		0.48			0.51			1.16			24
	10.57		(0.24	)		231,329		0.73			0.76			0.93			17
	10.55		(0.73	)		43,189		1.13			1.51			0.53			17
	10.55		0.01			3,745,916		0.39			0.42			1.27			17
	10.55		(0.40	)		306		0.89			0.92			0.79			17
	10.55		(0.08	)		9,554		0.48			0.51			1.19			17
	10.69		1.85			327,845		0.73			0.76			1.26			28
	10.68		1.35			57,257		1.13			1.50			0.79			28
	10.68		2.20			4,266,884		0.39			0.42			1.48			28
	10.67		1.60			1,320		0.89			0.92			1.15			28
	10.68		2.11			18,362		0.48			0.50			1.41			28
	10.62		3.46			945,940		0.73			0.77			1.72			24
	10.62		3.05			48,865		1.13			1.52			1.32			24
	10.61		3.72			2,195,766		0.39			0.43			2.05			24
	10.61		3.31			6,362		0.89			0.93			1.63			24
	10.61		3.62			10,568		0.48			0.52			1.83			24

The accompanying notes are an integral part of these financial statements. 93

GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS

Notes to Financial Statements

September 30, 2016 (Unaudited)

1. ORGANIZATION

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

Fund	Share Classes Offered	Diversified/ Non-diversified
Dynamic Municipal Income, Short Duration Tax-Free	A, C, Institutional, Service and IR	Diversified
High Yield Municipal	A, C, Institutional and IR	Non-diversified

Class A Shares of the Dynamic Municipal Income, High Yield Municipal and Short Duration Tax-Free Funds are sold with a front-end sales charge of up to 3.75%, 4.50% and 1.50%, respectively. Class C Shares of Dynamic Municipal Income, High Yield Municipal and Short Duration Tax-Free Funds are sold with a contingent deferred sales charge (“CDSC”) of 1.00%, 1.00% and 0.65%, respectively, which is imposed on redemptions made within 12 months of purchase. Institutional, Service and Class IR Shares are not subject to a sales charge.

Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman, Sachs & Co. (“Goldman Sachs”), serves as investment adviser to the Funds pursuant to management agreements (the “Agreements”) with the Trust.

2. SIGNIFICANT ACCOUNTING POLICIES

The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions.

A.  Investment Valuation — The Funds’ valuation policy is to value investments at fair value.

B.  Investment Income and Investments — Investment income includes interest income, dividend income, net of any foreign withholding taxes, less any amounts reclaimable, 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. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments.

For derivative contracts, realized gains and losses are recorded upon settlement of the contract. Upfront payments, if any, are made or received upon entering into a swap agreement and are reflected in the Statements of Assets and Liabilities. Upfront payments are recognized over the contract’s term/event as realized gains or losses, with the exception of forward starting interest rate swaps whose realized gains or losses are recognized from the effective start date. For securities with paydown provisions, principal payments received are treated as a proportionate reduction to the cost basis of the securities, and excess or shortfall amounts are recorded as income. For treasury inflation protected securities (“TIPS”), adjustments to principal due to inflation/deflation are reflected as increases/decreases to interest income with a corresponding adjustment to cost.

C.  Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), and non-class specific expenses of each Fund are allocated daily based upon the proportion of net assets of each class. Non-class specific expenses directly incurred by a Fund are charged to that Fund, while such expenses incurred by the Trust are allocated across the applicable Funds on a straight-line and/or pro-rata basis depending upon the nature of the expenses. Class specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service, Transfer Agency and Service and Shareholder Administration fees.

94

GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS

2. SIGNIFICANT ACCOUNTING POLICIES (continued)

D.  Redemption Fees — A 2% redemption fee is imposed on the redemption of shares (including by exchange) of the High Yield Municipal Fund held for 60 calendar days or less. For this purpose, the High Yield Municipal Fund uses a first-in first-out method so that shares held longest will be treated as being redeemed first and shares held shortest will be treated as being redeemed last. Redemption fees are reimbursed to the Fund and are reflected as a reduction in share redemptions. Redemption fees are credited to Paid-in Capital and are allocated to each share class of the Fund on a pro-rata basis.

E.  Federal Taxes and Distributions to Shareholders — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies (mutual funds) and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, the Funds are not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Income distributions, if any, are declared daily and paid monthly, and capital gains distributions, if any, are declared and paid annually.

Net capital losses are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.

Under the Regulated Investment Company Modernization Act of 2010, the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.

The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of each Fund’s distributions may be shown in the accompanying financial statements as either from net investment income, net realized gain or capital. Certain components of the Funds’ net assets on the Statements of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS

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). 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 Funds’ 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 Funds, including investments for which market quotations are not readily available. The Trustees have delegated to GSAM day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the

95

GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

Funds’ portfolio 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:

Debt Securities — Debt securities for which market quotations are readily available are valued daily on the basis of quotations supplied by dealers or an independent pricing service approved by the Trustees. The pricing services may use valuation models or matrix pricing, which consider: (i) yield or price with respect to bonds that are considered comparable in characteristics such as rating, interest rate and maturity date or (ii) quotations from securities dealers to determine current value. As of the date of the financial statements, short-term debt obligations that matured in sixty days or less and did not exhibit signs of credit deterioration were valued at amortized cost, which approximated fair value. Effective October 11, 2016, short-term debt obligations that mature in sixty days or less are valued using available market quotations as provided by a third party pricing vendor or broker. With the exception of treasury securities of G8 countries (not held in money market funds), which are generally classified as Level 1, these investments are generally classified as Level 2 of the fair value hierarchy.

i.  Inverse Floaters — The interest rate on inverse floating rate securities (“inverse floaters”) resets in the opposite direction from the market rate of interest to which the inverse floaters are indexed. An inverse floater may be considered to be leveraged to the extent that its interest rate varies by a magnitude that exceeds the magnitude of the change in the index rate of interest. The higher the degree of leverage of an inverse floater, the greater the volatility of its market value.

ii.  When-Issued Securities and Forward Commitments — When-issued securities, including TBA (“To Be Announced”) securities, are securities that are authorized but not yet issued in the market and purchased in order to secure what is considered to be an advantageous price or yield to a Fund. 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 a Fund will generally purchase securities on a when-issued or forward commitment basis with the intention of acquiring the securities for its portfolio, the Fund may dispose of when-issued securities or forward commitments prior to settlement which may result in a realized gain or loss.

Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. A Fund enters into derivative transactions to hedge against changes in interest rates, securities prices, and/or currency exchange rates, to increase total return, or to gain access to certain markets or attain exposure to other underliers.

Exchange-traded derivatives, including futures and options contracts, are valued at the last sale or settlement price and typically fall within Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.

i.  Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security and are valued based on exchanged settlement prices or independent market quotes. Futures contracts are valued at the last settlement price, or in the absence of a sale, the last bid price for long positions and at the last ask price for short

96

GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

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, a Fund deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by a Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.

ii.  Swap Contracts — Bilateral swap contracts are agreements in which a Fund and a counterparty agree to exchange periodic payments on a specified notional amount or make a net payment upon termination. Bilateral swap transactions are privately negotiated in the OTC market and payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing. These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”) (“centrally cleared swaps”), in which case all payments are settled with the CCP through the DCM. Swaps are marked-to-market daily using pricing vendor quotations, counterparty or clearinghouse prices or model prices, and the change in value, if any, is recorded as an unrealized gain or loss. Upon entering into a swap contract, a Fund is required to satisfy an initial margin requirement by delivering cash or securities to the counterparty (or in some cases, segregated in a triparty account on behalf of the counterparty), which can be adjusted by any mark-to-market gains or losses pursuant to bilateral or centrally cleared arrangements. For centrally cleared swaps the daily change in valuation, if any, is recorded as a receivable or payable for variation margin.

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

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

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

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

Short Term Investments — As of the date of the financial statements, short-term investments having a maturity of 60 days or less were valued at amortized cost which approximated fair market value. Effective October 11, 2016, such securities are valued

97

GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

using available market quotations as provided by a third party pricing vendor or broker. These investments are classified as Level 2 of the fair value hierarchy.

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 Funds’ investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining a Fund’s NAV. Significant events which could affect a large number of securities in a particular market may include, but are not limited to: significant fluctuations in United States (“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 Funds’ investments and derivatives classified in the fair value hierarchy as of September 30, 2016:

DYNAMIC MUNICIPAL INCOME
Investment Type	Level 1		Level 2			Level 3
Assets
Municipal Debt Obligations	$	—	$	907,273,390		$	—
Derivative Type
Assets(a)
Credit Default Swap Contracts	$	—	$	73,533		$	—
Liabilities(a)
Futures Contracts	$	170,837	$	—		$	—
Interest Rate Swap Contracts		—		(403,025	)		—
Total	$	170,837	$	(403,025	)	$	—
HIGH YIELD MUNICIPAL
Investment Type	Level 1		Level 2			Level 3
Assets
Fixed Income
Municipal Debt Obligations	$	—	$	4,682,382,572		$	—
Corporate Obligation		—		11,675,500			—
Total	$	—	$	4,694,058,072		$	—

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GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

HIGH YIELD MUNICIPAL (continued)
Derivative Type	Level 1		Level 2			Level 3
Assets(a)
Credit Default Swap Contracts	$	—	$	1,644,791		$	—
Liabilities(a)
Credit Default Swap Contracts	$	—	$	(1,276,404	)	$	—
Interest Rate Swap Contract		—		(2,304,155	)		—
Total	$	—	$	(3,580,559	)	$	—
SHORT DURATION TAX-FREE
Investment Type	Level 1		Level 2			Level 3
Assets
Municipal Debt Obligations	$	—	$	4,697,397,539		$	—
Derivative Type
Assets(a)
Credit Default Swap Contract	$	—	$	391,028		$	—

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

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

4. INVESTMENTS IN DERIVATIVES

The following tables set forth, by certain risk types, the gross value of derivative contracts as of September 30, 2016. These instruments were used as part of the Funds’ investment strategies and to obtain and/or manage exposure related to the risks below. The values in the tables below exclude the effects of cash collateral received or posted pursuant to these derivative contracts, and therefore are not representative of the Funds’ net exposure.

DYNAMIC MUNICIPAL INCOME
Risk	Statements of Assets and Liabilities	Assets			Statements of Assets and Liabilities	Liabilities(a)
Credit	Receivable for unrealized gain on swap contracts	$	73,533		—	$	—
Interest Rate	Variation margin on certain derivative contracts		170,837	(a)	Variation margin on certain derivative contracts		(403,025)
Total		$	244,370			$	(403,025)

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GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

4. INVESTMENTS IN DERIVATIVES (continued)

HIGH YIELD MUNICIPAL
Risk	Statements of Assets and Liabilities	Assets		Statements of Assets and Liabilities	Liabilities
Credit	Receivable for unrealized gain on swap contracts	$	1,644,791	Payable for unrealized loss on swap contracts	$	(1,276,404)	(b)
Interest Rate	—		—	Variation margin on certain derivative contracts		(2,304,155)	(a)
Total		$	1,644,791		$	(3,580,559)
SHORT DURATION TAX-FREE
Risk	Statements of Assets and Liabilities	Assets		Statements of Assets and Liabilities	Liabilities
Credit	Receivable for unrealized gain on swap contracts	$	391,028	—	$	—

(a) Includes unrealized gain (loss) on futures contracts and centrally cleared swap contracts described in the Additional Investment Information sections of the Schedules of Investments. Only the variation margin as of September 30, 2016 is reported in the Statements of Assets and Liabilities.

(b) Aggregate of amounts represents the payments to be made pursuant to bilateral agreements should counterparties exercise their “right to terminate” provisions based on, among others, the Fund’s performance, its failure to pay on its obligations or failure to pledge collateral. The 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.

The following tables set forth, by certain risk types, the Funds’ gains (losses) related to these derivatives and their indicative volumes for the six months ended September 30, 2016. These gains (losses) should be considered in the context that these derivative contracts may have been executed to create investment opportunities and/or economically hedge certain investments, and accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statements of Operations:

DYNAMIC MUNICIPAL INCOME
Risk	Statements of Operations	Net Realized Gain (Loss)			Net Change in Unrealized Gain (Loss)		Average Number of Contracts(a)
Credit	Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts	$	15,142		$	8,915		2
Interest Rate	Net realized gain (loss) from futures contracts and swap contracts/Net change in unrealized gain (loss) on futures contracts and swap contracts		(2,440,676	)		850,152		218
Total		$	(2,425,534	)	$	859,067		220

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GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS

4. INVESTMENTS IN DERIVATIVES (continued)

HIGH YIELD MUNICIPAL
Risk	Statements of Operations	Net Realized Gain (Loss)			Net Change in Unrealized Gain (Loss)		Average Number of Contracts(a)
Credit	Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts	$	543,447		$	23,138		7
Interest Rate	Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts		(3,016,590	)		136,134		1
Total		$	(2,473,143	)	$	159,272		8
SHORT DURATION TAX-FREE
Risk	Statements of Operations	Net Realized Gain (Loss)			Net Change in Unrealized Gain (Loss)		Average Number of Contracts(a)
Credit	Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts	$	101,126		$	79,301		2

(a) Average number of contracts is based on the average of month end balances for the period ended September 30, 2016.

5. AGREEMENTS AND AFFILIATED TRANSACTIONS

A.  Management Agreement — Under the Agreement, GSAM manages the Funds, subject to the general supervision of the Trustees.

As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Funds’ business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of each Fund’s average daily net assets.

For the six months ended September 30, 2016, contractual and effective net management fees with GSAM were at the following rates:

	Contractual Management Rate																		Effective Net Management Rate^
Fund	First $1 billion			Next $1 billion			Next $3 billion			Next $3 billion			Over $8 billion			Effective Rate
Dynamic Municipal Income		0.55	%		0.50	%		0.48	%		0.47	%		0.46	%		0.55	%		0.40	%(1)
High Yield Municipal		0.55			0.55			0.50			0.48			0.47			0.52			0.52
Short Duration Tax-Free		0.40			0.36			0.34			0.33			0.32			0.36			0.34	(1)

^ Effective Net Management Rate includes the impact of management fee waivers of affiliated underlying funds, if any.

(1) GSAM agreed to waive a portion of its management fee in order to achieve net management rates, as defined in the Funds’ most recent prospectuses. These waivers will be effective through at least July 29, 2017, and prior to such date GSAM may not terminate the arrangement without approval of the Trustees.

The Dynamic Municipal Income Fund invested in Institutional Shares of the Goldman Sachs Investor Tax-Exempt Money Market Fund (formerly the Goldman Sachs Financial Square Tax-Free Money Market Fund), which is an affiliated Underlying Fund. GSAM has agreed to waive a portion of its management fee payable by the Fund in an amount equal to the management fee it earns as an investment adviser to any of the affiliated Underlying Funds in which the Fund invests. For the six months ended September 30, 2016, GSAM waived $11,557 of the Fund’s management fees.

B.  Distribution and Service Plans — The Trust, on behalf of each Fund, has adopted Distribution and Service Plans (the “Plans”). Under the Plans, Goldman Sachs, which serves as distributor (the “Distributor”), is entitled to a fee accrued daily and

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GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

paid monthly, for distribution services and personal and account maintenance services, which may then be paid by Goldman Sachs to authorized dealers, at the following annual rates calculated on a Fund’s average daily net assets of each respective share class:

	Distribution and Service Plan Rates
	Class A*			Class C
Distribution Plan		0.25	%		0.75	%
Service Plan		—			0.25

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

For the six months ended September 30, 2016, Goldman Sachs agreed to waive a portion of the distribution and service fees equal to 0.35% as an annual percentage rate of the average daily net assets attributable to Class C Shares of the Short Duration Tax-Free Fund. This arrangement will remain in place through at least July 29, 2017. Prior to such date, Goldman Sachs may not terminate this arrangement without the approval of the Trustees.

C.  Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Funds pursuant to a Distribution Agreement, may retain a portion of the Class A Shares front end sales charge and Class C Shares’ CDSC. During the six months ended September 30, 2016, Goldman Sachs advised that it retained front end sales charges of $11,824, $20,924 and $1,374 for the Dynamic Municipal Income, High Yield Municipal and Short Duration Tax-Free Funds, respectively. Goldman Sachs retained no contingent deferred sales charges.

D.  Service Plan and Shareholder Administration Plan — The Trust, on behalf of each Fund that offers Service Shares, has adopted a Service Plan and a Shareholder Administration Plan. These plans allow for service organizations (including Goldman Sachs) to provide varying levels of personal and account maintenance and shareholder administration services to their customers who are beneficial owners of such shares. The Service Plan and Shareholder Administration Plan each provide for compensation to the service organizations which is accrued daily and paid monthly at an annual rate of 0.25% (0.50% in aggregate) of the average daily net assets of the Service Shares.

E.  Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Funds for a fee pursuant to the Transfer Agency Agreement. The fees charged for such transfer agency services are accrued daily and paid monthly at annual rates as follows: 0.13% of the average daily net assets of Class A, Class C and Class IR Shares; and 0.04% of the average daily net assets of Institutional and Service Shares. Goldman Sachs agreed to waive a portion of the transfer agency fee equal to 0.05% as an annual percentage rate of the average daily net assets attributable to Class A, Class C and Class IR Shares of the High Yield Municipal Fund. This arrangement will remain in effect through at least July 29, 2017. Prior to such date, Goldman Sachs may not terminate the arrangement without the approval of the trustees.

Effective July 29, 2016, Goldman Sachs agreed to waive a portion of its transfer agency fee equal to 0.04% as an annual percentage rate of the average daily net assets attributable to Class A, Class C, and Class IR Shares of the Short Duration Tax-Free Fund. This arrangement will remain in effect through at least July 29, 2017, and prior to such date, the Investment Adviser 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 Funds (excluding acquired fund fees and expenses, transfer agency fees and expenses, service fees and shareholder administration fees (as applicable), taxes, interest, brokerage fees, shareholder meeting, litigation, indemnification and extraordinary expenses) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of each Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Funds are not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. The Other Expense limitations as an annual percentage rate of average daily net assets for each Fund is 0.004%. These Other Expense limitations will remain in place through at least July 29, 2017, and prior

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GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS

5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

to such date GSAM may not terminate the arrangements without the approval of the Trustees. In addition, the Funds have entered into certain offset arrangements with the custodian and the transfer agent, which may result in a reduction of the Funds’ expenses and are received irrespective of the application of the “Other Expense” limitations described above.

For the six months ended September 30, 2016, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:

	Fee Waivers
Fund	Management Fee		Class C Distribution and Service Fee		Transfer Agency Fee			Other Expense Reimbursement		Custody Fee Credits		Total Expense Reductions
Dynamic Municipal Income	$	615,847	$	—	$	—		$	148,989	$	109	$	764,945
High Yield Municipal		—		—		91,653	(a)		265,643		11,240		368,536
Short Duration Tax-Free		299,992		54,728		12,633	(a)		245,949		12,055		625,357

(a) Applicable to Class A, C and IR Shares.

G.  Line of Credit Facility — As of September 30, 2016, the Funds 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 (“Other Borrowers”). This facility is to be used for temporary or emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. For the six months ended September 30, 2016, the Funds did not have any borrowings under the facility.

H.  Other Transactions with Affiliates — As of September 30, 2016, the Goldman Sachs Group, Inc. was the beneficial owner of approximately 9% of the Service Class Shares of the Dynamic Municipal Income Fund.

The Funds may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is solely due to having a common investment adviser, common officers, or common trustees. For the six months ended September 30, 2016, the purchase and sale transactions for the Funds with an affiliated fund in compliance with Rule 17a-7 under the Act were as follows:

Fund	Purchases		Sales		Net Realized Gain (Loss)
Short Duration Tax-Free	$	19,353,782	$	—	$	—

The following table provides information about the Funds’ investment in the Goldman Sachs Investor Tax-Exempt Money Market Fund (formerly the Goldman Sachs Financial Square Tax-Free Money Market Fund) as of and for the six months ended September 30, 2016:

Dynamic Municipal Income Fund
Underlying Fund	Market Value 3/31/2016		Purchases at Cost		Proceeds from Sales			Market Value 9/30/2016		Dividend Income
Goldman Sachs Investor Tax-Exempt Money Market Fund (formerly the Goldman Sachs Financial Square Tax-Free Money Market Fund)	$	9,662,862	$	127,891,667	$	(137,554,529	)	$	—	$	15,906

103

GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

6. PORTFOLIO SECURITIES TRANSACTIONS

The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended September 30, 2016, were as follows:

Fund	Purchases		Sales
Dynamic Municipal Income	$	232,715,273	$	26,764,761
High Yield Municipal		694,673,856		185,375,512
Short Duration Tax-Free		798,780,082		466,791,415

7. TAX INFORMATION

As of the Funds’ most recent fiscal year end, March 31, 2016, the Funds’ capital loss carryforwards and certain timing differences, on a tax-basis were as follows:

	Dynamic Municipal Income			High Yield Municipal			Short Duration Tax-Free
Capital loss carryforwards:(1)
Expiring 2017	$	(13,220,467	)	$	(553,071,659	)	$	—
Expiring 2018		(11,494,807	)		(431,157,569	)		—
Expiring 2019		(704,599	)		(11,866,582	)		—
Perpetual Short-term		(2,601,167	)		(91,995,265	)		—
Perpetual Long-term		—			(162,637,948	)		—
Total capital loss carryforwards	$	(28,021,040	)	$	(1,250,729,023	)	$	—
Timing differences (Qualified Late Year Loss Deferral, Defaulted Bond Income and Distribution Payable)		(2,967,401	)		(18,417,126	)		(193,670	)

(1) With the exception of perpetual capital loss carryforwards, expiration occurs on March 31 of the year indicated.

As of September 30, 2016, the Funds’ aggregate securities unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:

	Dynamic Municipal Income			High Yield Municipal			Short Duration Tax-Free
Tax cost	$	860,966,304		$	4,336,060,759		$	4,673,610,430
Gross unrealized gain		64,962,883			579,026,141			70,760,493
Gross unrealized loss		(18,655,797	)		(221,028,828	)		(46,973,384	)
Net unrealized security gain	$	46,307,086		$	357,997,313		$	23,787,109

The difference between GAAP-basis and tax-basis unrealized gains (losses), as of the most recent fiscal year end, is attributable primarily to wash sales, net mark to market gains/(losses) on regulated futures, differences in the tax treatment of swap transactions, and market discount accretion and premium amortization.

GSAM has reviewed the Funds’ tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Funds’ financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.

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GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS

8. OTHER RISKS

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

Derivatives Risk — Loss may result from the Funds’ investments in derivative 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 Funds. Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. Losses from investments in derivatives can also result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.

Interest Rate Risk — When interest rates increase, fixed income securities or instruments held by a Fund will generally decline in value. Long-term fixed income securities or instruments will normally have more price volatility because of this risk than short-term fixed income securities or instruments. The risks associated with increasing rates are heightened given that interest rates are near historic lows, but are expected to increase in the future with unpredictable effects on the markets and a Fund’s investments.

Investments in Other Investment Companies — As a shareholder of another investment company, including an exchange-traded fund (“ETF”), a Fund will indirectly bear its proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Fund.

Large Shareholder Transactions Risk — A Fund may experience adverse effects when certain large shareholders, such as other funds, institutional investors (including those trading by use of non-discretionary mathematical formulas), financial intermediaries (who may make investment decisions on behalf of underlying clients and/or include the Fund in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of a Fund. Such large shareholder redemptions may cause a Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact a Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in a Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio. Similarly, large Fund share purchases may adversely affect a Fund’s performance to the extent that the Fund is delayed in investing new cash and is required to maintain a larger cash position than it ordinarily would.

Liquidity Risk — A Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that a Fund will not be able to pay redemption proceeds within the allowable time period 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. Liquidity risk may be the result of, among other things, the reduced number and capacity of traditional market participants to make a market in fixed income securities or the lack of an active market. The potential for liquidity risk may be magnified by a rising interest rate environment or other circumstances where investor redemptions from fixed income mutual funds may be higher than normal, potentially causing increased supply in the market due to selling activity.

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

Non-Diversification Risk — The High Yield Municipal Fund is non-diversified, meaning that it is permitted to invest a larger percentage of its assets in fewer issuers than diversified mutual funds. Thus, the Fund may be more susceptible to adverse developments affecting any single issuer held in its portfolio, and may be more susceptible to greater losses because of these developments.

Geographic and Sector Risk — As a result of the Funds’ ability to invest a large percentage of their assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business, political, environmental or other development may affect the value of a Fund’s investments more than if its investments were not so focused.

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GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

8. OTHER RISKS (continued)

State/Territory Specific Risk — A Fund’s investments in municipal obligations of issuers located in a particular state or U.S. territory may be adversely affected by political, economic and regulatory developments within that state or U.S. territory. Such developments may affect the financial condition of a state’s or territory’s political subdivisions, agencies, instrumentalities and public authorities and heighten the risks associated with investing in bonds issued by such parties, which could, in turn, adversely affect a Fund’s income, NAV, liquidity, and/or ability to preserve or realize capital appreciation.

9. 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 Funds. Additionally, in the course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.

10. 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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GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS

11. SUMMARY OF SHARE TRANSACTIONS

Share activity is as follows:

	Dynamic Municipal Income Fund
	For the Six Months Ended September 30, 2016 (Unaudited)						For the Fiscal Year Ended March 31, 2016
	Shares			Dollars			Shares			Dollars
Class A Shares
Shares sold		3,176,783		$	50,647,751			3,720,425		$	58,051,402
Reinvestment of distributions		181,515			2,897,303			344,723			5,371,021
Shares redeemed		(972,165	)		(15,495,213	)		(3,610,570	)		(56,072,072	)
		2,386,133			38,049,841			454,578			7,350,351
Class C Shares
Shares sold		808,994			12,904,575			835,143			13,048,024
Reinvestment of distributions		22,539			359,988			35,448			552,588
Shares redeemed		(191,178	)		(3,049,494	)		(353,817	)		(5,516,495	)
		640,355			10,215,069			516,774			8,084,117
Institutional Shares
Shares sold		11,077,210			176,674,779			15,186,355			236,772,323
Reinvestment of distributions		545,229			8,702,907			914,307			14,243,405
Shares redeemed		(2,788,512	)		(44,288,495	)		(9,947,544	)		(155,115,309	)
		8,833,927			141,089,191			6,153,118			95,900,419
Service Shares
Reinvestment of distributions		14			240			37			573
Shares redeemed		—			—			(222	)		(3,500	)
		14			240			(185	)		(2,927	)
Class IR Shares
Shares sold		690,574			11,012,761			529,669			8,264,606
Reinvestment of distributions		14,158			225,836			16,499			256,740
Shares redeemed		(148,156	)		(2,368,172	)		(290,762	)		(4,526,006	)
		556,576			8,870,425			255,406			3,995,340
NET INCREASE		12,417,005		$	198,224,766			7,379,691		$	115,327,300

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GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

11. SUMMARY OF SHARE TRANSACTIONS (continued)

Share activity is as follows:

	High Yield Municipal Fund
	For the Six Months Ended September 30, 2016 (Unaudited)						For the Fiscal Year Ended March 31, 2016
	Shares			Dollars			Shares			Dollars
Class A Shares
Shares sold		1,508,041		$	14,562,819			4,773,731		$	44,114,762
Reinvestment of distributions		520,623			5,014,683			1,144,403			10,547,186
Shares redeemed		(1,908,419	)		(18,343,402	)		(5,517,134	)		(50,795,733	)
		120,245			1,234,100			401,000			3,866,215
Class C Shares
Shares sold		652,437			6,284,947			950,111			8,762,502
Reinvestment of distributions		105,567			1,016,918			240,369			2,215,323
Shares redeemed		(650,576	)		(6,251,953	)		(2,014,789	)		(18,570,802	)
		107,428			1,049,912			(824,309	)		(7,592,977	)
Institutional Shares
Shares sold		59,824,256			574,659,288			127,594,329			1,177,853,968
Reinvestment of distributions		9,418,541			90,762,669			16,547,656			152,589,319
Shares redeemed		(18,445,537	)		(177,107,950	)		(65,014,349	)		(599,414,160	)
		50,797,260			488,314,007			79,127,636			731,029,127
Class IR Shares
Shares sold		403,221			3,884,078			754,337			6,964,605
Reinvestment of distributions		52,273			504,191			96,178			887,256
Shares redeemed		(209,618	)		(2,027,213	)		(484,019	)		(4,470,430	)
		245,876			2,361,056			366,496			3,381,431
NET INCREASE		51,270,809		$	492,959,075			79,070,823		$	730,683,796

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11. SUMMARY OF SHARE TRANSACTIONS (continued)

Share activity is as follows:

	Short Duration Tax- Free Fund
	For the Six Months Ended September 30, 2016 (Unaudited)						For the Fiscal Year Ended March 31, 2016
	Shares			Dollars			Shares			Dollars
Class A Shares
Shares sold		1,864,034		$	19,772,889			2,534,246		$	26,748,594
Reinvestment of distributions		53,828			570,809			116,088			1,224,532
Shares redeemed		(1,953,138	)		(20,676,671	)		(6,561,982	)		(69,219,571	)
		(35,276	)		(332,973	)		(3,911,648	)		(41,246,445	)
Class C Shares
Shares sold		138,638			1,469,546			1,029,737			10,853,113
Reinvestment of distributions		5,727			60,669			10,925			115,132
Shares redeemed		(540,820	)		(5,723,834	)		(1,186,296	)		(12,501,894	)
		(396,455	)		(4,193,619	)		(145,634	)		(1,533,649	)
Institutional Shares
Shares sold		101,254,484			1,072,387,034			214,243,079			2,258,369,073
Reinvestment of distributions		2,524,649			26,732,063			4,594,367			48,401,158
Shares redeemed		(84,293,509	)		(891,462,484	)		(196,995,117	)		(2,076,521,244	)
		19,485,624			207,656,613			21,842,329			230,248,987
Service Shares
Shares sold		10,621			112,155			9,554			100,816
Reinvestment of distributions		47			493			43			445
Shares redeemed		(6	)		(58	)		(3	)		(36	)
		10,662			112,590			9,594			101,225
Class IR Shares
Shares sold		118,023			1,251,355			138,426			1,458,770
Reinvestment of distributions		2,180			23,099			3,755			39,556
Shares redeemed		(41,080	)		(434,506	)		(153,827	)		(1,621,761	)
		79,123			839,948			(11,646	)		(123,435	)
NET INCREASE		19,143,678		$	204,082,559			17,782,995		$	187,446,683

109

GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS

Fund Expenses — Six Month Period Ended September 30, 2016 (Unaudited)

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

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from April 1, 2016 through September 30, 2016, which represents a period of 183 days of a 365 day year.

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

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

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

	Dynamic Municipal Income Fund							High Yield Municipal Fund							Short Duration Tax-Free Fund
Share Class	Beginning Account Value 4/01/16		Ending Account Value 9/30/16			Expenses Paid for the 6 Months Ended 9/30/16*		Beginning Account Value 4/01/16		Ending Account Value 9/30/16			Expenses Paid for the 6 Months Ended 9/30/16*		Beginning Account Value 4/01/16		Ending Account Value 9/30/16			Expenses Paid for the 6 Months Ended 9/30/16*
Class A
Actual	$	1,000	$	1,037.40		$	3.98	$	1,000	$	1,061.60		$	4.39	$	1,000	$	1,009.50		$	3.58
Hypothetical 5% return		1,000		1,021.16	+		3.95		1,000		1,020.81	+		4.31		1,000		1,021.51	+		3.60
Class C
Actual		1,000		1,034.20			7.80		1,000		1,057.60			8.25		1,000		1,007.50			5.59
Hypothetical 5% return		1,000		1,017.40	+		7.74		1,000		1,017.05	+		8.09		1,000		1,019.50	+		5.62
Institutional
Actual		1,000		1,039.80			2.25		1,000		1,063.10			2.90		1,000		1,012.10			1.97
Hypothetical 5% return		1,000		1,022.86	+		2.23		1,000		1,022.26	+		2.84		1,000		1,023.11	+		1.98
Service
Actual		1,000		1,036.40			4.80		N/A		N/A			N/A		1,000		1,009.60			4.48
Hypothetical 5% return		1,000		1,020.36	+		4.76		N/A		N/A			N/A		1,000		1,020.61	+		4.51
Class IR
Actual		1,000		1,038.70			2.71		1,000		1,061.70			3.10		1,000		1,010.80			2.32
Hypothetical 5% return		1,000		1,022.41	+		2.69		1,000		1,022.95	+		3.04		1,000		1,022.76	+		2.33

* Expenses are calculated using each Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended September 30, 2016. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows:

Fund	Class A			Class C			Institutional			Service			Class IR
Dynamic Municipal Income		0.78	%		1.53	%		0.44	%		0.94	%		0.53	%
High Yield Municipal		0.85			1.60			0.56			N/A			0.60
Short Duration Tax-Free		0.71			1.11			0.39			0.89			0.46

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

110

GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS

Statement Regarding Basis for Approval of Management Agreements (Unaudited)

Background

The Goldman Sachs Dynamic Municipal Income Fund, Goldman Sachs High Yield Municipal Fund, and Goldman Sachs Short Duration Tax-Free Fund (the “Funds”) are investment portfolios of Goldman Sachs Trust (the “Trust”). The Board of Trustees oversees the management of the Trust and reviews the investment performance and expenses of the Funds at regularly scheduled meetings held throughout the year. In addition, the Board of Trustees determines annually whether to approve the continuance of the Trust’s investment management agreements (the “Management Agreements”) with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) on behalf of the Funds.

The Management Agreements were most recently approved for continuation until June 30, 2017 by the Board of Trustees, including those Trustees who are not parties to the Management Agreements or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), at a meeting held on June 15-16, 2016 (the “Annual Meeting”).

The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held three meetings over the course of the year since the Management Agreements were last approved. At those Committee meetings, regularly scheduled Board or other committee meetings, and/or the Annual Meeting, matters relevant to the renewal of the Management Agreements were considered by the Board, or the Independent Trustees, as applicable. With respect to each Fund, such matters included:

(a) the nature and quality of the advisory, administrative, and other services provided to the Fund by the Investment Adviser and its affiliates, including information about:

(i) the structure, staff, and capabilities of the Investment Adviser and its portfolio management teams;

(ii) the groups within the Investment Adviser and its affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services, and operations); controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, compliance testing, market risk analysis, finance, and central funding); sales and distribution support groups, and others (e.g., information technology and training);

(iii) trends in employee headcount;

(iv) the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and

(v) the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management;

(b) information on the investment performance of the Fund, including comparisons to the performance of similar mutual funds, as provided by a third-party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”), a benchmark performance index, and a composite of accounts with comparable investment strategies managed by the Investment Adviser (in the case of the High Yield Municipal and Short Duration Tax-Free Funds); and general investment outlooks in the markets in which the Fund invests;

(c) information provided by the Investment Adviser indicating the Investment Adviser’s views on whether the Fund’s peer group and/or benchmark index had high, medium, or low relevance given the Fund’s particular investment strategy;

(d) the terms of the Management Agreement and other agreements with affiliated service providers entered into by the Trust on behalf of the Fund;

(e) fee and expense information for the Fund, including:

(i) the relative management fee and expense level of the Fund as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider;

(ii) the Fund’s expense trends over time; and

111

GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS

Statement Regarding Basis for Approval of Management Agreements (Unaudited) (continued)

(iii) to the extent the Investment Adviser manages other types of accounts (such as bank collective trusts, private wealth management accounts, institutional separate accounts, sub-advised mutual funds, and non-U.S. funds) having investment objectives and policies similar to those of the Fund, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser;

(f) with respect to the extensive investment performance and expense comparison data provided by the Outside Data Provider, its processes in producing that data for the Fund;

(g) the undertakings of the Investment Adviser and its affiliates to implement fee waivers and/or expense limitations;

(h) information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of the Fund and the Trust as a whole to the Investment Adviser and its affiliates;

(i) whether the Fund’s existing management fee schedule adequately addressed any economies of scale;

(j) a summary of the “fall-out” benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund, including the fees received by the Investment Adviser’s affiliates from the Fund for transfer agency, portfolio trading, distribution and other services;

(k) a summary of potential benefits derived by the Fund as a result of its relationship with the Investment Adviser;

(l) information regarding portfolio trading and how the Investment Adviser carries out its duty to seek best execution;

(m) portfolio manager ownership of Fund shares; the manner in which portfolio manager compensation is determined; and the number and types of accounts managed by the portfolio managers;

(n) the nature and quality of the services provided to the Fund by its unaffiliated service providers, and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administrative services provided under the Management Agreement; and

(o) the Investment Adviser’s processes and policies addressing various types of potential conflicts of interest; its approach to risk management; the annual review of the effectiveness of the Fund’s compliance program; and periodic compliance reports.

The Trustees also received an overview of the Funds’ distribution arrangements. They received information regarding the Funds’ assets, share purchase and redemption activity, and payment of distribution, service, and shareholder administration fees, as applicable. Information was also provided to the Trustees relating to revenue sharing payments made by and services provided by the Investment Adviser and its affiliates to intermediaries that promote the sale, distribution, and/or servicing of Fund shares. The Independent Trustees also discussed the broad range of other investment choices that are available to Fund investors, including the availability of comparable funds managed by other advisers.

The presentations made at the Board and Committee meetings and at the Annual Meeting encompassed the Funds and other mutual funds for which the Board of Trustees has responsibility. In evaluating the Management Agreements at the Annual Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Adviser and its affiliates, their services, and the Funds. In conjunction with these meetings, the Trustees received written materials and oral presentations on the topics covered, and the Investment Adviser addressed the questions and concerns of the Trustees, including concerns regarding the investment performance of certain of the funds they oversee. The Independent Trustees were advised by their independent legal counsel regarding their responsibilities and other regulatory requirements related to the approval and continuation of mutual fund investment management agreements under applicable law. In addition, the Investment Adviser and its affiliates provided the Independent Trustees with a written response to a formal request for information sent on behalf of the Independent Trustees by their independent legal counsel. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent legal counsel, without representatives of the Investment Adviser or its affiliates present.

112

GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS

Statement Regarding Basis for Approval of Management Agreements (Unaudited) (continued)

Nature, Extent, and Quality of the Services Provided Under the Management Agreements

As part of their review, the Trustees considered the nature, extent, and quality of the services provided to the Funds by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services and non-advisory services that are provided by the Investment Adviser and its affiliates. The Trustees noted the transition in the leadership and changes in personnel of various of the Investment Adviser’s portfolio management teams that had occurred in recent periods, and the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Adviser. They also noted the Investment Adviser’s commitment to maintaining high quality systems and expending substantial resources to respond to ongoing changes to the regulatory and control environment in which the Funds and their service providers operate, as well as the efforts of the Investment Adviser and its affiliates to combat cyber security risks. The Trustees concluded that the Investment Adviser continued to commit substantial financial and operational resources to the Funds and expressed confidence that the Investment Adviser would continue to do so in the future. The Trustees also recognized that the Investment Adviser had made significant commitments to address regulatory compliance requirements applicable to the Funds and the Investment Adviser and its affiliates.

Investment Performance

The Trustees also considered the investment performance of the Funds. In this regard, they compared the investment performance of each Fund to its peers using rankings and ratings compiled by the Outside Data Provider as of December 31, 2015, and updated performance information prepared by the Investment Adviser using the peer group identified by the Outside Data Provider as of March 31, 2016. The information on each Fund’s investment performance was provided for the one-, three-, five-, and ten-year periods ending on the applicable dates. The Trustees also reviewed each Fund’s investment performance relative to its performance benchmark. As part of this review, they considered the investment performance trends of the Funds over time, and reviewed the investment performance of each Fund in light of its investment objective and policies and market conditions. The Trustees also received information comparing the High Yield Municipal and Short Duration Tax-Free Funds’ performance to that of composites of accounts with comparable investment strategies managed by the Investment Adviser.

In addition, the Trustees considered materials prepared and presentations made by the Investment Adviser’s senior management and portfolio management personnel in which Fund performance was assessed. The Trustees also considered the Investment Adviser’s periodic reports with respect to the Funds’ risk profiles, and how the Investment Adviser’s approach to risk monitoring and management influences portfolio management.

The Trustees observed that the Dynamic Municipal Income Fund’s Institutional Shares had placed in the top half of the Fund’s peer group for the three-, five-, and ten-year periods and in the third quartile for the one-year period, and had outperformed the Fund’s benchmark index for the one-, three-, five-, and ten-year periods ended March 31, 2016. They noted that the High Yield Municipal Fund’s Institutional Shares had placed in the top half of the Fund’s peer group for the one-, three-, and five-year periods and in the third quartile for the ten-year period, and had outperformed the Fund’s benchmark index for the one-, three-, and five-year periods and underperformed for the ten-year period ended March 31, 2016. The Trustees noted that the Short Duration Tax-Free Fund’s Institutional Shares had placed in the second quartile of the Fund’s peer group for the three-, five-, and ten-year periods and in the third quartile for the one-year period, and had outperformed the Fund’s benchmark index for the five-year period and underperformed for the one-, three-, and ten-year periods ended March 31, 2016.

Costs of Services Provided and Competitive Information

The Trustees considered the contractual terms of the Management Agreements and the fee rates payable by each Fund under its respective Management Agreement. In this regard, the Trustees considered information on the services rendered by the Investment Adviser to the Funds, which included both advisory and administrative services that were directed to the needs and operations of the Funds as registered mutual funds.

113

GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS

Statement Regarding Basis for Approval of Management Agreements (Unaudited) (continued)

In particular, the Trustees reviewed analyses prepared by the Outside Data Provider regarding the expense rankings of the Funds. The analyses provided a comparison of each Fund’s management fee and breakpoints to those of a relevant peer group and category universe; an expense analysis which compared each Fund’s overall net and gross expenses to a peer group and a category universe; and data comparing each Fund’s net expenses to the peer and category medians. The analyses also compared each Fund’s transfer agency, custody, and distribution fees, other expenses and fee waivers/reimbursements to those of the peer group and category medians. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Funds.

In addition, the Trustees considered the Investment Adviser’s undertakings to implement fee waivers and/or expense limitations. The Trustees also noted that certain changes were being made to existing fee waiver or expense limitation arrangements of the Short Duration Tax-Free Fund that would have the effect of decreasing total Fund expenses, with such changes taking effect in connection with the Fund’s next annual registration statement update. They also considered, to the extent that the Investment Adviser manages other types of accounts having investment objectives and policies similar to those of the Funds, comparative fee information for services provided by the Investment Adviser to those accounts, and information that indicated that services provided to the Funds differed in various significant respects from the services provided to other types of accounts which, in many cases, operated under less stringent legal and regulatory structures, required fewer services from the Investment Adviser to a smaller number of client contact points, and were less time-intensive.

In addition, the Trustees noted that shareholders are able to redeem their Fund shares at any time if shareholders believe that the Fund fees and expenses are too high or if they are dissatisfied with the performance of the Fund.

Profitability

The Trustees reviewed the Investment Adviser’s revenues and pre-tax profit margins with respect to the Trust and each of the Funds. In this regard the Trustees noted that they had received, among other things, profitability analyses and summaries, revenue and expense schedules by Fund and by function (i.e., investment management, transfer agency and distribution and service), and information on the Investment Adviser’s expense allocation methodology. They observed that the profitability and expense figures are substantially similar to those used by the Investment Adviser for many internal purposes, including compensation decisions among various business groups, and are thus subject to a vigorous internal debate about how certain revenue and expenses should be allocated. The Trustees also noted that the internal audit group within the Goldman Sachs organization had audited the expense allocation methodology and was satisfied with the reasonableness, consistency, and accuracy of the Investment Adviser’s expense allocation methodology and profitability analysis calculations. Profitability data for the Trust and each Fund were provided for 2015 and 2014, and the Trustees considered this information in relation to the Investment Adviser’s overall profitability. The Trustees considered the Investment Adviser’s revenues and pre-tax profit margins both in absolute terms and in comparison to information on the reported pre-tax profit margins earned by certain other asset management firms.

Economies of Scale

The Trustees considered the information that had been provided regarding the Investment Adviser’s profitability. The Trustees also considered the breakpoints in the fee rate payable under the Management Agreements for each of the Funds at the following annual percentage rates of the average daily net assets of the Funds:

Average Daily Net Assets	Dynamic Municipal Income Fund			High Yield Municipal Fund			Short Duration Tax-Free Fund
First $1 billion		0.55	%		0.55	%		0.40	%
Next $1 billion		0.50			0.55			0.36
Next $3 billion		0.48			0.50			0.34
Next $3 billion		0.47			0.48			0.33
Over $8 billion		0.46			0.47			0.32

114

GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS

Statement Regarding Basis for Approval of Management Agreements (Unaudited) (continued)

The Trustees noted that the breakpoints were designed to share potential economies of scale, if any, with the Funds and their shareholders as assets under management reach those asset levels. The Trustees considered the amounts of assets in the Funds; the Funds’ recent share purchase and redemption activity; the information provided by the Investment Adviser relating to the costs of the services provided by the Investment Adviser and its affiliates and their realized profits; information comparing fee rates charged by the Investment Adviser with fee rates charged to other funds in the peer groups; and the Investment Adviser’s undertaking to waive a portion of its management fee (with respect to the Dynamic Municipal Income and Short Duration Tax-Free Funds) and to limit certain expenses of the Funds that exceed specified levels, as well as Goldman, Sachs & Co. (“Goldman Sachs”) undertaking to waive a portion of the distribution and service fees paid by the Short Duration Tax-Free Fund’s Class C Shares and a portion of the transfer agency fees paid by the High Yield Municipal Fund’s Class A, Class C, and Class IR Shares. Upon reviewing these matters at the Annual Meeting, the Trustees concluded that the fee breakpoints represented a means of assuring that benefits of scalability, if any, would be passed along to shareholders at the specified asset levels. They also noted that the Investment Adviser had passed along savings to shareholders of the High Yield Municipal and Short Duration Tax-Free Funds, which each had asset levels above at least the first breakpoint during the prior fiscal year.

Other Benefits to the Investment Adviser and Its Affiliates

The Trustees also considered the other benefits derived by the Investment Adviser and its affiliates from their relationships with the Funds as stated above, including: (a) transfer agency fees received by Goldman Sachs; (b) futures commissions earned by Goldman Sachs for executing futures transactions on behalf of the Funds; (c) trading efficiencies resulting from aggregation of orders of the Funds with those for other funds or accounts managed by the Investment Adviser; (d) the Investment Adviser’s ability to leverage the infrastructure designed to service the Funds on behalf of its other clients; (e) the Investment Adviser’s ability to cross-market other products and services to Fund shareholders; (f) Goldman Sachs’ retention of certain fees as Fund Distributor; (g) the Investment Adviser’s ability to negotiate better pricing with custodians on behalf of its other clients, as a result of the relationship with the Funds; and (h) the possibility that the working relationship between the Investment Adviser and the Funds’ third-party service providers may cause those service providers to be more likely to do business with other areas of Goldman Sachs. In the course of considering the foregoing, the Independent Trustees requested and received further information quantifying certain of these fall-out benefits.

Other Benefits to the Funds and Their Shareholders

The Trustees also noted that the Funds receive certain potential benefits as a result of their relationship with the Investment Adviser, including: (a) trading efficiencies resulting from aggregation of orders of the Funds with those of other funds or accounts managed by the Investment Adviser; (b) enhanced servicing from vendors because of the volume of business generated by the Investment Adviser and its affiliates; (c) enhanced servicing from broker-dealers because of the volume of business generated by the Investment Adviser and its affiliates; (d) the Investment Adviser’s ability to negotiate favorable terms with derivatives counterparties on behalf of the Funds as a result of the size and reputation of the Goldman Sachs organization; (e) the Investment Adviser’s knowledge and experience gained from managing other accounts and products; (f) the Investment Adviser’s ability to hire and retain qualified personnel to provide services to the Funds because of the reputation of the Goldman Sachs organization; (g) the Funds’ access, through the Investment Adviser, to certain firmwide resources (e.g., proprietary risk management systems and databases), subject to certain restrictions; and (h) the Funds’ access to certain affiliated distribution channels. In addition, the Trustees noted the competitive nature of the mutual fund marketplace, and considered that many of the Funds’ shareholders invested in the Funds in part because of the Funds’ relationship with the Investment Adviser and that those shareholders have a general expectation that the relationship will continue.

115

Conclusion

In connection with their consideration of the Management Agreements, the Trustees gave weight to each of the factors described above, but did not identify any particular factor as controlling their decision. After deliberation and consideration of all of the information provided, including the factors described above, the Trustees concluded, in the exercise of their business judgment, that the management fees paid by each of the Funds were reasonable in light of the services provided to it by the Investment Adviser, the Investment Adviser’s costs and each Fund’s current and reasonably foreseeable asset levels. The Trustees unanimously concluded that the Investment Adviser’s continued management likely would benefit each Fund and its shareholders and that the Management Agreements should be approved and continued with respect to each applicable Fund until June 30, 2017.

116

FUNDS PROFILE

Goldman Sachs Funds

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

Today, the Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $1.15 trillion in assets under supervision as of September 30, 2016, 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. subject to legal, internal and regulatory restrictions.

Money Market

Financial Square Funds^SM

n Financial Square Treasury Solutions Fund¹

n Financial Square Government Fund¹

n Financial Square Money Market Fund²

n Financial Square Prime Obligations Fund²

n Financial Square Treasury Instruments Fund¹

n Financial Square Treasury Obligations Fund¹

n Financial Square Federal Instruments Fund¹

n Financial Square Tax-Exempt Money Market Fund²

Investor Funds^SM

n Investor Money Market Fund³

n Investor Tax-Exempt Money Market Fund^3,4

Fixed Income

Short Duration and Government

n Enhanced Income Fund

n High Quality Floating Rate Fund

n Short-Term Conservative Income Fund⁵

n Short Duration Government Fund

n Short Duration Income Fund

n Government Income Fund

n Inflation Protected Securities Fund

Multi-Sector

n Bond Fund

n Core Fixed Income Fund

n Global Income Fund

n Strategic Income Fund

Municipal and Tax-Free

n High Yield Municipal Fund

n Dynamic Municipal Income Fund

n Short Duration Tax-Free Fund

Single Sector

n Investment Grade Credit Fund

n U.S. Mortgages Fund

n High Yield Fund

n High Yield Floating Rate Fund

n Emerging Markets Debt Fund

n Local Emerging Markets Debt Fund

n Dynamic Emerging Markets Debt Fund

Fixed Income Alternatives

n Long Short Credit Strategies Fund

n Fixed Income Macro Strategies Fund

Fundamental Equity

n Growth and Income Fund

n Small Cap Value Fund

n Small/Mid Cap Value Fund

n Mid Cap Value Fund

n Large Cap Value Fund

n Focused Value Fund

n Capital Growth Fund

n Strategic Growth Fund

n Focused Growth Fund

n Small/Mid Cap Growth Fund

n Flexible Cap Growth Fund

n Concentrated Growth Fund

n Technology Opportunities Fund

n Growth Opportunities Fund

n Rising Dividend Growth Fund

n Dynamic U.S. Equity Fund

n Income Builder Fund

Tax-Advantaged Equity

n U.S. Tax-Managed Equity Fund

n International Tax-Managed Equity Fund

n U.S. Equity Dividend and Premium Fund

n International Equity Dividend and Premium Fund

Equity Insights

n Small Cap Equity Insights Fund

n U.S. Equity Insights Fund

n Small Cap Growth Insights Fund

n Large Cap Growth Insights Fund

n Large Cap Value Insights Fund

n Small Cap Value Insights Fund

n International Small Cap Insights Fund⁶

n International Equity Insights Fund

n Emerging Markets Equity Insights Fund

Fundamental Equity International

n Strategic International Equity Fund

n Focused International Equity Fund

n Asia Equity Fund

n Emerging Markets Equity Fund

n N-11 Equity Fund

Select Satellite

n Real Estate Securities Fund

n International Real Estate Securities Fund

n Commodity Strategy Fund

n Global Real Estate Securities Fund

n Dynamic Commodity Strategy Fund

n Dynamic Allocation Fund

n Absolute Return Tracker Fund

n Long Short Fund

n Managed Futures Strategy Fund

n MLP Energy Infrastructure Fund

n Multi-Manager Alternatives Fund

n Multi-Asset Real Return Fund

n Absolute Return Multi-Asset Fund

n Global Infrastructure Fund

Total Portfolio Solutions

n Global Managed Beta Fund

n Multi-Manager Non-Core Fixed Income Fund

n Multi-Manager U.S. Dynamic Equity Fund

n Multi-Manager Global Equity Fund

n Multi-Manager International Equity Fund

n Tactical Tilt Overlay Fund⁷

n Balanced Strategy Portfolio

n Multi-Manager U.S. Small Cap Equity Fund

n Multi-Manager Real Assets Strategy Fund

n Growth and Income Strategy Portfolio

n Growth Strategy Portfolio

n Equity Growth Strategy Portfolio

n Satellite Strategies Portfolio

n Enhanced Dividend Global Equity Portfolio

n Tax-Advantaged Global Equity Portfolio

n Strategic Factor Allocation Fund

n Target Date 2020 Portfolio

n Target Date 2025 Portfolio

n Target Date 2030 Portfolio

n Target Date 2035 Portfolio

n Target Date 2040 Portfolio

n Target Date 2045 Portfolio

n Target Date 2050 Portfolio

n Target Date 2055 Portfolio

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 abank 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 on March 31, 2016, the Goldman Sachs Financial Square Tax-Free Money Market Fund was renamed the Goldman Sachs Investor Tax-Exempt Money Market Fund.

⁵  Effective on July 29, 2016, the Goldman Sachs Limited Maturity Obligations Fund was renamed the Goldman Sachs Short-Term Conservative Income Fund.

⁶  Effective at the close of business on February 5, 2016, the Goldman Sachs International Small Cap Fund was reorganized with and into the Goldman Sachs International Small Cap Insights Fund.

⁷  Effective on June 1, 2016, the Goldman Sachs Tactical Tilt Implementation Fund was renamed the Goldman Sachs Tactical Tilt Overlay Fund. Financial Square Funds^SM and Investor Funds^SM are registered service marks of Goldman, Sachs & Co.

*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 Ashok N. Bakhru, Chairman Kathryn A. Cassidy Diana M. Daniels Herbert J. Markley James A. McNamara Jessica Palmer Alan A. Shuch Roy W. Templin Gregory G. Weaver	OFFICERS James A. McNamara, President Scott M. McHugh, Principal Financial Officer, Senior Vice President and Treasurer Caroline L. Kraus, Secretary
GOLDMAN, SACHS & CO. Distributor and Transfer Agent	GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser

Visit our Web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.

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

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

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

The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Form N-Qs are available on the SEC’s Web site at http://www.sec.gov within 60 days after the Funds’ first and third fiscal quarters. The Funds’ 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. 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).

Goldman, Sachs & Co. (“Goldman Sachs”) does not provide legal, tax or accounting advice. Any statement contained in this communication (including any attachments) concerning U.S. tax matters was not intended or written to be used, and cannot be used, for the purpose of avoiding penalties under the Internal Revenue Code, and was written to support the promotion or marketing of the transaction(s) or matter(s) addressed. Clients of Goldman Sachs should obtain their own independent tax advice based on their particular circumstances.

The website links provided are for your convenience only and are not an endorsement or recommendation by GSAM of any of these websites or the products or services offered. GSAM is not responsible for the accuracy and validity of the content of these websites.

Economic and market forecasts presented herein reflect our judgment as of the date of this presentation and are subject to change without notice. These forecasts do not take into account the specific investment objectives, restrictions, tax and financial situation or other needs of any specific client. Actual data will vary and may not be reflected here. These forecasts are subject to high levels of uncertainty that may affect actual performance. Accordingly, these forecasts should be viewed as merely representative of a broad range of possible outcomes. These forecasts are estimated, based on assumptions, and are subject to significant revision and may change materially as economic and market conditions change. Goldman Sachs has no obligation to provide updates or changes to these forecasts. Case studies and examples are for illustrative purposes only. Fund holdings and allocations shown are as of September 30, 2016 and may not be representative of future investments.

Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.

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

© 2016 Goldman Sachs. All rights reserved. 71377-TMPL-11/2016 TFFISAR-16/15K

Goldman Sachs Funds

Semi-Annual Report	September 30, 2016
	Short Duration and Government Fixed Income Funds
	Enhanced Income
	Government Income
	High Quality Floating Rate
	Inflation Protected Securities
	Short Duration Government
	Short Duration Income
	Short-Term Conservative Income*

* Effective on July 29, 2016, the Goldman Sachs Limited Maturity Obligations Fund was renamed the Goldman Sachs Short-Term Conservative Income Fund.

Goldman Sachs Short Duration and Government Fixed Income Funds

n ENHANCED INCOME

n GOVERNMENT INCOME

n HIGH QUALITY FLOATING RATE

n INFLATION PROTECTED SECURITIES

n SHORT DURATION GOVERNMENT

n SHORT DURATION INCOME

n SHORT-TERM CONSERVATIVE INCOME

TABLE OF CONTENTS
Investment Process	1
Market Review	2
Portfolio Management Discussions and Performance Summaries	4
Schedules of Investments	38
Financial Statements	82
Financial Highlights	90
Notes to Financial Statements	104
Other Information	134

NOT FDIC-INSURED May Lose Value No Bank Guarantee

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

What Differentiates Goldman Sachs Asset Management’s Fixed Income Investment Process?

At Goldman Sachs Asset Management, L.P. (“GSAM”), the goal of our fixed income investment process is to

provide consistent, strong performance by actively managing our portfolios within a research-intensive,

risk-managed framework.

A key element of our fixed income investment philosophy is to evaluate the broadest global opportunity set to capture relative value across sectors and instruments. Our globally integrated investment process involves managing dynamically along the risk/return spectrum, as we continue to develop value-added strategies through:

n Assess relative value among securities and sectors

n Leverage the vast resources of GSAM in selecting securities for each portfolio

n Team approach to decision making

n Manage risk by avoiding significant sector and interest rate bets

n Careful management of yield curve strategies — while closely managing portfolio duration

Fixed Income portfolios that:

n Include domestic and global investment options, income opportunities, and access to areas of specialization such as high yield

n Capitalize on GSAM’s industry-renowned credit research capabilities

n Use a risk-managed framework to seek total return, recognizing the importance of investors’ capital accumulation goals as well as their need for income

1

MARKET REVIEW

Goldman Sachs Short Duration and

Government Fixed Income Funds

Market Review

Shifting expectations about global economic conditions and central bank monetary policy influenced the performance of the global fixed income markets during the six months ended September 30, 2016 (the “Reporting Period”).

During the second quarter of 2016 when the Reporting Period began, spread (or non-government bond) sectors rallied on stabilization of commodities prices as well as on declining fears about slowing Chinese economic growth and the potential for a United States (the “U.S.”) economic recession. Global interest rates broadly declined amid continued accommodative monetary policy from the world’s central banks. In the U.S., minutes from the Federal Reserve’s (the “Fed”) April 2016 policy meeting, released in mid-May 2016, suggested to many observers that policymakers might raise interest rates in June 2016 if U.S. economic growth strengthened, employment data firmed and inflation rose toward the Fed’s 2% target. In early June 2016, however, the release of weak May 2016 employment data raised concerns about the health of the U.S. economy, pushing down market expectations of a Fed rate hike. Indeed, the Fed did not raise interest rates at its June 2016 policy meeting. In the last week of June 2016, the unexpected “leave” vote in the U.K. referendum on membership in the European Union, popularly known as Brexit, renewed investor uncertainty about the path of global economic growth. Spread sectors withstood the Brexit vote relatively well, selling off at first but then recovering most of their losses afterwards. The U.S. dollar strengthened versus most global currencies during the second calendar quarter, though it weakened against the Japanese yen.

During the third calendar quarter, spread sectors continued to advance. Overall, global interest rates remained low, as the world’s central banks remained broadly accommodative. In July 2016, however, the Fed’s policy statement was more hawkish than most observers expected, reflecting cautious optimism amid the market’s relatively muted reaction to the Brexit outcome and strengthening U.S. economic data. (Hawkish implies higher interest rates; opposite of dovish.) The July 2016 U.S. non-farm payrolls report showed 255,000 new jobs added, exceeding market expectations and countering a disappointing second quarter 2016 Gross Domestic Product (“GDP”) report that showed growth of 1.2%. The European Central Bank (“ECB”) kept interest rates unchanged during July 2016. The Bank of Japan (“BoJ”), meanwhile, fell short of market expectations with the announcement of an equity purchase program and the lack of key monetary measures, such as an interest rate cut and increased government bond purchases. In August 2016, the Bank of England (“BoE”) unveiled a “timely, coherent and comprehensive package,” as described by Governor Mark Carney, which included a number of measures intended to help the U.K. economy navigate a post-Brexit environment. Although the ECB kept monetary policy unchanged during the month, the European and U.K. credit markets received technical, or supply/demand, support from the ongoing corporate bond purchases of central banks. In the U.S., non-farm payroll gains moderated in August 2016 and manufacturing and services data weakened, but continued hawkish comments from the Fed boosted market expectations of a rate hike by the end of 2016. However, at its September 2016 policy meeting, the Fed kept short-term interest rates unchanged. In Japan, during September 2016, the BoJ announced a new “yield curve control” framework designed to steepen Japan’s government bond yield curve and alleviate the impact on financial institutions of low longer-term rates. During the third quarter of 2016, the U.S. dollar depreciated versus many world currencies.

For the Reporting Period overall, high yield corporate bonds outperformed U.S. Treasuries by a double-digit margin, followed at some distance by sovereign emerging markets debt and

2

MARKET REVIEW

investment grade corporate bonds. Commercial mortgage-backed securities, agency securities, mortgage-backed securities and asset-backed securities also outperformed U.S. Treasuries, albeit more modestly. The U.S. Treasury yield curve, or spectrum of maturities, flattened during the Reporting Period, as yields on maturities of less than four years rose and yields on maturities of four years and longer fell. The yield on the bellwether 10-year U.S. Treasury dropped approximately 17 basis points to end the Reporting Period at 1.59%. (A basis point is 1/100th of a percentage point. A flattening yield curve is one wherein the differential in yields between longer-term and shorter-term maturities narrows.)

Looking Ahead

At the end of the Reporting Period, we expected the economic growth outlook for the U.S., Japan and China to improve. In the U.S., a strong labor market appeared to be supporting consumption, and a slower pace of monetary policy normalization should, in our view, prevent a sharp tightening of financial conditions. We also believed that positive developments in the manufacturing sector, arising from a decline in inventories as well as a boost in consumer spending due to a strengthening labor market, may further support U.S. economic growth for the rest of 2016. Despite “prudence in the removal of policy accommodation,” as described by Fed Governor Lael Brainard before the September 2016 policy meeting, we expect the Fed to raise short term rates later in 2016.

In Europe, we expect the ECB to extend its quantitative easing program beyond March 2017, when it is currently scheduled to end, to address a weak economic growth and inflation outlook. We believe Eurozone inflation will likely continue to be disappointing and that economic growth may slow in 2017. While the U.K. appears to have avoided the worst immediate near-term Brexit scenario, we expect additional easing from the BoE in the coming months. Political uncertainty arising from negotiations on issues such as immigration and access to the European Union’s single market are likely, in our view, to provide challenges for the U.K.’s economic outlook, and thus we anticipate weak economic growth in the U.K. during 2017.

In Japan, we believe the continuation and expansion of the BoJ’s accommodative monetary policy means economic growth could potentially surprise to the upside, though we believe Abenomics is running out of ammunition. In China, the government’s rapid fiscal policy response to the economic slowdown earlier in 2016 suggests to us that the country’s positive growth impulses are likely to continue in the near term. (Abenomics is the nickname for the multi-pronged economic program of Japanese prime minister Shinzō Abe.)

In the months ahead, we believe that political uncertainty has the potential to increase market volatility. These uncertainties include the November 2016 U.S. elections, the December 2016 Italian referendum on constitutional reform and 2017 elections in Germany and France.

3

PORTFOLIO RESULTS

Goldman Sachs Enhanced Income Fund

Investment Objective

The Fund seeks to generate return in excess of traditional money market products while maintaining an emphasis on preservation of capital and liquidity.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs U.S. Fixed Income Investment Management Team discusses the Goldman Sachs Enhanced Income Fund’s (the “Fund”) performance and positioning for the six-month period ended September 30, 2016 (the “Reporting Period”).

Q How did the Fund perform during the Reporting Period?

A During the Reporting Period, the Fund’s Class A, Institutional, Administration, IR and R6 Shares generated cumulative total returns, without sales charges, of 0.63%, 0.80%, 0.67%, 0.75% and 0.80%, respectively. These returns compare to the 0.34% cumulative total return of the Goldman Sachs Enhanced Income Fund Composite Index (the “Enhanced Income Composite”) during the same period. The Enhanced Income Composite is comprised 50% of the Bank of America Merrill Lynch Six-Month U.S. Treasury Bill Index (“BofA ML Six-Month U.S. Treasury Bill Index”) and 50% of the Bank of America Merrill Lynch One-Year U.S. Treasury Note Index (“BofA ML One-Year U.S. Treasury Note Index”), which generated cumulative total returns of 0.33% and 0.35%, respectively, over the same time period.

Q What key factors were responsible for the Fund’s performance during the Reporting Period?

A Both bottom-up and top-down strategies had an impact on the Fund’s performance during the Reporting Period. Bottom-up individual issue selection amongst corporate bonds boosted results, while selection amongst asset-backed securities detracted.

Within our top-down strategies, our duration and yield curve positioning strategy had a modestly positive effect on the Fund’s results during the Reporting Period. Duration is a measure of the Fund’s sensitivity to changes in interest rates. Yield curve indicates the spectrum of maturities within a particular sector. Our cross-sector strategy also contributed positively to the Fund’s results during the Reporting Period. Our cross-sector strategy is one in which we invest Fund assets across a variety of fixed income sectors, including some that may not be included in the Fund’s benchmark.

Derivatives, such as interest rate swaps and/or futures, are used in combination with cash securities to implement our views in the Fund.

Q Which fixed income market sectors most significantly affected Fund performance?

A Our individual security selection strategies overall contributed most positively to the Fund’s relative results during the Reporting Period, especially individual selection of short-dated corporate bonds. Within the government/ swaps sector, our selection of Treasury inflation protected securities (“TIPS”) also proved effective. These gains were slightly offset by selection of asset-backed securities, which detracted.

Our cross-sector strategy as a whole also contributed positively to the Fund’s results during the Reporting Period due mostly to the Fund’s exposure to corporate bonds and asset-backed securities. Investment grade corporate bonds strengthened during the Reporting Period given an improvement in oil prices, continued support from the European Central Bank’s Corporate Sector Purchase Programme and the Bank of England’s announcement of corporate bond purchases. Federal Family Education Loan Program (“FFELP”) asset-backed securities offered what many considered to be attractive spreads, or yield differentials to U.S. Treasuries, along with strong credit protection. Indeed, FFELP asset-backed securities remained, in our view, among the most compelling sectors in the securitized sector. These gains were slightly offset by the Fund’s exposure to swap spreads, which detracted.

4

PORTFOLIO RESULTS

(Swap spreads are defined as the difference between the interest rate on a contract and the yield on a government bond of the same maturity. It is used to represent the credit risk associated with the investment. Swap spreads are based on LIBOR rates, the creditworthiness of the swap’s parties, and other economic factors that could influence the terms of the investment’s interest rates.) The government/swaps selection strategy is primarily implemented via interest rate swaps and/or futures.

Q Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period?

A Tactical management of the Fund’s duration and yield curve positioning did not have a material impact on Fund performance during the Reporting Period. We generally maintained a modestly shorter duration than that of the Enhanced Income Composite. This stance was based on positive U.S. economic data releases, as reflected by strong manufacturing data, higher consumer confidence and firm core inflation and inflation expectations, along with relatively loose financial conditions, which led us to continue to expect an interest rate hike by the Federal Reserve (the “Fed”) this year.

Q How did the Fund use derivatives and similar instruments during the Reporting Period?

A The Fund used Treasury futures and Eurodollar futures during the Reporting Period for the purpose of managing the duration and term structure of the Fund. (Term structure, most often depicted as a yield curve, refers to the term structure of interest rates, which is the relationship between the yield to maturity and the time to maturity for pure discount bonds.) Derivatives did not have a material impact, on a net basis, on the Fund’s performance during the Reporting Period.

Q Were there any notable changes in the Fund’s weightings during the Reporting Period?

A The Fund’s allocations to U.S. Treasuries increased during the Reporting Period. A corresponding decrease in allocation was concentrated in investment grade corporate bonds, especially in the financials and industrials sectors. Additionally, we modestly shifted the Fund’s duration positioning during the Reporting Period as market conditions changed.

Q How was the Fund positioned relative to its benchmark index at the end of September 2016?

A While the Fund is benchmarked to U.S. Treasuries, it continued to hold a portion of its assets in non-Treasury sectors not represented in the Enhanced Income Composite. Indeed, the Fund maintained exposures to high quality spread, or non-Treasury, sectors throughout the Reporting Period, most notably investment grade corporate bonds and asset-backed securities. The Fund maintained an underweighted exposure to government bonds at the end of the Reporting Period. Further, the Fund maintained a shorter duration position than that of the Enhanced Income Composite at the end of the Reporting Period, as we continue to expect an interest rate hike in the U.S. this year.

5

FUND BASICS

Enhanced Income Fund

as of September 30, 2016

PERFORMANCE REVIEW
April 1, 2016– September 30, 2016	Fund Total Return (based on NAV)1			Enhanced Income Composite2			BofA ML Six-Month U.S. Treasury Bill Index3			BofA ML One-Year U.S. Treasury Note Index3			30-Day Standardized Subsidized Yield4			30-Day Standardized Unsubsidized Yield4
Class A		0.63	%		0.34	%		0.33	%		0.35	%		0.26	%		0.24	%
Institutional		0.80			0.34			0.33			0.35			0.60			0.58
Administration		0.67			0.34			0.33			0.35			0.35			0.33
Class IR		0.75			0.34			0.33			0.35			0.50			0.49
Class R6		0.80			0.34			0.33			0.35			0.63			0.60

¹  The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

²  The Enhanced Income Composite is an equal weight blend of the BofA ML Six-Month U.S. Treasury Bill Index and the BofA ML One-Year U.S. Treasury Note Index.

³  The BofA ML Six-Month U.S. Treasury Bill Index measures the performance of Treasury Bill with time to maturity of less than 6 months. The BofA ML One-Year U.S. Treasury Note Index is an unmanaged index that tracks the performance of the direct sovereign debt of the U.S. Government having a maturity of at least one year. The BofA ML Six-Month U.S. Treasury Bill Index and BofA ML One-Year U.S. Treasury Note Index, as reported by Bank of America Merrill Lynch, do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.

⁴  The method of calculation of the 30-Day Standardized Subsidized Yield is mandated by the Securities and Exchange Commission and is determined by dividing the net investment income per share earned during the last 30 days of the period by the maximum public offering price (“POP”) per share on the last day of the period. This number is then annualized. The 30-Day Standardized Subsidized Yield reflects fee waivers and/or expense reimbursements recorded by the Fund during the period. Without waivers and/or reimbursements, yields would be reduced. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. The 30-Day Standardized Unsubsidized Yield does not adjust for any fee waivers and/or expense reimbursements in effect. If the Fund does not incur any fee waivers and/or expense reimbursements during the period, the 30-Day Standardized Subsidized Yield and 30-Day Standardized Unsubsidized Yield will be identical.

The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted 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 Fund distributions or the redemption of Fund shares.

6

FUND BASICS

STANDARDIZED TOTAL RETURNS5
For the period ended 9/30/16	One Year			Five Years			Ten Years			Since Inception			Inception Date
Class A		-0.37	%		0.07	%		1.08	%		1.92	%	8/2/00
Institutional		1.35			0.71			1.58			2.38		8/2/00
Administration		1.10			0.46			1.37			2.14		8/2/00
Class IR		1.26			0.59			N/A			0.48		7/30/10
Class R6		1.35			N/A			N/A			1.18		7/31/15

⁵  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 1.5% for Class A Shares. Because Institutional Shares, Administration Shares, Class IR Shares 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 table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted 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 Fund distributions or the redemption of Fund shares.

EXPENSE RATIOS6
	Net Expense Ratio (Current)			Gross Expense Ratio (Before Waivers)
Class A		0.69	%		0.72	%
Institutional		0.35			0.37
Administration		0.60			0.62
Class IR		0.44			0.47
Class R6		0.33			0.38

⁶  The expense ratios of the Fund, 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 Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to a contractual arrangement, the Fund’s waivers and/or expense limitations will remain in place through at least July 29, 2017. and prior to such date the investment adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

7

FUND BASICS

FUND COMPOSITION⁷

Percentage of Net Assets

⁷  The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Short-term investments represent certificates of deposits and commercial paper. Figures in the graph may not sum to 100% due to the exclusion of other assets and liabilities. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments.

8

PORTFOLIO RESULTS

Goldman Sachs Government Income Fund

Investment Objective

The Fund seeks a high level of current income, consistent with safety of principal.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs U.S. Fixed Income Investment Management Team discusses the Goldman Sachs

Government Income Fund’s (the “Fund”) performance and positioning for the six-month period ended

September 30, 2016 (the “Reporting Period”).

Q How did the Fund perform during the Reporting Period?

A During the Reporting Period, the Fund’s Class A, C, Institutional, Service, IR, R6 and R Shares generated cumulative total returns, without sales charges, of 1.49%, 1.11%, 1.66%, 1.41%, 1.62%, 1.68% and 1.44%, respectively. These returns compare to the 1.75% cumulative total return of the Fund’s benchmark, the Bloomberg Barclays U.S. Government/Mortgage Index (the “Barclays Index”), during the same time period.

Q What key factors were responsible for the Fund’s performance during the Reporting Period?

A Both top-down and bottom-up strategies had an impact on the Fund’s performance during the Reporting Period. Within our top-down strategies, our duration strategy detracted from the Fund’s performance during the Reporting Period. The duration strategy is typically implemented via interest rate swaps and/or futures. Duration is a measure of the Fund’s sensitivity to changes in interest rates. Bottom-up individual issue selection within the securitized sector also detracted.

Our cross-sector strategy contributed positively to the Fund’s results during the Reporting Period. Our cross-sector strategy is one in which we invest Fund assets across a variety of fixed income sectors, including some that may not be included in the Fund’s benchmark. Bottom-up individual issue selection within the government/swaps sector added significant value as well.

Q Which fixed income market sectors most significantly affected Fund performance?

A Individual issue selection within the securitized sector detracted most from the Fund’s relative results, more specifically among mortgage-backed securities and asset-backed securities. However, this detraction was more than offset by the positive contribution of individual security selection within the government/swaps sector. Primarily, the inclusion of Treasury inflation protected securities (“TIPS”) and agency securities helped.

Within our cross-sector strategy, the inclusion of asset- backed securities was additive to Fund performance. Within asset-backed securities, Federal Family Education Loan Program (“FFELP”) asset-backed securities, or what are commonly termed student loans, offered what many considered to be attractive spreads, or yield differentials to U.S. Treasuries, along with strong credit protection. Indeed, FFELP asset-backed securities remained, in our view, among the most compelling sectors in the securitized sector. An overweight to agency securities helped as well. Having a modest underweight to mortgage-backed securities through much of the Reporting Period was a slight detractor from the Fund’s relative results.

Q Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period?

A The combination of the Fund’s duration and yield curve positioning detracted from the Fund’s relative results during the Reporting Period. Most of this can be attributed to the Fund’s shorter duration than that of the Barclays Index in June 2016 following the Brexit-induced sell-off, as U.S. rates rallied following the U.K.’s decision to leave the European Union. However, this was partially offset during the third quarter of 2016, especially during the August 2016 sell-off, when the Fund’s modestly shorter duration position than that of the Barclays Index contributed positively, as rates then rose.

9

PORTFOLIO RESULTS

Q How did the Fund use derivatives and similar instruments during the Reporting Period?

A The Fund used Treasury futures, Eurodollar futures and bond exchange traded futures contracts to hedge interest rate exposure, i.e., to manage exposure to fluctuations in interest rates, and to facilitate specific duration and yield curve strategies. Interest rate swaps were used to hedge interest rate exposure and express an outright duration and term structure view. (Term structure, most often depicted as a yield curve, refers to the term structure of interest rates, which is the relationship between the yield to maturity and the time to maturity for pure discount bonds.) The Fund employed swaptions (or options on interest rate swap contracts) to hedge and express an outright term structure view and to help manage volatility. The Fund used forward contracts to help manage duration. Derivatives generally contributed positively toward relative performance during the Reporting Period.

Overall, we employ derivatives for the efficient management of the Fund’s portfolio. Derivatives and similar instruments allow us to manage interest rate risks more effectively by allowing us both to apply active investment views with greater versatility and to afford greater risk management precision than we would otherwise be able to implement.

Q Were there any notable changes in the Fund’s weightings during the Reporting Period?

A We adjusted the Fund’s positioning in mortgage-backed securities during the Reporting Period, but maintained an underweighted allocation relative to the Barclays Index throughout. Our shifts within the sector were impacted by the Fed’s reinvestment of mortgage-backed securities, especially its large reinvestment in September 2016, as well as by strong demand from foreign investors for mortgage-backed securities. These factors influenced our view of relative value, expectations of prepayments and anticipation of supply/demand dynamics. Additionally, we modestly shifted the Fund’s duration positioning during the Reporting Period as market conditions changed.

Q How was the Fund positioned relative to its benchmark index at the end of September 2016?

A At the end of September 2016, the Fund had overweighted allocations relative to the Barclays Index on a market-value weighted basis in asset-backed securities, quasi-government securities, commercial mortgage-backed securities and agency residential mortgage-backed securities. The Fund was underweight relative to the Barclays Index in U.S. government securities. On a contribution to duration basis, it should be noted, the Fund was modestly underweight agency residential mortgage-backed securities at the end of September 2016. The Fund had a modestly shorter duration than that of the Barclays Index at the end of the Reporting Period. (Contribution to duration is a way of measuring allocation that takes into account both the market value weight and also the duration risk.)

10

FUND BASICS

Government Income Fund

as of September 30, 2016

PERFORMANCE REVIEW
April 1, 2016– September 30, 2016	Fund Total Return (based on NAV)1			Barclays Index2			30-Day Standardized Subsidized Yield3			30-Day Standardized Unsubsidized Yield3
Class A		1.49	%		1.75	%		0.34	%		0.20	%
Class C		1.11			1.75			-0.38			-0.53
Institutional		1.66			1.75			0.69			0.54
Service		1.41			1.75			0.19			0.05
Class IR		1.62			1.75			0.60			0.45
Class R6		1.68			1.75			0.71			0.56
Class R		1.44			1.75			0.11			-0.04

¹  The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

²  The Barclays Index, an unmanaged index, measures the performance of U.S. government bonds and mortgage-related securities. The Barclays Index does not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.

³  The method of calculation of the 30-Day Standardized Subsidized Yield is mandated by the Securities and Exchange Commission and is determined by dividing the net investment income per share earned during the last 30 days of the period by the maximum public offering price (“POP”) per share on the last day of the period. This number is then annualized. The 30-Day Standardized Subsidized Yield reflects fee waivers and/or expense reimbursements recorded by the Fund during the period. Without waivers and/or reimbursements, yields would be reduced. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. The 30-Day Standardized Unsubsidized Yield does not adjust for any fee waivers and/or expense reimbursements in effect. If the Fund does not incur any fee waivers and/or expense reimbursements during the period, the 30-Day Standardized Subsidized Yield and 30-Day Standardized Unsubsidized Yield will be identical.

The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted 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 Fund distributions or the redemption of Fund shares.

11

FUND BASICS

STANDARDIZED TOTAL RETURNS4
For the period ended 9/30/16	One Year			Five Years			Ten Years			Since Inception			Inception Date
Class A		-0.69	%		1.01	%		3.30	%		4.83	%	2/10/93
Class C		1.39			1.04			2.93			3.79		8/15/97
Institutional		3.51			2.13			4.05			4.95		8/15/97
Service		3.00			1.61			3.53			4.88		8/15/97
Class IR		3.43			2.04			N/A			3.58		11/30/07
Class R6		3.54			N/A			N/A			3.61		7/31/15
Class R		2.98			1.54			N/A			3.09		11/30/07

⁴  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 3.75% for Class A Shares, and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Prior to July 29, 2009, the maximum initial sales charge applicable to Class A Shares was 4.5%, which is not reflected in the figures shown. Because Institutional Shares, Service Shares, Class IR Shares, Class R6 Shares and Class R Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.

The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted 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 Fund distributions or the redemption of Fund shares.

EXPENSE RATIOS5
	Net Expense Ratio (Current)			Gross Expense Ratio (Before Waivers)
Class A		0.90	%		1.05	%
Class C		1.66			1.80
Institutional		0.57			0.71
Service		1.06			1.21
Class IR		0.66			0.80
Class R6		0.55			0.70
Class R		1.15			1.30

⁵  The expense ratios of the Fund, 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 Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to a contractual arrangement, the Fund’s waivers and/or expense limitations will remain in place through at least July 29, 2017, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

12

FUND BASICS

SECTOR ALLOCATIONS⁶

Percentage of Net Assets

⁶  The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Figures in the graph may not sum to 100% due to the exclusion of other assets and liabilities. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments.

⁷  “Federal Agencies” are mortgage-backed securities guaranteed by the Government National Mortgage Association (“GNMA”), Federal National Mortgage Association (“FNMA”) and Federal Home Loan Mortgage Corp. (“FHLMC”). GNMA instruments are backed by the full faith and credit of the U.S. Government.

⁸  “Agency Debentures” include agency securities offered by companies such as FNMA and FHLMC, which operate under a government charter. While they are required to report to a government regulator, their assets are not explicitly guaranteed by the government and they otherwise operate like any other publicly traded company.

⁹  “Government Guarantee Obligations” are guaranteed by a foreign government guarantee program and are backed by the full faith and credit of the United States or the government of a foreign country.

13

PORTFOLIO RESULTS

Goldman Sachs High Quality Floating Rate Fund

Investment Objective

The Fund seeks to provide a high level of current income, consistent with low volatility of principal.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs U.S. Fixed Income Investment Management Team discusses the Goldman Sachs High

Quality Floating Rate Fund’s (the “Fund”) performance and positioning for the six-month period ended

September 30, 2016 (the “Reporting Period”).

Q How did the Fund perform during the Reporting Period?

A During the Reporting Period, the Fund’s Class A, Institutional, Service, IR and R6 Shares generated cumulative total returns, without sales charges, of 0.85%, 0.97%, 0.72%, 0.93% and 0.98%, respectively. These returns compare to the 0.17% cumulative total return of the Fund’s benchmark, the Bank of America Merrill Lynch Three-Month U.S. Treasury Bill Index (“BofA ML Three-Month U.S. Treasury Bill Index”).

Q What key factors were responsible for the Fund’s performance during the Reporting Period?

A Both top-down and bottom-up strategies had an impact on the Fund’s performance during the Reporting Period. Within our top-down strategies, our cross-sector strategy contributed most positively to the Fund’s results during the Reporting Period. Our cross-sector strategy is one in which we invest Fund assets across a variety of fixed income sectors, including some that may not be included in the Fund’s benchmark. Our duration and yield curve positioning strategy detracted from Fund performance. Duration is a measure of the Fund’s sensitivity to changes in interest rates. Yield curve indicates the spectrum of maturities within a particular sector.

Bottom-up individual issue selection within the government/swaps strategy contributed positively to the Fund’s relative results. This was somewhat offset by issue selection among securitized securities, which detracted.

The duration and government/swaps selection strategies are primarily implemented via interest rate swaps and/ or futures. Derivatives are used in combination with cash securities to implement our views in the Fund.

Q Which fixed income market sectors most significantly affected Fund performance?

A Cross-sector positioning was the primary positive contributor to the Fund’s results during the Reporting Period, especially exposure to agency mortgage-backed securities and asset-backed securities. Recovering commodity prices and accommodative global central policy bolstered recent spread compression, or narrowing of the yield differential to U.S. Treasuries. Agency mortgage-backed securities outperformed duration-neutral U.S. Treasuries by 64 basis points during the third quarter of 2016. (A basis point is 1/100th of a percentage point.) The sector benefited from relatively low volatility and demand from foreign investors and domestic commercial banks looking for yield. There were no material detractors within the cross-sector strategy during the Reporting Period.

Individual issue selection of U.S. Treasuries and of Treasury inflation protected securities (“TIPS”) within the government/swaps sector was additive to relative results during the Reporting Period. Within the securitized sector, selection of collateralized loan obligations (“CLOs”) added value, however these gains were offset by our selection of asset-backed securities, which detracted.

Q Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period?

A Tactical management of the Fund’s duration and yield curve positioning detracted from its results during the Reporting Period, mainly due to an underweight to the five-year segment of the U.S. Treasury yield curve, or spectrum of maturities, in June 2016. We generally maintained a modestly shorter duration than that of the BofA ML Three- Month U.S. Treasury Bill Index during the Reporting Period. This stance was based on positive U.S. economic data

14

PORTFOLIO RESULTS

releases, as reflected by strong manufacturing data, higher consumer confidence and firm core inflation and inflation expectations, along with relatively loose financial conditions, which led us to continue to expect an interest rate hike by the Federal Reserve (the “Fed”) this year. (Loose financial conditions are those wherein money supply is generally easily accessible to citizens.)

Q How did the Fund use derivatives and similar instruments during the Reporting Period?

A The Fund used Treasury futures during the Reporting Period for the purpose of managing the duration and term structure of the Fund. (Term structure, most often depicted as a yield curve, refers to the term structure of interest rates, which is the relationship between the yield to maturity and the time to maturity for pure discount bonds.) Derivatives did not have a material impact, on a net basis, on the Fund’s performance during the Reporting Period.

Q Were there any notable changes in the Fund’s weightings during the Reporting Period?

A The Fund’s exposure to government securities increased during the Reporting Period. A corresponding decrease in allocation was concentrated in commercial mortgage-backed securities and mortgage-backed securities. Additionally, we modestly shifted the Fund’s duration positioning during the Reporting Period as market conditions changed.

Q How was the Fund positioned relative to its benchmark index at the end of September 2016?

A While the Fund is benchmarked to U.S. Treasuries, it held a significant portion of its assets in non-Treasury sectors not represented in the benchmark index at the end of the Reporting Period. Indeed, the Fund maintained exposures to high quality spread, or non-Treasury, sectors throughout the Reporting Period, most notably agency mortgage-backed securities and asset-backed securities. The Fund maintained an underweighted exposure to government bonds at the end of the Reporting Period. Further, the Fund maintained a shorter duration position than that of the BofA ML Three-Month U.S. Treasury Bill Index at the end of the Reporting Period, as we continue to expect an interest rate hike in the U.S. this year.

15

FUND BASICS

High Quality Floating Rate Fund

as of September 30, 2016

PERFORMANCE REVIEW
April 1, 2016– September 30, 2016	Fund Total Return (based on NAV)1			BofA ML Three- Month U.S. Treasury Bill Index2			30-Day Standardized Subsidized Yield3			30-Day Standardized Unsubsidized Yield3
Class A		0.85	%		0.17	%		0.23	%		0.05	%
Institutional		0.97			0.17			0.57			0.38
Service		0.72			0.17			0.08			-0.11
Class IR		0.93			0.17			0.48			0.29
Class R6		0.98			0.17			0.57			0.39

¹  The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

²  The BofA ML Three-Month U.S. Treasury Bill Index measures total return on cash, including price and interest income, based on short-term government Treasury Bills of about 90-day maturity, as reported by Bank of America Merrill Lynch, do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index.

³  The method of calculation of the 30-Day Standardized Subsidized Yield is mandated by the Securities and Exchange Commission and is determined by dividing the net investment income per share earned during the last 30 days of the period by the maximum public offering price (“POP”) per share on the last day of the period. This number is then annualized. The 30-Day Standardized Subsidized Yield reflects fee waivers and/or expense reimbursements recorded by the Fund during the period. Without waivers and/or reimbursements, yields would be reduced. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. The 30-Day Standardized Unsubsidized Yield does not adjust for any fee waivers and/or expense reimbursements in effect. If the Fund does not incur any fee waivers and/or expense reimbursements during the period, the 30-Day Standardized Subsidized Yield and 30-Day Standardized Unsubsidized Yield will be identical.

STANDARDIZED TOTAL RETURNS4
For the period ended 9/30/16	One Year			Five Years			Ten Years			Since Inception			Inception Date
Class A		-0.98	%		-0.19	%		0.66	%		2.57	%	5/15/95
Institutional		0.79			0.42			1.14			3.26		7/17/91
Service		0.31			-0.03			0.67			2.17		3/27/97
Class IR		0.70			0.31			N/A			0.51		11/30/07
Class R6		0.80			N/A			N/A			0.56		7/31/15

⁴  The Standardized Total Returns are average annual total returns 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 1.5% for Class A Shares. Because Institutional Shares, Service Shares, Class IR Shares 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 Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted 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 Fund distributions or the redemption of Fund shares.

16

FUND BASICS

EXPENSE RATIOS5
	Net Expense Ratio (Current)			Gross Expense Ratio (Before Waivers)
Class A		0.70	%		0.88	%
Institutional		0.36			0.54
Service		0.84			1.04
Class IR		0.45			0.63
Class R6		0.34			0.53

⁵  The expense ratios of the Fund, 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 Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to a contractual arrangement, the Fund’s waivers and/or expense limitations will remain in place through at least July 29, 2017, and prior to such date the investment adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

17

FUND BASICS

FUND COMPOSITION⁶

Percentage of Net Assets

⁶  The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Figures in the graph may not sum to 100% due to the exclusion of other assets and liabilities. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments.

⁷  “Federal Agencies” are mortgage-backed securities guaranteed by the Government National Mortgage Association (“GNMA”), Federal National Mortgage Association (“FNMA”) and Federal Home Loan Mortgage Corp. (“FHLMC”). GNMA instruments are backed by the full faith and credit of the U.S. Government.

⁸  “Government Guarantee Obligations” are guaranteed by a foreign government guarantee program and are backed by the full faith and credit of the United States or the government of a foreign country.

18

PORTFOLIO RESULTS

Goldman Sachs Inflation Protected Securities Fund

Investment Objective

The Fund seeks real return consistent with preservation of capital.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs U.S. Fixed Income Investment Management Team discusses the Goldman Sachs Inflation Protected Securities Fund’s (the “Fund”) performance and positioning for the six-month period ended September 30, 2016 (the “Reporting Period”).

Q How did the Fund perform during the Reporting Period?

A During the Reporting Period, the Fund’s Class A, C, Institutional, IR, R6 and R Shares generated cumulative total returns, without sales charges, of 2.71%, 2.26%, 2.91%, 2.90%, 2.83% and 2.59%, respectively. These returns compare to the 2.69% cumulative total return of the Fund’s benchmark, the Bloomberg Barclays U.S. Treasury Inflation-Protected Securities (TIPS) Index (“Bloomberg Barclays U.S. TIPS Index”), during the same time period.

Q What key factors were responsible for the Fund’s performance during the Reporting Period?

A Bottom-up individual issue selection of various maturity U.S. Treasury inflation protected securities (“TIPS”) was the key positive contributor to the Fund’s performance during the Reporting Period.

The Fund’s duration strategy detracted from its results during the Reporting Period. The duration strategy for the Fund is primarily implemented via interest rate swaps and/or futures. Furthermore, derivatives are used in combination with cash securities to implement our views in the Fund. Duration is a measure of the Fund’s sensitivity to changes in interest rates. Yield curve positioning, which indicates the spectrum of maturities within a particular sector, contributed positively to Fund performance during the Reporting Period.

The Fund’s cross-sector strategy detracted more modestly from its results during the Reporting Period. The cross- sector strategy is one in which we invest Fund assets across a variety of fixed income sectors, including some that may not be included in the Fund’s benchmark, including interest rate swaps and/or futures.

Q Which fixed income market sectors most significantly affected Fund performance?

A Individual issue selection of various maturity TIPS contributed most positively to Fund performance during the Reporting Period. Particularly beneficial to relative results was the Fund’s tactical positioning in TIPS with maturities of less than seven years. TIPS were generally supported during the Reporting Period by recovering commodity prices, specifically that of oil, as well as positive U.S. labor market data. There were no significant detractors from a sector perspective during the Reporting Period.

Q Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period?

A The Fund’s duration strategy detracted from its relative results during the Reporting Period, driven by an underweight to U.S. rates in June 2016. U.S. rates rallied following the U.K.’s decision to leave the European Union, popularly known as Brexit, and thus the Fund’s modestly shorter duration than that of the Bloomberg Barclays U.S. TIPS Index hurt. This was partially offset by tactical positioning along the yield curve, which contributed positively. The Fund was effectively positioned with an emphasis on the seven-year and 20-year segments of the yield curve and with less emphasis on the five-year and 10-year segments of the yield curve.

19

PORTFOLIO RESULTS

Q How did the Fund use derivatives and similar instruments during the Reporting Period?

A The Fund used Treasury futures and Eurodollar futures to hedge interest rate exposure and to facilitate specific duration and yield curve strategies. We used interest rate and bond exchange traded futures contracts to help implement duration positioning within the Fund. Interest rate swaps were similarly used to manage interest rate exposure and express an outright term structure view. (Term structure, most often depicted as a yield curve, refers to the term structure of interest rates, which is the relationship between the yield to maturity and the time to maturity for pure discount bonds.)

The use of derivatives to manage interest rate risk contributed positively to performance. The use of derivatives to express views on the yield curve — from a bottom-up security selection perspective — also contributed positively to performance during the Reporting Period.

Q Were there any notable changes in the Fund’s weightings during the Reporting Period?

A We tactically managed our views on inflation in the Fund via varying allocations to TIPS throughout the Reporting Period. That said, there were no notable changes in the Fund’s weightings. The Fund remained overweight to TIPS with maturities of less than seven years, while concurrently remaining underweight TIPS with maturities of greater than seven years. We also maintained the Fund’s modestly shorter U.S. duration stance than that of the Bloomberg Barclays U.S. TIPS Index, as improving U.S. economic data pointed to a rise in interest rates, in our view.

Q How was the Fund positioned relative to its benchmark index at the end of September 2016?

A At the end of September 2016, the Fund had most of its total net assets invested in TIPS, with the remainder in cash. We maintained our bias toward the short, i.e. less than seven years, end of the TIPS rate curve. The Fund had a marginally shorter duration than the Bloomberg Barclays U.S. TIPS Index at the end of the Reporting Period, as we continued to expect the Fed to raise interest rates in 2016.

Our view is that U.S. economic growth is likely to improve in the months ahead. We believe fiscal policy is likely to add stimulus regardless of the outcome of the U.S. elections. Further, we believe that Fed policy on interest rates is likely to continue to be “lower for longer.” Though forward inflation expectations have been decreasing given global economic concerns, we note that several popular measures of inflation, including the Consumer Price Index and the Personal Consumption Expenditures Index, have been trending higher in 2016 year-to-date given positive labor market data, increasing home prices and medical care costs.

Going forward, we intend to continue to closely monitor macro developments both domestically and abroad for the potential impact on inflation expectations as we position the Fund’s portfolio.

20

FUND BASICS

Inflation Protected Securities Fund

as of September 30, 2016

PERFORMANCE REVIEW
April 1, 2016– September 30, 2016	Fund Total Return (based on NAV)1			Bloomberg Barclays U.S. TIPS Index2			30-Day Standardized Subsidized Yield3			30-Day Standardized Unsubsidized Yield3
Class A		2.71	%		2.69	%		-2.03	%		-2.20	%
Class C		2.26			2.69			-2.82			-3.00
Institutional		2.91			2.69			-1.77			-1.95
Class IR		2.90			2.69			-1.88			-2.06
Class R6		2.83			2.69			-1.77			-1.95
Class R		2.59			2.69			-2.34			-2.52

¹  The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

²  The Bloomberg Barclays U.S. TIPS Index represents securities that protect against adverse inflation and provide a minimum level of real return. To be included in this index, bonds must have cash flows linked to an inflation index, be sovereign issues denominated in U.S. currency, and have more than one year to maturity, and, as a portion of the index, total a minimum amount outstanding of 100 million U.S. dollars. The Bloomberg Barclays U.S. TIPS Index does not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.

³  The method of calculation of the 30-Day Standardized Subsidized Yield is mandated by the Securities and Exchange Commission and is determined by dividing the net investment income per share earned during the last 30 days of the period by the maximum public offering price (“POP”) per share on the last day of the period. This number is then annualized. The 30-Day Standardized Subsidized Yield reflects fee waivers and/or expense reimbursements recorded by the Fund during the period. Without waivers and/or reimbursements, yields would be reduced. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. The 30-Day Standardized Unsubsidized Yield does not adjust for any fee waivers and/ or expense reimbursements in effect. If the Fund does not incur any fee waivers and/or expense reimbursements during the period, the 30-Day Standardized Subsidized Yield and 30-Day Standardized Unsubsidized Yield will be identical.

The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted 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 Fund distributions or the redemption of Fund shares.

21

FUND BASICS

STANDARDIZED TOTAL RETURNS4
For the period ended 9/30/16	One Year			Five Years			Since Inception			Inception Date
Class A		2.46	%		0.73	%		3.73	%	8/31/07
Class C		4.49			0.75			3.43		8/31/07
Institutional		6.71			1.85			4.56		8/31/07
Class IR		6.60			1.73			3.86		11/30/07
Class R6		6.74			N/A			4.48		7/31/15
Class R		6.05			1.24			3.37		11/30/07

⁴  The Standardized Total Returns are average annual total returns 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 3.75% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Prior to July 29, 2009, the maximum initial sales charge applicable to Class A Shares of the Fund was 4.5%, which is not reflected in the figures shown. Because Institutional Shares, Class IR Shares, Class R6 Shares and Class R Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.

The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted 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 Fund distributions or the redemption of Fund shares.

EXPENSE RATIOS5
	Net Expense Ratio (Current)			Gross Expense Ratio (Before Waivers)
Class A		0.70	%		0.89	%
Class C		1.45			1.64
Institutional		0.35			0.56
Class IR		0.45			0.64
Class R6		0.34			0.60
Class R		0.95			1.15

⁵  The expense ratios of the Fund, 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 Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to a contractual arrangement, the Fund’s waivers and/or expense limitations will remain in place through at least July 29, 2017, and prior to such date the investment adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

22

FUND BASICS

FUND COMPOSITION⁶

Percentage of Net Assets

⁶  The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Short-term investments represent repurchase agreements. Figures in the graph may not sum to 100% due to the exclusion of other assets and liabilities. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments.

⁷  “U.S. Treasury Obligations” percentages are grouped by effective maturity. The weighted average maturity was 9.6 and 9.1% years, respectively, at September 30, 2016 and March 31, 2016.

23

PORTFOLIO RESULTS

Goldman Sachs Short Duration Government Fund

Investment Objective

The Fund seeks a high level of current income and secondarily, in seeking current income, may also consider the potential for capital appreciation.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs U.S. Fixed Income Investment Management Team discusses the Goldman Sachs Short Duration Government Fund’s (the “Fund”) performance and positioning for the six-month period ended September 30, 2016 (the “Reporting Period”).

Q How did the Fund perform during the Reporting Period?

A During the Reporting Period, the Fund’s Class A, C, Institutional, Service, IR and R6 Shares generated cumulative total returns, without sales charges, of 0.46%, 0.26%, 0.63%, 0.38%, 0.69% and 0.64%, respectively. These returns compare to the 0.39% cumulative total return of the Fund’s benchmark, the Bank of America Merrill Lynch Two-Year U.S. Treasury Note Index (“BofA ML Two-Year U.S. Treasury Note Index”), during the same time period.

Q What key factors were responsible for the Fund’s performance during the Reporting Period?

A Both top-down and bottom-up strategies had an impact on the Fund’s performance during the Reporting Period. Within our top-down strategies, our cross-sector strategy was the primary positive contributor to relative performance. Our cross-sector strategy is one in which we invest Fund assets across a variety of fixed income sectors, including some that may not be included in the Fund’s benchmark. Our duration and yield curve positioning strategy detracted from relative performance. Duration is a measure of the Fund’s sensitivity to changes in interest rates. Yield curve indicates the spectrum of maturities within a particular sector.

Bottom-up individual issue selection amongst government securities and Treasury inflation protected securities (“TIPS”) contributed positively to the Fund’s performance during the Reporting Period, while our selection of mortgage-backed securities detracted.

Derivatives, such as interest rate swaps and/or futures, are used in combination with cash securities to implement our views in the Fund.

Q Which fixed income market sectors most significantly affected Fund performance?

A Sector positioning was the primary positive contributor to the Fund’s results during the Reporting Period. The majority of outperformance came from exposure to agency mortgage-backed securities and agency debentures. Recovering commodity prices and accommodative global central policy bolstered recent spread compression, or narrowing of the yield differential to U.S. Treasuries. Agency mortgage-backed securities outperformed duration-neutral U.S. Treasuries by 64 basis points during the third quarter of 2016. (A basis point is 1/100th of a percentage point.) The sector benefited from relatively low volatility and demand from foreign investors and domestic commercial banks looking for yield. These gains were slightly offset by exposure to U.S. Treasury swaps, which detracted.

Individual issue selection of government securities and TIPS were additive to relative results, while our selection of mortgage pass-throughs and collateralized mortgage obligations detracted from performance.

24

PORTFOLIO RESULTS

Q Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period?

A Tactical management of the Fund’s duration and yield curve positioning detracted from its results during the Reporting Period, mainly due to an underweight to the five-year segment of the U.S. Treasury yield curve, or spectrum of maturities, in June 2016. We generally maintained a modestly shorter duration than that of the BofA ML Two-Year U.S. Treasury Note Index during the Reporting Period. This stance was based on positive U.S. economic data releases, as reflected by strong manufacturing data, higher consumer confidence and firm core inflation and inflation expectations, along with relatively loose financial conditions, which led us to continue to expect an interest rate hike by the Federal Reserve (the “Fed”) this year.

Q How did the Fund use derivatives and similar instruments during the Reporting Period?

A The Fund used Treasury futures, Eurodollar futures and interest rate swaps during the Reporting Period for the purpose of managing the duration and term structure of the Fund. (Term structure, most often depicted as a yield curve, refers to the term structure of interest rates, which is the relationship between the yield to maturity and the time to maturity for pure discount bonds.) The Fund used forward sales contracts and futures contracts to help manage duration. Derivatives did not have a material impact, on a net basis, on the Fund’s performance during the Reporting Period.

Q Were there any notable changes in the Fund’s weightings during the Reporting Period?

A The Fund’s exposure to government securities increased during the Reporting Period. A corresponding decrease in allocation was concentrated in mortgage-backed securities and cash. Additionally, we modestly shifted the Fund’s duration positioning during the Reporting Period as market conditions changed.

Q How was the Fund positioned relative to its benchmark index at the end of September 2016?

A While the Fund is benchmarked to U.S. Treasuries, it continued to hold a portion of its assets in non-Treasury sectors not represented in the benchmark index. Indeed, the Fund maintained exposures to high quality spread, or non-Treasury, sectors throughout the Reporting Period, most notably agency mortgage-backed securities. The Fund maintained an underweighted exposure to government bonds at the end of the Reporting Period. Further, as indicated, the Fund maintained a shorter duration position than that of the BofA ML Two-Year U.S. Treasury Note Index at the end of the Reporting Period, as we continue to expect an interest rate hike in the U.S. this year.

25

FUND BASICS

Short Duration Government Fund

as of September 30, 2016

PERFORMANCE REVIEW
April 1, 2016– September 30, 2016	Fund Total Return (based on NAV)1			BofA ML Two-Year U.S. Treasury  Note Index2			30-Day Standardized Subsidized Yield3			30-Day Standardized Unsubsidized Yield3
Class A		0.46	%		0.39	%		0.30	%		0.21	%
Class C		0.26			0.39			-0.08			-0.53
Institutional		0.63			0.39			0.64			0.55
Service		0.38			0.39			0.15			0.05
Class IR		0.69			0.39			0.56			0.46
Class R6		0.64			0.39			0.66			0.57

¹  The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

²  The BofA ML Two-Year U.S. Treasury Note Index is a one-security index comprised of the most recently issued 2-year U.S. Treasury note. The BofA ML Two-Year U.S. Treasury Note Index is rebalanced monthly. In order to qualify for inclusion, a 2-year note must be auctioned on or before the third business day before the last business day of the month. The BofA ML Two-Year U.S. Treasury Note Index does not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index.

³  The method of calculation of the 30-Day Standardized Subsidized Yield is mandated by the Securities and Exchange Commission and is determined by dividing the net investment income per share earned during the last 30 days of the period by the maximum public offering price (“POP”) per share on the last day of the period. This number is then annualized. The 30-Day Standardized Subsidized Yield reflects fee waivers and/or expense reimbursements recorded by the Fund during the period. Without waivers and/or reimbursements, yields would be reduced. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. The 30-Day Standardized Unsubsidized Yield does not adjust for any fee waivers and/or expense reimbursements in effect. If the Fund does not incur any fee waivers and/or expense reimbursements during the period, the 30-Day Standardized Subsidized Yield and 30-Day Standardized Unsubsidized Yield will be identical.

The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted 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 Fund distributions or the redemption of Fund shares.

26

FUND BASICS

STANDARDIZED TOTAL RETURNS4
For the period ended 9/30/16	One Year			Five Years			Ten Years			Since Inception			Inception Date
Class A		-0.74	%		0.14	%		2.22	%		3.34	%	5/1/97
Class C		-0.38			0.06			1.84			2.68		8/15/97
Institutional		1.07			0.79			2.73			4.82		8/15/88
Service		0.47			0.29			2.21			3.44		4/10/96
Class IR		0.98			0.70			N/A			2.14		11/30/07
Class R6		0.98			N/A			N/A			0.91		7/31/15

⁴  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 1.5% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (0.65% if redeemed within 12 months of purchase). Prior to July 29, 2009, the maximum initial sales charge applicable to Class A Shares of the Fund was 2.0%, which is not reflected in the figures shown. Because Institutional Shares, Service Shares, Class IR Shares 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 table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted 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 Fund distributions or the redemption of Fund shares.

EXPENSE RATIOS5
	Net Expense Ratio (Current)			Gross Expense Ratio (Before Waivers)
Class A		0.81	%		0.91	%
Class C		1.21			1.66
Institutional		0.47			0.57
Service		0.98			1.07
Class IR		0.56			0.66
Class R6		0.45			0.55

⁵  The expense ratios of the Fund, 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 Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to a contractual arrangement, the Fund’s waivers and/or expense limitations will remain in place through at least July 29, 2017, and prior to such date the investment adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

27

FUND BASICS

FUND COMPOSITION⁶

Percentage of Net Assets

⁶  The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Figures in the graph may not sum to 100% due to the exclusion of other assets and liabilities. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments.

⁷  “Federal Agencies” are mortgage-backed securities guaranteed by the Government National Mortgage Association (“GNMA”), Federal National Mortgage Association (“FNMA”) and Federal Home Loan Mortgage Corp. (“FHLMC”). GNMA instruments are backed by the full faith and credit of the U.S. Government.

⁸  “Agency Debentures” include agency securities offered by companies such as FNMA and FHLMC, which operate under a government charter. While they are required to report to a government regulator, their assets are not explicitly guaranteed by the government and they otherwise operate like any other publicly traded company.

⁹  “Government Guarantee Obligations” are guaranteed by a foreign government guarantee program and are backed by the full faith and credit of the United States or the government of a foreign country.

28

PORTFOLIO RESULTS

Goldman Sachs Short Duration Income Fund

Investment Objective

The Fund seeks total return consisting of income and capital appreciation.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Global Liquidity Management Team discusses the Goldman Sachs Short Duration Income Fund’s (the “Fund”) performance and positioning for the six-month period ended September 30, 2016 (the “Reporting Period”).

Q How did the Fund perform during the Reporting Period?

A During the Reporting Period, the Fund’s Class A, C, Institutional, IR, R6 and R Shares generated cumulative total returns, without sales charges, of 1.81%, 1.61%, 1.98%, 1.93%, 2.07% and 1.68%, respectively. These returns compare to the 1.27% cumulative total return of the Goldman Sachs Short Duration Income Fund Composite Index (the “Short Duration Income Composite”) during the same period. The Short Duration Income Composite is comprised 50% of the Bloomberg Barclays U.S. 1-5 Year Corporate Bond Index and 50% of the Bloomberg Barclays U.S. 1-5 Year Government Bond Index, which generated cumulative total returns of 1.92% and 0.63%, respectively, over the same time period.

Q What key factors were responsible for the Fund’s performance during the Reporting Period?

A Both top-down and bottom-up strategies had an impact on the Fund’s performance during the Reporting Period. Within our top-down strategies, our cross-sector strategy contributed positively to the Fund’s results during the Reporting Period. Our cross-sector strategy is one in which we invest Fund assets across a variety of fixed income sectors, including some that may not be included in the Fund’s benchmark. Our country strategy also added to relative results, with performance driven by relative value trades.

Our duration and yield curve positioning strategy detracted from Fund performance. Duration is a measure of the fund’s sensitivity to changes in interest rates. Yield curve indicates the spectrum of maturities within a particular sector. Our currency strategy detracted, with the Fund’s exposure to the Mexican peso detracting from returns due to the political risk ahead of the U.S. election.

Bottom-up individual issue selection amongst the corporate, securitized, government and emerging markets debt sectors contributed positively to the Fund’s results.

The duration, country, currency and government/swaps selection strategies are primarily implemented via interest rate swaps and/or futures. Derivatives are used in combination with cash securities to implement our views in the Fund.

Q Which fixed income market sectors most significantly affected Fund performance?

A Sector positioning contributed positively to the Fund’s results during the Reporting Period, with overweighted allocations to asset-backed securities, securitized securities and collateralization loan obligations (“CLOs”) performing best. Recovering commodity prices and accommodative global central policy bolstered recent spread compression, or narrowing of the yield differential to U.S. Treasuries. Agency mortgage-backed securities outperformed duration-neutral U.S. Treasuries by 64 basis points during the third quarter of 2016. (A basis point is 1/100th of a percentage point.) The sector benefited from relatively low volatility and demand from foreign investors and domestic commercial banks looking for yield. These gains were slightly offset by the Fund’s underweight to corporate bonds during the third quarter of 2016, as spreads, or yields differentials to U.S. Treasuries, tightened. An improvement in oil prices, continued support from the European Central Bank’s Corporate Sector Purchase Programme and the Bank of England’s announcement of corporate bond purchases buoyed corporate assets during the third quarter of 2016.

Individual issue selection of high yield corporate bonds, especially in the industrials sector, contributed positively to Fund results during the Reporting Period. In addition, selection of mortgage-backed securities and CLOs within

29

PORTFOLIO RESULTS

the securitized sector proved positive, while our selection of asset-backed securities detracted. Within the emerging markets debt sector, the Fund’s exposure to the external debt of Venezuela was additive.

Q Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period?

A Tactical management of the Fund’s duration and yield curve positioning detracted from its results during the Reporting Period, mainly due to an underweight to the five-year segment of the U.S. Treasury yield curve, or spectrum of maturities, in June 2016. We generally maintained a modestly shorter duration than that of the Short Duration Income Composite during the Reporting Period. This stance was based on positive U.S. economic data releases, as reflected by strong manufacturing data, higher consumer confidence and firm core inflation and inflation expectations, along with relatively loose financial conditions, which led us to continue to expect an interest rate hike by the Federal Reserve (the “Fed”) this year.

Q How did the Fund use derivatives and similar instruments during the Reporting Period?

A The Fund used Treasury futures, Eurodollar and interest rate swaps and options during the Reporting Period for the purpose of managing the duration and term structure of the Fund. (Term structure, most often depicted as a yield curve, refers to the term structure of interest rates, which is the relationship between the yield to maturity and the time to maturity for pure discount bonds.) The Fund employed credit default swaps to manage the credit profile of the Fund. The Fund used forward foreign currency transactions to hedge its exposure to foreign currency exposure and increase total return. Derivatives did not have a material impact, on a net basis, on the Fund’s performance during the Reporting Period.

Q Were there any notable changes in the Fund’s weightings during the Reporting Period?

A The Fund’s allocations to government securities and asset- backed securities increased during the Reporting Period. A corresponding decrease in allocation was concentrated in residential mortgage-backed securities, high yield corporate bonds and investment grade corporate bonds. Additionally, we modestly shifted the Fund’s duration positioning during the Reporting Period as market conditions changed.

Q How was the Fund positioned relative to its benchmark index at the end of September 2016?

A While the Fund is benchmarked to an equally-balanced composite of the Bloomberg Barclays U.S. 1-5 Year Corporate Bond Index and the Bloomberg Barclays U.S. 1-5 Year Government Bond Index, it held a portion of its assets in non-Treasury sectors not represented in the Short Duration Income Composite. Indeed, the Fund maintained exposure to high quality spread, or non-Treasury, sectors throughout the Reporting Period, most notably agency mortgage-backed securities, asset-backed securities, high yield corporate bonds and emerging markets debt. The Fund also had exposure to government bonds and investment grade corporate bonds at the end of the Reporting Period. Further, the Fund maintained a shorter U.S. duration position than that of the Short Duration Income Composite at the end of the Reporting Period, as we continue to expect an interest rate hike in the U.S. this year.

30

FUND BASICS

Short Duration Income Fund

as of September 30, 2016

PERFORMANCE REVIEW
April 1, 2016– September 30, 2016	Fund Total Return (based on NAV)1			Short Duration Income Fund Composite2			Bloomberg Barclays U.S. 1-5 Year Corporate Bond Index3			Bloomberg Barclays U.S. 1-5 Year Government Bond Index4			30-Day Standardized Subsidized Yield5			30-Day Standardized Unsubsidized Yield5
Class A		1.81	%		1.27	%		1.92	%		0.63	%		0.97	%		0.86	%
Class C		1.61			1.27			1.92			0.63			0.69			0.21
Institutional		1.98			1.27			1.92			0.63			1.39			1.28
Class IR		1.93			1.27			1.92			0.63			1.29			1.18
Class R6		2.07			1.27			1.92			0.63			1.36			1.24
Class R		1.68			1.27			1.92			0.63			0.81			0.69

¹  The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

²  The Short Duration Income Fund Composite is comprised of the Bloomberg Barclays U.S. 1-5 Year Corporate Bond Index (50%) and the Barclays U.S. 1-5 Year Government Bond Index (50%).

³  The Bloomberg Barclays U.S. 1-5 Year Corporate Bond Index provides a broad based measure of the global investment grade corporate sector with final maturities ranging between one and five years. The corporate sectors include industrial, utility and finance, for U.S. and non-U.S. corporations. The Bloomberg Barclays U.S. 1-5 Year Corporate Bond Index does not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.

⁴  The Bloomberg Barclays U.S. 1-5 Year Government Bond Index provides a broad based measure of securities issued by the U.S. government with final maturities ranging from one to five years. This includes public obligations of the U.S. Treasury, U.S. government agencies, quasi-federal corporations and corporate or foreign debt guaranteed by the U.S. government. The Bloomberg Barclays U.S. 1-5 Year Government Bond Index does not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.

⁵  The method of calculation of the 30-Day Standardized Subsidized Yield is mandated by the Securities and Exchange Commission and is determined by dividing the net investment income per share earned during the last 30 days of the period by the maximum public offering price (“POP”) per share on the last day of the period. This number is then annualized. The 30-Day Standardized Subsidized Yield reflects fee waivers and/or expense reimbursements recorded by the Fund during the period. Without waivers and/or reimbursements, yields would be reduced. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. The 30-Day Standardized Unsubsidized Yield does not adjust for any fee waivers and/or expense reimbursements in effect. If the Fund does not incur any fee waivers and/or expense reimbursements during the period, the 30-Day Standardized Subsidized Yield and 30-Day Standardized Unsubsidized Yield will be identical.

The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted 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 Fund distributions or the redemption of Fund shares.

31

FUND BASICS

STANDARDIZED TOTAL RETURNS6
For the period ended 9/30/16	One Year			Since Inception			Inception Date
Class A		0.73	%		1.33	%	2/29/12
Class C		1.17			1.26		2/29/12
Institutional		2.69			2.05		2/29/12
Class IR		2.49			1.93		2/29/12
Class R6		2.67			2.33		7/31/15
Class R		2.08			1.45		2/29/12

⁶  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 1.5% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (0.65% if redeemed within 12 months of purchase). Because Institutional Shares, Class IR Shares, Class R6 Shares and Class R Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.

The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted 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 Fund distributions or the redemption of Fund shares.

EXPENSE RATIOS7
	Net Expense Ratio (Current)			Gross Expense Ratio (Before Waivers)
Class A		0.80	%		0.94	%
Class C		1.20			1.69
Institutional		0.45			0.60
Class IR		0.54			0.69
Class R6		0.43			0.63
Class R		1.04			1.19

⁷  The expense ratios of the Fund, 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 Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to a contractual arrangement, the Fund’s waivers and/or expense limitations will remain in place through at least July 29, 2017, and prior to such date the investment adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

32

FUND BASICS

FUND COMPOSITION⁸

Percentage of Net Assets

⁸  The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Short-term investments represent certificates of deposits, commercial paper and repurchase agreements. Figures in the graph may not sum to 100% due to the exclusion of other assets and liabilities. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments.

⁹  “Federal Agencies” are mortgage-backed securities guaranteed by the Government National Mortgage Association (“GNMA”), Federal National Mortgage Association (“FNMA”) and Federal Home Loan Mortgage Corp. (“FHLMC”). GNMA instruments are backed by the full faith and credit of the U.S. Government.

¹⁰  “Agency Debentures” include agency securities offered by companies such as FNMA and FHLMC, which operate under a government charter. While they are required to report to a government regulator, their assets are not explicitly guaranteed by the government and they otherwise operate like any other publicly traded company.

33

PORTFOLIO RESULTS

Goldman Sachs Short-Term Conservative Income Fund

Investment Objective

The Fund seeks to generate current income and secondarily maintain an emphasis on preservation of capital and liquidity.

Portfolio Management Discussion and Analysis

Effective July 29, 2016, Goldman Sachs Limited Maturity Obligations Fund was re-named Goldman Sachs Short-Term Conservative Income Fund (the “Fund”) and changed its benchmark. Below, the Goldman Sachs U.S. Fixed Income Investment Management Team discusses the Fund’s performance and positioning for the six-month period ended September 30, 2016 (the “Reporting Period”).

Q How did the Fund perform during the Reporting Period?

A During the Reporting Period, the Fund’s Institutional and Administration Shares generated cumulative total returns, without sales charges, of 0.57% and 0.44%, respectively. These returns compare to the 0.40% cumulative total return of the Fund’s primary benchmark, the Bloomberg Barclays Short-Term Government/Corporate Index (“Bloomberg Barclays Index”), during the same time period. The Fund’s secondary benchmark, the Bank of America Merrill Lynch 3-6 Month U.S. Treasury Bill Index, (“BofA ML 3-6 Month U.S. Treasury Bill Index”) had a cumulative total return of 0.24% during the same time period.

Q What key factors were responsible for the Fund’s performance during the Reporting Period?

A Both bottom-up and top-down strategies had an impact on the Fund’s performance during the Reporting Period. Bottom-up individual issue selection amongst corporate bonds and government/agency securities were the main drivers of performance during the Reporting Period, contributing positively.

Within our top-down strategies, our cross-sector strategy contributed positively to the Fund’s relative results during the Reporting Period. Our cross-sector strategy is one in which we invest Fund assets across a variety of fixed income sectors, including some that may not be included in the Fund’s benchmark. Our duration and yield curve positioning strategy detracted from the Fund’s performance. Duration is a measure of the Fund’s sensitivity to changes in interest rates. Yield curve indicates the spectrum of maturities within a particular sector.

Q Which fixed income market sectors most significantly affected Fund performance?

A Our individual security selection strategies were the primary positive contributors to the Fund’s relative results during the Reporting Period, especially individual selection of government securities and short-dated corporate bonds.

Q Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period?

A Tactical management of the Fund’s duration and yield curve positioning detracted from the Fund’s results during the Reporting Period, mainly due to an underweight to the six-month and one-year segments of the U.S. Treasury yield curve, or spectrum of maturities, in June 2016. We generally maintained a modestly shorter duration than that of the Bloomberg Barclays Index during the Reporting Period. This stance was based on positive U.S. economic data releases, as reflected by strong manufacturing data, higher consumer confidence and firm core inflation and inflation expectations, along with relatively loose financial conditions, which led us to continue to expect an interest rate hike by the Federal Reserve (the “Fed”) this year.

As mentioned earlier, duration is a measure of the Fund’s sensitivity to changes in interest rates. Yield curve indicates the spectrum of maturities within a particular sector.

34

PORTFOLIO RESULTS

Q How did the Fund use derivatives and similar instruments during the Reporting Period?

A The Fund does not use derivatives.

Q Were there any notable changes in the Fund’s weightings during the Reporting Period?

A Some of the changes in the Fund’s weightings during the Reporting Period were as a result of the change in its primary benchmark. To a more significant degree, the Fund’s allocation to short-term investments increased during the Reporting Period, and a corresponding decrease in allocation was concentrated in corporate obligations. Additionally, we modestly shifted the Fund’s duration positioning during the Reporting Period as market conditions changed.

Q How was the Fund positioned relative to its benchmark index at the end of September 2016?

A At the end of the Reporting Period, the Fund had built an emphasis on municipal securities, repurchase agreements, corporate credit and asset-backed commercial paper. Further, as indicated, the Fund maintained a shorter duration position than that of the Bloomberg Barclays Index at the end of the Reporting Period, as we continue to expect an interest rate hike in the U.S. this year.

35

FUND BASICS

Short-Term Conservative Income Fund

as of September 30, 2016

PERFORMANCE REVIEW
April 1, 2016–September 30, 2016	Fund Total Return (based on NAV)1			Bloomberg Barclays Index2			BofA ML 3-6 Month U.S. Treasury Bill Index3			30-Day Standardized Subsidized Yield4			30-Day Standardized Unsubsidized Yield4
Institutional		0.57	%		0.40	%		0.24	%		0.92	%		-0.13	%
Administration		0.44			0.40			0.24			0.67			-0.37

¹  The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

²  The Bloomberg Barclays Index measures the performance of US dollar-denominated US Treasury bonds, government related bonds, and investment grade US corporate bonds.

³  The BofA ML 3-6 Month U.S. Treasury Bill Index measures total return on cash, including price and interest income, based on short-term government Treasury Bills of about 90 to 180-day maturity. The BofA ML 3-6 Month U.S. Treasury Bill Index is unmanaged, does not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.

⁴  The method of calculation of the 30-Day Standardized Subsidized Yield is mandated by the Securities and Exchange Commission and is determined by dividing the net investment income per share earned during the last 30 days of the period by the maximum public offering price (“POP”) per share on the last day of the period. This number is then annualized. The 30-Day Standardized Subsidized Yield reflects fee waivers and/or expense reimbursements recorded by the Fund during the period. Without waivers and/or reimbursements, yields would be reduced. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. The 30-Day Standardized Unsubsidized Yield does not adjust for any fee waivers and/or expense reimbursements in effect. If the Fund does not incur any fee waivers and/or expense reimbursements during the period, the 30-Day Standardized Subsidized Yield and 30-Day Standardized Unsubsidized Yield will be identical.

STANDARDIZED TOTAL RETURNS5
For the period ended 9/30/16	One Year			Since Inception			Inception Date
Institutional		0.95	%		0.59	%	2/28/14
Administration		0.70			0.35		2/28/14

⁵  The Standardized Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. Because Institutional Shares and Administration 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 Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted 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 Fund distributions or the redemption of Fund shares.

36

FUND BASICS

EXPENSE RATIOS6
	Net Expense Ratio (Current)			Gross Expense Ratio (Before Waivers)
Institutional		0.16	%		2.10	%
Administration		0.41			2.44

⁶  The expense ratios of the Fund, 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 Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to a contractual arrangement, the Fund’s waivers and/or expense limitations will remain in place through at least July 29, 2017, and prior to such date the investment adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

FUND COMPOSITION⁷

Percentage of Net Assets

⁷  The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Short-term investments represent certificates of deposits, commercial papers and repurchase agreements. Figures in the graph may not sum to 100% due to the exclusion of other assets and liabilities. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments.

37

GOLDMAN SACHS ENHANCED INCOME FUND

Schedule of Investments

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – 50.0%
	Aerospace/Defense – 0.3%
	General Dynamics Corp.
$	1,525,000		1.000	%		11/15/17	$	1,525,163
	Automotive(a) – 0.8%
	BMW US Capital LLC
	1,050,000		1.500			04/11/19		1,051,650
	Daimler Finance North America LLC
	1,400,000		1.650			05/18/18		1,403,062
	1,050,000		2.250			03/02/20		1,065,739
	Harley-Davidson Financial Services, Inc.(b)
	800,000		2.150			02/26/20		807,565
								4,328,016
	Banks – 18.9%
	ABN AMRO Bank NV(a)
	3,925,000		2.500			10/30/18		3,995,520
	American Express Credit Corp.(b)
	3,675,000		2.375			05/26/20		3,758,643
	Bank of America Corp.
	4,725,000		6.000			09/01/17		4,913,206
	1,400,000		6.875			04/25/18		1,510,401
	Bank of Montreal
	25,000		1.800			07/31/18		25,186
	Bank of Scotland PLC(a)
	100,000		5.250			02/21/17		101,558
	Banque Federative du Credit Mutuel SA(a)
	1,150,000		2.000			04/12/19		1,155,988
	Barclays Bank PLC(c)
	2,625,000		1.384			02/17/17		2,625,659
	BNP Paribas SA
	900,000		2.375			05/21/20		914,025
	BPCE SA
	1,726,000		2.500			12/10/18		1,760,580
	Capital One Bank USA NA(b)
	2,075,000		1.150			11/21/16		2,075,606
	Capital One NA/Mclean VA(b)
	625,000		1.850			09/13/19		624,982
	Citigroup, Inc.
	200,000		6.125			05/15/18		214,089
	875,000		2.150			07/30/18		882,757
	150,000		2.500			09/26/18		152,380
	3,400,000		2.050			12/07/18		3,425,745
	Commonwealth Bank of Australia(a)(c)
	2,875,000		1.212			03/13/17		2,877,648
	Compass Bank(b)
	1,250,000		1.850			09/29/17		1,248,477
	Credit Agricole SA(a)(c)
	2,975,000		1.503			10/03/16		2,975,000
	Credit Suisse AG
	3,900,000		1.315	(c)		05/26/17		3,900,998
	1,475,000		1.750			01/29/18		1,475,235
	Discover Bank(b)
	1,600,000		2.600			11/13/18		1,624,010
	Fifth Third Bank(b)(c)
	3,725,000		1.311			11/18/16		3,726,129
	HSBC USA, Inc.
	3,075,000		1.500			11/13/17		3,073,942

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Banks – (continued)
	ING Bank NV(a)
$	1,600,000		1.800	%		03/16/18	$	1,604,882
	1,425,000		2.050			08/17/18		1,435,420
	JPMorgan Chase & Co.
	3,925,000		1.373	(c)		01/28/19		3,931,029
	1,275,000		2.200			10/22/19		1,294,993
	1,775,000		2.750	(b)		06/23/20		1,826,569
	Lloyds Bank PLC
	2,225,000		1.750			03/16/18		2,226,277
	1,100,000		2.000			08/17/18		1,104,812
	Mizuho Corporate Bank Ltd.(a)
	1,475,000		2.550			03/17/17		1,482,552
	1,150,000		1.550			10/17/17		1,149,746
	Morgan Stanley & Co.(c)
	4,525,000		1.565			01/24/19		4,541,064
	Morgan Stanley, Inc.
	1,425,000		2.500			04/21/21		1,442,817
	MUFG Americas Holdings Corp.(b)
	550,000		1.625			02/09/18		550,833
	MUFG Union Bank NA(b)
	2,250,000		2.625			09/26/18		2,291,787
	Nordea Bank AB(a)
	1,900,000		1.875			09/17/18		1,913,133
	PNC Bank NA(b)
	3,050,000		1.150			11/01/16		3,050,000
	Santander Bank NA(b)
	950,000		2.000			01/12/18		950,117
	Santander Holdings USA, Inc.(b)
	250,000		2.650			04/17/20		251,503
	Santander UK PLC
	1,225,000		2.000			08/24/18		1,229,508
	Synchrony Financial(b)
	1,200,000		2.600			01/15/19		1,214,135
	The Bank of Tokyo-Mitsubishi UFJ Ltd.(a)
	900,000		1.255	(c)		03/10/17		900,488
	1,100,000		1.450			09/08/17		1,099,920
	1,625,000		1.700			03/05/18		1,627,303
	The Toronto-Dominion Bank(a)
	14,800,000		1.500			03/13/17		14,829,650
	US Bank NA(b)
	1,175,000		1.400			04/26/19		1,174,102
	Westpac Banking Corp.
	5,025,000		2.300			05/26/20		5,114,118
								107,274,522
	Chemicals – 0.9%
	Ecolab, Inc.
	2,025,000		1.550			01/12/18		2,033,926
	Praxair, Inc.
	3,125,000		1.050			11/07/17		3,123,991
								5,157,917
	Construction Machinery – 0.4%
	Caterpillar Financial Services Corp.
	1,350,000		0.975	(c)		03/03/17		1,350,572
	735,000		2.450			09/06/18		750,556
								2,101,128

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

GOLDMAN SACHS ENHANCED INCOME FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Diversified Financial Services – 0.5%
	Visa, Inc.
$	2,725,000		1.200	%		12/14/17	$	2,731,567
	Diversified Manufacturing – 1.4%
	Amphenol Corp.
	925,000		1.550			09/15/17		926,288
	1,000,000		2.550	(b)		01/30/19		1,023,335
	Danaher Corp.
	850,000		1.650			09/15/18		857,171
	Fortive, Corp.(a)
	750,000		1.800			06/15/19		752,062
	Siemens Financieringsmaat NV(a)
	4,450,000		1.300			09/13/19		4,426,037
								7,984,893
	Electric – 2.4%
	American Electric Power Co., Inc.(b)
	518,000		1.650			12/15/17		518,977
	Commonwealth Edison Co.(b)
	525,000		2.150			01/15/19		533,242
	Consolidated Edison, Inc.(b)
	350,000		2.000			05/15/21		353,438
	Dominion Resources, Inc.
	1,150,000		1.900			06/15/18		1,155,885
	300,000		1.600			08/15/19		299,440
	Duke Energy Progress, Inc.(c)
	2,300,000		1.035			03/06/17		2,301,454
	Electricite de France(a)(c)
	3,125,000		1.156			01/20/17		3,126,441
	Emera US Finance LP(a)
	1,375,000		2.150			06/15/19		1,390,040
	Exelon Corp.
	1,075,000		1.550			06/09/17		1,075,809
	NextEra Energy Capital Holdings, Inc.
	375,000		2.300			04/01/19		380,950
	The Southern Co.
	1,300,000		1.850			07/01/19		1,310,223
	Virginia Electric and Power Co.(b)
	900,000		1.200			01/15/18		899,572
								13,345,471
	Energy – 0.2%
	Anadarko Petroleum Corp.
	181,000		6.375			09/15/17		188,700
	Statoil ASA(c)
	1,200,000		1.107			05/15/18		1,199,066
								1,387,766
	Food and Beverage – 5.7%
	Anheuser-Busch InBev Finance, Inc.
	7,325,000		1.900			02/01/19		7,395,715
	Cargill, Inc.(a)
	1,700,000		1.900			03/01/17		1,706,032
	ConAgra Foods, Inc.
	1,425,000		1.900			01/25/18		1,433,356
	Diageo Capital PLC
	2,600,000		5.750			10/23/17		2,721,134

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Food and Beverage – (continued)
	Kraft Heinz Foods Co.
$	1,925,000		2.000	%		07/02/18	$	1,942,760
	McDonald’s Corp.
	625,000		2.100			12/07/18		634,546
	Molson Coors Brewing Co.
	1,375,000		1.450			07/15/19		1,371,014
	Pernod-Ricard SA(a)
	1,600,000		2.950			01/15/17		1,606,670
	SABMiller Holdings, Inc.(a)
	1,625,000		2.450			01/15/17		1,629,872
	Starbucks Corp.
	3,725,000		0.875			12/05/16		3,724,311
	Suntory Holdings Ltd.(a)
	2,850,000		1.650			09/29/17		2,854,244
	Sysco Corp.(b)
	625,000		2.600			10/01/20		643,426
	The J.M. Smucker Co.
	2,025,000		1.750			03/15/18		2,037,273
	575,000		2.500			03/15/20		589,107
	WM Wrigley Jr Co.(a)
	1,900,000		2.000			10/20/17		1,913,279
								32,202,739
	Health Care – Medical Products – 0.8%
	Becton Dickinson & Co.
	1,250,000		1.800			12/15/17		1,255,690
	Stryker Corp.
	1,550,000		2.000			03/08/19		1,569,487
	Thermo Fisher Scientific, Inc.
	1,675,000		1.300			02/01/17		1,678,422
								4,503,599
	Health Care Services – 1.4%
	Aetna, Inc.
	3,625,000		1.900			06/07/19		3,658,263
	UnitedHealth Group, Inc.
	1,400,000		1.900			07/16/18		1,414,794
	2,675,000		2.300			12/15/19		2,750,090
								7,823,147
	Life Insurance(a) – 0.9%
	Metropolitan Life Global Funding I(c)
	3,875,000		1.045			04/10/17		3,880,243
	Reliance Standard Life Global Funding II
	1,375,000		2.500			04/24/19		1,398,038
								5,278,281
	Media – Cable – 0.3%
	Time Warner Cable LLC
	1,725,000		5.850			05/01/17		1,768,073
	Metals & Mining(a) – 0.3%
	Glencore Finance Canada Ltd.
	1,475,000		2.700			10/25/17		1,477,212
	Pharmaceuticals – 4.9%
	AbbVie, Inc.
	1,750,000		1.750			11/06/17		1,755,749
	5,150,000		1.800			05/14/18		5,171,038

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

GOLDMAN SACHS ENHANCED INCOME FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Pharmaceuticals – (continued)
	Actavis Funding SCS
$	2,800,000		2.350	%		03/12/18	$	2,828,871
	4,625,000		3.000	(b)		03/12/20		4,775,382
	Bayer US Finance LLC(a)(c)
	3,350,000		0.936			10/06/17		3,342,067
	Eli Lilly & Co.
	450,000		1.250			03/01/18		451,007
	EMD Finance LLC(a)
	3,125,000		1.700			03/19/18		3,128,709
	Forest Laboratories, Inc.(a)(b)
	1,825,000		4.375			02/01/19		1,922,495
	Gilead Sciences, Inc.
	1,400,000		1.850			09/04/18		1,414,466
	Shire Acquisitions Investments Ireland DAC
	3,025,000		1.900			09/23/19		3,023,448
								27,813,232
	Pipelines – 0.7%
	Columbia Pipeline Group, Inc.
	825,000		2.450			06/01/18		829,912
	Enterprise Products Operating LLC
	1,625,000		1.650			05/07/18		1,625,590
	TransCanada PipeLines Ltd.
	1,550,000		1.875			01/12/18		1,556,217
								4,011,719
	Property/Casualty Insurance – 0.6%
	Berkshire Hathaway Finance Corp.
	1,475,000		1.450			03/07/18		1,482,042
	1,025,000		1.700			03/15/19		1,034,406
	Chubb INA Holdings, Inc.(b)
	875,000		2.300			11/03/20		897,751
								3,414,199
	Real Estate Investment Trust – 1.7%
	ERP Operating LP
	760,000		5.750			06/15/17		782,930
	HCP, Inc.
	2,550,000		6.000			01/30/17		2,586,470
	Select Income REIT(b)
	450,000		2.850			02/01/18		452,672
	WEA Finance LLC/Westfield UK & Europe Finance PLC(a)
	3,425,000		1.750			09/15/17		3,431,203
	Welltower, Inc.
	2,575,000		4.700			09/15/17		2,651,812
								9,905,087
	Retailers – 0.6%
	Amazon.com, Inc.(b)
	1,225,000		2.600			12/05/19		1,271,030
	AutoZone, Inc.
	300,000		1.625			04/21/19		301,015
	The Home Depot, Inc.(b)
	1,725,000		2.000			06/15/19		1,760,899
								3,332,944

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Retailers – Food & Drug – 1.3%
	CVS Health Corp.
$	275,000		1.900	%		07/20/18	$	277,661
	1,325,000		2.800	(b)		07/20/20		1,372,772
	2,200,000		2.125	(b)		06/01/21		2,222,330
	The Kroger Co.
	450,000		2.000			01/15/19		455,732
	Walgreens Boots Alliance, Inc.
	1,175,000		1.750			11/17/17		1,181,430
	1,650,000		1.750			05/30/18		1,659,035
								7,168,960
	Technology – 2.0%
	Apple, Inc.
	1,750,000		1.700			02/22/19		1,769,822
	Cisco Systems, Inc.
	1,150,000		1.600			02/28/19		1,158,641
	1,800,000		1.400			09/20/19		1,801,571
	Fidelity National Information Services, Inc.
	1,400,000		2.850			10/15/18		1,436,763
	1,050,000		2.250	(b)		08/15/21		1,056,079
	Fiserv, Inc.(b)
	1,025,000		2.700			06/01/20		1,056,890
	Harris Corp.
	925,000		1.999			04/27/18		930,260
	QUALCOMM, Inc.
	2,000,000		1.400			05/18/18		2,003,192
								11,213,218
	Tobacco – 0.9%
	BAT International Finance PLC(a)
	1,575,000		1.850			06/15/18		1,588,899
	Philip Morris International, Inc.
	575,000		1.375			02/25/19		576,215
	Reynolds American, Inc.
	2,900,000		2.300			06/12/18		2,942,169
								5,107,283
	Transportation(a) – 0.5%
	Penske Truck Leasing Co. LP/PTL Finance Corp.
	1,300,000		3.750			05/11/17		1,317,737
	1,625,000		2.875			07/17/18		1,656,450
								2,974,187
	Wireless Telecommunications – 0.4%
	Verizon Communications, Inc.
	924,000		1.350			06/09/17		925,135
	1,150,000		2.625			02/21/20		1,182,671
								2,107,806
	Wirelines Telecommunications – 1.2%
	AT&T, Inc.
	2,450,000		2.400			03/15/17		2,464,296
	Verizon Communications, Inc.
	1,950,000		3.650			09/14/18		2,035,301
	2,575,000		1.375			08/15/19		2,562,583
								7,062,180
	TOTAL CORPORATE OBLIGATIONS
	(Cost $281,641,533)						$	283,000,309

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

GOLDMAN SACHS ENHANCED INCOME FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Asset-Backed Securities – 17.9%
	Autos – 2.7%
	Ally Auto Receivables Trust Series 2015-SN1, Class A3
$	1,003,831		1.210	%		12/20/17	$	1,004,416
	Ally Master Owner Trust Series 2012-5, Class A
	4,600,000		1.540			09/15/19		4,613,393
	Ally Master Owner Trust Series 2015-2, Class A2
	4,000,000		1.830			01/15/21		4,023,200
	Ford Credit Auto Owner Trust Series 2016-2, Class A(a)
	1,600,000		2.030			12/15/27		1,613,760
	GM Financial Automobile Leasing Trust Series 2015-1, Class A3
	1,200,000		1.530			09/20/18		1,202,797
	GMF Floorplan Owner Revolving Trust Series 2016-1, Class A1(a)
	1,550,000		1.960			05/17/21		1,555,320
	Nissan Master Owner Trust Receivables Series 2016-A, Class A2
	1,200,000		1.540			06/15/21		1,199,906
								15,212,792
	Credit Card – 7.8%
	Bank of America Credit Card Trust Series 2014-A1, Class A(c)
	7,000,000		0.904			06/15/21		7,022,601
	Barclays Dryrock Issuance Trust Series 2015-1, Class A
	3,450,000		2.200			12/15/22		3,520,035
	Barclays Dryrock Issuance Trust Series 2016-1, Class A
	1,600,000		1.520			05/16/22		1,606,587
	Capital One Multi-Asset Execution Trust Series 2015-A1, Class A1
	5,200,000		1.390			01/15/21		5,219,760
	Capital One Multi-Asset Execution Trust Series 2016-A5, Class A5
	3,650,000		1.660			06/17/24		3,648,905
	CARDS II Trust Series 2016-1A, Class A(a)(c)
	2,150,000		1.224			07/15/21		2,149,233
	Chase Issuance Trust Series 16-A2, Class A
	2,900,000		1.370			06/15/21		2,909,570
	Chase Issuance Trust Series 2015-A2, Class A2
	4,250,000		1.590			02/18/20		4,276,775
	Chase Issuance Trust Series 2016-A5, Class A5
	3,950,000		1.270			07/15/21		3,946,840
	Evergreen Credit Card Trust Series 2016-1, Class A(a)(c)
	3,350,000		1.244			04/15/20		3,365,135
	Golden Credit Card Trust Series 2016-5A, Class A(a)
	2,800,000		1.600			09/15/21		2,799,214
	Trillium Credit Card Trust II Series 2016-1A, Class A(a)(c)
	3,650,000		1.242			05/26/21		3,652,295
								44,116,950
	Equipment(a) – 0.6%
	Chesapeake Funding II LLC Series 16-2A, Class A1
	3,500,000		1.880			06/15/28		3,513,121
	Home Equity(c) – 0.0%
	Amresco Residential Securities Mortgage Loan Trust Series 1998-2, Class M1F
	18,392		6.745			06/25/28		19,869
	Centex Home Equity Series 2004-D, Class MV3
	83,358		2.024			09/25/34		75,461
	Morgan Stanley ABS Capital I Series 2004-HE4, Class M3
	32,058		2.774			05/25/34		30,906
								126,236

Principal Amount		Interest Rate			Maturity Date		Value
	Asset-Backed Securities – (continued)
	Manufactured Housing – 0.0%
	Lehman ABS Manufactured Housing Contract Series 2001-B, Class A3
$	16,290		4.350	%		04/15/40	$	16,454
	Other(a)(c) – 0.9%
	Mortgage Repurchase Agreement Financing Trust Series 2016-1, Class A
	2,550,000		1.585			09/10/18		2,550,000
	Mortgage Repurchase Agreement Financing Trust Series 2016-2, Class A
	2,550,000		1.785			03/10/19		2,550,000
								5,100,000
	Student Loan(c) – 5.9%
	Access Group, Inc. Series 2006-1, Class A2
	198,956		0.772			08/25/23		198,241
	Brazos Higher Education Authority, Inc. Series 2005-1, Class 1A3(b)
	143,550		0.967			09/26/22		143,329
	Brazos Higher Education Authority, Inc. Series 2006-1, Class A3(b)
	2,502,878		0.750			12/26/24		2,489,988
	ECMC Group Student Loan Trust Series 2016-1A, Class A(a)
	2,800,000		1.864			07/26/66		2,799,954
	Education Loan Asset-Backed Trust I Series 2013-1, Class A1(a)
	2,597,997		1.324			06/25/26		2,552,521
	Educational Services of America, Inc. Series 2010-1, Class A1(a)
	1,736,121		1.488			07/25/23		1,720,782
	Educational Services of America, Inc. Series 2014-1, Class A(a)
	2,405,406		1.224			02/25/39		2,359,575
	Goal Capital Funding Trust Series 2007-1, Class A3
	584,962		0.947			09/25/28		580,398
	Higher Education Funding I Series 2005-1, Class A4
	466,531		0.802			02/25/30		462,247
	Navient Student Loan Trust Series 2016-5A, Class A(a)
	5,381,949		1.819			06/25/65		5,381,964
	Nelnet Student Loan Trust Series 2005-4, Class A3
	665,341		0.777			06/22/26		662,248
	Nelnet Student Loan Trust Series 2006-2, Class A5
	3,428,967		0.738			01/25/30		3,380,337
	Northstar Education Finance, Inc. Series 2012-1, Class A(a)
	2,150,232		1.224			12/26/31		2,099,195
	Scholar Funding Trust Series 2012-B, Class A1(a)
	522,310		0.924			10/28/25		522,054
	SLM Student Loan Trust Series 2003-12, Class A5(a)
	878,057		0.933			09/15/22		875,717
	SLM Student Loan Trust Series 2003-14, Class A5
	364,274		0.868			01/25/23		362,755
	SLM Student Loan Trust Series 2004-1, Class A3
	1,476,198		0.848			04/25/23		1,471,368
	SLM Student Loan Trust Series 2006-2, Class A5
	3,144,903		0.748			07/25/25		3,128,477
	SLM Student Loan Trust Series 2006-4, Class A5
	865,551		0.738			10/27/25		864,013
	SLM Student Loan Trust Series 2006-9, Class A4
	8,635		0.708			10/25/22		8,633
	SLM Student Loan Trust Series 2013-3, Class A2
	324,979		0.824			05/26/20		324,504

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

GOLDMAN SACHS ENHANCED INCOME FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Asset-Backed Securities – (continued)
	Student Loan(c) – (continued)
	SLM Student Loan Trust Series 2014-1, Class A2
$	558,044		0.904	%		07/26/21	$	557,185
	Wachovia Student Loan Trust Series 2005-1, Class A5
	272,260		0.768			01/26/26		269,242
								33,214,727
	TOTAL ASSET-BACKED SECURITIES
	(Cost $101,163,535)						$	101,300,280
	U.S. Treasury Obligations – 21.1%
	United States Treasury Inflation Protected Securities
$	14,746,859		2.625	%		07/15/17	$	15,207,698
	35,397,400		0.125	(d)		04/15/18		35,789,957
	2,054,120		0.125			04/15/19		2,090,396
	12,229,273		0.125			04/15/20		12,473,859
	United States Treasury Notes
	16,850,000		1.625			07/31/20		17,216,993
	17,200,000		1.375			08/31/20		17,412,764
	19,200,000		1.375			09/30/20		19,431,168
	TOTAL U.S. TREASURY OBLIGATIONS
	(Cost $119,115,463)						$	119,622,835
Shares		Distribution Rate					Value
	Investment Company(c)(e) – 0.0%
	Goldman Sachs Financial Square Government Fund – Institutional Shares
	601		0.290	%			$	601
	(Cost $601)
	TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT
	(Cost $501,921,132)						$	503,924,025
Principal Amount		Interest Rate			Maturity Date		Value
	Short-term Investments – 9.1%
	Certificates of Deposit – 5.2%
	Bank of Montreal
$	2,800,000		1.333	%		10/24/17	$	2,800,000
	3,000,000		1.316			08/11/17		3,000,000
	Credit Agricole SA
	2,000,000		1.176			02/03/17		2,000,000
	Credit Suisse New York
	3,000,000		1.584			08/16/17		3,000,000
	1,000,000		1.690			09/28/17		1,000,000
	Mitsubishi UFJ Trust & Banking Corp.
	2,800,000		1.557			09/18/17		2,800,000
	Mizuho Bank Ltd.
	2,225,000		1.557			09/19/17		2,225,000
	Norinchukin Bank NY
	2,000,000		1.243			02/22/17		2,000,000

Principal Amount		Interest Rate			Maturity Date		Value
	Short-term Investments – (continued)
	Certificates of Deposit – (continued)
	Sumitomo Mitsui Banking Corp.
$	3,000,000		1.232	%		01/20/17	$	3,000,000
	Sumitomo Trust & Banking Corp.
	2,700,000		0.900			10/24/16		2,700,000
	The Toronto-Dominion Bank
	2,000,000		1.316			08/10/17		2,000,000
	Wells Fargo Bank
	2,800,000		1.343			09/22/17		2,800,000
								29,325,000
	Commercial Paper – 3.9%
	Atlantic Asset Securitization Corp.
	1,000,000		0.945			11/04/16		999,122
	1,000,000		0.966			11/02/16		999,155
	Barton Capital Corp.
	1,000,000		0.935			11/04/16		999,131
	Collateralized Commercial Paper II
	2,750,000		1.000			07/28/17		2,750,000
	Electricite De France SA
	3,100,000		1.557			01/09/17		3,086,997
	Ford Motor Credit Co. LLC
	2,500,000		1.481			02/01/17		2,487,615
	Matchpoint Finance PLC
	1,000,000		0.915			11/04/16		999,150
	2,600,000		1.357			03/06/17		2,585,015
	Schlumberger Holdings Corp.
	2,800,000		1.037			12/15/16		2,794,050
	Versailles Commercial Paper LLC
	1,000,000		0.864			10/24/16		999,457
	Westpac Banking Corp.
	2,500,000		1.288			08/07/17		2,500,000
	Whirlpool Corp.
	1,000,000		0.010			12/28/16		997,629
								22,197,321
	TOTAL SHORT-TERM INVESTMENTS
	(Cost $51,522,321)						$	51,522,321
	TOTAL INVESTMENTS – 98.1%
	(Cost $553,443,453)						$	555,446,346
	OTHER ASSETS IN EXCESS OF     LIABILITIES – 1.9%							10,583,984
	NET ASSETS – 100.0%						$	566,030,330

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
(a)	Exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be deemed 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 $126,084,394, which represents approximately 22.3% of net assets as of September 30, 2016.
(b)	Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.

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

GOLDMAN SACHS ENHANCED INCOME FUND

(c)	Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on September 30, 2016.
(d)	All or a portion of security is segregated as collateral for initial margin requirements on futures transactions.
(e)	Represents an Affiliated Fund.

Investment Abbreviations:
LLC	—Limited Liability Company
LP	—Limited Partnership
PLC	—Public Limited Company
REIT	—Real Estate Investment Trust

ADDITIONAL INVESTMENT INFORMATION

FUTURES CONTRACTS — At September 30, 2016, the Fund had the following futures contracts:

Type	Number of Contracts Long (Short)			Expiration Date	Current Value			Unrealized Gain (Loss)
Eurodollars		51		December 2016	$	12,632,700		$	54
Eurodollars		(49	)	September 2017		(12,125,050	)		(1,976	)
Eurodollars		(49	)	December 2017		(12,119,537	)		(3,476	)
Eurodollars		(49	)	March 2018		(12,117,087	)		(5,951	)
Eurodollars		(224	)	June 2018		(55,375,600	)		(72,570	)
Eurodollars		(149	)	September 2018		(36,821,625	)		25,731
Eurodollars		(149	)	December 2018		(36,804,863	)		23,868
Eurodollars		(47	)	March 2019		(11,606,650	)		6,942
Eurodollars		(63	)	June 2019		(15,553,125	)		5,330
Eurodollars		(63	)	September 2019		(15,547,613	)		4,048
Eurodollars		(63	)	December 2019		(15,540,525	)		3,755
Eurodollars		(59	)	March 2020		(14,548,662	)		2,626
Eurodollars		(43	)	June 2020		(10,598,962	)		3,126
2 Year U.S. Treasury Notes		(402	)	December 2016		(87,824,438	)		(87,656	)
5 Year U.S. Treasury Notes		(348	)	December 2016		(42,287,438	)		(99,597	)
TOTAL								$	(195,746	)

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

GOLDMAN SACHS GOVERNMENT INCOME FUND

Schedule of Investments

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Mortgage-Backed Obligations – 48.1%
	Collateralized Mortgage Obligations – 3.0%
	Adjustable Rate Non-Agency(a) – 0.1%
	MLCC Mortgage Investors, Inc. Series 2004-E, Class A2B
$	332,713		1.633	%		11/25/29	$	329,993
	Interest Only(b) – 0.0%
	CS First Boston Mortgage Securities Corp. Series 2003-AR18, Class 2X(a)
	27,443		0.000			07/25/33		—
	CS First Boston Mortgage Securities Corp. Series 2003-AR20, Class 2X(a)
	32,225		0.000			08/25/33		—
	FNMA STRIPS Series 151, Class 2
	1,366		9.500			07/25/22		153
	Master Adjustable Rate Mortgages Trust Series 2003-2, Class 3AX(a)
	19,179		0.123			08/25/33		116
	Master Adjustable Rate Mortgages Trust Series 2003-2, Class 4AX(a)
	4,143		0.320			07/25/33		46
								315
	Inverse Floaters(a) – 0.0%
	GNMA REMIC Series 2002-13, Class SB
	46,290		35.095			02/16/32		80,336
	Principal Only(c) – 0.0%
	FNMA REMIC Series G-35, Class N
	3,147		0.000			10/25/21		3,085
	Regular Floater(a) – 0.0%
	FDIC Structured Sale Guaranteed Notes Series 2010-S1, Class 1A(d)
	861		1.074			02/25/48		861
	FHLMC REMIC Series 1760, Class ZB
	96,438		0.960			05/15/24		96,125
								96,986
	Sequential Fixed Rate – 2.8%
	FHLMC Multifamily Structured Pass-Through Certificates Series K020, Class A2
	600,000		2.373			05/25/22		622,977
	FHLMC REMIC Series 2329, Class ZA
	615,840		6.500			06/15/31		693,891
	FHLMC REMIC Series 4273, Class PD
	1,071,367		6.500			11/15/43		1,247,235
	FNMA REMIC Series 2011-52, Class GB
	1,051,836		5.000			06/25/41		1,165,002
	FNMA REMIC Series 2011-99, Class DB
	1,025,651		5.000			10/25/41		1,134,959
	FNMA REMIC Series 2012-111, Class B
	145,650		7.000			10/25/42		169,035
	FNMA REMIC Series 2012-153, Class B
	597,024		7.000			07/25/42		704,445
	GNMA REMIC Series 2002-42, Class KZ
	1,623,034		6.000			06/16/32		1,828,146
	NCUA Guaranteed Notes Series A4
	3,400,000		3.000			06/12/19		3,568,980
								11,134,670

Principal Amount		Interest Rate			Maturity Date		Value
	Mortgage-Backed Obligations – (continued)
	Sequential Floating Rate(a)(e) – 0.1%
	NCUA Guaranteed Notes Series 2010-R1, Class 1A
$	476,348		0.977	%		10/07/20	$	476,944
	TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS						$	12,122,329
	Commercial Mortgage-Backed Securities(a) – 3.1%
	Sequential Floating Rate – 3.1%
	Banc of America Commercial Mortgage Trust Series 2006-3, Class A4
$	50,445		5.889	%		07/10/44	$	50,565
	Citigroup Commercial Mortgage Trust Series 2008-C7, Class A1A
	4,890,169		6.247			12/10/49		5,046,709
	LB Commercial Mortgage Trust Series 2007-C3, Class A1A
	2,958,570		6.069			07/15/44		3,027,156
	Morgan Stanley Capital I Trust Series 2007-T25, Class A1A
	930,613		5.509			11/12/49		931,734
	Credit Suisse Commercial Mortgage Trust Series 2007-C2, Class A1A
	3,844,111		5.526			01/15/49		3,879,946
	TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES						$	12,936,110
	Federal Agencies – 42.0%
	Adjustable Rate FHLMC(a) – 0.2%
$	138,528		2.555	%		11/01/32	$	145,932
	773,631		2.505			09/01/33		816,480
								962,412
	Adjustable Rate FNMA(a) – 0.8%
	21,160		2.545			11/01/32		22,154
	225,003		2.374			12/01/32		234,051
	781,780		2.287			05/01/33		804,299
	23,991		2.836			06/01/33		25,305
	798,617		2.543			10/01/33		837,246
	753,824		2.615			02/01/35		795,755
	652,520		2.457			09/01/35		681,017
								3,399,827
	Adjustable Rate GNMA(a) – 0.7%
	49,510		2.125			06/20/23		50,398
	23,644		1.875			07/20/23		24,073
	23,115		1.875			08/20/23		23,537
	63,031		1.875			09/20/23		64,193
	20,516		2.000			03/20/24		20,903
	173,031		2.125			04/20/24		176,417
	18,835		2.125			05/20/24		19,207
	174,912		2.125			06/20/24		178,399
	48,227		1.875			07/20/24		49,194
	51,410		2.000			07/20/24		52,440
	88,433		1.875			08/20/24		90,220
	45,287		2.000			08/20/24		46,201
	42,586		1.875			09/20/24		43,452
	54,543		2.000			11/20/24		55,652
	21,117		2.000			12/20/24		21,549
	35,420		2.500			12/20/24		36,537

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

GOLDMAN SACHS GOVERNMENT INCOME FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Mortgage-Backed Obligations – (continued)
	Adjustable Rate GNMA(a) – (continued)
$	37,253		2.000	%		01/20/25	$	38,010
	20,958		2.000			02/20/25		21,388
	72,410		2.125			05/20/25		73,970
	58,289		2.000			07/20/25		59,561
	27,251		2.000			02/20/26		27,857
	1,389		1.875			07/20/26		1,422
	70,562		2.000			01/20/27		72,255
	26,239		2.000			02/20/27		26,863
	203,341		2.125			04/20/27		208,344
	22,536		2.125			05/20/27		23,112
	24,366		2.125			06/20/27		24,952
	9,969		2.000			11/20/27		10,229
	32,998		2.000			12/20/27		33,859
	67,103		2.000			01/20/28		68,785
	24,354		2.000			02/20/28		24,968
	28,911		2.000			03/20/28		29,643
	109,296		1.875			07/20/29		112,308
	63,474		1.875			08/20/29		65,230
	12,959		1.875			09/20/29		13,318
	61,931		2.000			10/20/29		63,638
	79,317		2.000			11/20/29		81,561
	17,131		2.000			12/20/29		17,622
	22,971		2.000			01/20/30		23,604
	9,979		2.000			02/20/30		10,235
	61,452		2.000			03/20/30		63,090
	71,249		2.125			04/20/30		73,258
	184,287		2.125			05/20/30		189,547
	18,293		2.125			06/20/30		18,836
	161,784		2.000			07/20/30		166,427
	26,743		2.000			09/20/30		27,515
	57,068		2.000			10/20/30		58,770
	105,957		2.000			03/20/32		109,113
								2,791,662
	FHLMC – 4.5%
	2,136		7.000			09/01/17		2,169
	1,209		7.000			10/01/17		1,218
	10,589		5.500			05/01/18		10,869
	102,451		5.500			06/01/18		105,488
	4,800		4.500			09/01/18		4,923
	44,566		5.000			06/01/19		46,323
	2,368		10.000			07/01/20		2,377
	28,401		6.500			07/01/21		31,677
	2,390		6.500			08/01/22		2,687
	35,905		9.000			10/01/22		40,542
	124,973		4.500			10/01/23		136,773
	643,316		5.000			08/01/24		691,871
	90,543		6.500			07/01/28		95,121
	595,661		4.500			03/01/29		652,043
	4,353		8.000			07/01/30		5,365
	8,648		7.500			12/01/30		8,814
	43,573		7.000			04/01/31		50,902
	22,815		5.000			08/01/33		25,379
	4,326		5.000			09/01/33		4,812
	10,405		5.000			10/01/33		11,574
	15,350		5.500			09/01/34		17,604

Principal Amount		Interest Rate			Maturity Date		Value
	Mortgage-Backed Obligations – (continued)
	FHLMC – (continued)
$	244,279		6.000	%		10/01/34	$	283,610
	5,715		5.000			11/01/34		6,355
	322,715		5.000			12/01/34		358,859
	1,145		5.500			03/01/35		1,290
	17,230		5.000			07/01/35		19,160
	2,366		5.500			07/01/35		2,673
	3,558		5.000			11/01/35		3,958
	6,034		5.500			11/01/35		6,981
	32,299		5.000			12/01/35		36,822
	91,019		5.500			01/01/36		105,294
	222		5.500			02/01/36		257
	2,478		6.000			06/01/36		2,864
	51,990		5.000			02/01/37		57,552
	4,780		5.000			03/01/38		5,292
	110,999		5.500			03/01/38		127,159
	49,345		5.500			04/01/38		56,576
	7,971		5.500			11/01/38		9,303
	12,113		5.500			12/01/38		13,638
	516,287		7.000			02/01/39		605,762
	3,658		5.500			03/01/39		4,149
	236,809		5.000			07/01/39		264,273
	5,315		5.500			10/01/39		6,077
	12,789		5.500			03/01/40		14,597
	18,601		4.000			06/01/40		19,937
	25,999		5.500			06/01/40		29,760
	12,699		5.000			08/01/40		14,159
	933,317		5.500			08/01/40		1,047,019
	3,622		4.500			11/01/40		3,982
	230,657		4.000			02/01/41		248,409
	7,701		5.000			04/01/41		8,620
	10,358		5.000			06/01/41		11,540
	440,118		5.000			07/01/41		489,277
	18,091		4.000			11/01/41		19,521
	23,335		3.000			05/01/42		24,306
	280,633		3.500			06/01/42		301,318
	22,717		3.000			08/01/42		23,663
	26,161		3.000			01/01/43		27,274
	89,347		3.000			02/01/43		93,247
	4,930,671		3.500			04/01/43		5,220,156
	535,197		3.500			06/01/45		571,386
	418,320		3.500			10/01/45		446,737
	2,878,924		3.500			03/01/46		3,074,488
	1,931,781		3.500			04/01/46		2,057,573
	394,459		3.500			05/01/46		420,392
								18,093,796
	FNMA – 23.6%
	347		8.000			11/01/16		347
	10,328		5.000			08/01/17		10,613
	2,127,955		2.800			03/01/18		2,153,027
	1,840,724		3.740			05/01/18		1,882,975
	1,690,000		3.840			05/01/18		1,730,668
	6,868		4.500			08/01/18		7,048
	72,706		5.000			09/01/18		74,803
	400,206		5.000			10/01/18		413,000
	4,400,000		4.506			06/01/19		4,558,809

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

GOLDMAN SACHS GOVERNMENT INCOME FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Mortgage-Backed Obligations – (continued)
	FNMA – (continued)
$	25,589		6.500	%		08/01/19	$	29,475
	804,628		3.416			10/01/20		854,864
	8,998		9.500			10/01/20		9,062
	587,097		3.619			12/01/20		630,334
	2,142,486		4.380			06/01/21		2,373,661
	224,572		5.500			02/01/23		252,797
	386,301		5.500			08/01/23		434,853
	98,905		6.000			11/01/28		114,177
	8,728		6.500			11/01/28		9,754
	64,566		7.000			07/01/31		73,174
	1,212		5.500			03/01/33		1,372
	3,997		6.000			03/01/33		4,635
	3,932,206		5.500			04/01/33		4,532,979
	2,044		6.000			05/01/33		2,379
	5,643		5.000			07/01/33		6,435
	827,851		5.500			07/01/33		916,227
	28,304		5.000			08/01/33		31,819
	5,712		5.500			09/01/33		6,548
	26,894		5.500			12/01/33		30,835
	1,831		6.000			12/01/33		2,137
	6,543		5.500			02/01/34		7,499
	2,528		5.500			03/01/34		2,901
	1,334		5.500			04/01/34		1,539
	8,271		5.500			05/01/34		9,492
	88		5.500			06/01/34		101
	9,401		5.500			08/01/34		10,848
	5,303		5.500			09/01/34		6,044
	4,474		5.500			10/01/34		5,122
	3,429		5.500			11/01/34		3,935
	49,736		5.500			12/01/34		57,037
	7,916		5.500			04/01/35		9,071
	223,228		6.000			04/01/35		258,876
	7,430		5.000			05/01/35		8,521
	5,266		5.500			05/01/35		5,985
	9,171		5.000			07/01/35		10,347
	9,336		5.500			07/01/35		10,752
	5,311		5.000			08/01/35		6,060
	973		5.500			08/01/35		1,126
	184		6.000			08/01/35		214
	8,884		5.500			09/01/35		10,254
	87,884		6.000			10/01/35		102,328
	38,634		6.000			11/01/35		44,262
	4,266		5.500			12/01/35		4,925
	153		5.500			02/01/36		176
	49,771		6.000			03/01/36		57,665
	75,221		6.000			04/01/36		87,115
	3,362		4.500			07/01/36		3,708
	566		5.500			02/01/37		651
	18,419		5.500			04/01/37		21,232
	432		5.500			05/01/37		497
	528		5.500			06/01/37		607
	1,024,386		5.500			08/01/37		1,156,300
	243,971		6.000			10/01/37		282,196
	229,770		7.500			11/01/37		269,763
	307		5.500			12/01/37		352
	13,659		5.500			02/01/38		15,431

Principal Amount		Interest Rate			Maturity Date			Value
	Mortgage-Backed Obligations – (continued)
	FNMA – (continued)
$	6,052		5.500	%		03/01/38		$	6,945
	10,074		6.000			03/01/38			11,715
	23,707		5.500			04/01/38			27,311
	7,286		5.500			05/01/38			8,384
	1,764		5.500			06/01/38			2,022
	1,907		5.500			07/01/38			2,187
	1,373		5.500			08/01/38			1,574
	1,692		5.500			09/01/38			1,940
	450		5.500			12/01/38			515
	6,657		5.500			02/01/39			7,650
	345,609		7.000			03/01/39			407,954
	4,235		4.500			04/01/39			4,634
	13,077		4.500			05/01/39			14,616
	7,573		5.500			06/01/39			8,695
	7,802		4.000			08/01/39			8,372
	38,298		4.500			08/01/39			42,807
	63,679		5.000			09/01/39			70,666
	6,675		5.500			11/01/39			7,653
	596,416		4.500			12/01/39			666,635
	499,927		5.000			07/01/40			565,737
	402,539		5.000			03/01/41			447,527
	113,730		5.000			04/01/41			126,441
	419,804		4.500			05/01/41			461,399
	30,813		5.000			06/01/41			34,257
	164,289		5.000			07/01/41			182,650
	213,382		4.500			08/01/41			235,037
	195,750		5.000			10/01/41			217,627
	41,278		3.500			11/01/41			43,943
	365,997		5.000			04/01/42			406,901
	44,041		3.500			06/01/42			46,891
	161,388		4.500			08/01/42			179,734
	25,750		3.500			10/01/42			27,421
	22,568		3.000			11/01/42			23,671
	248,569		3.000			12/01/42			260,727
	648,954		3.000			01/01/43			680,773
	130,154		3.000			02/01/43			136,519
	750,837		3.000			03/01/43			787,557
	1,225,835		3.000			04/01/43			1,285,785
	122,165		3.500			04/01/43			129,002
	833,291		3.000			05/01/43			874,045
	76,702		3.500			05/01/43			81,727
	145,430		3.000			06/01/43			152,542
	1,286,288		3.000			07/01/43			1,349,197
	2,154,143		3.500			07/01/43			2,274,689
	373,100		3.500			08/01/43			394,335
	44,427		3.500			09/01/43			47,338
	109,357		3.500			01/01/44			116,555
	275,898		3.500			04/01/45			294,316
	73,780		3.500			06/01/45			78,714
	31,547		3.500			09/01/45			33,772
	53,623		3.500			10/01/45			57,236
	79,703		3.500			11/01/45			84,715
	77,611		3.500			01/01/46			82,841
	585,566		3.500			05/01/46			623,925
	980,551		3.500			06/01/46			1,056,275
	4,000,000		3.000			TBA-30yr	(f)		4,149,062

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

GOLDMAN SACHS GOVERNMENT INCOME FUND

Principal Amount		Interest Rate			Maturity Date			Value
	Mortgage-Backed Obligations – (continued)
	FNMA – (continued)
$	34,000,000		3.500	%		TBA-30yr	(f)	$	35,880,625
	16,000,000		4.000			TBA-30yr	(f)		17,182,499
									96,018,021
	GNMA – 12.2%
	466,970		3.950			07/15/25			503,943
	85,359		7.000			12/15/27			96,529
	14,716		6.500			08/15/28			16,971
	124,807		6.000			01/15/29			146,570
	182,214		7.000			10/15/29			215,511
	78,709		5.500			11/15/32			89,500
	1,090,814		5.500			12/15/32			1,248,712
	46,548		5.500			01/15/33			53,464
	81,063		5.500			02/15/33			93,107
	87,957		5.500			03/15/33			101,026
	74,606		5.500			07/15/33			85,319
	46,055		5.500			08/15/33			52,898
	32,641		5.500			09/15/33			37,491
	47,099		5.500			04/15/34			54,005
	42,808		5.500			05/15/34			49,085
	500,688		5.500			06/15/34			574,108
	393,811		5.500			09/15/34			451,559
	331,064		5.500			12/15/34			379,611
	315,156		5.500			01/15/35			358,675
	217,725		5.000			03/15/38			243,454
	1,637		5.000			11/15/38			1,830
	766,684		4.000			08/20/43			826,641
	7,969,217		4.000			10/20/43			8,566,372
	4,849,868		4.000			06/20/45			5,204,894
	4,677,145		4.000			07/20/45			5,019,526
	1,785,070		4.000			09/20/45			1,913,512
	12,894,631		4.000			10/20/45			13,818,410
	3,859,034		4.000			03/20/46			4,135,497
	74,605		4.000			04/20/46			80,031
	116,066		4.000			05/20/46			124,599
	5,000,000		4.000			TBA-30yr	(f)		5,358,203
									49,901,053
	TOTAL FEDERAL AGENCIES							$	171,166,771
	TOTAL MORTGAGE-BACKED OBLIGATIONS
	(Cost $193,357,604)							$	196,225,210
	Agency Debentures – 7.2%
	FHLB
$	2,200,000		1.875	%		03/13/20		$	2,255,640
	3,700,000		2.125			06/09/23			3,830,299
	2,100,000		3.375			09/08/23			2,342,945
	300,000		3.375			12/08/23			335,754
	FNMA
	1,400,000		1.875			09/24/26			1,392,979
	2,600,000		6.250			05/15/29			3,759,953
	4,000,000		6.625			11/15/30			6,082,300
	New Valley Generation III
	2,104,748		4.929			01/15/21			2,292,492

Principal Amount		Interest Rate			Maturity Date		Value
	Agency Debentures – (continued)
	Small Business Administration
$	3,795		7.500	%		04/01/17	$	3,845
	11,377		6.300			05/01/18		11,753
	10,613		6.300			06/01/18		10,969
	Tennessee Valley Authority
	6,500,000		3.875			02/15/21		7,227,296
	TOTAL AGENCY DEBENTURES
	(Cost $28,011,388)						$	29,546,225
	Asset-Backed Securities – 7.2%
	Auto Floor Plan ABS(d) – 0.8%
	GMF Floorplan Owner Revolving Trust Series 2015-1, Class A1
$	2,000,000		1.650	%		05/15/20	$	1,998,924
	GMF Floorplan Owner Revolving Trust Series 2016-1, Class A1
	1,250,000		1.960			05/17/21		1,254,290
								3,253,214
	Automobiles(d) – 0.9%
	Avis Budget Rental Car Funding AESOP LLC Series 2015-2A, Class A
	2,150,000		2.630			12/20/21		2,175,854
	Ford Credit Auto Owner Trust Series 2016-2, Class A
	1,300,000		2.030			12/15/27		1,311,180
								3,487,034
	Student Loan – 5.5%
	Access Group, Inc. Series 2005-2, Class A3(a)(g)
	1,123,590		0.834			11/22/24		1,114,380
	Access Group, Inc. Series 2006-1, Class A2(a)
	161,316		0.772			08/25/23		160,736
	Alaska State Student Loan Corp. Series 2013, Class A(a)(g)
	3,200,101		1.024			08/25/31		3,096,175
	ECMC Group Student Loan Trust Series 2016-1A, Class A(a)(d)
	2,050,000		1.864			07/26/66		2,049,967
	Edsouth Indenture No. 9 LLC Series 2015-1, Class A(a)(d)
	1,644,142		1.324			10/25/56		1,602,018
	Higher Education Funding I Series 2005-1, Class A4(a)
	394,757		0.802			02/25/30		391,132
	Navient Student Loan Trust Series 2016-5A, Class A(a)(d)
	4,048,806		1.819			06/25/65		4,048,817
	Nelnet Student Loan Trust Series 2005-4, Class A3(a)
	550,627		0.777			06/22/26		548,067
	Nelnet Student Loan Trust Series 2013-5A, Class A(a)(d)
	399,197		1.154			01/25/37		388,258
	PHEAA Student Loan Trust Series 2016-1A, Class A(a)(d)
	2,100,000		1.728			09/25/65		2,099,980
	Scholar Funding Trust Series 2013-A, Class A(a)(d)
	2,519,113		1.174			01/30/45		2,414,439
	SLM Student Loan Trust Series 2003-14, Class A5(a)
	300,922		0.868			01/25/23		299,667
	SLM Student Loan Trust Series 2006-9, Class A4(a)
	7,111		0.708			10/25/22		7,109
	SLM Student Loan Trust Series 2008-5, Class A4(a)
	2,378,219		2.338			07/25/23		2,384,181

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

GOLDMAN SACHS GOVERNMENT INCOME FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Asset-Backed Securities – (continued)
	Student Loan – (continued)
	SPS Servicer Advance Receivables Trust Series 2015-T2, Class AT2(d)
$	1,800,000		2.620	%		01/15/47	$	1,800,776
	Wachovia Student Loan Trust Series 2005-1, Class A5(a)
	245,034		0.768			01/26/26		242,318
								22,648,020
	TOTAL ASSET-BACKED SECURITIES
	(Cost $29,665,797)						$	29,388,268
	Municipal Debt Obligation – 0.6%
	New Jersey – 0.6%
	New Jersey Economic Development Authority Series A (MBIA)
$	2,000,000		7.425	%		02/15/29	$	2,530,000
	(Cost $2,000,000)
	Government Guarantee Obligations(e) – 2.0%
	Hashemite Kingdom of Jordan Government AID Bond
$	4,600,000		2.503	%		10/30/20	$	4,823,382
	Israel Government AID Bond
	1,400,000		5.500			09/18/23		1,746,508
	500,000		5.500			12/04/23		626,002
	700,000		5.500			04/26/24		883,905
	TOTAL GOVERNMENT GUARANTEE OBLIGATIONS
	(Cost $7,746,369)						$	8,079,797
	U.S. Treasury Obligations – 45.2%
	United States Treasury Bonds
$	650,000		2.750	%		11/15/42	$	708,279
	10,810,000		3.625	(h)		08/15/43		13,773,993
	7,400,000		3.750	(h)		11/15/43		9,639,314
	6,130,000		3.625			02/15/44		7,812,440
	3,200,000		3.000			11/15/44		3,651,648
	1,600,000		3.000			05/15/45		1,825,472
	1,570,000		2.875			08/15/45		1,749,875
	620,000		2.250			08/15/46		609,007
	United States Treasury Inflation Protected Securities
	1,973,989		2.625			07/15/17		2,035,676
	18,843,910		0.125			04/15/18		19,052,889
	10,681,424		0.125			04/15/19		10,870,058
	6,371,554		0.125			04/15/20		6,498,985
	5,004,576		0.125			01/15/23		5,087,452
	3,496,713		0.125			07/15/24		3,549,164
	2,080,402		0.375			07/15/25		2,148,992
	2,241,820		2.500			01/15/29		2,846,753
	United States Treasury Notes
	5,100,000		0.750			01/31/18		5,101,836
	3,540,000		0.750			02/28/18		3,541,239
	1,700,000		1.625			06/30/20		1,737,298
	28,000,000		1.625			07/31/20		28,609,840
	6,900,000		1.750			12/31/20		7,084,989

Principal Amount		Interest Rate			Maturity Date			Value
	U.S. Treasury Obligations – (continued)
$	1,200,000		1.375	%		04/30/21		$	1,212,720
	4,700,000		2.000			10/31/21			4,883,911
	800,000		1.750			02/28/22			820,992
	6,000,000		1.875			05/31/22			6,193,620
	600,000		2.125			06/30/22			627,570
	1,300,000		2.000	(h)		07/31/22			1,350,713
	1,150,000		1.750			09/30/22			1,178,486
	1,810,000		1.875			10/31/22			1,867,612
	3,790,000		1.375			09/30/23			3,775,484
	9,100,000		2.250			11/15/24			9,606,961
	500,000		2.125			05/15/25			522,775
	400,000		2.000			08/15/25			413,996
	United States Treasury Strip Coupon(c)
	12,400,000		0.000			11/15/35			8,072,772
	3,200,000		0.000			02/15/36			2,071,136
	6,100,000		0.000			05/15/36			3,916,139
	TOTAL U.S. TREASURY OBLIGATIONS
	(Cost $175,829,780)							$	184,450,086
Shares					Distribution Rate			Value
	Investment Company(a)(i) – 3.0%
	Goldman Sachs Financial Square Government Fund – Institutional Shares
	12,017,515					0.290	%	$	12,017,515
	(Cost $12,017,515)
	TOTAL INVESTMENTS – 113.3%
	(Cost $448,628,453)							$	462,237,101
	LIABILITIES IN EXCESS OF     OTHER ASSETS – (13.3)%								(54,428,308	)
	NET ASSETS – 100.0%							$	407,808,793

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 or distribution rate disclosed is that which is in effect on September 30, 2016.
(b)	Security with a notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate.
(c)	Issued with a zero coupon. Income is recognized through the accretion of discount.
(d)	Exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be deemed 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 $21,145,364, which represents approximately 5.2% of net assets as of September 30, 2016.
(e)	Guaranteed by the United States Government until maturity. Total market value for these securities amounts to $8,556,741, which represents approximately 2.1% of net assets as of September 30, 2016.

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

GOLDMAN SACHS GOVERNMENT INCOME FUND

(f)	TBA (To Be Announced) Securities are purchased 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 $62,570,389 which represents approximately 15.3% of net assets as of September 30, 2016.
(g)	Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.
(h)	All or a portion of security is segregated as collateral for initial margin requirements on futures transactions.
(i)	Represents an affiliated fund.

Investment Abbreviations:
FDIC	—Federal Deposit Insurance Corp.
FHLB	—Federal Home Loan Bank
FHLMC	—Federal Home Loan Mortgage Corp.
FNMA	—Federal National Mortgage Association
GNMA	—Government National Mortgage Association
LIBOR	—London Interbank Offered Rate
LLC	—Limited Liability Company
MBIA	—Insured by Municipal Bond Investors Insurance
NCUA	—National Credit Union Administration
REMIC	—Real Estate Mortgage Investment Conduit
STRIPS	—Separate Trading of Registered Interest and Principal of Securities

ADDITIONAL INVESTMENT INFORMATION

FORWARD SALES CONTRACTS — At September 30, 2016, the Fund had the following forward sales contracts:

Description	Interest Rate	Maturity Date(a)	Settlement Date	Principal Amount			Value
FHLMC (Proceeds Receivable: $(5,251,563))	3.500%	TBA-30yr	10/13/16	$	(5,000,000	)	$	(5,275,391	)

(a) TBA (To Be Announced) Securities are purchased or 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.

FUTURES CONTRACTS — At September 30, 2016, the Fund had the following futures contracts:

Type	Number of Contracts Long (Short)			Expiration Date		Current Value			Unrealized Gain (Loss)
Ultra Long U.S. Treasury Bonds		(71	)		December 2016		$(13,055,125)			$218,548
Ultra 10 Year U.S. Treasury Notes		(3	)		December 2016		(432,469	)		190
2 Year U.S. Treasury Notes		52			December 2016		11,360,375			14,120
5 Year U.S. Treasury Notes		67			December 2016		8,141,547			(1,052	)
10 Year U.S. Treasury Notes		27			December 2016		3,540,375			(4,665	)
20 Year U.S. Treasury Bonds		7			December 2016		1,177,094			(11,095	)
TOTAL									$	216,046

SWAP CONTRACTS — At September 30, 2016, the Fund had the following swap contracts:

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACT

			Rates Exchanged			Market Value
Notional Amount (000s)		Termination Date	Payments Received		Payments Made	Upfront Payments Made (Received)		Unrealized Gain (Loss)
$	12,900	09/09/36		3 month LIBOR	1.231%	$	17,464	$	192,329

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

GOLDMAN SACHS HIGH QUALITY FLOATING RATE FUND

Schedule of Investments

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations(a) – 0.2%
	Banks – 0.2%
	DnB Boligkreditt AS
$	800,000		1.450	%		03/21/19	$	801,366
	(Cost $799,236)
	Mortgage-Backed Obligations – 43.5%
	Collateralized Mortgage Obligations – 37.6%
	Interest Only(b) – 0.0%
	FNMA REMIC Series 1990-145, Class B
$	152		1,004.961	%		12/25/20	$	711
	Regular Floater(c) – 31.4%
	FDIC Structured Sale Guaranteed Notes Series 2010-S1, Class 1A(a)
	2,583		1.074			02/25/48		2,583
	FHLMC REMIC Series 1826, Class F
	22,971		0.924			09/15/21		22,978
	FHLMC REMIC Series 3049, Class FP
	4,648,433		0.874			10/15/35		4,623,322
	FHLMC REMIC Series 3208, Class FD
	1,572,476		0.924			08/15/36		1,572,476
	FHLMC REMIC Series 3208, Class FG
	1,529,977		0.924			08/15/36		1,529,977
	FHLMC REMIC Series 3307, Class FA
	11,244,554		0.954			07/15/34		11,260,182
	FHLMC REMIC Series 3312, Class HF
	5,075,944		0.824			08/15/33		5,080,920
	FHLMC REMIC Series 3371, Class FA
	526,056		1.124			09/15/37		529,681
	FHLMC REMIC Series 3374, Class FT
	379,675		0.824			04/15/37		378,754
	FHLMC REMIC Series 3471, Class FB
	2,311,143		1.524			08/15/35		2,341,858
	FHLMC REMIC Series 3545, Class FA
	590,154		1.374			06/15/39		593,910
	FHLMC REMIC Series 3588, Class CW
	2,851,084		3.145			10/15/37		2,991,569
	FHLMC REMIC Series 4039, Class FA
	3,712,295		1.024			05/15/42		3,720,124
	FHLMC REMIC Series 4057, Class CF
	6,973,772		0.974			04/15/39		6,970,018
	FHLMC REMIC Series 4272, Class FD
	6,427,221		0.874			11/15/43		6,406,592
	FHLMC REMIC Series 4316, Class FY
	2,206,032		0.924			11/15/39		2,213,296
	FHLMC REMIC Series 4477, Class FG
	10,485,129		0.794			10/15/40		10,367,073
	FHLMC REMIC Series 4614, Class FK(d)
	9,500,000		1.032			09/15/46		9,494,062
	FHLMC STRIPS Series 237, Class F23
	440,233		0.924			05/15/36		439,862
	FNMA REMIC Series 1990-145, Class A
	61,986		1.466			12/25/20		62,047
	FNMA REMIC Series 1997-20, Class F
	182,161		1.036			03/25/27		182,651

Principal Amount		Interest Rate			Maturity Date		Value
	Mortgage-Backed Obligations – (continued)
	Regular Floater(c) – (continued)
	FNMA REMIC Series 1998-66, Class FC
$	62,674		1.031	%		11/17/28	$	63,026
	FNMA REMIC Series 2006-42, Class CF
	10,395,822		0.975			06/25/36		10,420,704
	FNMA REMIC Series 2006-72, Class XF
	912,403		1.025			08/25/36		913,167
	FNMA REMIC Series 2007-114, Class A7
	2,275,000		0.725			10/27/37		2,263,684
	FNMA REMIC Series 2007-33, Class HF
	68,042		0.875			04/25/37		67,788
	FNMA REMIC Series 2007-36, Class F
	1,336,354		0.755			04/25/37		1,328,213
	FNMA REMIC Series 2007-92, Class OF
	502,470		1.095			09/25/37		504,239
	FNMA REMIC Series 2008-22, Class FD
	760,248		1.365			04/25/48		765,917
	FNMA REMIC Series 2009-75, Class MF
	1,137,593		1.675			09/25/39		1,160,101
	FNMA REMIC Series 2010-123, Class FL
	2,265,144		0.955			11/25/40		2,269,353
	FNMA REMIC Series 2011-110, Class FE
	3,799,764		0.925			04/25/41		3,798,746
	FNMA REMIC Series 2011-53, Class FT
	755,256		1.105			06/25/41		759,999
	FNMA REMIC Series 2011-63, Class FG
	826,568		0.975			07/25/41		827,963
	FNMA REMIC Series 2012-56, Class FG
	3,074,073		1.025			03/25/39		3,090,747
	FNMA REMIC Series 2014-19, Class FA
	2,114,080		0.925			11/25/39		2,121,308
	FNMA REMIC Series 2014-19, Class FJ
	2,361,871		0.925			11/25/39		2,369,725
	FNMA REMIC Series 2016-1, Class FT
	7,585,347		0.875			02/25/46		7,526,810
	FNMA REMIC Series 2016-23, Class FT
	1,378,975		1.025			11/25/45		1,377,265
	FNMA REMIC Series 2016-33, Class PF
	2,969,096		1.025			06/25/46		2,958,058
	GNMA REMIC Series 2010-53, Class FC
	1,109,176		1.352			04/20/40		1,120,998
	GNMA REMIC Series 2012-12, Class HF
	1,436,173		0.932			01/20/42		1,433,625
	NCUA Guaranteed Notes Series 2010-A1, Class A
	310,107		0.863			12/07/20		309,359
	NCUA Guaranteed Notes Series 2011-R1, Class 1A
	586,547		0.976			01/08/20		587,441
	NCUA Guaranteed Notes Series 2011-R2, Class 1A
	1,778,269		0.919			02/06/20		1,778,964
	NCUA Guaranteed Notes Series 2011-R3, Class 1A
	1,569,295		0.918			03/11/20		1,564,391
	NCUA Guaranteed Notes Series 2011-R4, Class 1A
	918,250		0.907			03/06/20		917,927
								123,083,453
	Sequential Fixed Rate – 0.3%
	FHLMC REMIC Series 4248, Class LM
	914,764		6.500			05/15/41		1,066,606

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

GOLDMAN SACHS HIGH QUALITY FLOATING RATE FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Mortgage-Backed Obligations – (continued)
	Sequential Floating Rate(c) – 5.9%
	FHLMC Multifamily Structured Pass Through Certificates, Series KF02, Class A1
$	2,296,847		0.902	%		07/25/20	$	2,296,165
	FHLMC Multifamily Structured Pass Through Certificates, Series KF03, Class A
	4,974,930		0.862			01/25/21		4,967,495
	FHLMC Multifamily Structured Pass Through Certificates, Series KS02, Class A
	7,725,782		0.876			08/25/23		7,718,930
	FHLMC Multifamily Structured Pass-Through Certificates Series KF19, Class A
	7,499,041		0.972			06/25/23		7,471,228
	FNMA ACES Series 2013-M11, Class FA
	515,065		0.855			01/25/18		514,082
	Leek Finance PLC Series 2018X, Class A2B
	340,668		1.121			09/21/38		367,249
								23,335,149
	TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS						$	147,485,919
	Federal Agencies – 5.9%
	Adjustable Rate FHLMC(c) – 2.1%
$	9,151		2.544	%		08/01/18	$	9,216
	4,248		2.554			11/01/18		4,280
	32,736		2.931			11/01/18		32,905
	2,489		2.250			02/01/19		2,500
	8,774		1.940			03/01/19		8,798
	7,005		2.540			03/01/19		7,060
	9,821		2.170			06/01/19		9,867
	3,675		2.270			07/01/19		3,693
	205,658		2.584			11/01/19		207,405
	120,823		6.878			11/01/19		126,707
	8,727		3.045			01/01/20		8,806
	18,475		1.940			05/01/21		18,589
	2,554		1.940			10/01/26		2,581
	444,622		3.510			08/01/28		464,151
	139,553		2.772			05/01/29		144,377
	12,886		4.132			06/01/29		13,788
	27,248		1.920			04/01/30		27,622
	22,827		4.384			06/01/30		24,426
	117,229		3.050			12/01/30		121,290
	9,388		2.484			02/01/31		9,535
	7,609		2.516			06/01/31		7,972
	1,568,099		3.082			05/01/34		1,656,049
	1,368,540		2.905			05/01/35		1,436,734
	94,136		3.870			05/01/35		97,793
	3,488,524		2.570			01/01/38		3,681,564
								8,127,708
	Adjustable Rate FNMA(c) – 2.7%
	3,580		6.750			04/01/17		3,580
	6,231		4.258			08/01/17		6,262
	16,496		2.745			09/01/17		16,530
	13,450		2.015			03/01/18		13,469
	7,276		2.625			03/01/18		7,276

Principal Amount		Interest Rate			Maturity Date		Value
	Mortgage-Backed Obligations – (continued)
	Adjustable Rate FNMA(c) – (continued)
$	86,068		2.048	%		07/01/18	$	86,215
	7,214		1.988			10/01/18		7,236
	7,642		2.676			10/01/18		7,826
	12,061		2.789			10/01/18		12,109
	25,601		1.904			01/01/19		25,675
	60,293		3.963			04/01/19		61,574
	6,090		6.004			04/01/19		6,333
	165,816		1.902			05/01/19		166,448
	15,646		6.084			07/01/19		16,146
	53,762		4.285			08/01/19		55,038
	47,357		6.068			05/01/20		49,009
	80,074		1.888			06/01/20		80,357
	4,832		6.681			02/01/22		5,134
	25,744		2.428			05/20/22		25,839
	82,448		2.696			02/01/23		84,533
	170,405		2.743			01/01/24		175,156
	232,258		2.876			03/01/24		239,177
	132,334		2.206			06/20/24		133,128
	5,424		3.557			08/01/24		5,533
	54,014		5.083			01/01/25		57,556
	8,673		3.345			06/01/27		8,887
	7,067		4.250			12/01/27		7,561
	9,646		4.518			01/01/28		10,321
	9,444		1.921			06/01/29		9,552
	9,054		2.097			06/01/29		9,200
	1,477,709		2.820			07/01/33		1,561,324
	363,107		2.808			11/01/34		383,549
	5,685		3.882			05/01/36		5,945
	2,020,766		2.874			03/01/37		2,137,584
	306,770		2.893			09/01/37		319,177
	68,526		1.889			06/01/40		69,589
	6,180		1.689			02/01/41		6,238
	1,226,974		2.511			04/01/44		1,269,979
	3,339,493		2.582			09/01/44		3,438,657
								10,584,702
	Adjustable Rate GNMA(c) – 0.5%
	1,053,427		2.125			04/20/33		1,086,502
	220,934		2.125			05/20/33		229,246
	412,818		1.875			08/20/34		426,112
								1,741,860
	FHLMC – 0.2%
	68,312		5.500			01/01/20		71,531
	67,104		7.000			04/01/21		71,103
	30,583		7.000			08/01/21		32,864
	99,034		7.000			05/01/22		107,509
	354,588		7.000			06/01/22		384,935
	2,227		4.500			05/01/23		2,383
								670,325
	FNMA – 0.4%
	2,556		7.000			05/01/17		2,598
	12,143		5.500			03/01/18		12,479
	9,368		5.500			04/01/18		9,565
	2,902		5.000			09/01/19		3,043
	481		5.000			11/01/19		496

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

GOLDMAN SACHS HIGH QUALITY FLOATING RATE FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date			Value
	Mortgage-Backed Obligations – (continued)
	FNMA – (continued)
$	3,447		5.000	%		01/01/20		$	3,539
	28,621		7.000			07/01/21			30,645
	71,140		7.000			11/01/21			77,092
	39,765		7.000			12/01/21			40,462
	100,604		7.000			01/01/22			105,462
	16,170		7.000			02/01/22			17,463
	58,155		7.000			01/01/28			64,668
	20,256		6.500			04/01/33			23,918
	30,963		6.000			05/01/38			35,464
	39,526		6.000			11/01/38			45,271
	88,701		6.000			09/01/39			101,594
	31,115		6.000			10/01/39			35,650
	22,671		6.000			10/01/40			25,966
	32,046		6.000			05/01/41			36,704
	1,000,000		3.500			TBA-30yr	(e)		1,055,313
									1,727,392
	GNMA – 0.0%
	30,677		7.000			04/15/26			34,243
	TOTAL FEDERAL AGENCIES							$	22,886,230
	TOTAL MORTGAGE-BACKED OBLIGATIONS (Cost $170,641,309)							$	170,372,149
	Asset-Backed Securities(c) – 39.7%
	Collateralized Loan Obligations – 14.1%
	Aberdeen Loan Funding Ltd. Series 2008-1A, Class A(a)
$	326,533		1.287	%		11/01/18		$	326,490
	ACIS CLO Ltd. Series 2013-1A, Class A1(a)
	1,150,000		1.503			04/18/24			1,139,078
	ACIS CLO Ltd. Series 2013-2A, Class A(a)
	1,114,620		1.130			10/14/22			1,106,270
	Atrium X Series 2010-A, Class A(a)
	2,750,000		1.753			07/16/25			2,740,535
	B&M CLO Ltd. Series 2014-1A, Class A1(a)
	750,000		2.033			04/16/26			748,596
	Black Diamond CLO Ltd. Series 2006-1A, Class AD(a)
	789,124		1.002			04/29/19			787,966
	Brentwood CLO Corp. Series 2006-1A, Class A1A(a)
	563,921		0.907			02/01/22			561,173
	Brentwood CLO Corp. Series 2006-1A, Class A1B(a)
	446,881		0.907			02/01/22			444,703
	Chesapeake Funding II LLC Series 16-2A, Class A2(a)
	2,950,000		1.448			06/15/28			2,965,928
	Crown Point CLO Ltd. Series 2012-1A, Class A1LA(a)
	343,044		1.386			11/21/22			340,590
	Crown Point CLO Ltd. Series 2013-2A, Class A1L(a)
	8,000,000		1.600			12/31/23			7,931,672
	Dryden XXVI Senior Loan Fund Series 2013-26A, Class A(a)
	1,800,000		1.728			07/15/25			1,785,919
	Goldentree Loan Opportunities III Ltd. Series 2007-3A, Class A1BJ(a)
	4,700,000		1.037			05/01/22			4,688,438
	ICG US CLO Ltd. Series 2014-1A, Class A1(a)
	2,100,000		1.784			04/20/26			2,082,746

Principal Amount		Interest Rate			Maturity Date		Value
	Asset-Backed Securities(c) – (continued)
	Collateralized Loan Obligations – (continued)
	Jamestown CLO VII Ltd. Series 2015-7A, Class A1(a)
$	2,350,000		2.188	%		07/25/27	$	2,350,552
	KKR Financial CLO Ltd. Series 2013-1A, Class A1(a)
	5,250,000		1.778			07/15/25		5,245,049
	OCP CLO Ltd. Series 2012-2A, Class A1(a)
	730,647		1.474			11/22/23		726,301
	OCP CLO Ltd. Series 2014-5A, Class A1(a)
	2,350,000		1.636			04/26/26		2,319,452
	OFSI Fund V Ltd. Series 2013-5A, Class A1LA(a)
	1,000,000		1.563			04/17/25		989,391
	OFSI Fund VI Ltd. Series 2014-6A, Class A1(a)
	2,250,000		1.658			03/20/25		2,223,160
	OFSI Fund VII Ltd. Series 2014-7A, Class A(a)
	2,100,000		1.973			10/18/26		2,092,885
	OZLM Funding III Ltd. Series 2013-3A, Class A1(a)
	2,000,000		1.965			01/22/25		2,000,032
	Sound Point CLO Vlll Ltd. Series 2015-1A, Class A(a)
	5,100,000		2.158			04/15/27		5,099,980
	Symphony CLO XI Ltd. Series 2013-11A, Class A(a)
	2,000,000		1.933			01/17/25		1,994,084
	Trinitas CLO Ltd. Series 2014-1A, Class A1(a)
	600,000		2.158			04/15/26		600,152
	Westchester CLO Ltd. Series 2007-1X, Class A1A
	457,057		0.862			08/01/22		455,620
	Zais CLO 1 Ltd. Series 2014-1A, Class A1(a)
	1,700,000		2.028			04/15/26		1,701,681
								55,448,443
	Credit Card – 3.2%
	Bank of America Credit Card Trust Series 2014-A1, Class A
	5,650,000		0.904			06/15/21		5,668,242
	CARDS II Trust Series 2016-1A, Class A(a)
	1,500,000		1.224			07/15/21		1,499,465
	Evergreen Credit Card Trust Series 2016-1, Class A(a)
	2,550,000		1.244			04/15/20		2,561,521
	Trillium Credit Card Trust II Series 2016-1A, Class A(a)
	2,800,000		1.242			05/26/21		2,801,760
								12,530,988
	Student Loan – 22.4%
	Academic Loan Funding Trust Series 2013-1, Class A(a)
	3,189,674		1.325			12/26/44		3,138,503
	Access Group, Inc. Series 2005-2, Class A3(d)
	1,308,060		0.834			11/22/24		1,297,338
	Access Group, Inc. Series 2006-1, Class A2
	193,579		0.772			08/25/23		192,884
	Access Group, Inc. Series 2013-1, Class A(a)
	1,565,352		1.024			02/25/36		1,535,688
	Access Group, Inc. Series 2015-1, Class A(a)
	831,860		1.224			07/25/56		813,529
	Access to Loans for Learning Student Loan Corp. Series 2013-I, Class A
	2,528,455		1.324			02/25/41		2,430,640
	Alaska State Student Loan Corp. Series 2013, Class A(d)
	2,478,952		1.024			08/25/31		2,398,445
	Bank of America Student Loan Trust Series 2010-1A, Class A(a)
	1,929,965		1.438			02/25/43		1,902,518

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

GOLDMAN SACHS HIGH QUALITY FLOATING RATE FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Asset-Backed Securities(c) – (continued)
	Student Loan – (continued)
	Brazos Higher Education Authority, Inc. Series 2005-1, Class 1A3(d)
$	139,200		0.967	%		09/26/22	$	138,986
	Brazos Higher Education Authority, Inc. Series 2006-1, Class A3(d)
	793,166		0.750			12/26/24		789,081
	Brazos Higher Education Authority, Inc. Series 2011-1, Class A2
	373,905		1.462			02/25/30		373,832
	ECMC Group Student Loan Trust Series 2016-1A, Class A(a)
	1,950,000		1.864			07/26/66		1,949,968
	Education Loan Asset-Backed Trust I Series 2013-1, Class A1(a)
	3,052,647		1.324			06/25/26		2,999,213
	Educational Services of America, Inc. Series 2010-1, Class A1(a)
	2,200,153		1.488			07/25/23		2,180,715
	Educational Services of America, Inc. Series 2012-1, Class A1(a)
	3,290,354		1.674			09/25/40		3,269,829
	Educational Services of America, Inc. Series 2014-1, Class A(a)
	2,689,917		1.224			02/25/39		2,638,664
	GCO Education Loan Funding Trust Series 2005-2, Class A6L
	264,906		0.812			05/27/24		264,419
	GCO Education Loan Funding Trust Series 2006-1, Class A8L
	2,093,376		0.792			05/25/25		2,062,876
	Goal Capital Funding Trust Series 2007-1, Class A3
	557,755		0.947			09/25/28		553,403
	Goal Capital Funding Trust Series 2010-1, Class A(a)
	73,276		1.362			08/25/48		71,016
	Higher Education Funding I Series 2005-1, Class A4
	466,531		0.802			02/25/30		462,247
	Kentucky Higher Education Student Loan Corp. Series 2015-1, Class A1
	5,754,164		1.244			12/01/31		5,642,533
	Knowledgeworks Foundation Student Loan Series 2010-1, Class A
	1,901,681		1.612			02/25/42		1,874,719
	Massachusetts Educational Financing Authority Series 2008-1, Class A1
	745,304		1.588			04/25/38		743,562
	Missouri Higher Education Loan Authority Series 2010-2, Class A1
	3,496,737		1.675			08/27/29		3,448,295
	Montana Higher Education Student Assistance Corp. Series 2012-1, Class A2
	3,941,193		1.512			05/20/30		3,859,507
	Navient Student Loan Trust Series 2016-5A, Class A(a)
	3,703,176		1.819			06/25/65		3,703,186
	Nelnet Student Loan Trust Series 2005-4, Class A3
	642,399		0.777			06/22/26		639,412
	Nelnet Student Loan Trust Series 2006-2, Class A5
	3,224,862		0.738			01/25/30		3,179,127
	Nelnet Student Loan Trust Series 2013-5A, Class A(a)
	798,394		1.154			01/25/37		776,516
	Northstar Education Finance, Inc. Series 2012-1, Class A(a)
	939,182		1.224			12/26/31		916,890
	Rhode Island Student Loan Authority Series 2012-1, Class A1
	2,746,036		1.394			07/01/31		2,699,247

Principal Amount		Interest Rate			Maturity Date		Value
	Asset-Backed Securities(c) – (continued)
	Student Loan – (continued)
	Rhode Island Student Loan Authority Series 2014-1, Class A1(d)
$	697,453		1.194	%		10/02/28	$	678,420
	Scholar Funding Trust Series 2010-A, Class A(a)
	826,160		1.384			10/28/41		809,728
	Scholar Funding Trust Series 2012-B, Class A1(a)
	725,922		0.924			10/28/25		725,567
	Scholar Funding Trust Series 2013-A, Class A(a)
	3,358,124		1.174			01/30/45		3,218,587
	SLC Student Loan Center Series 2011-1, Class A(a)
	1,537,893		1.744			10/25/27		1,532,599
	SLC Student Loan Trust Series 2010-1, Class A
	980,329		1.537			11/25/42		982,827
	SLM Student Loan Trust Series 2003-12, Class A5(a)
	1,292,695		0.933			09/15/22		1,289,249
	SLM Student Loan Trust Series 2003-14, Class A5
	348,436		0.868			01/25/23		346,983
	SLM Student Loan Trust Series 2004-1, Class A3
	1,573,530		0.848			04/25/23		1,568,381
	SLM Student Loan Trust Series 2004-8A, Class A5(a)
	1,746,328		1.138			04/25/24		1,744,761
	SLM Student Loan Trust Series 2005-9, Class A6
	3,100,000		1.188			10/26/26		3,082,517
	SLM Student Loan Trust Series 2006-2, Class A5
	1,478,105		0.748			07/25/25		1,470,384
	SLM Student Loan Trust Series 2006-4, Class A5
	1,258,984		0.738			10/27/25		1,256,745
	SLM Student Loan Trust Series 2006-8, Class A4
	27,207		0.718			10/25/21		27,193
	SLM Student Loan Trust Series 2006-9, Class A4
	8,635		0.708			10/25/22		8,633
	SLM Student Loan Trust Series 2008-2, Class A3
	774,924		1.388			04/25/23		745,551
	SLM Student Loan Trust Series 2008-5, Class A4
	777,495		2.338			07/25/23		779,444
	SLM Student Loan Trust Series 2012-3, Class A
	1,355,193		1.174			12/26/25		1,303,799
	SLM Student Loan Trust Series 2012-6, Class A2
	126,813		0.804			09/25/19		126,751
	SLM Student Loan Trust Series 2013-3, Class A2
	324,979		0.824			05/26/20		324,504
	SLM Student Loan Trust Series 2014-1, Class A2
	523,167		0.904			07/26/21		522,361
	Utah State Board of Regents Series 2012-1, Class A(d)
	2,727,542		1.274			12/26/31		2,685,456
	Utah State Board of Regents Series 2015-1, Class A
	3,452,971		1.124			02/25/43		3,323,758
	Wachovia Student Loan Trust Series 2005-1, Class A5
	272,260		0.768			01/26/26		269,242
								87,770,228
	TOTAL ASSET-BACKED SECURITIES (Cost $156,156,137)						$	155,749,659

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

GOLDMAN SACHS HIGH QUALITY FLOATING RATE FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Government Guarantee Obligation(f) – 1.1%
	Hashemite Kingdom of Jordan Government AID Bond
$	4,000,000		2.503	%		10/30/20	$	4,194,245
	(Cost $4,000,000)
	U.S. Treasury Obligations – 12.4%
	United States Treasury Inflation Protected Securities
$	7,431,488		2.625	%		07/15/17	$	7,663,722
	12,389,090		0.125			04/15/18		12,526,485
	1,766,543		0.125			04/15/19		1,797,740
	8,581,045		0.125			04/15/20		8,752,665
	5,407,199		1.250			07/15/20		5,778,944
	775,598		0.375			07/15/23		804,078
	United States Treasury Notes
	4,900,000		0.750			04/30/18		4,900,637
	1,020,000		1.000			05/15/18		1,024,111
	4,200,000		1.625			06/30/20		4,292,148
	1,020,000		1.625	(g)		07/31/20		1,042,216
	TOTAL U.S. TREASURY OBLIGATIONS (Cost $48,254,509)						$	48,582,746

Shares	Distribution Rate		Value
Investment Company(c)(h) – 3.8%
Goldman Sachs Financial Square Government Fund – Institutional Shares
14,886,775		0.290%	$	14,886,775
(Cost $14,886,775)
TOTAL INVESTMENTS –100.7% (Cost $394,737,966)			$	394,586,940
LIABILITIES IN EXCESS OF     OTHER ASSETS – (0.7)%				(2,593,545	)
NET ASSETS – 100.0%			$	391,993,395

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
(a)	Exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be deemed 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 $97,876,244, which represents approximately 25.0% of net assets as of September 30, 2016.
(b)	Security with a notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate.
(c)	Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on September 30, 2016.
(d)	Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.
(e)	TBA (To Be Announced) Securities are purchased 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 $1,055,313 which represents approximately 0.3% of net assets as of September 30, 2016.
(f)	Guaranteed by the United States Government until maturity. Total market value for these securities amounts to $4,194,245, which represents approximately 1.1% of net assets as of September 30, 2016.
(g)	All or a portion of security is segregated as collateral for initial margin requirements on futures transactions.
(h)	Represents an Affiliated fund.

Investment Abbreviations:
ACES	—Alternative Credit Enhancement Securities
CLO	—Collateralized Loan Obligation
FDIC	—Federal Deposit Insurance Corp.
FHLMC	—Federal Home Loan Mortgage Corp.
FNMA	—Federal National Mortgage Association
GNMA	—Government National Mortgage Association
LLC	—Limited Liability Company
NCUA	—National Credit Union Administration
PLC	—Public Limited Company
REMIC	—Real Estate Mortgage Investment Conduit
STRIPS	—Separate Trading of Registered Interest and Principal of Securities

ADDITIONAL INVESTMENT INFORMATION

FUTURES CONTRACTS — At September 30, 2016, the Fund had the following futures contracts:

Type	Number of Contracts Long (Short)			Expiration Date	Current Value			Unrealized Gain (Loss)
2 Year U.S. Treasury Notes		(159	)	December 2016	$	(34,736,531	)	$	(15,678	)
5 Year U.S. Treasury Notes		(185	)	December 2016		(22,480,391	)		(58,631	)
10 Year U.S. Treasury Notes		(20	)	December 2016		(2,622,500	)		(6,265	)
TOTAL								$	(80,574	)

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

GOLDMAN SACHS INFLATION PROTECTED SECURITIES FUND

Schedule of Investments

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	U.S. Treasury Obligations – 98.4%
	United States Treasury Inflation Protected Securities
$	1,384,663		0.125	%		04/15/18	$	1,400,019
	1,674,045		1.375			07/15/18		1,745,460
	17,049,196		0.125			04/15/19		17,350,285
	21,992,138		0.125			04/15/20		22,431,981
	5,076,146		1.250			07/15/20		5,425,131
	33,468,102		0.125			01/15/23		34,022,334
	2,688,738		0.375			07/15/23		2,787,468
	53,768,297		0.125	(a)		07/15/24		54,574,821
	29,810,631		0.375			07/15/25		30,793,488
	24,155,611		2.500			01/15/29		30,673,760
	18,483,270		2.125			02/15/40		24,643,374
	3,314,678		1.375			02/15/44		3,938,766
	United States Treasury Principal-Only STRIPS(b)
	9,700,000		0.000			08/15/45		4,803,440
	TOTAL U.S. TREASURY OBLIGATIONS
	(Cost $227,965,290)						$	234,590,327

Shares		Distribution Rate	Value
	Investment Company(c)(d) – 0.0%
	Goldman Sachs Financial Square Government Fund – Institutional Shares
	25	0.290%	$	25
	(Cost $25)
	TOTAL INVESTMENTS – 98.4%
	(Cost $227,965,315)		$	234,590,352
	OTHER ASSETS IN EXCESS OF     LIABILITIES – 1.6%			3,840,566
	NET ASSETS – 100.0%		$	238,430,918

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
(a)	All or a portion of security is segregated as collateral for initial margin requirements on futures transactions.
(b)	Issued with a zero coupon. Income is recognized through the accretion of discount.
(c)	Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on September 30, 2016.
(d)	Represents an affiliated fund.

Investment Abbreviations:
LIBOR	—London Interbank Offered Rate
LLC	—Limited Liability Company
PLC	—Public Limited Company
STRIPS	—Separate Trading of Registered Interest and Principal of Securities

ADDITIONAL INVESTMENT INFORMATION

FUTURES CONTRACTS — At September 30, 2016, the Fund had the following futures contracts:

Type	Number of Contracts Long (Short)			Expiration Date		Current Value			Unrealized Gain (Loss)
Eurodollars		(6	)		December 2017	$	(1,484,025	)	$	158
Eurodollars		(6	)		March 2018		(1,483,725	)		136
Eurodollars		(2	)		June 2018		(494,425	)		(256	)
Eurodollars		(5	)		September 2018		(1,235,625	)		125
Ultra Long U.S. Treasury Bonds		(7	)		December 2016		(1,287,125	)		13,459
Ultra 10 Year U.S. Treasury Notes		(93	)		December 2016		(13,406,531	)		(30,010	)
U.S. Long Bonds		(48	)		December 2016		(8,071,500	)		55,417
2 Year U.S. Treasury Notes		55			December 2016		12,015,781			13,975
5 Year U.S. Treasury Notes		224			December 2016		27,219,500			84,501
10 Year U.S. Treasury Notes		(109	)		December 2016		(14,292,625	)		(46,307	)
TOTAL									$	91,198

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

GOLDMAN SACHS INFLATION PROTECTED SECURITIES FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION (continued)

SWAP CONTRACTS — At September 30, 2016, the Fund had the following swap contracts:

OVER THE COUNTER INTEREST RATE SWAP CONTRACTS

					Rates Exchanged
Counterparty	Notional Amount (000s)		Termination Date		Payments Received		Payments Made		Unrealized Gain (Loss)*
Bank of America Securities LLC	$	5,400		04/22/19		3 month LIBOR		1.650%		$35,241
		9,400		06/02/21		3 month LIBOR		1.697		46,571
		4,200		08/03/21		3 month LIBOR		1.475		52,943
		4,200		08/15/21		3 month LIBOR		1.492		45,703
		9,400		06/02/26		1.880%		3 month LIBOR		(3,972	)
		2,100		08/03/26		1.700		3 month LIBOR		(35,044	)
		2,100		08/15/26		1.712		3 month LIBOR		(30,941	)
Barclays Bank PLC		3,900		06/20/19		3 month LIBOR		1.667		21,558
		10,000		07/08/19		3 month LIBOR		1.642		52,266
JPMorgan Securities, Inc.		6,300		04/21/19		3 month LIBOR		1.622		45,859
		9,300		05/26/19		3 month LIBOR		1.702		51,522
TOTAL									$	281,706

* There are no upfront payments on the swap contracts (s), therefore the unrealized gain (loss) on the swap contracts is equal to their market value.

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS

				Rates Exchanged				Market Value
Notional Amount (000s)		Termination Date		Payments Received		Payments Made		Upfront Payments Made (Received)		Unrealized Gain (Loss)
$	2,200		09/06/21		3 month LIBOR		1.515%	$	20	$	19,703
	3,300		09/13/21		3 month LIBOR		1.579		29		20,631
	2,200		09/06/26		1.740%		3 month LIBOR		33		(25,170	)
	3,300		09/13/26		1.780		3 month LIBOR		50		(26,115	)
	TOTAL							$	132	$	(10,951	)

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

GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND

Schedule of Investments

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Mortgage-Backed Obligations – 45.6%
	Collateralized Mortgage Obligations – 6.7%
	Interest Only(a) – 0.0%
	FHLMC REMIC Series 1161, Class U
$	165		1,172.807	%		11/15/21	$	2,723
	Inverse Floaters(b) – 0.0%
	FNMA REMIC Series 1990-134, Class SC
	6,506		20.812			11/25/20		8,383
	Regular Floater(b) – 3.4%
	FDIC Structured Sale Guaranteed Notes Series 2010-S1, Class 1A(c)
	35,304		1.074			02/25/48		35,308
	FNMA REMIC Series 1988-12, Class B
	3,460		0.000			02/25/18		3,433
	FNMA REMIC Series 2007-114, Class A7
	7,875,000		0.725			10/27/37		7,835,828
	FNMA REMIC Series 2007-33, Class HF
	585,571		0.875			04/25/37		583,392
	NCUA Guaranteed Notes Series 2010-A1, Class A
	1,912,327		0.863			12/07/20		1,907,714
	NCUA Guaranteed Notes Series 2010-R2, Class 1A
	3,768,428		0.898			11/06/17		3,769,752
	NCUA Guaranteed Notes Series 2011-R1, Class 1A
	3,435,490		0.975			01/08/20		3,440,724
	NCUA Guaranteed Notes Series 2011-R2, Class 1A
	11,914,404		0.927			02/06/20		11,919,057
	NCUA Guaranteed Notes Series 2011-R3, Class 1A
	10,636,333		0.918			03/11/20		10,603,095
	NCUA Guaranteed Notes Series 2011-R4, Class 1A
	6,177,316		0.904			03/06/20		6,175,144
								46,273,447
	Sequential Fixed Rate – 3.0%
	FDIC Structured Sale Guaranteed Notes Series 2010-S1, Class 2A(c)
	4,813,995		3.250			04/25/38		4,928,629
	FHLMC REMIC Series 108, Class G
	20,597		8.500			12/15/20		21,417
	FHLMC REMIC Series 1980, Class Z
	447,795		7.000			07/15/27		509,061
	FHLMC REMIC Series 2019, Class Z
	424,393		6.500			12/15/27		476,555
	FHLMC REMIC Series 2755, Class ZA
	943,357		5.000			02/15/34		1,035,007
	FHLMC REMIC Series 3530, Class DB
	5,959,840		4.000			05/15/24		6,251,676
	FHLMC REMIC Series 4273, Class PD
	1,723,023		6.500			11/15/43		2,005,863
	FNMA REMIC Series 1989-66, Class J
	65,510		7.000			09/25/19		68,007
	FNMA REMIC Series 1990-16, Class E
	65,140		9.000			03/25/20		70,454
	FNMA REMIC Series 2012-111, Class B
	740,386		7.000			10/25/42		859,259
	FNMA REMIC Series 2012-153, Class B
	2,529,496		7.000			07/25/42		2,984,623

Principal Amount		Interest Rate			Maturity Date		Value
	Mortgage-Backed Obligations – (continued)
	Sequential Fixed Rate – (continued)
	FNMA REMIC Series 2015-30, Class EA
$	10,400,278		3.000	%		05/25/45	$	10,861,660
	NCUA Guaranteed Notes Series A4
	11,000,000		3.000			06/12/19		11,546,699
								41,618,910
	Sequential Floating Rate(b) – 0.3%
	FHLMC REMIC Series 4273, Class PS
	2,242,138		5.576			11/15/43		394,946
	FNMA REMIC Series 1988-12, Class A
	6,736		4.311			02/25/18		6,793
	NCUA Guaranteed Notes Series 2010-R1, Class 1A
	2,926,140		0.969			10/07/20		2,929,798
								3,331,537
	TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS						$	91,235,000
	Commercial Mortgage-Backed Securities – 7.4%
	Sequential Fixed Rate – 2.7%
	FHLMC Multifamily Structured Pass Through Certificates, Series K716, Class A2
$	16,100,000		3.130	%		06/25/21	$	17,214,051
	FHLMC Multifamily Structured Pass Through Certificates, Series K717, Class A2
	18,600,000		2.991			09/25/21		19,802,278
								37,016,329
	Sequential Floating Rate(b) – 4.7%
	FHLMC Multifamily Structured Pass Through Certificates, Series KF02, Class A1
	10,843,767		0.902			07/25/20		10,840,550
	FNMA ACES Series 2014-M1, Class ASQ2
	27,836,372		2.323			11/25/18		28,290,486
	FHLMC Multifamily Structured Pass Through Certificates, Series KF03, Class A
	3,795,900		0.862			01/25/21		3,790,227
	FHLMC Multifamily Structured Pass Through Certificates, Series KP02, Class A2
	21,500,000		2.355			04/25/21		22,072,622
								64,993,885
	TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES						$	102,010,214
	Federal Agencies – 31.5%
	Adjustable Rate FHLMC(b) – 1.1%
$	15,966		2.365	%		05/01/18	$	16,024
	14,352		3.018			10/01/25		14,509
	461,182		2.791			11/01/34		485,404
	1,894,168		2.749			06/01/35		2,001,540
	188,164		3.439			05/01/36		200,502
	75,618		2.644			10/01/36		78,957
	87,449		2.915			11/01/36		92,985
	1,037,749		2.552			06/01/42		1,077,723
	11,040,895		2.575			11/01/44		11,332,390
								15,300,034

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

GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Mortgage-Backed Obligations – (continued)
	Adjustable Rate FNMA(b) – 1.5%
$	5,739		2.714	%		02/01/18	$	5,752
	18,840		2.460			06/01/18		19,032
	23,487		6.068			05/01/20		24,306
	8,529		3.138			01/01/23		8,591
	60,572		3.398			02/01/27		61,181
	392,976		2.456			08/01/29		395,901
	47,727		2.755			07/01/32		50,326
	34,978		3.130			07/01/32		36,837
	85,842		2.414			01/01/33		88,833
	1,398,014		3.046			05/01/33		1,475,891
	156,737		3.125			08/01/33		163,061
	970,358		4.613			08/01/33		1,038,303
	852,420		2.769			02/01/34		902,024
	680,443		2.860			05/01/34		713,829
	378,627		2.945			05/01/34		396,952
	622,764		2.732			06/01/34		657,458
	417,600		2.420			10/01/34		438,264
	391,096		2.563			10/01/34		410,540
	112,812		2.407			02/01/35		117,656
	896,829		2.434			02/01/35		934,383
	769,679		2.773			03/01/35		808,402
	292,450		2.777			03/01/35		306,401
	1,047,027		2.439			04/01/35		1,083,591
	390,526		2.970			04/01/35		410,243
	372,556		2.497			05/01/35		387,332
	244,291		2.727			05/01/35		254,713
	518,006		2.434			10/01/35		544,967
	1,133,805		2.789			03/01/36		1,191,058
	496,096		2.698			04/01/36		520,974
	1,178,126		3.066			04/01/36		1,252,524
	985,438		2.806			06/01/36		1,040,190
	1,589,663		3.126			06/01/36		1,653,615
	1,460,161		2.809			07/01/36		1,541,238
	307,588		2.810			11/01/36		326,041
	1,692,021		2.987			07/01/37		1,785,340
	67,191		2.695			12/01/46		71,374
								21,117,123
	Adjustable Rate GNMA(b) – 0.4%
	269,419		2.125			05/20/34		277,685
	572,986		1.875			07/20/34		591,421
	361,445		1.875			08/20/34		373,084
	2,955,031		1.875			09/20/34		3,050,249
	379,054		2.000			10/20/34		391,206
	526,783		2.000			12/20/34		543,709
								5,227,354
	FHLMC – 1.4%
	338,139		5.500			01/01/20		354,069
	141,562		7.000			04/01/22		151,891
	2,227		4.500			05/01/23		2,383
	13,140		7.500			01/01/31		14,343
	62,686		4.500			07/01/33		68,855
	1,929,235		4.500			08/01/33		2,119,102
	3,699,794		4.500			09/01/33		4,063,914
	357,571		4.500			10/01/33		392,762
	12,937		4.500			04/01/34		14,169

Principal Amount		Interest Rate			Maturity Date			Value
	Mortgage-Backed Obligations – (continued)
	FHLMC – (continued)
$	7,507		4.500	%		04/01/35		$	8,245
	3,926		4.500			07/01/35			4,306
	17,112		4.500			08/01/35			18,728
	71,757		4.500			09/01/35			78,752
	27,509		4.500			10/01/35			30,116
	3,584		4.500			12/01/35			3,925
	2,338		4.500			05/01/36			2,567
	2,478		6.000			06/01/36			2,864
	213,034		4.500			01/01/38			233,500
	3,065		4.500			04/01/38			3,355
	1,204		4.500			05/01/38			1,318
	12,355		4.500			06/01/38			13,539
	326,016		4.500			09/01/38			358,923
	9,054		4.500			01/01/39			9,901
	181,636		4.500			02/01/39			198,630
	2,343,147		7.000			02/01/39			2,749,227
	82,303		4.500			03/01/39			90,000
	19,703		4.500			04/01/39			21,546
	595,960		4.500			05/01/39			651,690
	1,648,106		4.500			06/01/39			1,802,231
	48,884		4.500			07/01/39			53,456
	82,162		4.500			08/01/39			89,846
	118,886		4.500			09/01/39			130,004
	20,753		4.500			10/01/39			22,694
	39,173		4.500			11/01/39			42,836
	62,815		4.500			12/01/39			68,690
	62,969		4.500			01/01/40			68,857
	14,299		4.500			02/01/40			15,720
	45,051		4.500			04/01/40			49,467
	75,575		4.500			05/01/40			83,080
	92,153		4.500			06/01/40			101,304
	69,301		4.500			07/01/40			76,183
	75,449		4.500			08/01/40			82,940
	48,634		4.500			09/01/40			53,464
	18,172		4.500			10/01/40			19,977
	35,816		4.500			02/01/41			39,356
	59,972		4.500			03/01/41			65,900
	161,140		4.500			04/01/41			177,067
	150,774		4.500			05/01/41			165,675
	281,555		4.500			06/01/41			309,384
	19,299		4.500			07/01/41			21,207
	720,763		4.500			08/01/41			792,007
	786,893		4.500			09/01/41			865,023
	42,959		4.500			12/01/41			47,205
	554,721		4.500			03/01/42			609,547
	1,000,000		3.500			TBA-30yr	(d)		1,055,078
									18,570,818
	FNMA – 25.4%
	612		5.500			01/01/18			628
	6,915,853		2.800			03/01/18			6,997,336
	54,216,529		3.741			06/01/18			55,332,370
	54,933		5.500			07/01/18			56,751
	9,617		5.500			08/01/18			9,852
	67,325		5.500			09/01/18			69,670
	15,800,000		2.960			11/01/18			16,256,121

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

GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Mortgage-Backed Obligations – (continued)
	FNMA – (continued)
$	11,113		5.500	%		12/01/18	$	11,547
	6,903		5.500			01/01/19		7,193
	7,198		5.500			03/01/19		7,501
	450		5.500			08/01/19		451
	4,199		5.000			09/01/19		4,410
	10,088		7.000			11/01/19		10,478
	37,117,872		4.307			07/01/21		40,996,504
	1,298,116		5.500			09/01/23		1,409,375
	323,783		5.500			10/01/23		353,035
	2,057,135		6.000			02/01/24		2,361,470
	3,144		7.000			12/01/24		3,577
	1,071		7.000			08/01/27		1,264
	1,204		7.000			10/01/28		1,323
	18,818		6.000			01/01/29		21,542
	1,045		7.000			01/01/29		1,216
	885,680		4.500			09/01/29		968,976
	377		7.000			11/01/29		380
	679		7.000			04/01/31		748
	8,019		7.000			05/01/32		9,194
	5,737		7.000			06/01/32		6,324
	1,111		7.000			08/01/32		1,343
	6,225		6.000			09/01/32		7,262
	21,591		6.000			02/01/33		25,039
	28,594		6.000			03/01/33		33,425
	6,070		6.000			04/01/33		7,039
	1,208,562		6.500			04/01/33		1,421,561
	4,129		6.000			11/01/33		4,788
	1,274		7.000			04/01/34		1,529
	94,215		6.000			07/01/34		109,813
	7,134		6.000			10/01/34		8,269
	144,789		6.000			01/01/35		167,838
	134,995		6.000			03/01/35		154,962
	2,399,703		6.000			04/01/35		2,782,919
	440,716		6.000			06/01/35		506,358
	140,631		6.000			09/01/35		161,433
	983,373		6.000			11/01/35		1,128,830
	993,231		6.000			12/01/35		1,140,146
	2,254,997		6.000			01/01/36		2,588,545
	763,455		6.000			02/01/36		875,582
	406,469		6.000			03/01/36		465,709
	3,653,566		6.000			04/01/36		4,186,047
	475,315		6.000			05/01/36		545,061
	318,311		6.000			06/01/36		364,731
	1,318,344		6.000			07/01/36		1,510,483
	6,603,511		6.000			08/01/36		7,623,434
	1,801,180		6.000			09/01/36		2,064,994
	2,701,167		6.000			10/01/36		3,098,127
	758,696		4.500			11/01/36		833,869
	3,600,785		6.000			11/01/36		4,125,572
	806,630		6.000			12/01/36		924,190
	8,114		6.000			01/01/37		9,293
	290,810		6.000			02/01/37		333,193
	757,847		6.000			03/01/37		872,291
	448,017		6.000			04/01/37		513,430
	12,887,451		6.000			05/01/37		14,765,703
	339,017		6.000			07/01/37		388,292

Principal Amount		Interest Rate			Maturity Date			Value
	Mortgage-Backed Obligations – (continued)
	FNMA – (continued)
$	1,375,045		6.000	%		08/01/37		$	1,576,033
	837,729		6.000			09/01/37			960,469
	148,015		6.000			10/01/37			171,443
	245,442		7.500			10/01/37			287,897
	574,335		6.000			11/01/37			659,837
	5,222,070		6.000			12/01/37			5,981,206
	5,391,917		6.000			01/01/38			6,175,612
	454,428		6.000			02/01/38			520,564
	610,701		6.000			03/01/38			712,927
	8,594		6.000			04/01/38			9,843
	11,978,309		6.000			05/01/38			13,719,287
	116,215		6.000			06/01/38			134,742
	14,308,718		6.000			07/01/38			16,388,406
	273,771		6.000			08/01/38			313,577
	1,211,208		6.000			09/01/38			1,387,341
	18,378		6.000			10/01/38			21,232
	515,629		6.000			11/01/38			593,224
	1,160,482		6.000			12/01/38			1,329,215
	213,812		6.000			01/01/39			245,576
	208,808		4.500			02/01/39			228,507
	1,382,434		7.000			03/01/39			1,631,818
	168,573		4.500			04/01/39			184,477
	112,660		6.000			04/01/39			131,017
	13,114		4.500			08/01/39			14,662
	5,252,832		6.000			09/01/39			6,016,348
	1,564,502		6.000			10/01/39			1,791,914
	57,903		6.000			11/01/39			66,293
	3,183		6.000			02/01/40			3,645
	154,426		6.000			03/01/40			176,880
	1,592,385		6.000			06/01/40			1,823,919
	709,808		6.000			07/01/40			812,974
	523,034		6.000			10/01/40			599,054
	862,180		6.000			11/01/40			1,002,544
	46,480		6.000			04/01/41			53,235
	27,739		4.500			05/01/41			30,487
	34,259,189		6.000			05/01/41			39,247,469
	853,529		4.500			08/01/41			940,149
	207,187		4.500			10/01/41			227,716
	131,562		5.000			02/01/42			146,742
	408,317		3.000			12/01/42			428,286
	709,678		3.000			01/01/43			744,555
	191,820		3.000			04/01/43			201,201
	1,000,000		3.500			TBA-30yr	(d)		1,055,313
	53,000,000		6.000			TBA-30yr	(d)		60,784,375
									348,182,347
	GNMA – 1.7%
	142,752		5.500			07/15/20			148,896
	4,414		6.500			01/15/32			5,090
	10,087		6.500			02/15/32			11,634
	9,880		6.500			08/15/34			11,954
	16,665		6.500			05/15/35			19,490
	4,304		6.500			06/15/35			5,000
	12,466		6.500			07/15/35			14,585
	3,286		6.500			08/15/35			3,850
	7,151		6.500			09/15/35			8,345

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

GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Mortgage-Backed Obligations – (continued)
	GNMA – (continued)
$	4,847		6.500	%		10/15/35	$	5,673
	26,063		6.500			11/15/35		30,404
	31,576		6.500			12/15/35		36,746
	45,836		6.500			01/15/36		53,326
	43,925		6.500			02/15/36		51,156
	44,627		6.500			03/15/36		51,993
	93,574		6.500			04/15/36		108,750
	141,360		6.500			05/15/36		164,588
	132,849		6.500			06/15/36		154,753
	532,593		6.500			07/15/36		618,905
	508,000		6.500			08/15/36		594,659
	803,583		6.500			09/15/36		936,672
	334,217		6.500			10/15/36		387,602
	420,925		6.500			11/15/36		489,415
	185,618		6.500			12/15/36		217,063
	94,252		6.500			01/15/37		109,378
	32,683		6.500			02/15/37		37,892
	20,623		6.500			03/15/37		24,038
	43,802		6.500			04/15/37		50,879
	42,797		6.500			05/15/37		52,891
	24,188		6.500			08/15/37		28,093
	124,587		6.500			09/15/37		144,534
	108,530		6.500			10/15/37		125,160
	64,610		6.500			11/15/37		74,899
	1,454		6.500			02/15/38		1,696
	35,745		6.500			05/15/38		41,557
	949		6.500			08/15/38		1,102
	114,802		6.000			11/15/38		133,650
	26,918		6.500			11/15/38		31,302
	11,572		6.500			01/15/39		13,459
	25,187		6.500			02/15/39		29,340
	16,162,067		4.000			10/20/43		17,373,135
	921,045		4.000			10/20/45		987,029
								23,390,583
	TOTAL FEDERAL AGENCIES						$	431,788,259
	TOTAL MORTGAGE-BACKED OBLIGATIONS
	(Cost $621,156,989)						$	625,033,473
	Agency Debentures – 4.5%
	FHLB
$	7,000,000		1.875	%		03/13/20	$	7,177,037
	1,800,000		5.375			08/15/24		2,258,543
	FHLMC
	20,100,000		0.750			04/09/18		20,081,822
	FNMA
	5,200,000		6.250			05/15/29		7,519,906
	16,080,000		7.125			01/15/30		25,122,311
	Small Business Administration
	9,344		7.200			06/01/17		9,490
	22,754		6.300			05/01/18		23,507
	26,532		6.300			06/01/18		27,423
	TOTAL AGENCY DEBENTURES
	(Cost $59,475,802)						$	62,220,039

Principal Amount		Interest Rate			Maturity Date		Value
	Government Guarantee Obligation(e) – 1.5%
	Hashemite Kingdom of Jordan Government AID Bond
$	19,300,000		2.503	%		10/30/20	$	20,237,233
	(Cost $19,300,000)
	U.S. Treasury Obligations – 52.1%
	United States Treasury Bonds
$	2,100,000		3.625	%(f)		08/15/43	$	2,675,799
	8,600,000		3.750	(f)		11/15/43		11,202,446
	1,790,000		3.625			02/15/44		2,281,283
	15,000,000		3.000			11/15/44		17,117,100
	220,000		2.500			05/15/46		227,843
	United States Treasury Inflation Protected Securities
	28,332,548		2.625			07/15/17		29,217,940
	149,501,960		0.125	(f)		04/15/18		151,159,937
	21,003,377		0.125			04/15/19		21,374,297
	16,134,419		0.125			04/15/20		16,457,107
	9,882,015		0.125			07/15/24		10,030,245
	2,131,143		0.375			07/15/25		2,201,407
	2,914,366		2.500			01/15/29		3,700,779
	United States Treasury Notes
	44,990,000		1.625			12/31/19		45,959,530
	67,400,000		1.250			01/31/20		68,022,105
	111,600,000		1.375			05/31/20		113,013,979
	103,140,000		1.625			07/31/20		105,386,390
	25,800,000		1.375			08/31/20		26,119,146
	25,800,000		1.375			09/30/20		26,110,632
	8,720,000		1.125			09/30/21		8,708,053
	12,700,000		1.375			09/30/23		12,651,359
	United States Treasury Strip Coupon(g)
	41,500,000		0.000			11/15/35		27,017,744
	20,300,000		0.000			05/15/36		13,032,396
	TOTAL U.S. TREASURY OBLIGATIONS
	(Cost $704,124,739)						$	713,667,517

Shares	Distribution Rate			Value
Investment Company(h) – 0.0%
Goldman Sachs Financial Square Government Fund – Institutional Shares
2,236		0.290	%	$	2,236
(Cost $2,236)
TOTAL INVESTMENTS – 103.7%
(Cost $1,404,059,766)				$	1,421,160,498
LIABILITIES IN EXCESS OF
OTHER ASSETS – (3.7)%					(51,345,292	)
NET ASSETS – 100.0%				$	1,369,815,206

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

GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
(a)	Security with a notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate.
(b)	Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on September 30, 2016.
(c)	Exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be deemed 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 $4,963,937, which represents approximately 0.4% of net assets as of September 30, 2016.
(d)	TBA (To Be Announced) Securities are purchased 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 $62,894,766 which represents approximately 4.6% of net assets as of September 30, 2016.

(e)	Guaranteed by the United States Government until maturity. Total market value for these securities amounts to $20,237,233, which represents approximately 1.5% of net assets as of September 30, 2016.
(f)	All or a portion of security is segregated as collateral for initial margin requirements on futures transactions.
(g)	Issued with a zero coupon. Income is recognized through the accretion of discount.
(h)	Represents Affiliated Funds.

Investment Abbreviations:
ACES	—Alternative Credit Enhancement Securities
FDIC	—Federal Deposit Insurance Corp.
FHLB	—Federal Home Loan Bank
FHLMC	—Federal Home Loan Mortgage Corp.
FNMA	—Federal National Mortgage Association
GNMA	—Government National Mortgage Association
LIBOR	—London Interbank Offered Rate
NCUA	—National Credit Union Administration
REMIC	—Real Estate Mortgage Investment Conduit

ADDITIONAL INVESTMENT INFORMATION

FORWARD SALES CONTRACTS — At September 30, 2016, the Fund had the following forward sales contracts:

Description	Interest Rate	Maturity Date(a)	Settlement Date	Principal Amount			Value
GNMA (Proceeds Receivable: $(1,069,375))	4.000%	TBA-30yr	10/20/16	$	(1,000,000	)	$	(1,071,641	)

(a) TBA (To Be Announced) Securities are purchased or 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.

FUTURES CONTRACTS — At September 30, 2016, the Fund had the following futures contracts:

Type	Number of Contracts Long (Short)			Expiration Date		Current Value			Unrealized Gain (Loss)
Eurodollars		(452	)		March 2017	$	(111,932,150	)	$	9,743
Eurodollars		(454	)		June 2017		(112,382,025	)		(3,674	)
Eurodollars		(319	)		September 2017		(78,936,550	)		(5,078	)
Eurodollars		(210	)		December 2017		(51,940,875	)		(8,360	)
Eurodollars		(362	)		March 2018		(89,518,075	)		(179,486	)
Eurodollars		(368	)		June 2018		(90,974,200	)		(242,473	)
Eurodollars		(393	)		September 2018		(97,120,125	)		(327,383	)
Eurodollars		(393	)		December 2018		(97,075,913	)		(350,570	)
Eurodollars		(487	)		March 2019		(120,264,650	)		(268,413	)
Eurodollars		(487	)		June 2019		(120,228,125	)		(298,092	)
Eurodollars		(397	)		September 2019		(97,974,638	)		(206,142	)
Eurodollars		(382	)		December 2019		(94,229,850	)		(217,107	)
Eurodollars		(189	)		March 2020		(46,605,037	)		(437	)
Ultra Long U.S. Treasury Bonds		(124	)		December 2016		(22,800,500	)		149,841
Ultra 10 Year U.S. Treasury Notes		(99	)		December 2016		(14,271,469	)		6,267
U.S. Long Bonds		(265	)		December 2016		(44,561,406	)		338,124
2 Year U.S. Treasury Notes		4,412			December 2016		963,884,125			1,084,104
5 Year U.S. Treasury Notes		(1,749	)		December 2016		(212,530,828	)		(529,054	)
10 Year U.S. Treasury Notes		(246	)		December 2016		(32,256,750	)		(70,587	)
TOTAL									$	(1,118,777	)

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

GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION (continued)

SWAP CONTRACTS — At September 30, 2016, the Fund had the following swap contracts:

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS

			Rates Exchanged					Market Value
Notional Amount (000s)		Termination Date	Payments Received		Payments Made			Upfront Payments Made (Received)		Unrealized Gain (Loss)
$	42,900	09/09/36		3 month LIBOR		1.231	%	$	58,077	$	639,607

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

GOLDMAN SACHS SHORT DURATION INCOME FUND

Schedule of Investments

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – 50.1%
	Automotive – 2.7%
	Daimler Finance North America LLC(a)
$	1,500,000		2.450	%		05/18/20	$	1,531,665
	Ford Motor Credit Co. LLC
	5,575,000		8.125			01/15/20		6,584,075
	General Motors Financial Co., Inc.
	3,500,000		4.750			08/15/17		3,594,661
	Schaeffler Holding Finance BV(a)(b)(c)
	1,645,000		6.875			08/15/18		1,663,506
								13,373,907
	Banks – 16.3%
	ABN AMRO Bank NV(a)
	2,350,000		1.800			06/04/18		2,358,599
	Ally Financial, Inc.
	800,000		6.250			12/01/17		835,000
	American Express Credit Corp.(b)
	1,650,000		1.800			07/31/18		1,659,628
	Banco Bilbao Vizcaya Argentaria SA
	1,025,000		3.000			10/20/20		1,057,687
	Banco de Bogota SA(a)
	200,000		5.000			01/15/17		201,300
	Banco del Estado de Chile(a)
	170,000		2.000			11/09/17		169,787
	Bank of America Corp.
	4,175,000		6.000			09/01/17		4,341,299
	5,350,000		2.600			01/15/19		5,454,416
	1,200,000		2.650			04/01/19		1,226,233
	1,250,000		2.625			04/19/21		1,269,889
	Bank of America NA
	2,700,000		1.750			06/05/18		2,715,611
	Banque Federative du Credit Mutuel SA(a)
	1,025,000		2.000			04/12/19		1,030,337
	Barclays Bank PLC
	1,100,000		5.140			10/14/20		1,191,110
	BNP Paribas SA
	550,000		2.375			05/21/20		558,571
	Capital One Bank USA NA(b)
	800,000		2.250			02/13/19		810,371
	Capital One NA/Mclean VA(b)
	3,150,000		1.850			09/13/19		3,149,912
	Citigroup, Inc.
	1,500,000		1.800			02/05/18		1,503,781
	525,000		6.125			05/15/18		561,983
	325,000		2.150			07/30/18		327,881
	50,000		2.500			09/26/18		50,793
	950,000		2.050			12/07/18		957,193
	1,325,000		2.500			07/29/19		1,351,964
	2,650,000		2.650			10/26/20		2,706,943
	Commonwealth Bank of Australia
	525,000		1.900			09/18/17		527,647
	2,100,000		1.625			03/12/18		2,106,957
	Compass Bank(b)
	775,000		2.750			09/29/19		774,010
	Credit Suisse AG
	725,000		1.750			01/29/18		725,115

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Banks – (continued)
	Credit Suisse Group Funding Guernsey Ltd.
$	1,425,000		2.750	%		03/26/20	$	1,430,187
	Discover Bank(b)
	1,150,000		2.600			11/13/18		1,167,257
	HBOS PLC(a)
	1,325,000		6.750			05/21/18		1,416,075
	HSBC Holdings PLC
	1,050,000		2.950			05/25/21		1,064,977
	ING Bank NV(a)
	1,525,000		1.800			03/16/18		1,529,653
	Intesa Sanpaolo SpA
	2,550,000		3.875			01/16/18		2,600,187
	JPMorgan Chase & Co.
	400,000		1.700	(b)		03/01/18		401,218
	3,400,000		2.200			10/22/19		3,453,315
	1,825,000		2.250	(b)		01/23/20		1,848,977
	1,250,000		2.295	(b)		08/15/21		1,252,719
	KBC Bank NV(b)(d)
	400,000		8.000			01/25/23		424,240
	Lloyds Bank PLC
	400,000		1.750			03/16/18		400,230
	1,000,000		2.300			11/27/18		1,010,874
	Macquarie Bank Ltd.(a)
	700,000		1.600			10/27/17		701,065
	Mitsubishi UFJ Financial Group, Inc.
	425,000		2.950			03/01/21		437,591
	Morgan Stanley, Inc.
	1,950,000		5.950			12/28/17		2,053,241
	775,000		2.650			01/27/20		791,944
	3,250,000		2.500			04/21/21		3,290,635
	MUFG Americas Holdings Corp.(b)
	625,000		1.625			02/09/18		625,946
	Santander Holdings USA, Inc.(b)
	1,675,000		3.450			08/27/18		1,717,088
	1,275,000		2.650			04/17/20		1,282,664
	Santander UK PLC
	1,600,000		2.375			03/16/20		1,614,725
	Sumitomo Mitsui Banking Corp.
	575,000		1.750			01/16/18		576,658
	The Bank of Tokyo-Mitsubishi UFJ Ltd.(a)
	1,100,000		1.700			03/05/18		1,101,559
	700,000		2.150			09/14/18		706,102
	UBS Group Funding Jersey Ltd.(a)
	3,450,000		3.000			04/15/21		3,543,378
	Wells Fargo & Co.
	600,000		2.150			01/30/20		604,366
	Westpac Banking Corp.
	4,650,000		1.950			11/23/18		4,688,037
								81,358,925
	Chemicals – 0.5%
	Eastman Chemical Co.(b)
	1,250,000		2.700			01/15/20		1,282,184
	Ecolab, Inc.
	1,000,000		1.550			01/12/18		1,004,408
								2,286,592

The accompanying notes are an integral part of these financial statements. 63

GOLDMAN SACHS SHORT DURATION INCOME FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Construction Machinery – 0.2%
	John Deere Capital Corp.
$	1,200,000		2.300	%		09/16/19	$	1,229,099
	Consumer Cyclical Services(b) – 0.7%
	First Data Corp.(a)
	750,000		6.750			11/01/20		778,125
	Iron Mountain, Inc.(a)
	800,000		6.000			10/01/20		848,000
	Visa, Inc.
	1,775,000		2.200			12/14/20		1,820,389
								3,446,514
	Consumer Products – 0.1%
	Kimberly-Clark Corp.
	625,000		1.850			03/01/20		634,763
	Diversified Financial Services – 0.6%
	Air Lease Corp.
	2,975,000		2.125			01/15/20		2,968,353
	Diversified Manufacturing – 0.9%
	Fortive, Corp.(a)(b)
	775,000		2.350			06/15/21		784,535
	Roper Technologies, Inc.(b)
	225,000		3.000			12/15/20		233,891
	Siemens Financieringsmaatschappij NV(a)
	3,600,000		1.700			09/15/21		3,572,669
								4,591,095
	Electric – 1.6%
	Calpine Corp.(a)(b)
	800,000		7.875			01/15/23		845,000
	Commonwealth Edison Co.(b)
	300,000		2.150			01/15/19		304,710
	Dominion Resources, Inc.
	900,000		1.900			06/15/18		904,605
	Duke Energy Corp.(b)
	950,000		1.800			09/01/21		944,923
	Exelon Corp.(b)
	350,000		2.850			06/15/20		362,910
	750,000		2.450			04/15/21		764,975
	Puget Sound Energy, Inc.(b)(d)
	1,000,000		6.974			06/01/67		860,000
	Sempra Energy(b)
	1,100,000		2.400			03/15/20		1,120,746
	The Southern Co.
	1,150,000		1.850			07/01/19		1,159,044
	800,000		2.750	(b)		06/15/20		825,180
								8,092,093
	Energy – 0.7%
	Anadarko Petroleum Corp.
	181,000		6.375			09/15/17		188,700
	Devon Energy Corp.(d)
	450,000		1.390			12/15/16		449,445
	Noble Holding International Ltd.
	100,000		2.500			03/15/17		99,000

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Energy – (continued)
	Petrobras Global Finance BV
$	80,000		4.875	%		03/17/20	$	80,354
	210,000		8.375			05/23/21		229,121
	Petroleos de Venezuela SA
	100,000		9.000			11/17/21		56,510
	550,000		6.000			05/16/24		231,000
	400,000		6.000			11/15/26		167,960
	60,000		5.375			04/12/27		24,978
	20,000		5.500			04/12/37		8,175
	Petroleos Mexicanos
	18,000		6.375			02/04/21		19,539
EUR	170,000		5.125			03/15/23		213,408
$	260,000		4.500			01/23/26		252,252
	323,000		6.875			08/04/26		364,182
	61,000		5.500			06/27/44		52,283
	30,000		6.375			01/23/45		28,800
	10,000		5.625			01/23/46		8,723
	240,000		6.750	(a)		09/21/47		240,000
	Transocean, Inc.
	835,000		3.750			10/15/17		839,175
								3,553,605
	Food & Beverage – 2.7%
	Anheuser-Busch InBev Finance, Inc.
	4,025,000		1.900			02/01/19		4,063,857
	3,125,000		2.650	(b)		02/01/21		3,224,675
	Beam Suntory, Inc.
	800,000		1.750			06/15/18		801,781
	ConAgra Foods, Inc.
	141,000		4.950			08/15/20		156,630
	Kraft Heinz Foods Co.
	1,300,000		2.000			07/02/18		1,311,994
	Mead Johnson Nutrition Co.
	475,000		3.000			11/15/20		494,719
	Molson Coors Brewing Co.
	1,150,000		1.450			07/15/19		1,146,666
	Pernod-Ricard SA(a)
	525,000		2.950			01/15/17		527,189
	Sysco Corp.(b)
	400,000		2.600			10/01/20		411,792
	The J.M. Smucker Co.
	800,000		1.750			03/15/18		804,849
	550,000		2.500			03/15/20		563,494
								13,507,646
	Gaming – 0.2%
	MGM Resorts International
	975,000		8.625			02/01/19		1,100,531
	Health Care Products – 0.6%
	Becton Dickinson & Co.
	1,100,000		2.675			12/15/19		1,135,981
	Stryker Corp.
	1,225,000		2.000			03/08/19		1,240,401
	Thermo Fisher Scientific, Inc.
	475,000		2.150			12/14/18		480,308
								2,856,690

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

GOLDMAN SACHS SHORT DURATION INCOME FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Health Care Services – 1.8%
	Aetna, Inc.
$	2,500,000		1.900	%		06/07/19	$	2,522,940
	Cardinal Health, Inc.
	905,000		4.625			12/15/20		1,001,841
	CHS/Community Health Systems, Inc.(b)
	161,000		5.125			08/15/18		162,006
	1,100,000		8.000			11/15/19		1,082,125
	McKesson Corp.
	175,000		1.400			03/15/18		174,957
	650,000		2.284			03/15/19		661,475
	Providence Health & Services Obligated Group(d)
	525,000		1.446			10/01/16		524,986
	UnitedHealth Group, Inc.
	2,325,000		1.700			02/15/19		2,340,457
	400,000		2.300			12/15/19		411,228
								8,882,015
	Life Insurance – 0.4%
	MetLife, Inc.
	150,000		1.756			12/15/17		150,580
	Reliance Standard Life Global Funding II(a)
	1,700,000		2.150			10/15/18		1,714,751
								1,865,331
	Media – Cable – 1.3%
	Charter Communications Operating LLC/Charter Communications Operating Capital(a)(b)
	3,400,000		3.579			07/23/20		3,553,673
	Comcast Corp.
	600,000		5.700			05/15/18		642,836
	Time Warner Cable LLC
	1,470,000		5.850			05/01/17		1,506,706
	775,000		5.000			02/01/20		840,098
								6,543,313
	Media – Non Cable – 0.1%
	21st Century Fox America, Inc.
	550,000		6.900			03/01/19		618,384
	Metals & Mining(a) – 0.3%
	Glencore Finance Canada Ltd.
	1,700,000		2.700			10/25/17		1,702,550
	Noncaptive – Financial – 0.6%
	CIT Group, Inc.
	400,000		5.250			03/15/18		416,000
	300,000		5.500	(a)		02/15/19		316,500
	International Lease Finance Corp.(a)
	750,000		7.125			09/01/18		818,438
	Navient Corp.
	1,150,000		8.450			06/15/18		1,235,561
								2,786,499
	Pharmaceuticals – 4.1%
	AbbVie, Inc.
	4,075,000		1.800			05/14/18		4,091,646
	Actavis Funding SCS(b)
	3,200,000		3.000			03/12/20		3,304,048

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Pharmaceuticals – (continued)
	EMD Finance LLC(a)
$	1,625,000		1.700	%		03/19/18	$	1,626,929
	Forest Laboratories LLC(a)(b)
	2,000,000		4.375			02/01/19		2,106,844
	Gilead Sciences, Inc.
	1,000,000		1.850			09/04/18		1,010,333
	Shire Acquisitions Investments Ireland DAC
	2,625,000		1.900			09/23/19		2,623,653
	Teva Pharmaceutical Finance Netherlands III BV
	4,575,000		2.200			07/21/21		4,557,748
	Valeant Pharmaceuticals International, Inc.(a)(b)
	1,100,000		6.750			08/15/18		1,105,500
								20,426,701
	Pipelines – 2.3%
	Columbia Pipeline Group, Inc.
	475,000		2.450			06/01/18		477,828
	El Paso Natural Gas Co. LLC
	325,000		5.950			04/15/17		331,901
	Enterprise Products Operating LLC
	1,550,000		5.200			09/01/20		1,730,702
	1,150,000		4.465	(b)(d)		08/01/66		1,083,990
	Kinder Morgan Energy Partners LP
	1,150,000		2.650			02/01/19		1,159,682
	Kinder Morgan, Inc.
	2,250,000		7.000			06/15/17		2,328,417
	Targa Resources Partners LP/Targa Resources Partners Finance Corp.(b)
	850,000		6.625			10/01/20		877,625
	TransCanada PipeLines Ltd.
	570,000		1.875			01/12/18		572,286
	Western Gas Partners LP(b)
	1,470,000		2.600			08/15/18		1,471,101
	Williams Partners LP
	1,300,000		5.250			03/15/20		1,407,354
								11,440,886
	Property/Casualty Insurance – 0.9%
	Berkshire Hathaway Finance Corp.
	750,000		1.450			03/07/18		753,580
	825,000		1.700			03/15/19		832,571
	Chubb INA Holdings, Inc.(b)
	650,000		2.300			11/03/20		666,901
	The Chubb Corp.(b)(d)
	2,100,000		6.375			03/29/67		1,995,210
								4,248,262
	Real Estate Investment Trust – 2.2%
	ARC Properties Operating Partnership LP(b)
	3,475,000		3.000			02/06/19		3,540,156
	DDR Corp.(b)
	1,000,000		4.750			04/15/18		1,038,181
	HCP, Inc.(b)
	600,000		3.750			02/01/19		621,133
	Realty Income Corp.(b)
	125,000		2.000			01/31/18		125,838

The accompanying notes are an integral part of these financial statements. 65

GOLDMAN SACHS SHORT DURATION INCOME FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Real Estate Investment Trust – (continued)
	Select Income REIT(b)
$	1,275,000		3.600	%		02/01/20	$	1,294,630
	Senior Housing Properties Trust(b)
	750,000		3.250			05/01/19		756,262
	Ventas Realty LP/Ventas Capital Corp.(b)
	900,000		2.000			02/15/18		905,407
	WEA Finance LLC/Westfield UK & Europe Finance PLC(a)
	1,475,000		1.750			09/15/17		1,477,671
	Welltower, Inc.(b)
	1,225,000		4.125			04/01/19		1,288,215
								11,047,493
	Restaurants – 0.1%
	Brinker International, Inc.
	150,000		2.600			05/15/18		149,979
	McDonald’s Corp.
	450,000		2.100			12/07/18		456,873
	Yum! Brands, Inc.
	135,000		6.250			03/15/18		143,775
								750,627
	Retailers – 0.1%
	AutoZone, Inc.
	250,000		1.625			04/21/19		250,846
	Retailers – Food & Drug – 1.3%
	CVS Health Corp.
	1,650,000		1.900			07/20/18		1,665,965
	2,825,000		2.800	(b)		07/20/20		2,926,853
	Walgreens Boots Alliance, Inc.(b)
	1,550,000		2.700			11/18/19		1,597,247
	275,000		2.600			06/01/21		281,427
								6,471,492
	Technology – 0.4%
	Fidelity National Information Services, Inc.(b)
	900,000		2.250			08/15/21		905,211
	Fiserv, Inc.(b)
	625,000		2.700			06/01/20		644,445
	Harris Corp.
	550,000		1.999			04/27/18		553,127
								2,102,783
	Technology – Hardware – 1.5%
	Automatic Data Processing, Inc.(b)
	1,050,000		2.250			09/15/20		1,082,904
	Cisco Systems, Inc.
	2,650,000		1.400			09/20/19		2,652,313
	Intel Corp.
	1,550,000		2.450			07/29/20		1,603,824
	NXP BV/NXP Funding LLC(a)
	750,000		3.750			06/01/18		760,313
	QUALCOMM, Inc.
	1,450,000		2.250			05/20/20		1,480,553
	Tech Data Corp.
	75,000		3.750			09/21/17		76,344
								7,656,251

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Tobacco – 0.6%
	BAT International Finance PLC(a)
$	1,225,000		1.850	%		06/15/18	$	1,235,811
	Reynolds American, Inc.
	1,925,000		2.300			06/12/18		1,952,991
								3,188,802
	Transportation(a) – 0.2%
	Penske Truck Leasing Co. LP/PTL Finance Corp.
	1,101,000		3.375			03/15/18		1,128,565
	Wireless Telecommunications – 1.0%
	America Movil SAB de CV
MXN	2,760,000		6.000			06/09/19		140,365
	American Tower Corp.
$	525,000		4.500			01/15/18		544,512
	2,010,000		3.400			02/15/19		2,088,476
	Intelsat Jackson Holdings SA(b)
	600,000		7.250			04/01/19		481,500
	Sprint Communications, Inc.
	1,400,000		6.000			12/01/16		1,405,250
	175,000		8.375			08/15/17		182,000
								4,842,103
	Wirelines Telecommunications – 3.1%
	AT&T, Inc.
	1,350,000		1.750			01/15/18		1,356,696
	725,000		2.300			03/11/19		737,170
	725,000		5.875			10/01/19		811,134
	2,225,000		2.450	(b)		06/30/20		2,266,107
	CenturyLink, Inc.
	650,000		6.450			06/15/21		695,500
	Frontier Communications Corp.
	1,325,000		8.250			04/15/17		1,373,031
	Telefonica Emisiones SAU
	825,000		3.192			04/27/18		844,470
	Verizon Communications, Inc.
	1,300,000		2.550			06/17/19		1,337,349
	1,800,000		1.375			08/15/19		1,791,320
	1,950,000		2.625			02/21/20		2,005,400
	1,800,000		1.750	(b)		08/15/21		1,780,317
	Windstream Services LLC(b)
	300,000		7.750			10/15/20		305,250
								15,303,744
	TOTAL CORPORATE OBLIGATIONS
	(Cost $248,313,108)						$	250,256,460
	Mortgage-Backed Obligations – 12.8%
	Collateralized Mortgage Obligations – 2.6%
	Interest Only(e) – 0.3%
	FHLMC STRIPS Series 304, Class C45
$	490,146		3.000	%		12/15/27	$	41,501
	FNMA REMIC Series 2010-135, Class AS(d)
	531,857		5.425			12/25/40		89,728
	FNMA REMIC Series 2012-146, Class IO
	4,930,134		3.500			01/25/43		757,939

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

GOLDMAN SACHS SHORT DURATION INCOME FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Mortgage-Backed Obligations – (continued)
	Interest Only(e) – (continued)
	FNMA REMIC Series 2016-3, Class IP
$	904,812		4.000	%		02/25/46	$	142,499
	GNMA REMIC Series 2014-188, Class IB
	1,357,936		4.000			12/20/44		168,855
	GNMA REMIC Series 2015-95, Class GI
	902,537		4.500			07/16/45		180,347
								1,380,869
	Inverse Floaters(d) – 0.7%
	FHLMC REMIC Series 3852, Class SW
	896,790		5.476			05/15/41		145,015
	FHLMC REMIC Series 4314, Class SE
	1,121,991		5.526			03/15/44		190,119
	FHLMC REMIC Series 4320, Class SD
	296,930		5.576			07/15/39		53,119
	FHLMC REMIC Series 4326, Class GS
	718,738		5.526			04/15/44		121,352
	FHLMC REMIC Series 4583, Class ST
	1,153,611		5.476			05/15/46		228,264
	FNMA REMIC Series 2013-121, Class SA
	562,390		5.575			12/25/43		104,411
	FNMA REMIC Series 2013-96, Class SW
	360,362		5.575			09/25/43		65,823
	FNMA REMIC Series 2014-19, Class MS
	491,192		6.075			11/25/39		63,013
	FNMA REMIC Series 2014-87, Class MS
	173,362		5.725			01/25/45		32,761
	FNMA REMIC Series 2015-20, Class ES
	862,001		5.625			04/25/45		193,254
	FNMA REMIC Series 2015-79, Class SA
	765,823		5.725			11/25/45		135,084
	FNMA REMIC Series 2015-81, Class SA
	2,674,601		5.175			11/25/45		427,886
	FNMA REMIC Series 2015-82, Class MS
	537,574		5.175			11/25/45		94,662
	FNMA REMIC Series 2016-1, Class SJ
	1,838,916		5.625			02/25/46		370,978
	GNMA REMIC Series 2010-1, Class SD
	36,771		5.258			01/20/40		6,157
	GNMA REMIC Series 2010-20, Class SE
	218,184		5.718			02/20/40		36,703
	GNMA REMIC Series 2010-31, Class SA
	385,479		5.218			03/20/40		59,154
	GNMA REMIC Series 2010-98, Class QS
	230,172		6.068			01/20/40		31,588
	GNMA REMIC Series 2011-17, Class SA
	277,301		5.568			09/20/40		39,518
	GNMA REMIC Series 2011-61, Class CS
	152,476		6.148			12/20/35		10,135
	GNMA REMIC Series 2011-79, Class AS
	21,667		5.578			07/20/37		256
	GNMA REMIC Series 2013-113, Class SD
	206,252		6.170			08/16/43		44,013
	GNMA REMIC Series 2013-134, Class DS
	140,424		5.568			09/20/43		23,427
	GNMA REMIC Series 2013-152, Class TS
	472,537		5.568			06/20/43		81,795

Principal Amount		Interest Rate			Maturity Date		Value
	Mortgage-Backed Obligations – (continued)
	Inverse Floaters(d) – (continued)
	GNMA REMIC Series 2014-132, Class SL
$	1,371,228		5.568	%		10/20/43	$	186,220
	GNMA REMIC Series 2014-133, Class BS
	568,387		5.068			09/20/44		84,322
	GNMA REMIC Series 2014-162, Class SA
	507,991		5.068			11/20/44		71,494
	GNMA REMIC Series 2014-20, Class SA
	2,283,876		5.568			02/20/44		363,061
	GNMA REMIC Series 2014-41, Class SA
	155,286		5.568			03/20/44		27,289
	GNMA REMIC Series 2015-110, Class MS
	1,043,441		5.178			08/20/45		148,187
	GNMA REMIC Series 2015-123, Class SP
	839,404		5.718			09/20/45		132,928
	GNMA REMIC Series 2015-126, Class HS
	371,687		5.668			09/20/45		57,124
								3,629,112
	Sequential Fixed Rate – 0.2%
	FHLMC Multifamily Structured Pass-Through Certificates Series K030, Class A1
	241,227		2.779			09/25/22		251,275
	FHLMC Multifamily Structured Pass-Through Certificates Series K501, Class A2
	9,185		1.655			11/25/16		9,182
	FHLMC Multifamily Structured Pass-Through Certificates Series K707, Class A2
	100,000		2.220			12/25/18		101,893
	FHLMC Multifamily Structured Pass-Through Certificates Series K710, Class A2
	100,000		1.883			05/25/19		101,403
	FNMA REMIC Series 2012-111, Class B
	48,550		7.000			10/25/42		56,345
	FNMA REMIC Series 2012-153, Class B
	157,112		7.000			07/25/42		185,380
								705,478
	Sequential Floating Rate(d) – 1.4%
	Credit Suisse European Mortgage Capital Ltd. Series 2015-1HWA, Class A(a)
EUR	747,812		2.750			04/20/20		802,755
	FNMA REMIC Series 2007-33, Class HF
$	35,052		0.875			04/25/37		34,921
	GS Mortgage Securities Trust Series 2007-GG10, Class A4
	5,219,912		5.988			08/10/45		5,297,575
	Leek Finance Number Eighteen PLC Series 2018X, Class A2C
EUR	37,852		0.026			09/21/38		45,857
	Leek Finance PLC Series 2018X, Class A2B
$	151,408		0.904			09/21/38		163,222
	New Residential Mortgage Loan Trust Series 2015-1A, Class A1(a)
	594,837		3.750			05/28/52		615,574
								6,959,904
	TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS						$	12,675,363

The accompanying notes are an integral part of these financial statements. 67

GOLDMAN SACHS SHORT DURATION INCOME FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date			Value
	Mortgage-Backed Obligations – (continued)
	Federal Agencies – 10.2%
	FHLMC – 0.2%
$	198,572		7.000	%		02/01/39		$	232,986
	1,000,000		3.500			TBA-30yr	(f)		1,055,078
									1,288,064
	FNMA – 8.9%
	2,452,748		6.000			02/01/24			2,815,610
	8,309		6.000			10/01/31			9,635
	11,614		6.000			11/01/32			13,467
	871,628		6.000			12/01/32			990,757
	12,049		6.000			11/01/34			13,968
	45,614		6.000			06/01/35			52,361
	665,032		6.000			10/01/35			765,855
	2,313,583		6.000			11/01/35			2,655,819
	102,742		6.000			12/01/35			117,939
	3,409		6.000			01/01/36			3,906
	18,345		6.000			02/01/36			21,019
	3,747		6.000			03/01/36			4,293
	762,981		6.000			05/01/36			874,180
	83,915		6.000			06/01/36			96,146
	43,399		6.000			07/01/36			49,724
	113,522		6.000			08/01/36			130,068
	122,707		6.000			09/01/36			140,591
	1,620,044		6.000			10/01/36			1,860,480
	68,212		6.000			11/01/36			78,153
	768,333		6.000			02/01/37			880,006
	20,100		6.000			03/01/37			23,022
	76,718		6.000			05/01/37			87,899
	919,397		6.000			11/01/37			1,053,570
	136,104		6.000			12/01/37			155,886
	20,022		6.000			03/01/38			22,933
	527,583		6.000			04/01/38			604,294
	529,854		6.000			05/01/38			606,876
	14,041		6.000			07/01/38			16,082
	80,986		6.000			09/01/38			92,761
	1,119,658		6.000			11/01/38			1,283,084
	221,879		6.000			12/01/38			254,140
	1,010,303		6.000			01/01/39			1,166,769
	115,203		7.000			03/01/39			135,985
	711,318		6.000			09/01/39			814,732
	1,034,628		6.000			06/01/40			1,185,061
	1,580,314		6.000			10/01/40			1,810,003
	5,410,236		6.000			05/01/41			6,198,724
	30,658		3.000			01/01/43			32,158
	1,000,000		3.000			TBA-30yr	(f)		1,039,531
	14,000,000		6.000			TBA-30yr	(f)		16,056,250
									44,213,737
	GNMA – 1.1%
	4,124,811		4.000			10/20/43			4,433,895
	921,045		4.000			10/20/45			987,029
									5,420,924
	TOTAL FEDERAL AGENCIES							$	50,922,725
	TOTAL MORTGAGE-BACKED OBLIGATIONS
	(Cost $63,338,324)							$	63,598,088

Principal Amount		Interest Rate			Maturity Date		Value
	Agency Debentures – 1.4%
	FHLB
$	4,315,000		1.250	%		06/08/18	$	4,344,604
	2,685,000		1.625			06/14/19		2,733,494
	TOTAL AGENCY DEBENTURES
	(Cost $7,086,970)						$	7,078,098
	Asset-Backed Securities – 18.9%
	Auto – 1.2%
	Ally Auto Receivables Trust Series 2015-SN1, Class A3
$	547,544		1.210	%		12/20/17	$	547,864
	Ally Master Owner Trust Series 2012-5, Class A
	350,000		1.540			09/15/19		351,019
	Ally Master Owner Trust Series 2015-2, Class A2
	2,050,000		1.830			01/15/21		2,061,890
	Ford Credit Auto Owner Trust Series 2016-2, Class A(a)
	1,400,000		2.030			12/15/27		1,412,040
	GMF Floorplan Owner Revolving Trust Series 2016-1, Class A1(a)
	1,350,000		1.960			05/17/21		1,354,633
								5,727,446
	Collateralized Loan Obligations – 8.7%
	Aberdeen Loan Funding Ltd. Series 2008-1A, Class A(a)(d)
	115,005		1.287			11/01/18		114,990
	ACIS CLO Ltd. Series 2013-1A, Class ACOM(a)
	600,000		1.906			04/18/24		591,720
	ACIS CLO Ltd. Series 2013-2A, Class A(a)(d)
	46,442		1.130			10/14/22		46,095
	ACIS CLO Ltd. Series 2013-2A, Class ACOM(a)(d)
	474,034		1.328			10/14/22		470,906
	Apidos CLO X Series 2012-10A, Class A(a)(d)
	4,400,000		2.057			10/30/22		4,396,885
	B&M CLO Ltd. Series 2014-1A, Class A1(a)(d)
	600,000		2.033			04/16/26		598,877
	B&M CLO Ltd. Series 2014-1A, Class A2(a)(d)
	100,000		2.583			04/16/26		98,802
	Black Diamond CLO Ltd. Series 2006-1A, Class AD(a)(d)
	254,556		1.002			04/29/19		254,183
	Brentwood CLO Corp. Series 2006-1A, Class A1A(a)(d)
	180,880		0.907			02/01/22		179,999
	Brentwood CLO Corp. Series 2006-1A, Class A1B(a)(d)
	329,841		0.907			02/01/22		328,233
	Cedar Funding V CLO Ltd. Series 2016-5A, Class A1(a)(d)
	3,400,000		2.243			07/17/28		3,403,777
	Crown Point CLO Ltd. Series 2012-1A, Class A1LA(a)(d)
	49,006		1.386			11/21/22		48,656
	Crown Point CLO Ltd. Series 2013-2A, Class A1L(a)(d)
	2,793,897		1.600			12/31/23		2,770,034
	Crown Point CLO Ltd. Series 2013-2A, Class A2L(a)(d)
	368,270		2.560			12/31/23		366,745
	Crown Point CLO Ltd. Series 2013-2A, Class ACOM(a)(d)
	1,200,000		1.366			12/31/23		1,189,165
	Flagship CLO VI Series 2007-1A, Class A1A(a)(d)
	22,645		0.888			06/10/21		22,627

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

GOLDMAN SACHS SHORT DURATION INCOME FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Asset-Backed Securities – (continued)
	Collateralized Loan Obligations – (continued)
	Franklin CLO VI Ltd. Series 6A, Class A(a)(d)
$	706,897		0.862	%		08/09/19	$	701,993
	Goldentree Loan Opportunities III Ltd. Series 2007-3A, Class A1BJ(a)(d)
	2,300,000		1.037			05/01/22		2,294,342
	Grayson CLO Ltd. Series 2006-1A, Class A1A(a)(d)
	72,410		0.882			11/01/21		72,024
	Halcyon Loan Advisors Funding Ltd. Series 2015-2A, Class A(a)(d)
	1,650,000		2.028			07/25/27		1,643,341
	ICG US CLO Ltd. Series 2014-1A, Class ACOM(a)(d)
	1,100,000		0.000			04/20/26		1,089,550
	KKR Financial CLO Ltd. Series 2013-1A, Class A1(a)(d)
	2,750,000		1.778			07/15/25		2,747,407
	Magnetite VIII Ltd. Series 2014-8A, Class A(a)(d)
	950,000		2.108			04/15/26		951,996
	OCP CLO Ltd. Series 2012-2A, Class ACOM(a)(d)
	230,520		0.000			11/22/23		229,943
	OCP CLO Ltd. Series 2014-5A, Class ACOM(a)(d)
	1,500,000		1.464			04/26/26		1,479,750
	OFSI Fund V Ltd. Series 2013-5A, Class ACOM(a)
	300,000		1.753			04/17/25		296,640
	OFSI Fund VI Ltd. Series 2014-6A, Class ACOM(a)
	1,050,000		1.646			03/20/25		1,032,255
	Parallel Ltd. Series 2015-1A, Class A(a)(d)
	1,250,000		2.084			07/20/27		1,246,196
	Shackleton CLO Ltd. Series 2014-5A, Class A(a)(d)
	1,300,000		2.132			05/07/26		1,300,109
	Shackleton CLO Ltd. Series 2014-5A, Class B1(a)(d)
	150,000		2.632			05/07/26		149,998
	Sound Point CLO XI Ltd. Series 2016-1A, Class A(a)(d)
	4,150,000		2.175			07/20/28		4,160,387
	SPS Servicer Advance Receivables Trust Series 2015-T2, Class AT2(a)
	1,600,000		2.620			01/15/47		1,600,690
	Symphony CLO IX LP Series 2012-9A, Class A(a)(d)
	1,600,435		1.933			04/16/22		1,597,941
	Symphony CLO XI Ltd. Series 2013-11A, Class A(a)(d)
	2,200,000		1.933			01/17/25		2,193,492
	Westchester CLO Ltd. Series 2007-1X, Class A1A(d)
	57,132		0.862			08/01/22		56,952
	Whitehorse VIII Ltd. Series 2014-1A, Class A(a)(d)
	1,250,000		2.137			05/01/26		1,248,540
	Z Capital Credit Partners CLO Ltd. Series 2015-1A, Class ACOM(a)(d)
	1,800,000		0.000			07/16/27		1,783,980
	Zais CLO 1 Ltd. Series 2014-1A, Class ACOM(a)
	800,000		1.714			04/15/26		796,560
								43,555,780
	Credit Card(a) – 2.1%
	CARDS II Trust Series 2016-1A, Class A(d)
	1,750,000		1.224			07/15/21		1,749,376
	Evergreen Credit Card Trust Series 2016-1, Class A(d)
	3,000,000		1.244			04/15/20		3,013,554

Principal Amount		Interest Rate			Maturity Date		Value
	Asset-Backed Securities – (continued)
	Credit Card(a) – (continued)
	Golden Credit Card Trust Series 2016-5A, Class A
$	2,600,000		1.600	%		09/15/21	$	2,599,270
	Trillium Credit Card Trust II Series 2016-1A, Class A(d)
	3,150,000		1.242			05/26/21		3,151,980
								10,514,180
	Home Equity(a)(d) – 0.0%
	Springleaf Mortgage Loan Trust Series 2013-2A, Class A
	226,020		1.780			12/25/65		226,169
	Other(a)(d) – 0.9%
	Mortgage Repurchase Agreement Financing Trust Series 2016-1, Class A
	2,200,000		1.585			09/10/18		2,200,000
	Mortgage Repurchase Agreement Financing Trust Series 2016-2, Class A
	2,200,000		1.785			03/10/19		2,200,000
								4,400,000
	Student Loan(d) – 6.0%
	Access Group, Inc. Series 2006-1, Class A2
	129,053		0.772			08/25/23		128,589
	Access to Loans for Learning Student Loan Corp. Series 2013-I, Class A
	732,886		1.324			02/25/41		704,533
	Brazos Higher Education Authority, Inc. Series 2005-1, Class 1A3(b)
	95,700		0.967			09/26/22		95,553
	ECMC Group Student Loan Trust Series 2016-1A, Class A(a)
	2,450,000		1.864			07/26/66		2,449,960
	Educational Services of America, Inc. Series 2012-1, Class A1(a)
	86,588		1.674			09/25/40		86,048
	Educational Services of America, Inc. Series 2014-1, Class A(a)
	1,138,042		1.224			02/25/39		1,116,358
	Educational Services of America, Inc. Series 2015-2, Class A(a)
	1,425,545		1.524			12/25/56		1,415,172
	EFS Volunteer No 3 LLC Series 2012-1, Class A2(a)
	381,581		1.524			02/25/25		382,178
	Higher Education Funding I Series 2005-1, Class A4
	322,983		0.802			02/25/30		320,017
	Kentucky Higher Education Student Loan Corp. Series 2015-1, Class A1
	2,935,010		1.244			12/01/31		2,878,071
	Montana Higher Education Student Assistance Corp. Series 2012-1, Class A2
	2,955,895		1.512			05/20/30		2,894,631
	Navient Student Loan Trust Series 2016-5A, Class A(a)
	4,443,811		1.819			06/25/65		4,443,823
	Nelnet Student Loan Trust Series 2005-4, Class A3
	435,913		0.777			06/22/26		433,887
	Northstar Education Finance, Inc. Series 2012-1, Class A(a)
	173,007		1.224			12/26/31		168,901
	Pennsylvania Higher Education Assistance Agency Series 12-1A, Class A1(a)
	86,138		1.074			05/25/57		84,848
	PHEAA Student Loan Trust Series 2016-1A, Class A(a)
	2,500,000		1.728			09/25/65		2,499,976

The accompanying notes are an integral part of these financial statements. 69

GOLDMAN SACHS SHORT DURATION INCOME FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Asset-Backed Securities – (continued)
	Student Loan(d) – (continued)
	SLC Student Loan Trust Series 2005-3, Class A3
$	1,400,000		0.773	%		06/15/29	$	1,350,081
	SLC Student Loan Trust Series 2006-1, Class A4
	17,330		0.733			12/15/21		17,301
	SLM Student Loan Trust Series 2003-12, Class A5(a)
	719,519		0.933			09/15/22		717,601
	SLM Student Loan Trust Series 2003-14, Class A5
	237,570		0.868			01/25/23		236,579
	SLM Student Loan Trust Series 2004-1, Class A3
	973,318		0.848			04/25/23		970,133
	SLM Student Loan Trust Series 2004-8A, Class A5(a)
	1,164,219		1.138			04/25/24		1,163,174
	SLM Student Loan Trust Series 2005-5, Class A4
	1,400,000		0.778			10/25/28		1,323,268
	SLM Student Loan Trust Series 2006-2, Class A5
	2,012,738		0.748			07/25/25		2,002,225
	SLM Student Loan Trust Series 2006-8, Class A4
	13,603		0.718			10/25/21		13,597
	SLM Student Loan Trust Series 2006-9, Class A4
	8,127		0.708			10/25/22		8,125
	SLM Student Loan Trust Series 2008-4, Class A4
	496,839		2.288			07/25/22		498,733
	SLM Student Loan Trust Series 2012-3, Class A
	1,544,920		1.174			12/26/25		1,486,331
	Wachovia Student Loan Trust Series 2005-1, Class A5
	190,582		0.768			01/26/26		188,469
								30,078,162
	TOTAL ASSET-BACKED SECURITIES
	(Cost $94,130,693)						$	94,501,737
	Foreign Debt Obligations – 1.6%
	Sovereign – 1.6%
	Dominican Republic
$	275,430		9.040	%		01/23/18	$	288,513
	1,210,000		7.500			05/06/21		1,355,200
	520,000		5.500	(a)		01/27/25		551,200
	Hungary Government Bond
	800,000		4.125			02/19/18		827,000
	Republic of Colombia
	1,570,000		11.750			02/25/20		2,052,775
	Republic of Indonesia
	600,000		6.875	(a)		01/17/18		638,892
	320,000		6.875			01/17/18		340,742
EUR	110,000		2.625	(a)		06/14/23		129,747
$	200,000		5.875			01/15/24		235,716
	210,000		4.125			01/15/25		224,127
	200,000		4.750	(a)		01/08/26		223,750
	Republic of Venezuela
	10,000		7.750			10/13/19		6,175
	40,000		12.750			08/23/22		25,600
	90,000		8.250			10/13/24		44,550
	210,000		9.250			05/07/28		108,150

Principal Amount		Interest Rate			Maturity Date		Value
	Foreign Debt Obligations – (continued)
	Sovereign – (continued)
	United Mexican States
EUR	740,000		2.375	%		04/09/21	$	888,429
	TOTAL FOREIGN DEBT OBLIGATIONS
	(Cost $7,686,941)						$	7,940,566
	Municipal Debt Obligations(b) – 1.5%
	Illinois – 0.8%
	Illinois State GO Bonds (Taxable) Series 2011
$	3,700,000		5.365	%		03/01/17	$	3,759,459
	Massachusetts – 0.3%
	Massachusetts State Development Finance Agency RB (Refunding-Taxable) (Simmons College) Series 2015 K-2
	1,715,000		1.800			10/01/16		1,715,000
	Puerto Rico – 0.4%
	Puerto Rico Commonwealth Aqueduct & Sewer Authority RB (Senior Lien) Series 2008 A
	45,000		6.000			07/01/38		34,650
	15,000		6.000			07/01/44		11,513
	Puerto Rico Commonwealth Aqueduct & Sewer Authority RB (Senior Lien) Series 2012 A
	15,000		5.500			07/01/28		11,475
	20,000		5.750			07/01/37		15,300
	35,000		5.250			07/01/42		26,425
	25,000		6.000			07/01/47		19,125
	Puerto Rico Commonwealth Aqueduct & Sewer Authority RB (Senior Lien) Series 2012 D
	50,000		5.000			07/01/33		37,500
	Puerto Rico Commonwealth GO Bonds for Public Improvement Series 2011 A
	10,000		5.750			07/01/41		6,225
	Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2008 A
	35,000		5.500			07/01/32		21,656
	Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2009 B
	10,000		5.875			07/01/36		6,275
	Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2011 A
	10,000		6.000			07/01/34		6,250
	Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2012 A
	10,000		5.500			07/01/26		6,188
	165,000		5.500			07/01/39		102,094
	180,000		5.000			07/01/41		108,900
	Puerto Rico Commonwealth GO Bonds Series 2014 A
	615,000		8.000			07/01/35		402,056
	Puerto Rico Commonwealth GO Bonds Unrefunded Balance for Public Improvement Series 2006 A
	10,000		5.250			07/01/27		6,125
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB Capital Appreciation Series 2010 A(g)
	10,000		0.000			08/01/35		1,185

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

GOLDMAN SACHS SHORT DURATION INCOME FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Municipal Debt Obligations(b) – (continued)
	Puerto Rico – (continued)
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB Capital Appreciation SubSeries 2010 C(g)
$	10,000		0.000	%		08/01/37	$	1,063
	10,000		0.000			08/01/38		996
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2009 A
	5,000		5.250			08/01/27		2,625
	120,000		6.750			08/01/32		67,200
	60,000		5.750			08/01/37		31,800
	5,000		6.375			08/01/39		2,725
	350,000		6.000			08/01/42		186,410
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2010 A
	25,000		6.250			08/01/33		8,501
	270,000		5.500			08/01/37		142,425
	505,000		5.375			08/01/39		265,125
	105,000		5.500			08/01/42		55,387
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2010 C
	20,000		5.375			08/01/38		10,500
	5,000		6.000			08/01/39		2,663
	450,000		5.250			08/01/41		236,250
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2011 A-1
	230,000		5.000			08/01/43		119,600
	20,000		5.250			08/01/43		10,500
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB Unrefunded SubSeries 2009 A
	120,000		5.500			08/01/28		63,300
								2,030,012
	TOTAL MUNICIPAL DEBT OBLIGATIONS
	(Cost $7,711,434)						$	7,504,471
	U.S. Treasury Obligations – 11.1%
	United States Treasury Bonds
$	1,010,000		3.625	(h)%		02/15/44	$	1,287,204
	50,000		3.000			11/15/44		57,057
	730,000		2.250			08/15/46		717,057
	United States Treasury Inflation Protected Securities
	1,249,320		0.125			04/15/18		1,263,175
	9,757,070		0.125			04/15/19		9,929,380
	4,007,913		0.125	(h)		04/15/20		4,088,071
	5,270,408		0.125			07/15/24		5,349,464
	7,560,484		0.375			07/15/25		7,809,753
	United States Treasury Notes
	13,000,000		1.625			06/30/20		13,285,220
	6,700,000		1.375			04/30/21		6,771,020
	4,700,000		1.375			09/30/23		4,681,999
	TOTAL U.S. TREASURY OBLIGATIONS
	(Cost $54,800,771)						$	55,239,400

Shares	Distribution Rate			Value
Investment Company(d)(i) – 0.0%
Goldman Sachs Financial Square Government Fund – Institutional Shares
781		0.290	%	$	781
(Cost $781)
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT
(Cost $483,069,022)				$	486,119,601

Principal Amount		Interest Rate			Maturity Date		Value
	Short-term Investments – 3.5%
	Certificates of Deposit – 2.7%
	Bank of Montreal
$	1,000,000		1.316	%		08/11/17	$	1,000,000
	Credit Agricole SA
	2,000,000		1.175			02/03/17		2,000,000
	Credit Suisse New York
	3,000,000		1.584			08/16/17		3,000,000
	Sumitomo Mitsui Banking Corp.
	2,000,000		1.231			01/20/17		2,000,000
	Sumitomo Trust & Banking Corp.
	2,500,000		1.289			04/03/17		2,500,060
	2,000,000		0.900			10/24/16		2,000,000
	The Toronto-Dominion Bank
	1,000,000		1.316			08/10/17		1,000,000
								13,500,060
	Commercial Paper – 0.8%
	Westpac Banking Corp.
	1,200,000		1.287			08/07/17		1,200,000
	Schlumberger Holdings Corp.
	750,000		1.037			12/08/16		748,555
	Electricite De France SA
	2,300,000		1.557			01/09/17		2,290,353
								4,238,908
	TOTAL SHORT-TERM INVESTMENTS
	(Cost $17,738,968)						$	17,738,968
	TOTAL INVESTMENTS – 100.9%
	(Cost $500,807,990)						$	503,858,569
	LIABILITIES IN EXCESS OF     OTHER ASSETS – (0.9)%							(4,728,667	)
	NET ASSETS – 100.0%						$	499,129,902

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
(a)	Exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be deemed 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 $119,991,896, which represents approximately 24.0% of net assets as of September 30, 2016.

The accompanying notes are an integral part of these financial statements. 71

GOLDMAN SACHS SHORT DURATION INCOME FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

(b)	Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.
(c)	Pay-in-kind securities.
(d)	Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on September 30, 2016.
(e)	Security with a notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate.
(f)	TBA (To Be Announced) Securities are purchased 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 $18,150,859 which represents approximately 3.6% of net assets as of September 30, 2016.
(g)	Issued with a zero coupon. Income is recognized through the accretion of discount.
(h)	All or a portion of security is segregated as collateral for initial margin requirements on futures transactions.
(i)	Represents an Affiliated Fund.

Currency Abbreviations:
AED	—United Arab Emirates Dirham
ARS	—Argentine Peso
AUD	—Australian Dollar
BRL	—Brazilian Real
CAD	—Canadian Dollar
CHF	—Swiss Franc
CNH	—Chinese Yuan Renminbi Offshore
COP	—Colombian Peso
CZK	—Czech Koruna
EUR	—Euro
GBP	—British Pound
HUF	—Hungarian Forint
IDR	—Indonesian Rupiah
ILS	—Israeli Shekel
INR	—Indian Rupee
JPY	—Japanese Yen
KRW	—South Korean Won
MXN	—Mexican Peso

MYR	—Malaysian Ringgit
NOK	—Norwegian Krone
NZD	—New Zealand Dollar
PEN	—Peruvian Nuevo Sol
PHP	—Philippine Peso
PLN	—Polish Zloty
RUB	—Russian Ruble
SEK	—Swedish Krona
SGD	—Singapore Dollar
THB	—Thai Baht
TRY	—Turkish Lira
TWD	—Taiwan Dollar
USD	—U.S. Dollar
ZAR	—South African Rand
Investment Abbreviations:
AUDOR	—Australian Dollar Offered Rate
BP	—British Pound Offered Rate
CDOR	—Canadian Dollar Offered Rate
CLO	—Collateralized Loan Obligation
EURO	—Euro Offered Rate
FHLB	—Federal Home Loan Bank
FHLMC	—Federal Home Loan Mortgage Corp.
FNMA	—Federal National Mortgage Association
GNMA	—Government National Mortgage Association
GO	—General Obligation
JYOR	—Japanese Yen Offered Rate
LIBOR	—London Interbank Offered Rate
LLC	—Limited Liability Company
LP	—Limited Partnership
NIBOR	—Norwegian Interbank Offered Rate
NZDOR	—New Zealand Dollar Offered Rate
PLC	—Public Limited Company
RB	—Revenue Bond
REIT	—Real Estate Investment Trust
REMIC	—Real Estate Mortgage Investment Conduit
STIBOR	—Stockholm Interbank Offered Rate
STRIPS	—Separate Trading of Registered Interest and Principal of Securities
TIIE	—La Tasa de Interbank Equilibrium Interest Rate
WIBOR	—Warsaw Interbank Offered Rate

ADDITIONAL INVESTMENT INFORMATION

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At September 30, 2016, the Fund had the following forward foreign currency exchange contracts:

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Gain
Barclays Bank PLC	AUD	378,000	USD	283,598	$	288,761		12/21/16	$	5,163
	IDR	12,498,790,670	USD	936,029		957,216		10/27/16		21,188
	IDR	9,950,848,840	USD	751,575		760,826		11/10/16		9,252
	PLN	5,564,922	USD	1,441,858		1,453,079		12/21/16		11,221
BNP Paribas SA	ARS	1,781,242	USD	110,981		112,859		11/22/16		1,879
	CAD	149,705	USD	113,944		114,178		12/21/16		234
	CHF	282,101	USD	291,000		291,871		12/21/16		871
	EUR	123,000	PLN	529,733		138,708		12/21/16		388
	INR	19,446,810	USD	289,000		290,956		10/26/16		1,956
	JPY	86,045,734	USD	844,593		851,735		12/21/16		7,141
	KRW	320,814,546	USD	289,171		291,143		10/26/16		1,972
	NOK	1,017,497	EUR	109,326		127,302		12/21/16		4,014

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

GOLDMAN SACHS SHORT DURATION INCOME FUND

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN (continued)

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Gain
BNP Paribas SA (continued)	NZD	392,000	USD	283,171	$	284,529		12/21/16	$	1,358
	PEN	938,903	USD	276,457		277,177		10/12/16		720
	PLN	1,101,000	HUF	78,409,994		287,486		12/21/16		1,336
	PLN	5,575,330	USD	1,436,830		1,455,796		12/21/16		18,967
	TWD	8,637,315	USD	275,776		276,409		10/21/16		633
	USD	291,000	CHF	279,753		289,441		12/21/16		1,559
	USD	291,000	JPY	29,271,166		289,744		12/21/16		1,256
	USD	1,212,686	TRY	3,671,649		1,203,523		12/21/16		9,162
Citibank NA	AED	9,122,962	USD	2,481,763		2,482,877		12/07/16		1,113
	ARS	1,594,260	USD	102,000		103,527		10/05/16		1,527
	ARS	1,825,688	USD	113,827		115,920		11/18/16		2,094
	ARS	919,932	USD	57,388		58,287		11/22/16		899
	AUD	2,649,234	USD	1,975,719		2,023,800		12/21/16		48,080
	CAD	376,847	USD	286,000		287,416		12/21/16		1,416
	CZK	13,672,120	EUR	507,314		578,728		06/21/17		1,762
	GBP	230,533	EUR	264,905		299,334		12/21/16		599
	INR	38,213,279	USD	568,206		571,733		10/26/16		3,527
	JPY	186,756,744	USD	1,827,330		1,842,128		10/06/16		14,799
	JPY	59,022,337	USD	583,000		584,240		12/21/16		1,240
	RUB	18,435,131	USD	286,000		292,774		10/11/16		6,774
	RUB	23,119,294	USD	352,929		365,712		10/27/16		12,783
	TWD	8,637,315	USD	275,235		276,089		10/07/16		854
	USD	289,000	CAD	375,631		286,488		12/21/16		2,512
	USD	1,274,385	KRW	1,390,736,008		1,262,168		10/20/16		12,217
	USD	74,808	MXN	1,370,080		70,551		10/13/16		4,257
	ZAR	1,636,736	USD	117,000		117,367		12/21/16		367
Credit Suisse International (London)	JPY	29,433,049	USD	291,000		291,347		12/21/16		347
	RUB	54,438,248	USD	829,464		862,409		10/21/16		32,946
	RUB	28,020,960	USD	426,349		441,009		11/17/16		14,660
	USD	126,671	EUR	112,322		126,667		12/21/16		4
Deutsche Bank AG	CAD	379,359	USD	289,000		289,332		12/21/16		332
	CNH	9,727,283	USD	1,445,000		1,450,286		12/21/16		5,286
	COP	343,570,500	USD	117,000		118,438		10/31/16		1,438
	CZK	6,821,386	EUR	253,000		288,743		06/21/17		1,007
	EUR	134,462	PLN	579,405		151,634		12/21/16		344
	IDR	4,951,697,810	USD	373,995		378,698		11/08/16		4,702
	KRW	641,295,810	USD	571,000		582,161		10/04/16		11,161
	KRW	638,494,050	USD	570,000		579,468		10/20/16		9,468
	PLN	4,915,214	EUR	1,124,717		1,283,430		12/21/16		15,078
	TWD	9,036,392	USD	285,000		289,252		10/24/16		4,252
HSBC Bank PLC	ARS	1,778,182	USD	111,136		112,251		11/29/16		1,114
	EUR	257,000	USD	289,784		289,821		12/21/16		37
	KRW	317,239,770	USD	285,000		287,914		10/19/16		2,914
	MXN	11,462,270	USD	583,000		585,766		12/21/16		2,766
	MYR	1,951,455	USD	470,775		472,264		11/18/16		1,489
	NZD	403,069	AUD	381,000		292,563		12/21/16		1,510
	NZD	367,027	USD	264,858		266,402		12/21/16		1,544
	USD	1,164,682	GBP	880,184		1,142,868		12/21/16		21,813
	USD	286,000	MXN	5,297,149		270,705		12/21/16		15,295
	USD	114,831	NZD	157,488		114,311		12/21/16		520
	USD	533,756	TWD	16,531,478		529,168		10/24/16		4,588

The accompanying notes are an integral part of these financial statements. 73

GOLDMAN SACHS SHORT DURATION INCOME FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN (continued)

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Gain
JPMorgan Securities, Inc.	ARS	1,568,170	USD	98,287	$	99,570		11/18/16	$	1,282
	CNH	1,915,574	USD	284,000		285,602		12/21/16		1,602
	INR	19,161,508	USD	284,000		286,647		10/27/16		2,647
	INR	19,530,407	USD	291,000		291,908		11/03/16		908
	KRW	316,271,670	USD	286,000		287,108		10/04/16		1,108
	USD	104,285	ARS	1,594,260		103,527		10/05/16		758
	USD	289,000	JPY	28,981,498		286,877		12/21/16		2,123
	USD	289,000	ZAR	3,997,399		286,645		12/21/16		2,355
	ZAR	1,652,710	USD	116,000		118,512		12/21/16		2,512
Morgan Stanley & Co.	AUD	748,000	NZD	774,719		571,411		12/21/16		9,091
	AUD	765,000	USD	577,339		584,398		12/21/16		7,058
	BRL	4,714,043	USD	1,434,868		1,447,761		10/04/16		12,893
	CZK	6,822,019	EUR	253,000		288,770		06/21/17		1,034
	EUR	257,000	CHF	279,051		289,821		12/21/16		1,107
	HUF	81,102,357	EUR	261,000		295,976		12/21/16		1,644
	IDR	3,562,999,600	USD	266,811		272,871		10/27/16		6,060
	KRW	321,291,000	USD	290,000		291,570		10/28/16		1,570
	NZD	403,000	USD	291,200		292,513		12/21/16		1,313
	PLN	1,284,668	EUR	297,439		335,445		12/21/16		20
	RUB	18,249,819	USD	281,877		288,684		10/27/16		6,808
	USD	2,609,505	BRL	8,443,329		2,593,086		10/04/16		16,420
	USD	286,000	CAD	369,366		281,710		12/21/16		4,290
	USD	1,607,109	GBP	1,208,903		1,568,322		11/16/16		38,787
	USD	288,248	NZD	395,000		286,706		12/21/16		1,542
	ZAR	18,992,592	USD	1,305,297		1,361,917		12/21/16		56,621
Royal Bank of Canada	BRL	946,461	USD	289,000		290,674		10/04/16		1,674
	CAD	375,016	USD	286,000		286,019		12/21/16		19
	NZD	159,841	USD	115,866		116,018		12/21/16		152
	USD	291,000	BRL	945,919		288,052		11/03/16		2,948
	USD	286,000	CAD	371,631		283,438		12/21/16		2,562
	USD	289,943	EUR	257,000		289,821		12/21/16		121
	USD	394,352	GBP	297,616		386,437		12/21/16		7,915
	USD	486,384	SGD	662,893		486,252		12/21/16		132
State Street Bank and Trust	AUD	152,679	USD	113,964		116,634		12/21/16		2,670
	CAD	752,767	USD	570,674		574,124		12/21/16		3,449
	EUR	50,813	CZK	1,358,333		57,789		06/21/17		292
	NOK	8,993,138	EUR	967,087		1,125,161		12/21/16		34,569
	USD	291,000	CAD	380,939		290,537		12/21/16		463
	USD	2,724,128	NZD	3,744,969		2,718,241		12/21/16		5,887
	USD	422,923	SEK	3,599,395		420,404		11/09/16		2,519
Westpac Banking Corp.	AUD	371,000	NZD	384,658		283,414		12/21/16		4,214
	AUD	383,000	USD	288,548		292,581		12/21/16		4,033
	CNH	1,945,664	USD	289,000		290,088		12/21/16		1,088
	USD	1,659,619	CAD	2,172,545		1,656,968		12/21/16		2,652
	USD	4,045,472	EUR	3,586,872		4,036,889		11/10/16		8,582
	USD	99,000	IDR	1,285,218,000		98,394		10/31/16		606
	USD	1,708,230	SGD	2,323,928		1,704,672		12/21/16		3,559
TOTAL									$	643,364

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

GOLDMAN SACHS SHORT DURATION INCOME FUND

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Loss
Barclays Bank PLC	CAD	163,738	USD	125,050	$	124,881		12/21/16	$	(170	)
	GBP	221,000	USD	289,242		286,956		12/21/16		(2,286	)
	NZD	790,000	USD	576,249		573,412		12/21/16		(2,837	)
	PHP	25,493,794	USD	538,355		527,117		10/27/16		(11,238	)
	PHP	26,297,491	USD	548,264		542,877		11/18/16		(5,387	)
	SEK	15,185,762	EUR	1,593,745		1,777,705		12/21/16		(19,575	)
	USD	207,640	CAD	273,292		208,436		12/21/16		(795	)
	USD	1,286,197	SGD	1,753,568		1,286,296		12/21/16		(99	)
	USD	805,422	TWD	25,205,692		806,626		10/21/16		(1,204	)
	USD	921,000	ZAR	13,112,854		940,294		12/21/16		(19,294	)
BNP Paribas SA	ARS	1,622,020	USD	106,782		104,677		10/17/16		(2,105	)
	ARS	1,851,912	USD	122,238		119,451		10/18/16		(2,787	)
	ARS	5,069,165	USD	329,167		325,960		10/24/16		(3,206	)
	ARS	1,549,730	USD	99,119		97,829		11/29/16		(1,290	)
	EUR	258,000	NOK	2,366,066		290,949		12/21/16		(5,077	)
	EUR	259,000	PLN	1,118,989		292,077		12/21/16		(107	)
	MXN	43,240,988	USD	2,244,218		2,209,783		12/21/16		(34,435	)
	MYR	871,397	USD	211,735		211,013		10/27/16		(722	)
	MYR	1,838,316	USD	452,063		444,998		11/09/16		(7,065	)
	SEK	25,261,111	EUR	2,650,703		2,957,165		12/21/16		(32,056	)
	SGD	786,489	USD	579,000		576,913		12/21/16		(2,087	)
	USD	288,312	AUD	378,000		288,761		12/21/16		(450	)
	USD	125,262	EUR	111,258		125,466		12/21/16		(204	)
	USD	572,468	HUF	158,121,249		577,049		12/21/16		(4,582	)
	USD	289,257	KRW	320,814,546		291,232		10/04/16		(1,975	)
	USD	991,466	KRW	1,095,897,313		994,594		10/19/16		(3,127	)
	USD	275,512	TWD	8,637,315		276,089		10/07/16		(577	)
Citibank NA	ARS	5,695,507	USD	369,838		367,369		10/18/16		(2,469	)
	ARS	3,413,103	USD	220,342		219,020		10/28/16		(1,322	)
	ARS	1,596,400	USD	101,682		100,166		12/12/16		(1,515	)
	ARS	1,056,072	USD	66,503		65,930		12/23/16		(574	)
	BRL	955,225	USD	291,000		290,886		11/03/16		(114	)
	COP	459,869,992	USD	158,595		158,452		11/03/16		(143	)
	EUR	259,000	NOK	2,374,155		292,077		12/21/16		(4,961	)
	EUR	1,085,352	USD	1,224,206		1,223,960		12/21/16		(246	)
	SEK	2,452,608	EUR	256,000		287,112		12/21/16		(1,582	)
	SGD	397,155	USD	292,000		291,325		12/21/16		(675	)
	TRY	875,817	USD	289,000		287,083		12/21/16		(1,917	)
	USD	577,000	CAD	756,592		577,041		12/21/16		(41	)
	USD	1,937,624	JPY	198,029,073		1,953,316		10/06/16		(15,692	)
	USD	476,287	KRW	540,348,083		490,391		10/21/16		(14,104	)
	USD	289,000	KRW	319,134,030		289,618		10/26/16		(618	)
	USD	284,000	RUB	18,688,762		296,067		10/21/16		(12,067	)
	USD	523,437	TWD	16,564,178		530,215		10/24/16		(6,777	)
	USD	1,227,561	TWD	38,385,844		1,231,210		11/22/16		(3,649	)
Credit Suisse International (London)	CHF	282,044	EUR	259,000		291,812		12/21/16		(264	)
	COP	472,929,830	USD	163,000		162,925		11/04/16		(75	)
	GBP	228,443	USD	298,497		296,620		12/21/16		(1,877	)
	JPY	141,654,705	USD	1,411,353		1,402,187		12/21/16		(9,166	)
	USD	113,964	EUR	101,058		113,964		12/21/16		—
	USD	939,182	JPY	95,813,910		948,426		12/21/16		(9,245	)
	USD	289,000	RUB	18,551,835		293,534		10/26/16		(4,534	)

The accompanying notes are an integral part of these financial statements. 75

GOLDMAN SACHS SHORT DURATION INCOME FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Loss
Deutsche Bank AG	ARS	1,928,708	USD	123,635	$	122,203		11/22/16	$	(1,432	)
	BRL	928,226	USD	289,000		285,074		10/04/16		(3,926	)
	EUR	525,616	NOK	4,801,537		592,742		12/21/16		(7,994	)
	EUR	932,003	USD	1,050,335		1,048,934		11/10/16		(1,401	)
	GBP	105,481	USD	138,014		136,960		12/21/16		(1,054	)
	MYR	1,951,455	USD	482,854		472,874		10/07/16		(9,980	)
	NZD	397,444	AUD	378,000		288,480		12/21/16		(282	)
	PEN	966,711	USD	286,000		285,387		10/12/16		(613	)
	THB	9,165,853	USD	264,450		264,446		10/20/16		(5	)
	USD	286,000	ILS	1,077,362		288,134		12/21/16		(2,134	)
	USD	161,245	JPY	16,342,821		161,772		12/21/16		(527	)
	USD	725,867	KRW	804,717,680		730,330		10/19/16		(4,464	)
	USD	289,000	KRW	324,185,085		294,206		10/24/16		(5,206	)
	USD	707,523	TWD	22,357,728		716,517		11/10/16		(8,994	)
HSBC Bank PLC	EUR	143,191	NOK	1,309,643		161,478		12/21/16		(2,375	)
	GBP	89,335	USD	116,027		115,996		12/21/16		(31	)
	MXN	64,300,990	USD	3,383,781		3,286,031		12/21/16		(97,750	)
	MYR	1,941,591	USD	483,874		470,293		10/19/16		(13,580	)
	MYR	1,037,400	USD	252,041		251,122		11/09/16		(919	)
	TRY	864,616	USD	289,000		283,411		12/21/16		(5,589	)
	TWD	11,512,462	USD	369,952		368,114		10/11/16		(1,838	)
	USD	261,974	INR	17,680,592		264,494		10/27/16		(2,520	)
	USD	571,000	KRW	636,752,934		578,037		10/04/16		(7,037	)
	USD	250,028	KRW	280,181,100		254,277		10/21/16		(4,250	)
	USD	581,306	KRW	649,580,673		589,511		10/24/16		(8,205	)
	USD	471,366	MYR	1,951,455		472,874		10/07/16		(1,508	)
	USD	507,607	NOK	4,134,578		517,290		12/21/16		(9,683	)
	USD	1,788,272	SGD	2,441,421		1,790,856		12/21/16		(2,584	)
	USD	578,000	TWD	18,106,312		579,434		10/21/16		(1,434	)
JPMorgan Securities, Inc.	ARS	1,594,260	USD	101,316		100,355		12/05/16		(961	)
	BRL	1,854,598	USD	574,617		569,578		10/04/16		(5,039	)
	CAD	229,797	USD	178,094		175,193		10/26/16		(2,901	)
	EUR	256,000	JPY	29,282,867		288,693		12/21/16		(1,167	)
	MXN	5,393,854	USD	286,000		275,647		12/21/16		(10,353	)
	MYR	4,920,000	USD	1,217,912		1,191,685		10/20/16		(26,227	)
	PHP	26,863,453	USD	560,970		555,837		10/17/16		(5,134	)
	SEK	12,609,459	EUR	1,325,400		1,476,113		12/21/16		(18,552	)
	SGD	786,783	USD	578,000		577,129		12/21/16		(871	)
	TRY	874,785	USD	290,000		286,744		12/21/16		(3,256	)
	USD	138,116	NOK	1,123,142		140,520		12/21/16		(2,404	)
Morgan Stanley & Co.	BRL	6,624,983	USD	2,024,639		2,017,444		11/03/16		(7,195	)
	GBP	215,243	EUR	251,541		279,481		12/21/16		(4,183	)
	GBP	1,181,239	USD	1,570,333		1,532,434		11/16/16		(37,899	)
	GBP	88,366	USD	114,831		114,738		12/21/16		(93	)
	MXN	5,345,912	USD	286,000		273,197		12/21/16		(12,803	)
	PLN	1,109,341	EUR	257,000		289,664		12/21/16		(157	)
	SEK	21,467,111	EUR	2,246,348		2,513,025		12/21/16		(20,202	)
	USD	2,468,000	AED	9,122,962		2,482,877		12/07/16		(14,877	)
	USD	234,119	CAD	307,860		234,800		12/21/16		(681	)
	USD	289,000	JPY	29,307,229		290,101		12/21/16		(1,101	)
	USD	574,000	MXN	11,339,872		579,511		12/21/16		(5,511	)

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

GOLDMAN SACHS SHORT DURATION INCOME FUND

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Loss
Morgan Stanley & Co. (continued)	USD	286,000	RUB	18,561,114	$	294,775		10/11/16	$	(8,775	)
	USD	289,000	RUB	18,567,903		293,716		10/27/16		(4,716	)
	USD	1,730,972	TWD	54,586,213		1,748,279		11/01/16		(17,306	)
	USD	1,231,223	TWD	38,435,078		1,232,789		11/22/16		(1,566	)
Royal Bank of Canada	CAD	1,113,247	USD	856,000		849,057		12/21/16		(6,943	)
State Street Bank and Trust	CAD	371,537	USD	284,000		283,366		12/21/16		(634	)
	CZK	6,863,080	EUR	255,799		290,508		06/21/17		(411	)
	EUR	633,364	NOK	5,783,752		714,250		12/21/16		(9,375	)
	GBP	660,306	EUR	770,000		857,369		12/21/16		(10,968	)
	SEK	17,421,097	EUR	1,823,811		2,039,382		12/21/16		(17,345	)
	SEK	4,947,205	NOK	4,717,000		579,140		12/21/16		(11,020	)
	USD	861,000	CAD	1,138,898		868,621		12/21/16		(7,621	)
Westpac Banking Corp.	AUD	904,120	USD	691,380		691,194		11/18/16		(186	)
	CNH	3,835,775	USD	572,000		571,893		12/21/16		(107	)
	EUR	510,415	USD	575,674		574,453		11/10/16		(1,221	)
	EUR	477,664	USD	538,695		538,666		12/21/16		(29	)
	JPY	74,746,190	USD	747,193		737,280		10/06/16		(9,913	)
	PLN	1,108,904	EUR	257,000		289,550		12/21/16		(271	)
	USD	598,537	CNH	4,025,762		600,220		12/21/16		(1,682	)
	USD	1,229,119	NZD	1,695,337		1,230,540		12/21/16		(1,423	)
	USD	289,000	TWD	9,044,255		289,504		10/24/16		(505	)
TOTAL									$	(759,263	)

FORWARD SALES CONTRACTS — At September 30, 2016, the Fund had the following forward sales contracts:

Description	Interest Rate	Maturity Date(a)	Settlement Date		Principal Amount			Value
GNMA (Proceeds Receivable: $(1,069,375))	4.000%	TBA-30yr		10/20/16	$	(1,000,000	)	$	(1,071,641	)

(a) TBA (To Be Announced) Securities are purchased or 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.

FUTURES CONTRACTS — At September 30, 2016, the Fund had the following futures contracts:

Type	Number of Contracts Long (Short)			Expiration Date	Current Value			Unrealized Gain (Loss)
Eurodollars		(30	)	June 2019	$	(7,406,250	)	$	3,681
Eurodollars		(30	)	September 2019		(7,403,625	)		3,118
Eurodollars		(30	)	December 2019		(7,400,250	)		2,931
Eurodollars		(30	)	March 2020		(7,397,625	)		2,556
Eurodollars		(18	)	June 2020		(4,436,775	)		1,308
U.S. Long Bonds		(6	)	December 2016		(1,008,938	)		7,693
Ultra Long U.S. Treasury Bonds		(8	)	December 2016		(1,471,000	)		3,108
2 Year U.S. Treasury Notes		239		December 2016		52,214,031			44,750
5 Year U.S. Treasury Notes		555		December 2016		67,441,172			239,309
10 Year U.S. Treasury Notes		(137	)	December 2016		(17,964,125	)		(80,360	)
10 Year U.S. Ultra Treasury Notes		(5	)	December 2016		(720,781	)		316
TOTAL								$	228,410

The accompanying notes are an integral part of these financial statements. 77

GOLDMAN SACHS SHORT DURATION INCOME FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION (continued)

SWAP CONTRACTS — At September 30, 2016, the Fund had the following swap contracts:

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS

					Rates Exchanged		Market Value
Notional Amount (000s)			Termination Date		Payments Received	Payments Made	Upfront Payments Made (Received)			Unrealized Gain (Loss)
MXN	25,450			11/07/16	3.910%	Mexico Interbank TIIE 28 Days	$	1		$	(1,915	)
	10,820			11/08/16	3.920	Mexico Interbank TIIE 28 Days		—			(807	)
	21,890			11/09/16	3.900	Mexico Interbank TIIE 28 Days		2			(1,677	)
SEK	48,430			06/15/18	0.050	3 month STIBOR		39,769			11,640
	87,960	(b)		09/15/18	0.330	3 month STIBOR		463			3,693
EUR	46,520	(b)		09/21/18	0.400	6 month EURO		(645,163	)		646,600
PLN	25,440			09/21/18	1.614	6 month WIBOR		(2,122	)		(13,181	)
EUR	46,520			09/21/18	6 month EURO	0.400%		38,689			12,127
GBP	3,810	(b)		12/21/19	0.353	6 month BP		770			6,690
PLN	725			09/21/20	2.018	6 month WIBOR		2			1,334
	11,650			09/21/21	1.771	6 month WIBOR		(15,121	)		(7,583	)
CAD	45,840	(b)		12/21/21	1.000	6 month CDOR		(63,991	)		94,061
NOK	61,300	(b)		12/21/21	1.250	3 month NIBOR		22,634			(23,321	)
NZD	3,860	(b)		12/21/21	2.250	3 month NZDOR		11,841			4,134
$	35,280	(b)		12/21/21	3 month LIBOR	1.500		(441,827	)		(59,911	)
SEK	78,955	(b)		12/21/21	3 month STIBOR	0.100		(25,319	)		(26,666	)
EUR	2,170	(b)		12/21/21	6 month EURO	0.250		(40,135	)		(6,638	)
	530	(b)		08/16/24	0.250	6 month EURO		(172	)		32
GBP	550	(b)		09/27/26	6 month BP	1.000		(1,145	)		3,884
AUD	970	(b)		09/28/26	2.500	6 month AUDOR		5,230			(554	)
JPY	350,000	(b)		12/15/26	0.250	6 month JYOR		(2,615	)		10,277
$	5,780	(b)		12/15/26	2.500	3 month LIBOR		91,547			101,054
SEK	8,350	(b)		12/15/26	3 month STIBOR	2.750		(62,429	)		(1,761	)
GBP	6,720	(b)		12/15/26	6 month BP	2.250		(482,562	)		(1,904	)
EUR	3,040	(b)		12/21/26	0.750	6 month EURO		119,391			33,388
AUD	1,050	(b)		12/21/26	2.750	6 month AUDOR		48,565			(4,661	)
$	1,300	(b)		12/21/26	3 month LIBOR	1.750		(24,400	)		(8,175	)
SEK	23,020	(b)		12/21/26	3 month STIBOR	0.750		5,482			(24,255	)
MXN	28,430	(b)		03/03/27	6.000	Mexico Interbank TIIE 28 Days		(37,746	)		(18,303	)
GBP	710			09/15/31	3.230	6 month BP		(2,552	)		(19,285	)
	300	(b)		12/21/31	6 month BP	1.500		(35,647	)		6,741
	2,170	(b)		12/17/35	6 month BP	2.500		(321,456	)		19,507
JPY	420,230	(b)		12/16/36	0.750	6 month JYOR		69			20,533
	119,380	(b)		12/21/36	6 month JYOR	0.500		6,350			(36,150	)
	128,720	(b)		12/17/46	0.750	6 month JYOR		7,081			3,175
GBP	1,280	(b)		12/17/46	6 month BP	1.000		(29,245	)		31,545
$	3,840	(b)		12/21/46	2.250	3 month LIBOR		359,388			66,600
GBP	2,260	(b)		12/21/46	6 month BP	1.750		(534,001	)		(29,265	)
	TOTAL						$	(2,010,374	)	$	791,003

(b) Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to September 30, 2016.

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

GOLDMAN SACHS SHORT DURATION INCOME FUND

ADDITIONAL INVESTMENT INFORMATION (continued)

CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS

										Market Value
Referenced Obligation	Notional Amount (000s)	Rates Received (Paid)			Termination Date		Credit Spread at September 30, 2016(c)			Upfront Payments Made (Received)			Unrealized Gain (Loss)
Protection Purchased:
CDX North America High Yield Index 26	$2,275		(5.000	)%		06/20/21		3.757	%	$	(101,792	)	$	(18,127	)
Protection Sold:
CDX North America Investment Grade Index 26	1,250		1.000			06/20/21		0.684			14,269			4,045
TOTAL										$	(87,523	)	$	(14,082	)

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

The accompanying notes are an integral part of these financial statements. 79

GOLDMAN SACHS SHORT-TERM CONSERVATIVE INCOME FUND

Schedule of Investments

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – 31.8%
	Banks – 26.5%
	Australia & New Zealand Banking Group Ltd.(a)
$	300,000		1.112	%		06/13/17	$	299,951
	Bank of America NA(a)
	250,000		1.287			11/14/16		250,179
	BPCE SA(a)
	350,000		1.487			06/17/17		350,472
	250,000		1.473			06/23/17		250,434
	Commonwealth Bank of Australia(a)(b)
	495,000		1.549			11/02/18		497,784
	Credit Suisse New York(a)
	160,000		1.442			01/29/18		160,229
	HSBC Bank PLC(a)(b)
	500,000		1.457			05/15/18		500,432
	ING Bank NV(b)
	500,000		3.750			03/07/17		505,180
	Lloyds Bank PLC(a)
	350,000		1.374			03/16/18		349,301
	Macquarie Bank Ltd.(b)
	200,000		1.650			03/24/17		200,285
	National Australia Bank Ltd.(a)
	500,000		1.355			07/23/18		501,590
	Santander UK PLC(a)
	525,000		1.362			03/13/17		524,663
	The Bank of Tokyo-Mitsubishi UFJ Ltd.(a)(b)
	500,000		1.876			09/14/18		502,614
	The Toronto-Dominion Bank(a)
	90,000		1.302			04/30/18		90,208
	UBS AG/Stamford CT(a)
	500,000		1.402			06/01/17		500,534
	Wells Fargo & Co.(a)
	400,000		1.139			06/02/17		400,042
	Wells Fargo Bank NA(a)
	300,000		1.442			01/22/18		301,393
	Westpac Banking Corp.(a)
	258,000		1.492			07/30/18		259,247
								6,444,538
	Diversified Manufacturing(a) – 1.2%
	General Electric Co.
	292,000		1.333			12/07/17		291,356
	Health Care(a) – 2.1%
	Providence Health & Services Obligated Group
	500,000		1.446			10/01/16		499,987
	Technology(a) – 2.0%
	QUALCOMM, Inc.
	490,000		1.081			05/18/18		490,183
	TOTAL CORPORATE OBLIGATIONS
	(Cost $7,710,480)						$	7,726,064
	Municipal Debt Obligations(c) – 1.3%
	California – 0.9%
	Los Angeles California Department of Airports RB Build America Bonds Direct Payment to Issuer Series 2009 C
$	230,000		5.175	%		05/15/17	$	232,749

Principal Amount		Interest Rate			Maturity Date		Value
	Municipal Debt Obligations(c) – (continued)
	Massachusetts(a) – 0.4%
	Massachusetts State GO Consolidated Loan Series 2012 D
$	90,000		1.270	%		01/01/18	$	90,043
	TOTAL MUNICIPAL DEBT OBLIGATIONS
	(Cost $322,972)						$	322,792
Shares		Distribution Rate					Value
	Investment Company(a)(d) – 7.1%
	Goldman Sachs Financial Square Government Fund – Institutional Shares
	1,725,866		0.290	%			$	1,725,866
	(Cost $1,725,866)
	TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT
	(Cost $9,759,318)						$	9,774,722
Principal Amount		Interest Rate			Maturity Date		Value
	Short-term Investments – 62.0%
	Certificates of Deposit – 28.4%
	The Bank of Nova Scotia
$	500,000		0.000	%		05/12/17	$	500,000
	Chase Bank USA NA
	500,000		0.021			05/26/17		499,932
	Svenska Handelsbanken AB
	350,000		0.000			12/19/16		349,812
	Credit Industriel et Commercial SA
	500,000		0.000			06/15/17		499,143
	Credit Suisse New York
	450,000		0.000			08/16/17		450,000
	Mizuho Bank Ltd.
	300,000		0.000			02/27/17		300,000
	Skandinaviska Enskilda Banken AB
	700,000		0.000			02/23/17		700,000
	Standard Chartered Bank
	700,000		0.000			02/27/17		700,000
	Sumitomo Mitsui Banking Corp.
	500,000		0.000			01/06/17		500,000
	Sumitomo Trust & Banking Corp.
	500,000		0.000			10/24/16		500,000
	Bank of Montreal
	500,000		0.000			10/24/17		500,000
	Mizuho Bank Ltd.
	500,000		0.000			09/19/17		500,000
	National Bank of Kuwait SAKP
	400,000		0.000			01/26/17		400,000
	Norinchukin Bank NY
	500,000		0.000			09/22/17		500,000
								6,898,887

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

GOLDMAN SACHS SHORT-TERM CONSERVATIVE INCOME FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Short-term Investments – (continued)
	Commercial Paper – 29.5%
	Ford Motor Credit Co. LLC
$	600,000		1.273	%		02/01/17	$	597,164
	Barton Capital Corp.
	300,000		0.935			11/04/16		299,739
	Commonwealth Bank of Australia
	250,000		0.000			08/24/17		250,000
	Kells Funding LLC
	700,000		0.935			12/07/16		698,802
	Nieuw Amsterdam Receivables Corp.
	700,000		1.244			02/10/17		696,869
	Westpac Banking Corp.
	300,000		0.000			08/07/17		300,000
	Electricite De France SA
	300,000		1.557			01/09/17		298,742
	Bedford Row Funding Corp.
	500,000		1.263			06/22/17		495,490
	Liberty Funding LLC
	600,000		0.927			12/12/16		598,908
	Ciesco LLC
	350,000		1.275			03/07/17		348,092
	Duke Energy Corp.
	400,000		0.750			10/04/16		399,975
	LMA SA LMA Americas
	500,000		1.486			06/15/17		494,824
	Marriott International, Inc.
	350,000		0.822			10/25/16		349,811
	Matchpoint Finance PLC
	500,000		1.357			03/06/17		497,118
	Schlumberger Holdings Corp.
	350,000		1.037			12/08/16		349,326
	Versailles Commercial Paper LLC
	500,000		1.068			12/12/16		498,950
								7,173,810

Principal Amount		Interest Rate			Maturity Date		Value
	Short-term Investments – (continued)
	Repurchase Agreements – 4.1%
	BNP Paribas
$	1,000,000		0.640	%		10/03/16	$	1,000,000
	Maturity Value: $1,000,053 Settlement Date: 09/30/2016 Collateralized by various corporate obligations, 1.717% to 10.750%, due 01/12/18 to 09/15/46. The aggregate market value of the collateral, including accrued interest, was $1,083,910.
	TOTAL SHORT-TERM INVESTMENTS
	(Cost $15,072,697)						$	15,072,697
	TOTAL INVESTMENTS – 102.2%
	(Cost $24,832,015)						$	24,847,419
	LIABILITIES IN EXCESS OF     OTHER ASSETS – (2.2)%							(538,852	)
	NET ASSETS – 100.0%						$	24,308,567

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 or distribution rate disclosed is that which is in effect on September 30, 2016.
(b)	Exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be deemed 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 $2,206,295, which represents approximately 9.1% of net assets as of September 30, 2016.
(c)	Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.
(d)	Represents affiliated funds.

Investment Abbreviations:
GO	—General Obligation
LLC	—Limited Liability Company
PLC	—Public Limited Company
RB	—Revenue Bond

The accompanying notes are an integral part of these financial statements. 81

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Statements of Assets and Liabilities

September 30, 2016 (Unaudited)

	Enhanced Income Fund
Assets:
Investments of unaffiliated issuers, at value (cost $553,444,054, $436,610,938, $379,851,191, $227,965,290, $1,404,057,530, $500,807,209 and $22,106,149)	$	555,445,745
Investments of affiliated issuers, at value (cost $601, $12,017,515, $14,886,775, $25, $2,236, $781 and $1,725,866)		601
Repurchase agreement, at value which equals cost		—
Cash		7,304,799
Foreign currencies, at value (cost $0, $0, $0, $0, $0, $75,039 and $0, respectively)		—
Unrealized gain on swap contracts		—
Unrealized gain on forward foreign currency exchange contracts		—
Variation margin on certain derivative contracts		183,349
Receivables:
Fund shares sold		2,152,336
Interest		1,546,109
Reimbursement from investment adviser		6,154
Investments sold		—
Investments sold on an extended-settlement basis		—
Collateral on certain derivative contracts(a)		—
Other assets		1,397
Total assets		566,640,490
Liabilities:
Due to custodian		—
Unrealized loss on swap contracts		—
Unrealized loss on forward foreign currency exchange contracts		—
Forward sale contracts, at value (proceeds received $0, $5,251,563, $0, $0, $1,069,375, $1,069,375 and $0, respectively)		—
Variation margin on certain derivative contracts		—
Payables:
Fund shares redeemed		349,526
Management fees		114,872
Distribution and Service fees and Transfer Agency fees		27,830
Income distribution		5,457
Investments purchased		601
Collateral on certain derivative contracts		—
Investments purchased on an extended-settlement basis		—
Due to broker—upfront payment		—
Accrued expenses		111,874
Total liabilities		610,160
Net Assets:
Paid-in capital		581,880,726
Undistributed (distributions in excess of) net investment income		743,032
Accumulated net realized loss		(18,400,575	)
Net unrealized gain (loss)		1,807,147
NET ASSETS	$	566,030,330
Net Assets:
Class A	$	35,739,659
Class C		—
Institutional		528,889,339
Administration		153,939
Service		—
Class IR		1,237,253
Class R		—
Class R6		10,140
Total Net Assets	$	566,030,330
Shares Outstanding $0.001 par value (unlimited number of shares authorized):
Class A		3,790,885
Class C		—
Institutional		56,158,910
Administration		16,291
Service		—
Class IR		131,468
Class R		—
Class R6		1,076
Net asset value, offering and redemption price per share:(b)
Class A		$9.43
Class C		—
Institutional		9.42
Administration		9.45
Service		—
Class IR		9.41
Class R		—
Class R6		9.42

(a) Segregated for initial margin and/or collateral on swap transactions of $1,614,180, $420,685, $5,516,376 and $1,246,215 for the Government Income, Inflation Protected Securities, Short Duration Government, and Short Duration Income Funds, respectively. Also includes amounts segregated for initial margin and/or collateral on forwards transactions of $2,770,000 for the Short Duration Income Fund.

(b) Maximum public offering price per share for Class A Shares of the Enhanced Income, Government Income, High Quality Floating Rate, Inflation Protected Securities, Short Duration Government and Short Duration Income Funds is $9.57, $15.71, $8.80, $11.03, $10.21 and $10.20, respectively. At redemption, Class C Shares may be subject to a contingent deferred sales charge, assessed on the amount equal to the lesser of the current net asset value (“NAV”) or the original purchase price of the shares.

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

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Government Income Fund			High Quality Floating Rate Fund			Inflation Protected Securities Fund			Short Duration Government Fund			Short Duration Income Fund			Short-Term Conservative Income Fund
$	450,219,586		$	379,700,165		$	234,590,327		$	1,421,158,262		$	503,857,788		$	22,121,553
	12,017,515			14,886,775			25			2,236			781			1,725,866
	—			—			—			—			—			1,000,000
	6,136,200			6,229,029			855,829			1,272,337			3,490,205			—
	—			—			—			—			71,489			—
	—			—			351,663			—			—			—
	—			—			—			—			643,364			—
	291,122			62,366			137,815			1,764,958			101,763			—
	338,954			1,010,968			2,243,021			2,629,348			1,609,411			116,365
	1,452,848			579,776			274,614			4,165,252			2,718,039			23,201
	45,066			31,039			21,114			54,635			44,397			17,571
	13,476			385,393			—			255,369			6,502,418			—
	13,492,488			—			—			1,069,375			1,069,375			—
	1,614,180			—			420,685			5,516,376			4,016,215			—
	905			2,172			435			2,914			2,968			54
	485,622,340			402,887,683			238,895,528			1,437,891,062			524,128,213			25,004,610
	—			—			—			—			—			634,657
	—			—			69,957			—			—			—
	—			—			—			—			759,263			—
	5,275,391			—			—			1,071,641			1,071,641			—
	—			—			7,863			—			45,063			—
	1,363,824			67,449			217,399			3,077,207			1,508,276			1,301
	176,486			98,503			48,137			489,699			161,419			2,721
	78,346			15,617			36,245			108,595			18,667			195
	89,064			4,979			—			72,130			410			94
	2,639			1,051,718			25			2,235			100,652			131
	10,000			—			—			260,000			—			—
	70,607,866			9,506,508			—			62,779,922			21,075,473			—
	—			—			—			—			59,205			—
	209,931			149,514			84,984			214,427			198,242			56,944
	77,813,547			10,894,288			464,610			68,075,856			24,998,311			696,043
	402,446,681			423,486,058			248,831,752			1,381,906,396			500,220,633			24,293,366
	93,283			(189,885	)		(212,464	)		4,329,093			(1,245,447	)		175
	(8,724,366	)		(31,071,183	)		(17,175,360	)		(33,039,579	)		(3,779,334	)		(378	)
	13,993,195			(231,595	)		6,986,990			16,619,296			3,934,050			15,404
$	407,808,793		$	391,993,395		$	238,430,918		$	1,369,815,206		$	499,129,902		$	24,308,567
	$158,334,748		$	9,939,417		$	63,967,478		$	159,519,657		$	9,722,784		$	—
	10,753,135			—			6,815,781			31,636,485			1,122,948			—
	150,230,661			381,099,682			148,154,117			1,058,892,776			487,528,689			24,251,650
	—			—			—			—			—			56,917
	59,413,781			478,913			—			27,650,850			—			—
	5,129,909			465,319			6,912,970			15,363,536			717,643			—
	21,379,378			—			12,367,776			—			27,571			—
	2,567,181			10,064			212,796			76,751,902			10,267			—
	$407,808,793		$	391,993,395		$	238,430,918		$	1,369,815,206		$	499,129,902		$	24,308,567
	10,469,264			1,146,213			6,025,395			15,857,431			967,181			—
	710,996			—			649,561			3,165,658			111,691			—
	9,948,484			43,966,135			13,800,620			105,581,224			48,418,044			2,423,358
	—			—			—			—			—			5,686
	3,939,040			54,986			—			2,761,171			—			—
	339,425			53,800			647,502			1,526,131			71,302			—
	1,415,334			—			1,168,066			—			2,738			—
	170,008			1,161			19,824			7,653,878			1,020			—
	$15.12			$8.67			$10.62			$10.06			$10.05			$—
	15.12			—			10.49			9.99			10.05			—
	15.10			8.67			10.74			10.03			10.07			10.01
	—			—			—			—			—			10.01
	15.08			8.71			—			10.01			—			—
	15.11			8.65			10.68			10.07			10.06			—
	15.11			—			10.59			—			10.07			—
	15.10			8.67			10.73			10.03			10.07			—

The accompanying notes are an integral part of these financial statements. 83

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Statements of Operations

For the Six Months Ended September 30, 2016 (Unaudited)

	Enhanced Income Fund
Investment income:
Interest	$	3,981,959
Dividends — affiliated issuers		22,489
Total investment income		4,004,448
Expenses:
Management fees		653,864
Transfer Agency fees(a)		120,353
Custody, accounting and administrative services		72,389
Registration fees		51,984
Professional fees		49,192
Distribution and Service fees(a)		42,674
Printing and mailing costs		15,623
Trustee fees		8,971
Service Share fees — Service Plan		—
Service Share fees — Shareholder Administration Plan		—
Other		6,030
Total expenses		1,021,080
Less — expense reductions		(49,526	)
Net expenses		971,554
NET INVESTMENT INCOME		3,032,894
Realized and unrealized gain (loss):
Net realized gain (loss) from:
Investments — unaffiliated issuers		255,765
Futures contracts		(462,820	)
Swap contracts		—
Forward foreign currency exchange contracts		—
Foreign currency transactions		—
Net change in unrealized gain (loss) on:
Investments — unaffiliated issuers		923,019
Futures contracts		376,824
Swap contracts		—
Forward foreign currency exchange contracts		—
Foreign currency translation		—
Net realized and unrealized gain (loss)		1,092,788
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	4,125,682

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

	Distribution and Service Fees								Transfer Agency Fees
Fund	Class A		Class C		Administration		Class R		Class A		Class C		Institutional		Administration		Service		Class IR		Class R		Class R6
Enhanced Income	$	42,674	$	—	$	—	$	—	$	22,190	$	—	$	97,593	$	30	$	—	$	538	$	—	$	2
Government Income		199,683		56,039		—		54,716		103,835		7,285		29,885		—		11,534		3,283		14,226		98
High Quality Floating Rate		12,768		—		—		—		6,639		—		74,177		—		102		359		—		2
Inflation Protected Securities		58,735		33,430		—		28,144		30,542		4,346		26,446		—		—		2,810		7,317		11
Short Duration Government		208,015		164,896		—		—		108,168		21,436		213,234		—		5,832		10,686		—		7,453
Short Duration Income		7,991		4,895		—		66		4,155		636		88,716		—		—		284		17		2
Short-Term Conservative Income		—		—		1,872		—		—		—		3,386		300		—		—		—		—

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

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Government Income Fund			High Quality Floating Rate Fund			Inflation Protected Securities Fund			Short Duration Government Fund			Short Duration Income Fund			Short-Term Conservative Income Fund
$	4,227,933		$	2,561,464		$	3,096,353		$	13,684,123		$	5,222,848		$	100,677
	30,147			17,916			25			61,177			781			131
	4,258,080			2,579,380			3,096,378			13,745,300			5,223,629			100,808
	1,096,112			764,343			332,623			3,368,488			902,851			23,037
	170,146			81,279			71,472			366,809			93,810			3,686
	103,612			80,059			33,221			140,399			139,878			20,355
	58,148			44,178			55,383			69,263			52,876			15,849
	56,280			55,386			49,224			54,660			63,585			47,453
	310,438			12,768			120,309			372,911			12,952			1,872
	42,079			17,130			14,078			48,622			13,399			12,388
	8,910			8,888			8,672			9,866			8,870			8,510
	72,085			639			–			36,452			–			–
	72,085			639			–			36,452			–			–
	7,818			4,901			4,139			19,526			12,404			2,094
	1,997,713			1,070,210			689,121			4,523,448			1,300,625			135,244
	(306,185	)		(370,573	)		(190,937	)		(753,186	)		(259,058	)		(118,316	)
	1,691,528			699,637			498,184			3,770,262			1,041,567			16,928
	2,566,552			1,879,743			2,598,194			9,975,038			4,182,062			83,880
	2,081,032			496,319			1,694,354			3,118,680			421,239			(1,439	)
	(465,748	)		(191,688	)		(90,997	)		(4,525,696	)		437,999			–
	(62	)		–			86,978			(4,153,367	)		(977,600	)		–
	–			–			–			–			145,374			–
	–			–			–			–			40,012			–
	1,615,968			1,449,216			1,175,300			(1,376,317	)		4,007,994			17,722
	173,717			46,495			204,653			895,773			(51,295	)		–
	192,329			–			212,161			4,612,442			945,047			–
	–			–			–			–			(306,668	)		–
	–			–			–			–			(5,487	)		–
	3,597,236			1,800,342			3,282,449			(1,428,485	)		4,656,615			16,283
$	6,163,788		$	3,680,085		$	5,880,643		$	8,546,553		$	8,838,677		$	100,163

The accompanying notes are an integral part of these financial statements. 85

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Statements of Changes in Net Assets

	Enhanced Income Fund
	For the Six Months Ended September 30, 2016 (Unaudited)			For the Fiscal Year Ended March 31, 2016
From operations:
Net investment income	$	3,032,894		$	3,508,385
Net realized gain (loss)		(207,055	)		(1,217,860	)
Net change in unrealized gain (loss)		1,299,843			139,109
Net increase (decrease) in net assets resulting from operations		4,125,682			2,429,634
Distributions to shareholders:
From net investment income
Class A Shares		(140,083	)		(133,806	)
Class C Shares		—			—
Institutional Shares		(2,828,001	)		(3,267,173	)
Administration Shares		(689	)		(784	)
Service Shares		—			—
Class IR Shares		(4,298	)		(2,775	)
Class R Shares		—			—
Class R6 Shares(a)		(58	)		(48	)
Total distributions to shareholders		(2,973,129	)		(3,404,586	)
From share transactions:
Proceeds from sales of shares		184,272,873			171,894,314
Reinvestment of distributions		2,896,709			3,255,022
Cost of shares redeemed		(81,728,994	)		(208,732,063	)
Net increase (decrease) in net assets resulting from share transactions		105,440,588			(33,582,727	)
TOTAL INCREASE (DECREASE)		106,593,141			(34,557,679	)
Net assets:
Beginning of period		459,437,189			493,994,868
End of period	$	566,030,330		$	459,437,189
Undistributed (distributions in excess of) net investment income	$	743,032		$	683,267

(a) Commenced operations on July 31, 2015.

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

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Government Income Fund						High Quality Floating Rate Fund
For the Six Months Ended September 30, 2016 (Unaudited)			For the Fiscal Year Ended March 31, 2016			For the Six Months Ended September 30, 2016 (Unaudited)			For the Fiscal Year Ended March 31, 2016
$	2,566,552		$	5,630,443		$	1,879,743		$	2,443,577
	1,615,222			3,744,805			304,631			(1,410,904	)
	1,982,014			(2,987,519	)		1,495,711			(3,340,965	)
	6,163,788			6,387,729			3,680,085			(2,308,292	)
	(1,417,023	)		(2,650,376	)		(39,014	)		(32,428	)
	(57,685	)		(100,259	)		–			–
	(1,578,556	)		(2,899,391	)		(1,858,791	)		(2,432,738	)
	—			—			—			—
	(464,335	)		(777,594	)		(1,303	)		(357	)
	(51,065	)		(74,576	)		(2,568	)		(3,805	)
	(166,841	)		(295,885	)		—			—
	(9,458	)		(833	)		(51	)		(37	)
	(3,744,963	)		(6,798,914	)		(1,901,727	)		(2,469,365	)
	58,466,743			110,333,684			68,184,288			221,160,610
	2,976,385			5,366,335			1,871,594			2,348,637
	(56,467,926	)		(174,925,596	)		(52,684,057	)		(369,245,310	)
	4,975,202			(59,225,577	)		17,371,825			(145,736,063	)
	7,394,027			(59,636,762	)		19,150,183			(150,513,720	)
	400,414,766			460,051,528			372,843,212			523,356,932
$	407,808,793		$	400,414,766		$	391,993,395		$	372,843,212
$	93,283		$	1,271,694		$	(189,885	)	$	(167,901	)

The accompanying notes are an integral part of these financial statements. 87

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Statements of Changes in Net Assets

	Inflation Protected Securities Fund
	For the Six Months Ended September 30, 2016 (Unaudited)			For the Fiscal Year Ended March 31, 2016
From operations:
Net investment income	$	2,598,194		$	1,245,029
Net realized gain (loss)		1,690,335			233,492
Net change in unrealized gain (loss)		1,592,114			1,524,287
Net increase in net assets resulting from operations		5,880,643			3,002,808
Distributions to shareholders:
From net investment income
Class A Shares		(538,059	)		(116,307	)
Class C Shares		(41,048	)		(11,972	)
Institutional Shares		(1,528,208	)		(346,238	)
Administration Shares		—			—
Service Shares		—			—
Class IR Shares		(59,801	)		(9,256	)
Class R Shares		(100,071	)		(19,841	)
Class R6 Shares(a)		(1,618	)		(28	)
From net realized gains
Institutional Shares		—			—
Administration Shares		—			—
Class A Shares		—			(99,357	)
Class C Shares		—			(10,228	)
Institutional Shares		—			(295,782	)
Class IR Shares		—			(7,907	)
Class R Shares		—			(16,949	)
Class R6 Shares(a)		—			(24	)
Total distributions to shareholders		(2,268,805	)		(933,889	)
From share transactions:
Proceeds from sales of shares		87,266,470			95,028,833
Reinvestment of distributions		1,510,131			704,259
Cost of shares redeemed		(32,613,438	)		(48,833,942	)
Net increase (decrease) in net assets resulting from share transactions		56,163,163			46,899,150
TOTAL INCREASE (DECREASE)		59,775,001			48,968,069
Net assets:
Beginning of period		178,655,917			129,687,848
End of period	$	238,430,918		$	178,655,917
Undistributed (distributions in excess of) net investment income	$	(212,464	)	$	(541,853	)

(a) Commenced operations on July 31, 2015.

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

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Short Duration Government Fund						Short Duration Income Fund						Short-Term Conservative Income Fund
For the Six Months Ended September 30, 2016 (Unaudited)			For the Fiscal Year Ended March 31, 2016			For the Six Months Ended September 30, 2016 (Unaudited)			For the Fiscal Year Ended March 31, 2016			For the Six Months Ended September 30, 2016 (Unaudited)			For the Fiscal Year Ended March 31, 2016
$	9,975,038		$	11,290,836		$	4,182,062		$	6,382,807		$	83,880		$	71,554
	(5,560,383	)		2,135,832			67,024			(894,692	)		(1,439	)		2,737
	4,131,898			(4,586,702	)		4,589,591			(1,764,701	)		17,722			(1,181	)
	8,546,553			8,839,966			8,838,677			3,723,414			100,163			73,110
	(1,431,763	)		(1,272,315	)		(57,367	)		(129,094	)		—			—
	(217,213	)		(97,613	)		(6,740	)		(14,747	)		—			—
	(10,941,801	)		(11,028,792	)		(4,671,759	)		(7,789,625	)		(79,431	)		(71,466	)
	—			—			—			—			(4,434	)		(88	)
	(227,384	)		(155,854	)		—			—			—			—
	(161,974	)		(132,262	)		(4,328	)		(8,082	)		—			—
	—			—			(202	)		(245	)		—			—
	(771,411	)		(241,057	)		(105	)		(164	)		—			—
	—			—			—			—			—			(1,205	)
	—			—			—			—			—			(3	)
	—			—			—			—			—			—
	—			—			—			—			—			—
	—			—			—			—			—			—
	—			—			—			—			—			—
	—			—			—			—			—			—
	—			—			—			—			—			—
	(13,751,546	)		(12,927,893	)		(4,740,501	)		(7,941,957	)		(83,865	)		(72,762	)
	187,073,885			761,478,282			153,235,276			271,080,144			15,217,276			5,000,020
	13,036,917			12,222,288			4,724,456			7,892,160			83,771			72,762
	(244,634,260	)		(657,819,714	)		(61,563,913	)		(171,160,354	)		(6,115,737	)		(20	)
	(44,523,458	)		115,880,856			96,395,819			107,811,950			9,185,310			5,072,762
	(49,728,451	)		111,792,929			100,493,995			103,593,407			9,201,608			5,073,110
	1,419,543,657			1,307,750,728			398,635,907			295,042,500			15,106,959			10,033,849
$	1,369,815,206		$	1,419,543,657		$	499,129,902		$	398,635,907		$	24,308,567		$	15,106,959
$	4,329,093		$	8,105,601		$	(1,245,447	)	$	(687,008	)	$	175		$	160

The accompanying notes are an integral part of these financial statements. 89

GOLDMAN SACHS ENHANCED INCOME FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

			Income (loss) from Investment Operations
Year - Share Class	Net asset value, beginning of period		Net investment income(a)		Net realized and unrealized gain (loss)			Total from investment operations			Distributions to shareholders from net investment income
FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED)
2016 - A	$	9.41	$	0.04	$	0.02		$	0.06		$	(0.04	)
2016 - Institutional		9.40		0.06		0.01			0.07			(0.05	)
2016 - Administration		9.43		0.04		0.02			0.06			(0.04	)
2016 - IR		9.39		0.05		0.02			0.07			(0.05	)
2016 - R6		9.40		0.06		0.02			0.08			(0.06	)
FOR THE FISCAL YEARS ENDED MARCH 31,
2016 - A		9.42		0.04		(0.01	)		0.03			(0.04	)
2016 - Institutional		9.41		0.07		(0.01	)		0.06			(0.07	)
2016 - Administration		9.44		0.05		(0.01	)		0.04			(0.05	)
2016 - IR		9.41		0.06		(0.02	)		0.04			(0.06	)
2016 - R6 (Commenced July 31, 2015)		9.39		0.05		—	(e)		0.05			(0.04	)
2015 - A		9.47		0.01		(0.05	)		(0.04	)		(0.01	)
2015 - Institutional		9.46		0.04		(0.05	)		(0.01	)		(0.04	)
2015 - Administration		9.49		0.01		(0.05	)		(0.04	)		(0.01	)
2015 - IR		9.45		0.03		(0.04	)		(0.01	)		(0.03	)
2014 - A		9.49		0.03		(0.02	)		0.01			(0.03	)
2014 - Institutional		9.48		0.06		(0.02	)		0.04			(0.06	)
2014 - Administration		9.51		0.04		(0.02	)		0.02			(0.04	)
2014 - IR		9.48		0.06		(0.04	)		0.02			(0.05	)
2013 - A		9.49		0.07		—	(e)		0.07			(0.07	)
2013 - Institutional		9.47		0.10		0.01			0.11			(0.10	)
2013 - Administration		9.51		0.08		(0.01	)		0.07			(0.07	)
2013 - IR		9.47		0.09		0.01			0.10			(0.09	)
2012 - A		9.60		0.09		(0.11	)		(0.02	)		(0.09	)
2012 - Institutional		9.59		0.12		(0.11	)		0.01			(0.13	)
2012 - Administration		9.62		0.10		(0.11	)		(0.01	)		(0.10	)
2012 - IR		9.58		0.11		(0.10	)		0.01			(0.12	)

(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 deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.

(c) The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher.

(d) Annualized.

(e) Amount is less than $0.005 per share.

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

GOLDMAN SACHS ENHANCED INCOME FUND

Net asset value, end of period		Total return(b)			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(c)
$	9.43		0.63	%	$	35,740		0.69	%(d)		0.71	%(d)		0.84	%(d)		50	%
	9.42		0.80			528,889		0.35	(d)		0.37	(d)		1.18	(d)		50
	9.45		0.67			154		0.60	(d)		0.62	(d)		0.94	(d)		50
	9.41		0.75			1,237		0.44	(d)		0.45	(d)		1.06	(d)		50
	9.42		0.80			10		0.35	(d)		0.37	(d)		1.19	(d)		50
	9.41		0.29			35,378		0.69			0.71			0.42			60
	9.40		0.63			423,278		0.35			0.36			0.76			60
	9.43		0.38			147		0.60			0.61			0.50			60
	9.39		0.43			623		0.44			0.46			0.66			60
	9.40		0.58			10		0.35	(d)		0.37	(d)		0.74	(d)		60
	9.42		(0.47	)		35,556		0.69			0.71			0.06			39
	9.41		(0.13	)		457,826		0.35			0.37			0.40			39
	9.44		(0.38	)		176		0.60			0.62			0.15			39
	9.41		(0.12	)		437		0.44			0.46			0.31			39
	9.47		0.10			46,289		0.69			0.73			0.33			40
	9.46		0.44			512,656		0.36			0.38			0.60			40
	9.49		0.19			198		0.61			0.64			0.42			40
	9.45		0.25			583		0.45			0.48			0.64			40
	9.49		0.69			50,859		0.68			0.70			0.70			98
	9.48		1.14			295,940		0.34			0.36			1.04			98
	9.51		0.79			220		0.59			0.61			0.83			98
	9.48		1.05			1,345		0.43			0.45			0.96			98
	9.49		(0.19	)		110,136		0.64			0.69			0.94			86
	9.47		0.05			395,751		0.30			0.35			1.28			86
	9.51		(0.09	)		1,682		0.55			0.60			1.03			86
	9.47		0.06			2,040		0.39			0.44			1.17			86

The accompanying notes are an integral part of these financial statements. 91

GOLDMAN SACHS GOVERNMENT INCOME FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

			Income (loss) from Investment Operations									Distributions to shareholders
Year - Share Class	Net asset value, beginning of period		Net investment income (loss)(a)			Net realized and unrealized gain (loss)			Total from investment operations			From net investment income			From net realized gains			Total distributions
FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED)
2016 - A	$	15.03	$	0.09		$	0.13		$	0.22		$	(0.13	)	$	—		$	(0.13	)
2016 - C		15.03		0.03			0.14			0.17			(0.08	)		—			(0.08	)
2016 - Institutional		15.01		0.12			0.13			0.25			(0.16	)		—			(0.16	)
2016 - Service		14.99		0.08			0.13			0.21			(0.12	)		—			(0.12	)
2016 - IR		15.02		0.11			0.13			0.24			(0.15	)		—			(0.15	)
2016 - R		15.02		0.07			0.14			0.21			(0.12	)		—			(0.12	)
2016 - R6		15.01		0.11			0.14			0.25			(0.16	)		—			(0.16	)
FOR THE FISCAL YEARS ENDED MARCH 31,
2016 - A		15.02		0.19			0.06			0.25			(0.24	)		—			(0.24	)
2016 - C		15.02		0.08			0.06			0.14			(0.13	)		—			(0.13	)
2016 - Institutional		15.00		0.24			0.06			0.30			(0.29	)		—			(0.29	)
2016 - Service		14.98		0.17			0.05			0.22			(0.21	)		—			(0.21	)
2016 - IR		15.01		0.23			0.05			0.28			(0.27	)		—			(0.27	)
2016 - R		15.00		0.16			0.06			0.22			(0.20	)		—			(0.20	)
2016 - R6 (Commenced July 31, 2015)		14.83		0.16			0.21			0.37			(0.19	)		—			(0.19	)
2015 - A		14.67		0.17			0.39			0.56			(0.21	)		—			(0.21	)
2015 - C		14.67		0.06			0.38			0.44			(0.09	)		—			(0.09	)
2015 - Institutional		14.64		0.22			0.40			0.62			(0.26	)		—			(0.26	)
2015 - Service		14.63		0.15			0.38			0.53			(0.18	)		—			(0.18	)
2015 - IR		14.66		0.21			0.38			0.59			(0.24	)		—			(0.24	)
2015 - R		14.65		0.13			0.39			0.52			(0.17	)		—			(0.17	)
2014 - A		15.00		0.12			(0.25	)		(0.13	)		(0.16	)		(0.04	)		(0.20	)
2014 - C		15.00		0.02			(0.25	)		(0.23	)		(0.06	)		(0.04	)		(0.10	)
2014 - Institutional		14.97		0.17			(0.25	)		(0.08	)		(0.21	)		(0.04	)		(0.25	)
2014 - Service		14.96		0.10			(0.25	)		(0.15	)		(0.14	)		(0.04	)		(0.18	)
2014 - IR		14.99		0.18			(0.27	)		(0.09	)		(0.20	)		(0.04	)		(0.24	)
2014 - R		14.98		0.09			(0.25	)		(0.16	)		(0.13	)		(0.04	)		(0.17	)
2013 - A		15.37		0.11			0.24			0.35			(0.17	)		(0.55	)		(0.72	)
2013 - C		15.37		(0.01	)		0.24			0.23			(0.05	)		(0.55	)		(0.60	)
2013 - Institutional		15.34		0.15			0.25			0.40			(0.22	)		(0.55	)		(0.77	)
2013 - Service		15.33		0.08			0.24			0.32			(0.14	)		(0.55	)		(0.69	)
2013 - IR		15.36		0.14			0.25			0.39			(0.21	)		(0.55	)		(0.76	)
2013 - R		15.35		0.06			0.25			0.31			(0.13	)		(0.55	)		(0.68	)
2012 - A		14.95		0.18			0.76			0.94			(0.18	)		(0.34	)		(0.52	)
2012 - C		14.95		0.06			0.77			0.83			(0.07	)		(0.34	)		(0.41	)
2012 - Institutional		14.92		0.23			0.77			1.00			(0.24	)		(0.34	)		(0.58	)
2012 - Service		14.91		0.15			0.77			0.92			(0.16	)		(0.34	)		(0.50	)
2012 - IR		14.94		0.21			0.77			0.98			(0.22	)		(0.34	)		(0.56	)
2012 - R		14.93		0.13			0.78			0.91			(0.15	)		(0.34	)		(0.49	)

(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 deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.

(c) The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher.

(d) Annualized.

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

GOLDMAN SACHS GOVERNMENT INCOME FUND

Net asset value, end of period		Total return(b)			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 (loss) to average net assets			Portfolio turnover rate(c)
$	15.12		1.49	%	$	158,335		0.91	%(d)		1.06	%(d)		1.19	%(d)		207	%
	15.12		1.11			10,753		1.66	(d)		1.81	(d)		0.45	(d)		207
	15.10		1.66			150,231		0.57	(d)		0.72	(d)		1.53	(d)		207
	15.08		1.41			59,414		1.07	(d)		1.22	(d)		1.03	(d)		207
	15.11		1.62			5,130		0.66	(d)		0.81	(d)		1.44	(d)		207
	15.11		1.44			21,379		1.16	(d)		1.31	(d)		0.94	(d)		207
	15.10		1.68			2,567		0.55	(d)		0.70	(d)		1.39	(d)		207
	15.03		1.66			159,880		0.90			1.05			1.31			590
	15.03		0.91			11,743		1.66			1.80			0.56			590
	15.01		2.01			147,394		0.57			0.71			1.64			590
	14.99		1.50			54,940		1.06			1.21			1.15			590
	15.02		1.92			4,676		0.66			0.80			1.55			590
	15.02		1.41			21,688		1.15			1.30			1.06			590
	15.01		2.52			93		0.55	(d)		0.70	(d)		1.59	(d)		590
	15.02		3.80			182,381		0.91			1.05			1.16			471
	15.02		3.03			12,918		1.66			1.80			0.41			471
	15.00		4.23			186,519		0.58			0.71			1.50			471
	14.98		3.64			51,176		1.07			1.21			1.00			471
	15.01		4.06			3,875		0.66			0.80			1.41			471
	15.00		3.55			23,184		1.16			1.30			0.90			471
	14.67		(0.83	)		194,179		0.92			1.02			0.83			655
	14.67		(1.53	)		15,202		1.62			1.78			0.12			655
	14.64		(0.50	)		197,289		0.58			0.69			1.19			655
	14.63		(1.00	)		53,172		1.08			1.18			0.66			655
	14.66		(0.58	)		4,157		0.67			0.78			1.25			655
	14.65		(1.08	)		20,743		1.17			1.28			0.62			655
	15.00		2.26			285,955		0.91			1.00			0.69			943
	15.00		1.50			25,655		1.66			1.75			(0.06	)		943
	14.97		2.61			346,782		0.57			0.66			0.97			943
	14.96		2.07			79,620		1.07			1.16			0.51			943
	14.99		2.51			1,509		0.67			0.75			0.93			943
	14.98		2.00			21,907		1.16			1.25			0.41			943
	15.37		6.32			396,439		0.92			1.00			1.14			763
	15.37		5.53			32,148		1.67			1.75			0.38			763
	15.34		6.69			241,382		0.58			0.66			1.48			763
	15.33		6.17			89,677		1.08			1.16			0.97			763
	15.36		6.59			1,669		0.67			0.75			1.35			763
	15.35		6.07			20,368		1.17			1.25			0.87			763

The accompanying notes are an integral part of these financial statements. 93

GOLDMAN SACHS HIGH QUALITY FLOATING RATE FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

			Income (loss) from Investment Operations
Year - Share Class	Net asset value, beginning of period		Net investment income(a)			Net realized and unrealized gain (loss)			Total from investment operations			Distributions to shareholders from net investment income
FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED)
2016 - A	$	8.63	$	0.03		$	0.04		$	0.07		$	(0.03	)
2016 - Institutional		8.63		0.04			0.04			0.08			(0.04	)
2016 - Service		8.67		0.02			0.04			0.06			(0.02	)
2016 - IR		8.61		0.04			0.04			0.08			(0.04	)
2016 - R6		8.63		0.04			0.04			0.08			(0.04	)
FOR THE FISCAL YEARS ENDED MARCH 31,
2016 - A		8.72		0.02			(0.09	)		(0.07	)		(0.02	)
2016 - Institutional		8.72		0.05			(0.09	)		(0.04	)		(0.05	)
2016 - Service		8.76		0.01			(0.09	)		(0.08	)		(0.01	)
2016 - IR		8.70		0.04			(0.09	)		(0.05	)		(0.04	)
2016 - R6 (Commenced July 31, 2015)		8.69		0.03			(0.06	)		(0.03	)		(0.03	)
2015 - A		8.76		0.01			(0.04	)		(0.03	)		(0.01	)
2015 - Institutional		8.77		0.03			(0.05	)		(0.02	)		(0.03	)
2015 - Service		8.81		—	(e)		(0.05	)		(0.05	)		—	(e)
2015 - IR		8.75		0.03			(0.05	)		(0.02	)		(0.03	)
2014 - A		8.78		0.02			(0.02	)		—			(0.02	)
2014 - Institutional		8.78		0.04			—	(e)		0.04			(0.05	)
2014 - Service		8.83		—	(e)		(0.01	)		(0.01	)		(0.01	)
2014 - IR		8.77		0.04			(0.02	)		0.02			(0.04	)
2013 - A		8.77		0.04			—	(e)		0.04			(0.03	)
2013 - Institutional		8.77		0.07			—	(e)		0.07			(0.06	)
2013 - Service		8.81		0.03			0.01			0.04			(0.02	)
2013 - IR		8.76		0.05			0.01			0.06			(0.05	)
2012 - A		8.81		0.05			(0.07	)		(0.02	)		(0.02	)
2012 - Institutional		8.82		0.08			(0.08	)		—			(0.05	)
2012 - Service		8.86		0.04			(0.08	)		(0.04	)		(0.01	)
2012 - IR		8.81		0.07			(0.08	)		(0.01	)		(0.04	)

(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 deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.

(c) The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher.

(d) Annualized.

(e) Amount is less than $0.005 per share.

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

GOLDMAN SACHS HIGH QUALITY FLOATING RATE FUND

Net asset value, end of period		Total return(b)			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(c)
$	8.67		0.85	%	$	9,939		0.65	%(d)		0.89	%(d)		0.75	%(d)		33	%
	8.67		0.97			381,100		0.36	(d)		0.55	(d)		0.99	(d)		33
	8.71		0.72			479		0.86	(d)		1.05	(d)		0.50	(d)		33
	8.65		0.93			465		0.45	(d)		0.64	(d)		0.90	(d)		33
	8.67		0.98			10		0.33	(d)		0.53	(d)		1.02	(d)		33
	8.63		(0.80	)		10,680		0.70			0.88			0.22			71
	8.63		(0.47	)		360,939		0.36			0.54			0.56			71
	8.67		(0.93	)		551		0.84			1.04			0.11			71
	8.61		(0.56	)		663		0.45			0.63			0.47			71
	8.63		(0.32	)		10		0.36	(d)		0.53	(d)		0.55	(d)		71
	8.72		(0.36	)		18,565		0.66			0.90			0.12			64
	8.72		(0.19	)		503,652		0.36			0.56			0.38			64
	8.76		(0.53	)		145		0.73			1.07			0.05			64
	8.70		(0.28	)		996		0.45			0.65			0.32			64
	8.76		(0.01	)		43,550		0.72			0.95			0.20			130
	8.77		0.45			378,958		0.38			0.59			0.50			130
	8.81		(0.01	)		255		0.85			1.10			0.05			130
	8.75		0.24			1,570		0.47			0.69			0.43			130
	8.78		0.44			47,438		0.74			0.96			0.44			286
	8.78		0.78			158,132		0.40			0.62			0.79			286
	8.83		0.41			160		0.89			1.12			0.38			286
	8.77		0.69			1,018		0.49			0.71			0.63			286
	8.77		(0.21	)		85,905		0.75			0.90			0.53			178
	8.77		0.01			212,611		0.41			0.56			0.87			178
	8.81		(0.44	)		448		0.86			1.06			0.41			178
	8.76		(0.08	)		930		0.50			0.65			0.79			178

The accompanying notes are an integral part of these financial statements. 95

GOLDMAN SACHS INFLATION PROTECTED SECURITIES FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

			Income (loss) from Investment Operations									Distributions to shareholders
Year - Share Class	Net asset value, beginning of period		Net investment income (loss)(a)			Net realized and unrealized gain (loss)			Total from investment operations			From net investment income			From net realized gains			From capital			Total distributions
FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED)
2016 - A	$	10.44	$	0.12		$	0.16		$	0.28		$	(0.10	)	$	—		$	—		$	(0.10	)
2016 - C		10.32		0.09			0.14			0.23			(0.06	)		—			—			(0.06	)
2016 - Institutional		10.55		0.15			0.16			0.31			(0.12	)		—			—			(0.12	)
2016 - IR		10.49		0.13			0.17			0.30			(0.11	)		—			—			(0.11	)
2016 - R		10.41		0.11			0.16			0.27			(0.09	)		—			—			(0.09	)
2016 - R6		10.55		0.12			0.18			0.30			(0.12	)		—			—			(0.12	)
FOR THE FISCAL YEARS ENDED MARCH 31,
2016 - A		10.39		0.10			0.01			0.11			(0.03	)		—			(0.03	)		(0.06	)
2016 - C		10.31		0.04			—			0.04			(0.02	)		—			(0.01	)		(0.03	)
2016 - Institutional		10.48		0.09			0.06			0.15			(0.05	)		—			(0.03	)		(0.08	)
2016 - IR		10.43		0.12			0.01			0.13			(0.04	)		—			(0.03	)		(0.07	)
2016 - R		10.38		0.04			0.04			0.08			(0.03	)		—			(0.02	)		(0.05	)
2016 - R6 (Commenced July 31, 2015)		10.36		(0.03	)		0.27			0.24			(0.03	)		—			(0.02	)		(0.05	)
2015 - A		10.29		(0.05	)		0.27			0.22			(0.12	)		—			—			(0.12	)
2015 - C		10.27		(0.10	)		0.23			0.13			(0.09	)		—			—			(0.09	)
2015 - Institutional		10.36		0.03			0.22			0.25			(0.13	)		—			—			(0.13	)
2015 - IR		10.32		(0.04	)		0.28			0.24			(0.13	)		—			—			(0.13	)
2015 - R		10.30		(0.12	)		0.31			0.19			(0.11	)		—			—			(0.11	)
2014 - A		11.24		0.09			(0.83	)		(0.74	)		(0.02	)		(0.16	)		(0.03	)		(0.21	)
2014 - C		11.28		—	(e)		(0.82	)		(0.82	)		—			(0.16	)		(0.03	)		(0.19	)
2014 - Institutional		11.28		0.13			(0.83	)		(0.70	)		(0.03	)		(0.16	)		(0.03	)		(0.22	)
2014 - IR		11.25		0.11			(0.83	)		(0.72	)		(0.02	)		(0.16	)		(0.03	)		(0.21	)
2014 - R		11.27		0.01			(0.78	)		(0.77	)		(0.01	)		(0.16	)		(0.03	)		(0.20	)
2013 - A		11.16		0.04			0.56			0.60			(0.16	)		(0.36	)		—			(0.52	)
2013 - C		11.20		(0.03	)		0.55			0.52			(0.08	)		(0.36	)		—			(0.44	)
2013 - Institutional		11.20		0.06			0.58			0.64			(0.20	)		(0.36	)		—			(0.56	)
2013 - IR		11.17		0.03			0.60			0.63			(0.19	)		(0.36	)		—			(0.55	)
2013 - R		11.19		—	(e)		0.57			0.57			(0.13	)		(0.36	)		—			(0.49	)
2012 - A		10.95		0.19			1.11			1.30			(0.30	)		(0.79	)		—			(1.09	)
2012 - C		10.99		0.13			1.09			1.22			(0.22	)		(0.79	)		—			(1.01	)
2012 - Institutional		10.99		0.23			1.11			1.34			(0.34	)		(0.79	)		—			(1.13	)
2012 - IR		10.97		0.02			1.30			1.32			(0.33	)		(0.79	)		—			(1.12	)
2012 - R		10.98		0.18			1.09			1.27			(0.27	)		(0.79	)		—			(1.06	)

(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 deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.

(c) The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher.

(d) Annualized.

(e) Amount is less than $0.005 per share.

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

GOLDMAN SACHS INFLATION PROTECTED SECURITIES FUND

Net asset value, end of period		Total return(b)			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 (loss) to average net assets			Portfolio turnover rate(c)
$	10.62		2.71	%	$	63,967		0.68	%(d)		0.87	%(d)		2.28	%(d)		74	%
	10.49		2.26			6,816		1.43	(d)		1.62	(d)		1.70	(d)		74
	10.74		2.91			148,154		0.34	(d)		0.53	(d)		2.77	(d)		74
	10.68		2.90			6,913		0.43	(d)		0.62	(d)		2.39	(d)		74
	10.59		2.59			12,368		0.93	(d)		1.12	(d)		2.17	(d)		74
	10.73		2.83			213		0.32	(d)		0.51	(d)		2.23	(d)		74
	10.44		1.09			39,525		0.70			0.89			1.02			171
	10.32		0.39			6,420		1.45			1.64			0.37			171
	10.55		1.42			119,876		0.35			0.56			0.85			171
	10.49		1.29			2,697		0.45			0.64			1.18			171
	10.41		0.79			10,128		0.95			1.15			0.42			171
	10.55		2.37			10		0.34	(d)		0.60	(d)		(0.44	)(d)		171
	10.39		2.09			38,976		0.69			0.96			(0.47	)		161
	10.31		1.25			8,161		1.44			1.71			(1.00	)		161
	10.48		2.40			72,940		0.35			0.62			0.29			161
	10.43		2.27			2,526		0.45			0.71			(0.42	)		161
	10.38		1.81			7,085		0.95			1.22			(1.19	)		161
	10.29		(6.60	)		37,940		0.63			0.84			0.88			262
	10.27		(7.29	)		10,173		1.38			1.59			(0.01	)		262
	10.36		(6.22	)		91,483		0.29			0.50			1.19			262
	10.32		(6.35	)		2,021		0.38			0.59			1.03			262
	10.30		(6.82	)		4,707		0.88			1.10			0.10			262
	11.24		5.37			73,665		0.62			0.81			0.39			230
	11.28		4.57			19,203		1.38			1.56			(0.29	)		230
	11.28		5.71			276,216		0.28			0.46			0.53			230
	11.25		5.63			3,617		0.37			0.55			0.24			230
	11.27		5.10			2,023		0.87			1.05			0.02			230
	11.16		11.99			123,135		0.63			0.83			1.63			194
	11.20		11.24			24,312		1.28			1.58			1.17			194
	11.20		12.34			159,075		0.29			0.49			2.05			194
	11.17		12.16			393		0.38			0.58			0.21			194
	11.19		11.70			1,411		0.88			1.08			1.61			194

The accompanying notes are an integral part of these financial statements. 97

GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

			Income (loss) from Investment Operations								Distributions to shareholders
Year - Share Class	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
FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED)
2016 - A	$	10.10	$	0.06	$	(0.01	)	$	0.05		$	(0.09	)	$	—		$	(0.09	)
2016 - C		10.03		0.04		(0.01	)		0.03			(0.07	)		—			(0.07	)
2016 - Institutional		10.07		0.08		(0.02	)		0.06			(0.10	)		—			(0.10	)
2016 - Service		10.05		0.05		(0.01	)		0.04			(0.08	)		—			(0.08	)
2016 - IR		10.10		0.07		—	(e)		0.07			(0.10	)		—			(0.10	)
2016 - R6		10.07		0.08		(0.02	)		0.06			(0.10	)		—			(0.10	)
FOR THE YEARS ENDED MARCH 31,
2016 - A		10.12		0.05		(0.01	)		0.04			(0.06	)		—			(0.06	)
2016 - C		10.06		0.02		(0.02	)		—	(e)		(0.03	)		—			(0.03	)
2016 - Institutional		10.09		0.09		(0.01	)		0.08			(0.10	)		—			(0.10	)
2016 - Service		10.08		0.04		(0.02	)		0.02			(0.05	)		—			(0.05	)
2016 - IR		10.13		0.08		(0.02	)		0.06			(0.09	)		—			(0.09	)
2016 - R6 (Commenced July 31, 2015)		10.09		0.06		(0.02	)		0.04			(0.06	)		—			(0.06	)
2015 - A		10.17		0.07		(0.04	)		0.03			(0.08	)		—			(0.08	)
2015 - C		10.11		0.03		(0.04	)		(0.01	)		(0.04	)		—			(0.04	)
2015 - Institutional		10.14		0.10		(0.03	)		0.07			(0.12	)		—			(0.12	)
2015 - Service		10.13		0.05		(0.03	)		0.02			(0.07	)		—			(0.07	)
2015 - IR		10.18		0.09		(0.03	)		0.06			(0.11	)		—			(0.11	)
2014 - A		10.24		0.07		(0.06	)		0.01			(0.08	)		—			(0.08	)
2014 - C		10.17		0.03		(0.05	)		(0.02	)		(0.04	)		—			(0.04	)
2014 - Institutional		10.21		0.10		(0.06	)		0.04			(0.11	)		—			(0.11	)
2014 - Service		10.20		0.05		(0.06	)		(0.01	)		(0.06	)		—			(0.06	)
2014 - IR		10.25		0.09		(0.05	)		0.04			(0.11	)		—			(0.11	)
2013 - A		10.30		0.04		(0.01	)		0.03			(0.06	)		(0.03	)		(0.09	)
2013 - C		10.23		0.01		(0.02	)		(0.01	)		(0.02	)		(0.03	)		(0.05	)
2013 - Institutional		10.27		0.08		(0.01	)		0.07			(0.10	)		(0.03	)		(0.13	)
2013 - Service		10.25		0.03		—	(e)		0.03			(0.05	)		(0.03	)		(0.08	)
2013 - IR		10.30		0.07		—	(e)		0.07			(0.09	)		(0.03	)		(0.12	)
2012 - A		10.23		0.05		0.06			0.11			(0.04	)		—	(e)		(0.04	)
2012 - C		10.17		0.02		0.05			0.07			(0.01	)		—	(e)		(0.01	)
2012 - Institutional		10.20		0.09		0.06			0.15			(0.08	)		—	(e)		(0.08	)
2012 - Service		10.19		0.04		0.05			0.09			(0.03	)		—	(e)		(0.03	)
2012 - IR		10.24		0.08		0.05			0.13			(0.07	)		—	(e)		(0.07	)

(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 deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.

(c) The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher.

(d) Annualized.

(e) Amount is less than $0.005 per share.

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

GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND

Net asset value, end of period		Total return(b)			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(c)
$	10.06		0.46	%	$	159,520		0.82	%(d)		0.92	%(d)		1.17	%(d)		86	%
	9.99		0.26			31,636		1.22	(d)		1.67	(d)		0.77	(d)		86
	10.03		0.63			1,058,893		0.48	(d)		0.58	(d)		1.51	(d)		86
	10.01		0.38			27,651		0.98	(d)		1.08	(d)		1.01	(d)		86
	10.07		0.69			15,364		0.57	(d)		0.67	(d)		1.41	(d)		86
	10.03		0.64			76,752		0.46	(d)		0.56	(d)		1.53	(d)		86
	10.10		0.44			173,879		0.81			0.91			0.52			227
	10.03		(0.02	)		33,934		1.17			1.66			0.17			227
	10.07		0.78			1,089,297		0.47			0.57			0.86			227
	10.05		0.18			30,608		0.97			1.07			0.37			227
	10.10		0.59			17,850		0.56			0.66			0.77			227
	10.07		0.42			73,976		0.45	(d)		0.55	(d)		0.84	(d)		227
	10.12		0.33			220,814		0.82			0.91			0.67			185
	10.06		(0.07	)		36,722		1.22			1.67			0.27			185
	10.09		0.67			1,003,694		0.48			0.57			1.00			185
	10.08		0.17			33,015		0.98			1.08			0.51			185
	10.13		0.58			13,505		0.57			0.66			0.91			185
	10.17		0.10			277,312		0.82			0.91			0.65			211
	10.11		(0.20	)		48,324		1.22			1.66			0.26			211
	10.14		0.44			1,043,676		0.48			0.57			1.00			211
	10.13		(0.06	)		38,818		0.98			1.07			0.49			211
	10.18		0.35			18,018		0.57			0.66			0.91			211
	10.24		0.32			471,348		0.81			0.89			0.42			640
	10.17		(0.06	)		69,496		1.19			1.64			0.05			640
	10.21		0.66			1,133,613		0.47			0.55			0.77			640
	10.20		0.26			53,464		0.97			1.05			0.27			640
	10.25		0.67			24,501		0.56			0.64			0.68			640
	10.30		1.10			808,034		0.79			0.87			0.53			359
	10.23		0.65			95,446		1.15			1.62			0.18			359
	10.27		1.45			1,265,479		0.45			0.53			0.87			359
	10.25		0.85			69,463		0.95			1.03			0.39			359
	10.30		1.25			36,019		0.54			0.62			0.77			359

The accompanying notes are an integral part of these financial statements. 99

GOLDMAN SACHS SHORT DURATION INCOME FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

				Income (loss) from Investment Operations									Distributions to shareholders
	Year - Share Class	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
	FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED)
	2016 - A	$	9.96	$	0.08		$	0.10		$	0.18		$	(0.09	)	$	—		$	(0.09	)
	2016 - C		9.96		0.06			0.10			0.16			(0.07	)		—			(0.07	)
	2016 - Institutional		9.98		0.09			0.11			0.20			(0.11	)		—			(0.11	)
	2016 - IR		9.97		0.09			0.10			0.19			(0.10	)		—			(0.10	)
	2016 - R		9.98		0.06			0.11			0.17			(0.08	)		—			(0.08	)
	2016 - R6		9.97		0.09			0.12			0.21			(0.11	)		—			(0.11	)
FOR THE FISCAL YEARS ENDED MARCH 31,
	2016 - A		10.10		0.16			(0.10	)		0.06			(0.20	)		—			(0.20	)
	2016 - C		10.10		0.12			(0.10	)		0.02			(0.16	)		—			(0.16	)
	2016 - Institutional		10.11		0.19			(0.08	)		0.11			(0.24	)		—			(0.24	)
	2016 - IR		10.11		0.18			(0.09	)		0.09			(0.23	)		—			(0.23	)
	2016 - R		10.11		0.13			(0.08	)		0.05			(0.18	)		—			(0.18	)
	2016 - R6 (Commenced July 31, 2015)		10.07		0.13			(0.07	)		0.06			(0.16	)		—			(0.16	)
	2015 - A		10.17		0.10			(0.04	)		0.06			(0.13	)		—			(0.13	)
	2015 - C		10.17		0.06			(0.04	)		0.02			(0.09	)		—			(0.09	)
	2015 - Institutional		10.18		0.13			(0.03	)		0.10			(0.17	)		—			(0.17	)
	2015 - IR		10.18		0.13			(0.04	)		0.09			(0.16	)		—			(0.16	)
	2015 - R		10.18		0.08			(0.04	)		0.04			(0.11	)		—			(0.11	)
	2014 - A		10.17		0.12			0.01			0.13			(0.13	)		—	(e)		(0.13	)
	2014 - C		10.17		0.08			0.01			0.09			(0.09	)		—	(e)		(0.09	)
	2014 - Institutional		10.18		0.15			0.01			0.16			(0.16	)		—	(e)		(0.16	)
	2014 - IR		10.18		0.15			—	(e)		0.15			(0.15	)		—	(e)		(0.15	)
	2014 - R		10.18		0.09			0.01			0.10			(0.10	)		—	(e)		(0.10	)
	2013 - A		9.96		0.11			0.26			0.37			(0.13	)		(0.03	)		(0.16	)
	2013 - C		9.97		0.08			0.24			0.32			(0.09	)		(0.03	)		(0.12	)
	2013 - Institutional		9.97		0.14			0.26			0.40			(0.16	)		(0.03	)		(0.19	)
	2013 - IR		9.97		0.13			0.26			0.39			(0.15	)		(0.03	)		(0.18	)
	2013 - R		9.97		0.08			0.26			0.34			(0.10	)		(0.03	)		(0.13	)
FOR THE PERIOD ENDED MARCH 31,
	2012 - A (Commenced February 29, 2012)		10.00		0.01			(0.04	)		(0.03	)		(0.01	)		—			(0.01	)
	2012 - C (Commenced February 29, 2012)		10.00		—	(e)		(0.03	)		(0.03	)		—	(e)		—			—	(e)
	2012 - Institutional (Commenced February 29, 2012)		10.00		0.01			(0.03	)		(0.02	)		(0.01	)		—			(0.01	)
	2012 - IR (Commenced February 29, 2012)		10.00		0.01			(0.03	)		(0.02	)		(0.01	)		—			(0.01	)
	2012 - R (Commenced February 29, 2012)		10.00		—	(e)		(0.02	)		(0.02	)		(0.01	)		—			(0.01	)

(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 deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.

(c) The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher.

(d) Annualized.

(e) Amount is less than $0.005 per share.

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

GOLDMAN SACHS SHORT DURATION INCOME FUND

Net asset value, end of period		Total return(b)			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(c)
$	10.05		1.81	%	$	9,723		0.80	%(d)		0.91	%(d)		1.53	%(d)		80	%
	10.05		1.61			1,123		1.19	(d)		1.66	(d)		1.13	(d)		80
	10.07		1.98			487,529		0.45	(d)		0.57	(d)		1.86	(d)		80
	10.06		1.93			718		0.55	(d)		0.66	(d)		1.76	(d)		80
	10.07		1.68			28		1.03	(d)		1.15	(d)		1.29	(d)		80
	10.07		2.07			10		0.49	(d)		0.60	(d)		1.86	(d)		80
	9.96		0.62			7,001		0.80			0.94			1.57			161
	9.96		0.22			886		1.20			1.69			1.17			161
	9.98		1.07			390,351		0.45			0.60			1.91			161
	9.97		0.87			363		0.54			0.69			1.81			161
	9.98		0.46			25		1.04			1.19			1.33			161
	9.97		0.65			10		0.48	(d)		0.63	(d)		1.90	(d)		161
	10.10		0.60			3,986		0.79			0.99			0.95			139
	10.10		0.21			864		1.18			1.74			0.57			139
	10.11		0.94			289,892		0.45			0.64			1.29			139
	10.11		0.85			289		0.55			0.74			1.25			139
	10.11		0.37			10		1.01			1.22			0.76			139
	10.17		1.28			2,327		0.80			1.19			1.16			157
	10.17		0.87			564		1.20			1.93			0.77			157
	10.18		1.62			166,129		0.46			0.84			1.50			157
	10.18		1.53			206		0.55			0.93			1.43			157
	10.18		1.02			10		1.03			1.44			0.91			157
	10.17		3.69			870		0.79			1.89			1.05			707
	10.17		3.19			174		1.17			1.83			0.75			707
	10.18		4.04			78,696		0.45			1.67			1.42			707
	10.18		3.94			152		0.54			1.51			1.32			707
	10.18		3.40			10		1.06			2.74			0.77			707
	9.96		(0.34	)		1,747		0.79	(d)		6.26	(d)		0.79	(d)		29
	9.97		(0.28	)		10		1.19	(d)		7.01	(d)		0.38	(d)		29
	9.97		(0.21	)		11,122		0.45	(d)		5.92	(d)		1.11	(d)		29
	9.97		(0.22	)		10		0.54	(d)		6.01	(d)		0.97	(d)		29
	9.97		(0.25	)		10		1.04	(d)		6.51	(d)		0.50	(d)		29

The accompanying notes are an integral part of these financial statements. 101

GOLDMAN SACHS SHORT-TERM CONSERVATIVE INCOME FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

			Income From Investment Operations								Distributions to shareholders
Year - Share Class	Net asset value, beginning of period		Net investment income(a)			Net realized and unrealized gain			Total from investment operations		From net investment income			From net realized gains			Total distributions
FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED)
2016 - Institutional	$	10.00	$	0.05		$	0.01		$	0.06	$	(0.05	)	$	—		$	(0.05	)
2016 - Administration		10.00		0.03			0.01			0.04		(0.03	)		—			(0.03	)
FOR THE FISCAL YEARS ENDED MARCH 31,
2016 - Institutional		10.00		0.06			—	(e)		0.06		(0.06	)		—	(f)		(0.06	)
2016 - Administration		10.00		0.04			—	(e)		0.04		(0.04	)		—	(f)		(0.04	)
2015 - Institutional		10.00		0.03			0.01			0.04		(0.04	)		—			(0.04	)
2015 - Administration		10.00		0.01			—	(e)		0.01		(0.01	)		—			(0.01	)
2014 - Institutional (Commenced February 28, 2014)		10.00		—	(e)		—	(e)		—		—			—			—
2014 - Administration (Commenced February 28, 2014)		10.00		—	(e)		—	(e)		—		—			—			—

(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 deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.

(c) The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher.

(d) Annualized.

(e) Amount is less than $0.005 per share.

(f) Rounds to less than $0.01 per share.

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

GOLDMAN SACHS SHORT-TERM CONSERVATIVE INCOME FUND

Net asset value, end of period		Total return(b)			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 (loss) to average net assets			Portfolio turnover rate(c)
$	10.01		0.57	%	$	24,252		0.16	%(d)		1.46	%(d)		0.94	%(d)		15	%
	10.01		0.44			57		0.41	(d)		1.52			0.59	(d)		15
	10.00		0.61			15,082		0.19			2.10			0.63			39
	10.00		0.37			25		0.43			2.44			0.35			39
	10.00		0.36			100,009		0.19			4.62			0.35			40
	10.00		0.10			25		0.42			4.87			0.12			40
	10.00		—			9,976		0.19	(d)		4.30	(d)		0.10	(d)		—
	10.00		—			25		0.44	(d)		4.55	(d)		(0.15	)(d)		—

The accompanying notes are an integral part of these financial statements. 103

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Notes to Financial Statements

September 30, 2016 (Unaudited)

1. ORGANIZATION

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

Fund	Share Classes Offered	Diversified/ Non-diversified
Enhanced Income	A, Institutional, Administration, IR and R6	Diversified
Government Income	A, C, Institutional, Service, IR, R and R6	Diversified
High Quality Floating Rate	A, Institutional, Service, IR and R6	Diversified
Inflation Protected Securities	A, C, Institutional, IR, R and R6	Diversified
Short Duration Government	A, C, Institutional, Service, IR and R6	Diversified
Short Duration Income	A, C, Institutional, IR, R and R6	Diversified
Short-Term Conservative Income*	Institutional and Administration**	Diversified

* Formerly known as Goldman Sachs Limited Maturity Obligations Fund. Effective July 29, 2016, the Fund changed its name to the Goldman Sachs Short-Term Conservative Income Fund.

** Effective October 31, 2016, Class A Shares and Preferred Shares commenced operations.

Class A Shares of the Enhanced Income, Government Income, High Quality Floating Rate, Inflation Protected Securities, Short Duration Government and Short Duration Income Funds are sold with a front-end sales charge of up to 1.50%, 3.75%, 1.50%, 3.75%, 1.50% and 1.50%, respectively. Class C Shares are sold with a contingent deferred sales charge (“CDSC”) of 1.00% (0.65% for Short Duration Government and Short Duration Income Funds), which is imposed on redemptions made within 12 months of purchase. Institutional, Administration, Service, Class IR, 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. (“Goldman Sachs”), serves as investment adviser to the Funds pursuant to a management agreement (each, an “Agreement”) with the Trust.

2. SIGNIFICANT ACCOUNTING POLICIES

The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions.

A.  Investment Valuation — The Funds’ valuation policy is to value investments at fair value.

B.  Investment Income and Investments — Investment income includes interest income, dividend income, net of any foreign withholding taxes, less any amounts reclaimable, 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

104

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

2. SIGNIFICANT ACCOUNTING POLICIES (continued)

business day for daily net asset value (“NAV”) calculations. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments. Distributions received from the Funds’ investments in U.S. real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain or a return of capital. A return of capital is recorded by the Funds as a reduction to the cost basis of the REIT.

For derivative contracts, realized gains and losses are recorded upon settlement of the contract. Upfront payments, if any, are made or received upon entering into a swap agreement and are reflected in the Statements of Assets and Liabilities. Upfront payments are recognized over the contract’s term/event as realized gains or losses, with the exception of forward starting interest rate swaps whose realized gains or losses are recognized from the effective start date.

For securities with paydown provisions, principal payments received are treated as a proportionate reduction to the cost basis of the securities, and excess or shortfall amounts are recorded as income. For treasury inflation protected securities (“TIPS”), adjustments to principal due to inflation/deflation are reflected as increases/decreases to interest income with a corresponding adjustment to cost.

C.  Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), and non-class specific expenses of each Fund are allocated daily based upon the proportion of net assets of each class. Non-class specific expenses directly incurred by a Fund are charged to that Fund, while such expenses incurred by the Trust are allocated across the applicable Funds on a straight-line and/or pro-rata basis depending upon the nature of the expenses. Class specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service, Transfer Agency and Service and Shareholder Administration fees.

D.  Federal Taxes and Distributions to Shareholders — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies (mutual funds) and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, the Funds are not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. With the exception of the Inflation Protected Securities Fund, income and capital gains distributions, if any, are declared daily and paid monthly, and capital gains distributions, if any, are declared and paid annually. As of May 1, 2016, income and capital distributions, if any, will be declared and paid quarterly with respect to the Inflation Protected Securities Fund.

Net capital losses are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.

Under the Regulated Investment Company Modernization Act of 2010, the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.

The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of each Fund’s distributions may be shown in the accompanying financial statements as either from net investment income, net realized gain or capital. Certain components of the Funds’ net assets on the Statements of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.

E.  Foreign Currency Translation — The accounting records and reporting currency of the Funds are maintained in U.S. dollars. Assets and liabilities denominated in foreign currencies are translated into U.S. dollars using the current exchange rates at

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Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

2. SIGNIFICANT ACCOUNTING POLICIES (continued)

the close of each business day. The effect of changes in foreign currency exchange rates on investments is included within net realized and unrealized gain (loss) on investments. Changes in the value of other assets and liabilities as a result of fluctuations in foreign exchange rates are included in the Statements of Operations within net change in unrealized gain (loss) on foreign currency 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 net realized gain (loss) on foreign currency transactions.

F.  In-Kind Transactions — The Funds may allow investors, under certain circumstances, to purchase shares with securities instead of cash. In addition, the Trust reserves the right to redeem an investor’s shares by distributing securities instead of cash. These are known as in-kind transactions. Securities included as part of in-kind purchases and redemptions of Fund shares are valued in the same manner as they are valued for purposes of computing a Fund’s NAV, in accordance with the Funds’ Valuation Procedures, and such valuations are as of the date the trade is submitted pursuant to the procedures specified in the Funds’ prospectus.

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS

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

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

Money Market Funds — Investments in the Goldman Sachs Financial Square Government Fund (“Underlying Fund”) are valued at the NAV of the Institutional Share class on the day of valuation. These investments are generally classified as Level 1 of the fair value hierarchy. For information regarding an Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.

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3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

Debt Securities — Debt securities for which market quotations are readily available are valued daily on the basis of quotations supplied by dealers or an independent pricing service approved by the Trustees. The pricing services may use valuation models or matrix pricing, which consider: (i) yield or price with respect to bonds that are considered comparable in characteristics such as rating, interest rate and maturity date or (ii) quotations from securities dealers to determine current value. As of the date of the financial statements, short-term debt obligations that matured in sixty days or less and that did not exhibit signs of credit deterioration were valued at amortized cost, which approximated fair value. Effective October 11, 2016, short-term debt obligations that mature in sixty days or less are valued using available market quotations as provided by a third party pricing vendor or broker. With the exception of treasury securities of G8 countries (not held in money market funds), which are generally classified as Level 1, these investments are generally classified as Level 2 of the fair value hierarchy.

i.  Inverse Floaters — The interest rate on inverse floating rate securities (“inverse floaters”) resets in the opposite direction from the market rate of interest to which the inverse floaters are indexed. An inverse floater may be considered to be leveraged to the extent that its interest rate varies by a magnitude that exceeds the magnitude of the change in the index rate of interest. The higher the degree of leverage of an inverse floater, the greater the volatility of its market value.

ii.  Mortgage-Backed and 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 estate property. Asset-backed securities include securities whose principal and interest payments are collateralized by pools of other assets or receivables. 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.

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.

Stripped mortgage-backed securities are usually structured with two different classes: one that receives substantially all interest payments (interest-only, or “IO” and/or high coupon rate with relatively low principal amount, or “IOette”), and the other that receives substantially all principal payments (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 until maturity. These adjustments are included in interest income.

iii.  Mortgage Dollar Rolls — Mortgage dollar rolls are transactions whereby a Fund sells mortgage-backed-securities and simultaneously contracts with the same counterparty to repurchase similar securities on a specified future date. During the settlement period, a Fund will not be entitled to accrue interest and receive principal payments on the securities sold. The Funds account for mortgage dollar roll transactions as purchases and sales and realize gains and losses on these transactions.

iv.  Treasury Inflation Protected Securities — TIPS are treasury securities 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 repayment of the original bond principal upon maturity is guaranteed by the full faith and credit of the U.S. Government.

v.  When-Issued Securities and Forward Commitments — When-issued securities, including TBA (“To Be Announced”) securities, are securities that are authorized but not yet issued in the market and purchased in order to secure what is considered to be an advantageous price or yield to a Fund. 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

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Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

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 a Fund will generally purchase securities on a when-issued or forward commitment basis with the intention of acquiring the securities for its portfolio, the Fund may dispose of when-issued securities or forward commitments prior to settlement, which may result in a realized gain or loss.

Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. The Funds enter into derivative transactions to hedge against changes in interest rates, securities prices, and/or currency exchange rates, to increase total return, or to gain access to certain markets or attain exposure to other underliers.

Exchange-traded derivatives, including futures and options contracts, are valued at the last sale or settlement price and typically fall within Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.

i.  Forward Contracts — A forward contract is a contract between two parties to buy or sell an asset at a specified price on a future date. A forward contract settlement can occur on a cash or delivery basis. Forward contracts are marked-to-market daily using independent vendor prices, and the change in value, if any, is recorded as an unrealized gain or loss. Cash and certain investments may be used to collateralize forward contracts.

A forward foreign currency contract is a forward contract in which a Fund agrees to receive or deliver a fixed quantity of one currency for another, at a pre-determined price at a future date. All forward foreign currency exchange contracts are marked-to-market daily at the applicable forward rate. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency.

ii.  Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security and are valued based on exchanged settlement prices or independent market quotes. Futures contracts are valued at the last settlement price, or in the absence of a sale, the last bid price for long positions and at 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, a Fund deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by a Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.

iii.  Option Contracts — When a Fund writes call or put option contracts, an amount equal to the premium received is recorded as a liability and is subsequently marked-to-market to reflect the current value of the option written. Swaptions are options on interest rate swap contracts.

Upon the purchase of a call option or a put option by a Fund, the premium paid is recorded as an investment and subsequently marked-to-market to reflect the current value of the option. Certain options may be purchased with premiums to

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3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms.

iv.  Swap Contracts — Bilateral swap contracts are agreements in which a Fund and a counterparty agree to exchange periodic payments on a specified notional amount or make a net payment upon termination. Bilateral swap transactions are privately negotiated in the OTC market and payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing. These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”) (“centrally cleared swaps”), in which case all payments are settled with the CCP through the DCM. Swaps are marked-to-market daily using pricing vendor quotations, counterparty or clearinghouse prices or model prices, and the change in value, if any, is recorded as an unrealized gain or loss. Upon entering into a swap contract, a Fund is required to satisfy an initial margin requirement by delivering cash or securities to the counterparty (or in some cases, segregated in a triparty account on behalf of the counterparty), which can be adjusted by any mark-to-market gains or losses pursuant to bilateral or centrally cleared arrangements. For centrally cleared swaps the daily change in valuation, if any, is recorded as a receivable or payable for variation margin.

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

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

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

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

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Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

Short-Term Investments — As of the date of the financial statements, short-term investments having a maturity of 60 days or less were valued at amortized cost which approximated fair market value. Effective October 11, 2016, such securities are valued using available market quotations as provided by a third party pricing vendor or broker. These investments are classified as Level 2 of the fair value hierarchy.

i.  Repurchase Agreements — Repurchase agreements involve the purchase of securities subject to the seller’s agreement to repurchase the securities at a mutually agreed upon date and price, under the terms of a Master Repurchase Agreement (“MRA”). During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of a Fund, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

The underlying securities for all repurchase agreements are held at the Funds’ custodian or designated sub-custodians under tri-party repurchase agreements.

An MRA governs transactions between a Fund and select counterparties. An MRA contains provisions for, among other things, initiation of the transaction, income payments, events of default and maintenance of securities for repurchase agreements. An MRA also permits offsetting with collateral to create one single net payment in the event of default or similar events, including the bankruptcy or insolvency of a counterparty.

If the seller defaults, a Fund could suffer a loss to the extent that the proceeds from the sale of the underlying securities and other collateral held by the Fund are less than the repurchase price and the Fund’s costs associated with delay and enforcement of the repurchase agreement. In addition, in the event of default or insolvency of the seller, a court could determine that a Fund’s interest in the collateral is not enforceable, resulting in additional losses to the Fund. Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) and terms and conditions contained therein, the Funds, together with other funds of the Trust and registered investment companies having management agreements with GSAM or its affiliates, may transfer uninvested cash into joint accounts, the daily aggregate balance of which is invested in one or more repurchase agreements. Under these joint accounts, the Funds maintain pro-rata credit exposure to the underlying repurchase agreements’ counterparties. With the exception of certain transaction fees, the Funds are not subject to any expenses in relation to these investments.

ii.  Commercial Paper — Commercial paper normally represents short-term unsecured promissory notes issued in bearer form by banks or bank holding companies, corporations, finance companies and other issuers. Commercial paper consists of direct U.S. dollar-denominated obligations of domestic or foreign issuers. Asset-backed commercial paper is issued by a special purpose entity that is organized to issue the commercial paper and to purchase trade receivables or other financial assets.

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 Funds’ investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining a Fund’s NAV. 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.

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3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

To the extent investments are valued using single source broker quotations obtained directly from the broker or passed through from third party pricing vendors, such investments are classified as Level 3 investments. GSAM did not develop the unobservable inputs (examples include but are not limited to single source broker quotations, third party pricing, etc.) for the valuation of Level 3 Assets and Liabilities.

C.  Fair Value Hierarchy — The following is a summary of the Funds’ investments and derivatives classified in the fair value hierarchy as of September 30, 2016:

ENHANCED INCOME
Investment Type	Level 1			Level 2		Level 3
Assets
Fixed Income
Corporate Obligations	$	—		$	283,000,309	$	—
Asset-Backed Securities		—			96,200,280		5,100,000
U.S. Treasury Obligations		119,622,835			—		—
Investment Company		601			—		—
Short-Term Investments		—			51,522,321		—
Total	$	119,623,436		$	430,722,910	$	5,100,000
Derivative Type
Assets(a)
Futures Contracts	$	75,480		$	—	$	—
Liabilities(a)
Futures Contracts	$	(271,226	)	$	—	$	—
GOVERNMENT INCOME
Investment Type	Level 1			Level 2		Level 3
Assets
Fixed Income
Mortgage-Backed Obligations	$	—		$	196,225,210	$	—
U.S. Treasury Obligations and/or Other U.S. Government Agencies		184,450,086			29,546,225		—
Asset-Backed Securities		—			29,388,268		—
Municipal Debt Obligation		—			2,530,000		—
Government Guarantee Obligations		—			8,079,797		—
Investment Company		12,017,515			—		—
Total	$	196,467,601		$	265,769,500	$	—

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Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

GOVERNMENT INCOME (continued)
Investment Type	Level 1			Level 2			Level 3
Liabilities
Fixed Income
Mortgage-Backed Obligations — Forward Sales Contracts	$	—		$	(5,275,391	)	$	—
Derivative Type
Assets(a)
Futures Contracts	$	232,858		$	—		$	—
Interest Rate Swap Contracts		—			192,329			—
Total	$	232,858		$	192,329		$	—
Liabilities(a)
Futures Contracts	$	(16,812	)	$	—		$	—
HIGH QUALITY FLOATING RATE
Investment Type	Level 1			Level 2			Level 3
Assets
Fixed Income
Corporate Obligations	$	—		$	801,366		$	—
Mortgage-Backed Obligations		—			170,372,149			—
Asset-Backed Securities		—			155,749,659			—
Government Guarantee Obligation		—			4,194,245			—
U.S. Treasury Obligations		48,582,746			—			—
Investment Company		14,886,775			—			—
Total	$	63,469,521		$	331,117,419		$	—
Derivative Type
Liabilities(a)
Futures Contracts	$	(80,574	)	$	—		$	—

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3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

INFLATION PROTECTED SECURITIES
Investment Type	Level 1			Level 2			Level 3
Assets
Fixed Income
U.S. Treasury Obligations	$	234,590,327		$	—		$	—
Investment Company		25			—			—
Total	$	234,590,352		$	—		$	—
Derivative Type
Assets(a)
Futures Contracts	$	167,771		$	—		$	—
Interest Rate Swap Contracts		—			391,997			—
Total	$	167,771		$	391,997		$	—
Liabilities(a)
Futures Contracts	$	(76,573	)	$	—		$	—
Interest Rate Swap Contracts		—			(121,242	)		—
Total	$	(76,573	)	$	(121,242	)	$	—
SHORT DURATION GOVERNMENT
Investment Type	Level 1			Level 2			Level 3
Assets
Fixed Income
Mortgage-Backed Obligations	$	—		$	625,033,473		$	—
U.S. Treasury Obligations and/or Other U.S. Government Agencies		713,667,517			62,220,039			—
Government Guarantee Obligation		—			20,237,233			—
Investment Company		2,236			—			—
Total	$	713,669,753		$	707,490,745		$	—
Liabilities
Fixed Income
Mortgage-Backed Obligations — Forward Sales Contracts	$	—		$	(1,071,641	)	$	—

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Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

SHORT DURATION GOVERNMENT (continued)
Derivative Type	Level 1			Level 2			Level 3
Assets(a)
Futures Contracts	$	1,588,079		$	—		$	—
Interest Rate Swap Contracts		—			639,607			—
Total	$	1,588,079		$	639,607		$	—
Liabilities(a)
Futures Contracts	$	(2,706,856	)	$	—		$	—
SHORT DURATION INCOME
Investment Type	Level 1			Level 2			Level 3
Assets
Fixed Income
Corporate Obligations	$	—		$	250,256,460		$	—
Mortgage-Backed Obligations		—			62,795,333			802,755
U.S. Treasury Obligations and/or Other U.S. Government Agencies		55,239,400			7,078,098			—
Asset-Backed Securities		—			90,101,737			4,400,000
Foreign Debt Obligations		—			7,940,566			—
Municipal Debt Obligations		—			7,504,471			—
Investment Company		781			—			—
Short-term Investments		—			17,738,968			—
Total	$	55,240,181		$	443,415,633		$	5,202,755
Liabilities
Fixed Income
Mortgage-Backed Obligations — Forward Sales Contracts	$	—		$	(1,071,641	)	$	—

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3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

SHORT DURATION INCOME (continued)
Derivative Type	Level 1			Level 2			Level 3
Assets(a)
Forward Foreign Currency Exchange Contracts	$	—		$	643,364		$	—
Futures Contracts		308,770			—			—
Interest Rate Swap Contracts		—			1,077,014			—
Credit Default Swap Contracts		—			4,045			—
Total	$	308,770		$	1,724,423		$	—
Liabilities(a)
Forward Foreign Currency Exchange Contracts	$	—		$	(759,263	)	$	—
Futures Contracts		(80,360	)		—			—
Interest Rate Swap Contracts		—			(286,012	)		—
Credit Default Swap Contracts		—			(18,127	)		—
Total	$	(80,360	)	$	(1,063,402	)	$	—

The following is a reconciliation of Level 3 investments for the period ended September 30, 2016:

	Mortgage- Backed Securities			Asset- Backed Securities
Beginning Balance as of April 1, 2016	$	855,994		$	—
Realized gain (loss)		1,820			—
Net change in unrealized gain (loss) relating to instruments still held at reporting date		(32,531	)		—
Purchases		—			4,400,000
Sales		(22,528	)		—
Ending Balance as of September 30, 2016	$	802,755		$	4,400,000

SHORT-TERM CONSERVATIVE INCOME
Investment Type	Level 1		Level 2		Level 3
Assets
Fixed Income
Corporate Obligations	$	—	$	7,726,064	$	—
Municipal Debt Obligations		—		322,792		—
Investment Company		1,725,866		—		—
Short-term Investments		—		15,072,697		—
Total	$	1,725,866	$	23,121,553	$	—

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

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

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GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

4. INVESTMENTS IN DERIVATIVES

The following tables set forth, by certain risk types, the gross value of derivative contracts as of September 30, 2016. These instruments were used as part of the Funds’ investment strategies and to obtain and/or manage exposure related to the risks below. The values in the tables below exclude the effects of cash collateral received or posted pursuant to these derivative contracts, and therefore are not representative of the Funds’ net exposure.

Enhanced Income
Risk	Statements of Assets and Liabilities	Assets			Statements of Assets and Liabilities	Liabilities
Interest rate	Variation margin on certain derivative contracts	$	75,480	(a)	Variation Margin on Certain Derivative Contracts	$	(271,226)	(a)
Government Income
Risk	Statements of Assets and Liabilities	Assets			Statements of Assets and Liabilities	Liabilities
Interest rate	Receivable for unrealized gain on swap contracts; Variation margin on certain derivative contracts	$	425,187	(a)	Variation margin on certain derivative contracts	$	(16,812)
High Quality Floating Rate
Risk	Statements of Assets and Liabilities	Assets			Statements of Assets and Liabilities	Liabilities
Interest rate	Variation margin on certain derivative contracts	$	—		Variation margin on certain derivative contracts	$	(80,574)	(a)
Inflation Protected Securities
Risk	Statements of Assets and Liabilities	Assets			Statements of Assets and Liabilities	Liabilities
Interest rate	Receivable for unrealized gain on swap contracts; Variation margin on certain derivative contracts	$	559,768	(a)	Payable for unrealized gain on swap contracts; Variation margin on certain derivative contracts	$	(197,815)	(a)(b)
Short Duration Government
Risk	Statements of Assets and Liabilities	Assets			Statements of Assets and Liabilities	Liabilities
Interest rate	Receivable for unrealized gain on swap contracts; Variation margin on certain derivative contracts	$	2,227,686	(a)	Payable for unrealized gain on swap contracts; Variation margin on certain derivative contracts	$	(2,706,856)	(a)

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4. INVESTMENTS IN DERIVATIVES (continued)

Short Duration Income
Risk	Statements of Assets and Liabilities	Assets			Statements of Assets and Liabilities	Liabilities
Interest rate	Receivable for unrealized gain on swap contracts; Variation margin on certain derivative contracts	$	1,385,784	(a)	Payable for unrealized gain on swap contracts; Variation margin on certain derivative contracts	$	(366,372)	(a)
Credit	Receivable for unrealized gain on swap contracts		4,045	(a)	Payable for unrealized gain on swap contracts		(18,127)	(a)
Currency	Receivable for unrealized gain on forward foreign currency exchange contracts	$	643,364		Payable for unrealized loss on forward foreign currency exchange contracts	$	(759,263)
Total			$2,033,193			$	(1,143,762)

(a) Includes unrealized gain (loss) on futures contracts and centrally cleared swaps described in the Additional Investment Information sections of the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

(b) Aggregate of amounts include $69,957 for the Inflation Protected Securities Fund which represent the payments to be made pursuant to bilateral agreements should counterparties exercise their “right to terminate” provisions based on, among others, the Fund’s performance, their failure to pay on their obligations or failure to pledge collateral. Such amounts do not include incremental charges directly associated with the close-out of the agreements. They also do not reflect the fair value of any assets pledged as collateral which, through the daily margining process, substantially offsets the aforementioned amounts and for which the Funds are entitled to a full return.

The following tables set forth, by certain risk types, the Funds’ gains (losses) related to these derivatives and their indicative volumes for the six months ended September 30, 2016. These gains (losses) should be considered in the context that these derivative contracts may have been executed to create investment opportunities and/or economically hedge certain investments, and accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statements of Operations:

Enhanced Income
Risk	Statements of Operations	Net Realized Gain (Loss)			Net Change in Unrealized Gain (Loss)		Average Number of Contracts(a)
Interest rate	Net realized gain (loss) from investments, futures contracts and swap contracts/Net change in unrealized gain (loss) on investments, futures contracts and swap contracts	$	(462,820	)	$	376,824		1,774
Government Income
Risk	Statements of Operations	Net Realized Gain (Loss)			Net Change in Unrealized Gain (Loss)		Average Number of Contracts(a)
Interest rate	Net realized gain (loss) from futures contracts and swap contracts/Net change in unrealized gain (loss) on futures contracts and swap contracts	$	(465,810	)	$	366,046		284

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Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

4. INVESTMENTS IN DERIVATIVES (continued)

High Quality Floating Rate
Risk	Statements of Operations	Net Realized Gain (Loss)			Net Change in Unrealized Gain (Loss)			Average Number of Contracts(a)
Interest rate	Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts	$	(191,688	)	$	46,495			364
Inflation Protected Securities
Risk	Statements of Operations	Net Realized Gain (Loss)			Net Change in Unrealized Gain (Loss)			Average Number of Contracts(a)
Interest rate	Net realized gain (loss) from futures contracts and swap contracts/Net change in unrealized gain (loss) on futures contracts and swap contracts	$	(4,019	)	$	416,814			514
Short Duration Government
Risk	Statements of Operations	Net Realized Gain (Loss)			Net Change in Unrealized Gain (Loss)			Average Number of Contracts(a)
Interest rate	Net realized gain (loss) from investments, futures contracts /Net change in unrealized gain (loss) on investments, futures contracts	$	(8,679,063	)	$	5,508,215			10,102
Short Duration Income
Risk	Statements of Operations	Net Realized Gain (Loss)			Net Change in Unrealized Gain (Loss)			Average Number of Contracts(a)
Interest rate	Net realized gain (loss) from investments, futures contracts and swap contracts/Net change in unrealized gain (loss) on investments, futures contracts and swap contracts	$	(27,852	)	$	907,834			1,020
Credit	Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts		(543,076	)		(14,082	)		1
Currency	Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts		145,374			(306,668	)		426
Total		$	(425,554	)	$	587,084			1,447

(a) Average number of contracts is based on the average of month end balances for the six months ended September 30, 2016.

In order to better define its contractual rights and to secure rights that will help a Fund mitigate its counterparty risk, a Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivatives counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs OTC derivatives, (including forward foreign currency exchange contracts, and certain options and swaps) and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.

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GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

4. INVESTMENTS IN DERIVATIVES (continued)

Collateral and margin requirements differ between exchange traded derivatives and OTC derivatives. Margin requirements are established by the broker or clearing house for exchange-traded and centrally cleared derivatives (financial futures contracts, options and centrally cleared swaps) pursuant to governing agreements for those instrument types. Brokers can ask for margin in excess of the minimum in certain circumstances. Collateral terms are contract-specific for OTC derivatives. For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by a Fund and the counterparty. Additionally, a Fund may be required to post initial margin to the counterparty, the terms of which would be outlined in the confirmation of the OTC transaction.

For financial reporting purposes, cash collateral that has been pledged to cover obligations of a Fund and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as receivables/payables for collateral on certain derivative contracts. Non-cash collateral pledged by a Fund, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold before a transfer is required to be made. To the extent amounts due to a Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. A Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that the Investment Adviser believes to be of good standing and by monitoring the financial stability of those counterparties.

Additionally, the netting of assets and liabilities and the offsetting of collateral pledged or received are based on contractual netting/set-off provisions in the ISDA Master Agreement or similar agreements. However, in the event of a default or insolvency of a counterparty, a court could determine that such rights are not enforceable due to the restrictions or prohibitions against the right of setoff that may be imposed in accordance with a particular jurisdiction’s bankruptcy or insolvency laws.

5. AGREEMENTS AND AFFILIATED TRANSACTIONS

A.  Management Agreement — Under the Agreement, GSAM manages the Funds, subject to the general supervision of the Trustees.

As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Funds’ business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of each Fund’s average daily net assets.

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Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

For the six months ended September 30, 2016, contractual and effective net management fees with GSAM were at the following rates:

	Contractual Management Rate																		Effective Net Management Rate*
Fund	First $1 billion			Next $1 billion			Next $3 billion			Next $3 billion			Over $8 billion			Effective Rate
Enhanced Income		0.25	%		0.23	%		0.22	%		0.22	%		0.22	%		0.25	%		0.24	%
Government Income		0.54			0.49			0.47			0.46			0.45			0.54			0.53	^
High Quality Floating Rate		0.40			0.36			0.34			0.33			0.32			0.40			0.31	^
Inflation Protected Securities		0.33			0.30			0.28			0.27			0.26			0.33			0.26	^
Short Duration Government		0.50			0.45			0.43			0.42			0.41			0.49			0.43	^
Short Duration Income		0.40			0.36			0.34			0.33			0.32			0.40			0.40
Short-Term Conservative Income		0.25			0.25			0.25			0.25			0.25			0.25			0.15	^

* Effective Net Management Rate includes the impact of management fee waivers of affiliated underlying funds, if any.

^ GSAM has agreed to waive a portion of its management fee in order to achieve the effective net management rate shown above as an annual percentage rate of the average daily net assets of the Funds through at least July 29, 2017. Prior to such date GSAM may not terminate the arrangement without the approval of the Trustees.

The Funds invests in Institutional Shares of the Goldman Sachs Financial Square Government Fund, which is an affiliated Underlying Fund. GSAM has agreed to waive a portion of its management fee payable by the Funds in an amount equal to the management fee it earns as an investment adviser to any of the affiliated Underlying Funds in which the Funds invest. For the six months ended September 30, 2016, the management fee waived by GSAM for each fund was as follows:

Fund	Management Fee Waived
Enhanced Income	$	12,916
Government Income		17,159
High Quality Floating Rate		9,841
Inflation Protected Securities		14
Short Duration Government		34,732
Short Duration Income		395
Short-Term Conservative Income		56

B.  Distribution and Service Plans — The Trust, on behalf of each Fund, has adopted Distribution and Service Plans (the “Plans”). Under the Plans, Goldman Sachs, which serves as distributor (the “Distributor”), is entitled to a fee accrued daily and

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GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

paid monthly, for distribution services and personal and account maintenance services, which may then be paid by Goldman Sachs to authorized dealers, at the following annual rates calculated on a Fund’s average daily net assets of each respective share class:

	Distribution and Service Plan Rates
	Class A*			Class C			Class R*
Distribution Plan		0.25	%		0.75	%		0.50	%
Service Plan		—			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.

Goldman Sachs has agreed to waive a portion of the distribution and service fees applicable to the Short Duration Government Fund’s and Short Duration Income Fund’s Class C Shares in an amount equal to a minimum of 0.35% as an annual percentage rate of the average daily net assets. These arrangements will remain in place through July 29, 2017, for Short Duration Government and Short Duration Income Funds. Prior to such date Goldman Sachs may not terminate the arrangement without the approval of the trustees.

C.  Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Funds pursuant to a Distribution Agreement, may retain a portion of the Class A Shares’ front end sales charge and Class C Shares’ CDSC. During the six months ended September 30, 2016, Goldman Sachs advised that it retained the following amounts:

	Front End Sales Charge		Contingent Deferred Sales Charge
Fund	Class A		Class C
Enhanced Income	$	60		N/A
Government Income		1,178	$	—
High Quality Floating Rate		237		N/A
Inflation Protected Securities		797		—
Short Duration Government		960		—
Short Duration Income		39		—

D.  Service Plan and Shareholder Administration Plan — The Trust, on behalf of each Fund that offers Service Shares, has adopted a Service Plan and a Shareholder Administration Plan. These plans allow for service organizations to provide varying levels of personal and account maintenance and shareholder administration services to their customers who are beneficial owners of such shares. The Service Plan and Shareholder Administration Plan each provide for compensation to the service organizations which is accrued daily and paid monthly at an annual rate of 0.25% (0.50% in aggregate) of the average daily net assets of the Service Shares.

E.  Administration Plan — The Trust, on behalf of each Fund that offers Administration Shares, has adopted an Administration Plan. This plan allows for service organizations to provide certain account administration services to their customers who are

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Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

beneficial owners of such Shares. The Administration Plan provides for compensation to the service organizations which is accrued daily and paid monthly at an annual rate of 0.25% of the average daily net assets of the Administration Shares.

F.  Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Funds for a fee pursuant to the Transfer Agency Agreement. The fees charged for such transfer agency services are accrued daily and paid monthly at annual rates as follows: 0.13% of the average daily net assets of Class A, Class C, Class IR and Class R Shares; 0.02% of the average daily net assets of Class R6 Shares; 0.04% of the average daily net assets of Institutional, Administration and Service Shares.

Goldman Sachs has agreed to waive a portion of its transfer agency fee equal to 0.03% as an annual percentage rate of the average daily net assets attributable to Institutional and Administration Shares of the Short-Term Conservative Income Fund. This arrangement will remain in effect through at least October 31, 2016, and prior to such date, the Investment Advisor may not terminate the arrangement without the approval of the Board of Trustees.

G.  Other Expense Agreements and Affiliated Transactions — GSAM has agreed to limit certain “Other Expenses” of the Funds (excluding acquired fund fees and expenses, transfer agency fees and expenses, service fees and shareholder administration fees (as applicable), taxes, interest, brokerage fees, shareholder meeting, litigation, indemnification and extraordinary expenses) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of each Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Funds are not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. The Other Expense limitations as an annual percentage rate of average daily net assets for Enhanced Income, Government Income, High Quality Floating Rate, Inflation Protected Securities, Short Duration Government, Short Duration Income and Short-Term Conservative Income Funds are 0.064%, 0.004%, 0.014%, 0.044%, 0.004%, 0.014% and 0.004% respectively. These Other Expense limitations will remain in place through at least July 29, 2017 and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. In addition, the Funds have entered into certain offset arrangements with the transfer agent, which may result in a reduction of the Funds’ expenses and are received irrespective of the application of the “Other Expense” limitations described above.

Goldman Sachs may voluntarily waive a portion of any payments under a Fund’s Distribution and Service Plan, Service Plan and Shareholder Administration Plan, Transfer Agency Agreement, and/or Management Agreement and these waivers may exceed what is stipulated in any fee waiver arrangements (as applicable). These temporary waivers may be modified or terminated at any time at the option of Goldman Sachs without shareholder approval.

For the six months ended September 30, 2016, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:

	Fee Waivers
Fund	Management Fee		Class C Distribution and Service Fees		Transfer Agency Fees		Other Expense Reimbursements		Total Expense Reductions
Enhanced Income	$	12,916		N/A		—	$	36,610	$	49,526
Government Income		37,457		—		—		268,728		306,185
High Quality Floating Rate		186,784		—		—		183,789		370,573
Inflation Protected Securities		70,571		—		—		120,366		190,937
Short Duration Government		381,154		57,714		—		314,318		753,186
Short Duration Income		395		1,736		—		256,927		259,058
Short-Term Conservative Income		9,271		N/A		2,764		106,281		118,316

* In addition to the management fee waivers above, GSAM has voluntarily agreed to waive $4,963 for the High Quality Floating Rate Fund.

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5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

H.  Line of Credit Facility — As of September 30, 2016, the Funds 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 (“Other Borrowers”). This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. For the six months ended September 30, 2016, the Funds did not have any borrowings under the facility.

I.  Other Transactions with Affiliates — For the six months ended September 30, 2016, Goldman Sachs earned approximately $13,791, $8,317, $6,501, $9,189, $79,234 and $14,169 in brokerage commissions from portfolio transactions, including futures transactions executed with Goldman Sachs as the Futures Commission Merchant, on behalf of the Enhanced Income, Government Income, High Quality Floating Rate, Inflation Protected Securities, Short Duration Government, and Short Duration Income Funds, respectively.

As of September 30, 2016, the Goldman Sachs Group, Inc. was a beneficial owner of approximately 5% or more of outstanding Institutional, Administration, Class R and Class R6 Shares of the following funds:

Fund	Institutional			Administration			Class R			Class R6
Enhanced Income		—	%		—	%		N/A			100	%
High Quality Floating Rate		—			N/A			N/A			100
Inflation Protected Securities		—			N/A			—	%		5
Short Duration Income		—			N/A			39			100
Short-Term Conservative Income		42			44			N/A			N/A

The table below shows the transactions in and earnings from investments in this affiliated Fund For the six months ended September 30, 2016:

Fund	Underlying Fund	Market Value 3/31/16		Purchases at Cost		Proceeds from Sales			Market Value 09/30/2016		Dividend Income
Enhanced Income	Goldman Sachs Financial Square Government Fund	$	13,611,674	$	220,680,649	$	(234,291,722	)	$	601	$	22,489
Government Income	Goldman Sachs Financial Square Government Fund		41,191,012		130,526,344		(159,699,841	)		12,017,515		30,147
High Quality Floating Rate	Goldman Sachs Financial Square Government Fund		845,857		100,127,877		(86,086,959	)		14,886,775		17,916
Inflation Protected Securities	Goldman Sachs Financial Square Government Fund		—		684,663		(684,638	)		25		25
Short Duration Government	Goldman Sachs Financial Square Government Fund		52,021,460		370,996,659		(423,015,883	)		2,236		61,177
Short Duration Income	Goldman Sachs Financial Square Government Fund		—		39,138,145		(39,137,364	)		781		781
Short-Term Conservative Income	Goldman Sachs Financial Square Government Fund		—		4,112,402		(2,386,536	)		1,725,866		131

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Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

6. PORTFOLIO SECURITIES TRANSACTIONS

The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended, September 30, 2016, were as follows:

Fund	Purchases of U.S. Government and Agency Obligations		Purchases (Excluding U.S. Government and Agency Obligations)		Sales and Maturities of U.S. Government and Agency Obligations		Sales and Maturities (Excluding U.S. Government and Agency Obligations)
Enhanced Income	$	203,286,088	$	92,677,226	$	157,149,942	$	73,760,538
Government Income		945,146,096		10,799,303		914,021,765		9,089,302
High Quality Floating Rate		73,040,087		55,140,600		65,796,185		56,241,655
Inflation Protected Securities		198,773,402		—		147,323,501		—
Short Duration Government		1,162,236,916		—		1,153,833,953		—
Short Duration Income		324,736,411		110,192,147		295,341,194		45,507,571
Short-Term Conservative Income		—		1,335,471		—		4,077,681

7. TAX INFORMATION

As of the Funds’ most recent fiscal year end, March 31, 2016, the Funds’ capital loss carryforwards and certain timing differences on a tax basis were as follows:

	Enhanced Income			Government Income			High Quality Floating Rate			Inflation Protected Securities			Short Duration Government			Short Duration Income			Short-Term Conservative Income
Capital loss carryforwards(1)
Expiring 2018	$	(1,658,767	)	$	—		$	(21,924,176	)	$	—		$	—		$	—		$	—
Expiring 2019		(9,056,394	)		—			(2,415,726	)		—			—			—			—
Perpetual Short-term		(3,798,658	)		(924,135	)		(3,925,014	)		(201,582	)		(14,802,081	)		(693,489	)		—
Perpetual Long-term		(2,796,494	)		(4,015,771	)		(2,014,576	)		(12,500,112	)		(3,649,630	)		—			—
Total capital loss carryforwards	$	(17,310,313	)	$	(4,939,906	)	$	(30,279,492	)	$	(12,701,694	)	$	(18,451,711	)	$	(693,489	)	$	—
Timing differences (Dividend Payable, Qualified Late Year and Straddle Loss Deferrals)	$	(1,473,152	)	$	(5,473,568	)	$	(1,226,376	)	$	(5,643,817	)	$	(11,140,958	)	$	(3,299,091	)	$	—

(1) With the exception of perpetual capital loss carryforwards, expiration occurs on March 31 of the year indicated.

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7. TAX INFORMATION (continued)

As of September 30, 2016, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:

	Enhanced Income			Government Income			High Quality Floating Rate			Inflation Protected Securities			Short Duration Government			Short Duration Income			Short-Term Conservative Income
Tax Cost	$	553,614,901		$	448,234,051		$	395,263,768		$	229,140,807		$	1,398,470,881		$	500,888,065		$	24,832,015
Gross unrealized gain		2,339,731			16,311,002			1,826,225			6,768,053			27,325,331			4,825,657			16,704
Gross unrealized loss		(508,286	)		(2,307,952	)		(2,503,053	)		(1,318,508	)		(4,635,714	)		(1,855,153	)		(1,300	)
Net unrealized security gain	$	1,831,445		$	14,003,050		$	(676,828	)	$	5,449,545		$	22,689,617		$	2,970,504		$	15,404

The difference between GAAP-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales, net mark-to-market gains (losses) on regulated futures contracts and foreign currency contracts, and differences related to the tax treatment of underlying funds, inflation protected securities, swap transactions, premium amortization and the accretion of market discount.

GSAM has reviewed the Funds’ tax positions for all open tax years (the current and prior three years, as applicable) and has

concluded that no provision for income tax is required in the Funds’ financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.

8. OTHER RISKS

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

Derivatives Risk — Loss may result from the Funds’ investments in derivative 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 Funds. Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. Losses from investments in derivatives can also result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.

Interest Rate Risk — When interest rates increase, fixed income securities or instruments held by a Fund will generally decline in value. Long-term fixed income securities or instruments will normally have more price volatility because of this risk than short-term fixed income securities or instruments. The risks associated with increasing rates are heightened given that interest rates are near historic lows, but may be expected to increase in the future with unpredictable effects on the markets and the Funds’ investments.

Large Shareholder Transactions Risk — A Fund may experience adverse effects when certain large shareholders, such as other funds, institutional investors (including those trading by use of non-discretionary mathematical formulas), financial intermediaries (who may make investment decisions on behalf of underlying clients and/or include a Fund in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of a Fund. Such large shareholder redemptions may cause a Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact a Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in a Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio. Similarly, large Fund share purchases may adversely affect a Fund’s performance to the extent that the Fund is delayed in investing new cash and is required to maintain a larger cash position than it ordinarily would.

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Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

8. OTHER RISKS (continued)

Liquidity Risk — A Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that a Fund will not be able to pay redemption proceeds within the allowable time period 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. Liquidity risk may be the result of, among other things, the reduced number and capacity of traditional market participants to make a market in fixed income securities or the lack of an active market. The potential for liquidity risk may be magnified by a rising interest rate environment or other circumstances where investor redemptions from fixed income mutual funds may be higher than normal, potentially causing increased supply in the market due to selling activity.

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 or guarantor fails to perform or that an institution or entity with which the Funds have unsettled or open transactions defaults.

Short Position Risk — A Fund may enter into a short position through a futures contract, an option or swap agreement or through short sales of any instrument that the Fund may purchase for investment. Taking short positions involves leverage of a Fund’s assets and presents various risks. If the value of the underlying instrument or market in which a Fund has taken a short position increases, then the Fund will incur a loss equal to the increase in value from the time that the short position was entered into plus any related interest payments or other fees. Taking short positions involves the risk that losses may be disproportionate, may exceed the amount invested, and may be unlimited.

State/Territory Specific Risk — A Fund’s investments in municipal obligations of issuers located in a particular state or U.S. territory may be adversely affected by political, economic and regulatory developments within that state or U.S. territory. Such developments may affect the financial condition of a state’s or territory’s political subdivisions, agencies, instrumentalities and public authorities and heighten the risks associated with investing in bonds issued by such parties, which could, in turn, adversely affect a Fund’s income, NAV, liquidity, and/or ability to preserve or realize capital appreciation.

9. 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 Funds. Additionally, in the course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.

10. 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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11. SUMMARY OF SHARE TRANSACTIONS

Share activity is as follows:

	Enhanced Income Fund
	For the Six Months Ended September 30, 2016 (Unaudited)						For the Fiscal Year Ended March 31, 2016
	Shares			Dollars			Shares			Dollars
Class A Shares
Shares sold		817,498		$	7,701,924			1,428,858		$	13,417,198
Reinvestment of distributions		13,827			130,290			12,866			120,931
Shares redeemed		(801,643	)		(7,551,111	)		(1,453,812	)		(13,655,585	)
		29,682			281,103			(12,088	)		(117,456	)
Institutional Shares
Shares sold		18,695,396			175,924,737			16,823,744			157,931,792
Reinvestment of distributions		293,355			2,761,372			333,421			3,130,494
Shares redeemed		(7,876,681	)		(74,145,138	)		(20,744,761	)		(194,695,614	)
		11,112,070			104,540,971			(3,587,596	)		(33,633,328	)
Class IR Shares
Shares sold		68,080			640,400			55,920			523,747
Reinvestment of distributions		457			4,298			295			2,766
Shares redeemed		(3,465	)		(32,601	)		(36,226	)		(339,641	)
		65,072			612,097			19,989			186,872
Administration Shares
Shares sold		615			5,812			1,230			11,577
Reinvestment of distributions		73			690			83			785
Shares redeemed		(15	)		(144	)		(4,378	)		(41,223	)
		673			6,358			(3,065	)		(28,861	)
Class R6 Shares(a)
Shares sold		—			—			1,065			10,000
Reinvestment of distributions		6			59			5			46
		6			59			1,070			10,046
NET INCREASE (DECREASE)		11,207,503		$	105,440,588			(3,581,690	)	$	(33,582,727	)

(a) Commenced operations on July 31, 2015.

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Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

11. SUMMARY OF SHARE TRANSACTIONS (continued)

Share activity is as follows:

	Government Income Fund
	For the Six Months Ended September 30, 2016 (Unaudited)						For the Fiscal Year Ended March 31, 2016
	Shares			Dollars			Shares			Dollars
Class A Shares
Shares sold		1,274,737		$	19,232,718			2,757,056		$	41,029,897
Reinvestment of distributions		79,502			1,200,574			151,531			2,255,327
Shares redeemed		(1,520,034	)		(22,927,110	)		(4,415,679	)		(65,630,582	)
		(165,795	)		(2,493,818	)		(1,507,092	)		(22,345,358	)
Class C Shares
Shares sold		81,588			1,228,525			234,557			3,495,152
Reinvestment of distributions		2,853			43,072			4,969			73,963
Shares redeemed		(154,610	)		(2,333,804	)		(318,355	)		(4,739,254	)
		(70,169	)		(1,062,207	)		(78,829	)		(1,170,139	)
Institutional Shares
Shares sold		1,348,730			20,316,523			2,711,748			40,309,477
Reinvestment of distributions		75,091			1,132,255			137,339			2,041,193
Shares redeemed		(1,294,801	)		(19,502,408	)		(5,466,655	)		(81,149,434	)
		129,020			1,946,370			(2,617,568	)		(38,798,764	)
Service Shares
Shares sold		716,550			10,788,264			1,172,338			17,411,763
Reinvestment of distributions		25,587			385,379			43,315			642,952
Shares redeemed		(467,473	)		(7,040,002	)		(967,368	)		(14,345,997	)
		274,664			4,133,641			248,285			3,708,718
Class IR Shares
Shares sold		68,831			1,035,393			111,845			1,657,033
Reinvestment of distributions		3,383			51,063			5,013			74,577
Shares redeemed		(44,057	)		(665,596	)		(63,749	)		(945,972	)
		28,157			420,860			53,109			785,638
Class R Shares
Shares sold		216,547			3,266,557			425,658			6,328,632
Reinvestment of distributions		10,248			154,581			18,668			277,493
Shares redeemed		(255,889	)		(3,860,762	)		(545,240	)		(8,104,139	)
		(29,094	)		(439,624	)		(100,914	)		(1,498,014	)
Class R6 Shares(a)
Shares sold		172,338			2,598,763			6,843			101,730
Reinvestment of distributions		626			9,461			56			830
Shares redeemed		(9,174	)		(138,244	)		(681	)		(10,218	)
		163,790			2,469,980			6,218			92,342
NET INCREASE (DECREASE)		330,573		$	4,975,202			(3,996,791	)	$	(59,225,577	)

(a) Commenced operations on July 31, 2015.

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GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

11. SUMMARY OF SHARE TRANSACTIONS (continued)

Share activity is as follows:

	High Quality Floating Rate Fund
	For the Six Months Ended September 30, 2016 (Unaudited)						For the Fiscal Year Ended March 31, 2016
	Shares			Dollars			Shares			Dollars
Class A Shares
Shares sold		111,656		$	965,580			268,896		$	2,332,096
Reinvestment of distributions		4,425			38,285			3,668			31,827
Shares redeemed		(207,218	)		(1,792,313	)		(1,163,753	)		(10,096,622	)
		(91,137	)		(788,448	)		(891,189	)		(7,732,699	)
Institutional Shares
Shares sold		7,768,044			67,151,732			25,116,988			218,159,211
Reinvestment of distributions		211,578			1,829,570			266,728			2,312,685
Shares redeemed		(5,847,585	)		(50,546,419	)		(41,316,997	)		(358,569,999	)
		2,132,037			18,434,883			(15,933,281	)		(138,098,103	)
Service Shares
Shares sold		1,812			15,746			58,198			506,586
Reinvestment of distributions		129			1,120			33			289
Shares redeemed		(10,501	)		(91,135	)		(11,181	)		(97,538	)
		(8,560	)		(74,269	)		47,050			409,337
Class IR Shares
Shares sold		5,940			51,230			17,634			152,712
Reinvestment of distributions		298			2,567			439			3,800
Shares redeemed		(29,455	)		(254,190	)		(55,488	)		(481,146	)
		(23,217	)		(200,393	)		(37,415	)		(324,634	)
Class R6 Shares(a)
Shares sold		—			—			1,152			10,005
Reinvestment of distributions		6			52			4			36
Shares redeemed		—			—			(1	)		(5	)
		6			52			1,155			10,036
NET INCREASE (DECREASE)		2,009,129		$	17,371,825			(16,813,680	)	$	(145,736,063	)

(a) Commenced operations on July 31, 2015.

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Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

11. SUMMARY OF SHARE TRANSACTIONS (continued)

Share activity is as follows:

	Inflation Protected Securities Fund
	For the Six Months Ended September 30, 2016 (Unaudited)						For the Fiscal Year Ended March 31, 2016
	Shares			Dollars			Shares			Dollars
Class A Shares
Shares sold		2,941,888		$	31,035,778			1,919,139		$	19,436,281
Reinvestment of distributions		24,972			264,970			15,030			152,912
Shares redeemed		(728,908	)		(7,670,681	)		(1,898,542	)		(19,261,741	)
		2,237,952			23,630,067			35,627			327,452
Class C Shares
Shares sold		101,560			1,054,298			64,133			647,593
Reinvestment of distributions		3,409			35,740			1,782			17,940
Shares redeemed		(77,701	)		(805,743	)		(234,814	)		(2,366,611	)
		27,268			284,295			(168,899	)		(1,701,078	)
Institutional Shares
Shares sold		4,413,366			46,956,884			6,625,274			68,085,667
Reinvestment of distributions		99,960			1,071,699			47,129			483,173
Shares redeemed		(2,077,742	)		(22,164,479	)		(2,268,186	)		(23,379,812	)
		2,435,584			25,864,104			4,404,217			45,189,028
Class IR Shares
Shares sold		421,416			4,466,703			101,055			1,029,384
Reinvestment of distributions		5,600			59,801			1,673			17,086
Shares redeemed		(36,555	)		(387,583	)		(87,896	)		(900,041	)
		390,461			4,138,921			14,832			146,429
Class R Shares
Shares sold		336,699			3,530,030			574,807			5,819,903
Reinvestment of distributions		7,210			76,303			3,263			33,099
Shares redeemed		(148,915	)		(1,562,931	)		(287,875	)		(2,925,732	)
		194,994			2,043,402			290,195			2,927,270
Class R6 Shares(a)
Shares sold		20,769			222,777			966			10,005
Reinvestment of distributions		151			1,618			5			49
Shares redeemed		(2,066	)		(22,021	)		(1	)		(5	)
		18,854			202,374			970			10,049
NET INCREASE		5,305,113		$	56,163,163			4,576,942		$	46,899,150
FST Capital Shares					—			—			0

(a) Commenced operations on July 31, 2015.

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11. SUMMARY OF SHARE TRANSACTIONS (continued)

Share activity is as follows:

	Short Duration Government Fund
	For the Six Months Ended September 30, 2016 (Unaudited)						For the Fiscal Year Ended March 31, 2016
	Shares			Dollars			Shares			Dollars
Class A Shares
Shares sold		2,412,929		$	24,288,829			5,721,906		$	57,714,502
Reinvestment of distributions		126,422			1,272,915			112,654			1,138,005
Shares redeemed		(3,901,529	)		(39,278,600	)		(10,425,574	)		(105,160,973	)
		(1,362,178	)		(13,716,856	)		(4,591,014	)		(46,308,466	)
Class C Shares
Shares sold		244,276			2,443,066			1,063,310			10,638,380
Reinvestment of distributions		16,790			167,944			7,203			72,327
Shares redeemed		(478,172	)		(4,782,093	)		(1,338,564	)		(13,413,955	)
		(217,106	)		(2,171,083	)		(268,051	)		(2,703,248	)
Institutional Shares
Shares sold		14,414,692			144,681,254			59,321,436			597,247,475
Reinvestment of distributions		1,043,617			10,476,378			1,043,806			10,509,661
Shares redeemed		(18,078,455	)		(181,586,068	)		(51,599,651	)		(518,548,097	)
		(2,620,146	)		(26,428,436	)		8,765,591			89,209,039
Service Shares
Shares sold		83,096		$	832,804			473,382		$	4,761,548
Reinvestment of distributions		18,662			187,039			12,922			129,961
Shares redeemed		(385,490	)		(3,862,999	)		(716,831	)		(7,202,010	)
		(283,732	)		(2,843,156	)		(230,527	)		(2,310,501	)
Class IR Shares
Shares sold		422,525			4,252,667			1,372,296			13,828,039
Reinvestment of distributions		15,997			161,185			12,996			131,322
Shares redeemed		(678,913	)		(6,837,554	)		(951,432	)		(9,606,561	)
		(240,391	)		(2,423,702	)		433,860			4,352,800
Class R6 Shares(a)
Shares sold		1,053,339			10,575,265			7,713,263			77,288,338
Reinvestment of distributions		76,865			771,456			23,990			241,012
Shares redeemed		(825,837	)		(8,286,946	)		(387,742	)		(3,888,118	)
		304,367			3,059,775			7,349,511			73,641,232
NET INCREASE (DECREASE)		(4,419,186	)	$	(44,523,458	)		11,459,370		$	115,880,856

(a) Commenced operations on July 31, 2015.

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Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

11. SUMMARY OF SHARE TRANSACTIONS (continued)

Share activity is as follows:

	Short Duration Income Fund
	For the Six Months Ended September 30, 2016 (Unaudited)						For the Fiscal Year Ended March 31, 2016
	Shares			Dollars			Shares			Dollars
Class A Shares
Shares sold		536,791		$	5,389,370			693,433		$	6,929,912
Reinvestment of distributions		5,713			57,193			11,710			116,822
Shares redeemed		(278,220	)		(2,784,796	)		(397,093	)		(3,944,976	)
		264,284			2,661,767			308,050			3,101,758
Class C Shares
Shares sold		37,583			376,681			203,649			2,023,283
Reinvestment of distributions		672			6,731			1,455			14,507
Shares redeemed		(15,541	)		(155,564	)		(201,695	)		(2,006,266	)
		22,714			227,848			3,409			31,524
Institutional Shares
Shares sold		14,669,524			147,087,500			26,143,317			261,819,925
Reinvestment of distributions		464,075			4,655,885			775,096			7,752,382
Shares redeemed		(5,844,651	)		(58,591,183	)		(16,457,764	)		(164,996,929	)
		9,288,948			93,152,202			10,460,649			104,575,378
Class IR Shares
Shares sold		37,737			379,497			28,126			282,715
Reinvestment of distributions		433			4,333			805			8,047
Shares redeemed		(3,221	)		(32,370	)		(21,185	)		(212,178	)
		34,949			351,460			7,746			78,584
Class R Shares
Shares sold		222			2,228			1,437			14,304
Reinvestment of distributions		21			206			24			241
		243			2,434			1,461			14,545
Class R6 Shares(a)
Shares sold		—			—			994			10,005
Reinvestment of distributions		11			108			16			161
Shares redeemed		—			—			(1	)		(5	)
		11			108			1,009			10,161
NET INCREASE		9,611,149		$	96,395,819			10,782,324		$	107,811,950

(a) Commenced operations on July 31, 2015.

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11. SUMMARY OF SHARE TRANSACTIONS (continued)

Share activity is as follows:

	Short-Term Conservative Income Fund
	For the Six Months Ended September 30, 2016 (Unaudited)						For the Fiscal Year Ended March 31, 2016
	Shares			Dollars			Shares			Dollars
Institutional Shares
Shares sold		917,857		$	9,187,238			500,502		$	5,000,015
Reinvestment of distributions		7,931			79,338			7,270			72,671
Shares redeemed		(11,245	)		(112,478	)		(2	)		(15	)
		914,543			9,154,098			507,770			5,072,671
Administration Shares
Shares sold		603,057			6,030,038			1			5
Reinvestment of distributions		443			4,433			9			91
Shares redeemed		(600,326	)		(6,003,259	)		(1	)		(5	)
		3,174			31,212			9			91
NET INCREASE		917,717		$	9,185,310			507,779		$	5,072,762

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Fund Expenses — Six Month Period Ended September 30, 2016  (Unaudited)

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from April 1, 2016 through September 30, 2016, which represents a period of 183 days of a 365-day year.

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

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

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, redemption fees, or exchange fees. 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.

	Enhanced Income Fund							Government Income Fund							High Quality Floating Rate Fund							Inflation Protected Securities Fund
Share Class	Beginning Account Value 4/1/16		Ending Account Value 9/30/16			Expenses Paid for the 6 months ended 9/30/16*		Beginning Account Value 4/1/16		Ending Account Value 9/30/16			Expenses Paid for the 6 months ended 9/30/16*		Beginning Account Value 4/1/16		Ending Account Value 9/30/16			Expenses Paid for the 6 months ended 9/30/16*		Beginning Account Value 4/1/16		Ending Account Value 9/30/16			Expenses Paid for the 6 months ended 9/30/16*
Class A
Actual	$	1,000.00	$	1,006.30		$	3.47	$	1,000.00	$	1,014.90		$	4.60	$	1,000.00	$	1,008.50		$	3.02	$	1,000.00	$	1,027.10		$	3.46
Hypothetical 5% return		1,000.00		1,021.61	+		3.50		1,000.00		1,020.51	+		4.61		1,000.00		1,022.06	+		3.04		1,000.00		1,021.66	+		3.45
Class C
Actual		N/A		N/A			N/A		1,000.00		1,011.10			8.37		N/A		N/A			N/A		1,000.00		1,022.60			7.25
Hypothetical 5% return		N/A		N/A			N/A		1,000.00		1,016.75	+		8.39		N/A		N/A	+		N/A		1,000.00		1,017.90	+		7.23
Institutional
Actual		1,000.00		1,008.00			1.76		1,000.00		1,016.60			2.88		1,000.00		1,009.70			1.81		1,000.00		1,029.10			1.73
Hypothetical 5% return		1,000.00		1,023.31	+		1.78		1,000.00		1,022.21	+		2.89		1,000.00		1,023.26	+		1.83		1,000.00		1,023.36	+		1.72
Administration
Actual		1,000.00		1,006.70			3.02		N/A		N/A			N/A		N/A		N/A			N/A		N/A		N/A			N/A
Hypothetical 5% return		1,000.00		1,022.06	+		3.04		N/A		N/A			N/A		N/A		N/A			N/A		N/A		N/A			N/A
Service
Actual		N/A		N/A			N/A		1,000.00		1,014.10			5.40		1,000.00		1,007.20			4.33		N/A		N/A			N/A
Hypothetical 5% return		N/A		N/A			N/A		1,000.00		1,019.70	+		5.42		1,000.00		1,020.76	+		4.36		N/A		N/A			N/A
Class IR
Actual		1,000.00		1,007.50			2.21		1,000.00		1,016.20			3.34		1,000.00		1,009.30			2.27		1,000.00		1,029.00			2.19
Hypothetical 5% return		1,000.00		1,022.86	+		2.23		1,000.00		1,021.76	+		3.35		1,000.00		1,022.81	+		2.28		1,000.00		1,022.91	+		2.18
Class R
Actual		N/A		N/A			N/A		1,000.00		1,014.40			5.86		N/A		N/A			N/A		1,000.00		1,025.90			4.72
Hypothetical 5% return		N/A		N/A			N/A		1,000.00		1,019.25	+		5.87		N/A		N/A			N/A		1,000.00		1,020.41			4.71
Class R6
Actual		1,000.00		1,008.00			1.74		1,000.00		1,016.80			2.78		1,000.00		1,009.80			1.66		1,000.00		1,028.30			1.63
Hypothethical 5% return		1,000.00		1,023.33	+		1.76		1,000.00		1,022.31	+		2.79		1,000.00		1,023.41	+		1.67		1,000.00		1,023.46	+		1.62

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Fund Expenses — Six Month Period Ended September 30, 2016  (Unaudited) (continued)

	Short Duration Government Fund							Short Duration Income Fund							Short-Term Conservative Income Fund
Share Class	Beginning Account Value 4/1/16		Ending Account Value 9/30/16			Expenses Paid for the 6 months ended 9/30/16*		Beginning Account Value 4/1/16		Ending Account Value 9/30/16			Expenses Paid for the 6 months ended 9/30/16*		Beginning Account Value 4/1/16		Ending Account Value 9/30/16			Expenses Paid for the 6 months ended 9/30/16*
Class A
Actual	$	1,000.00	$	1,004.60		$	4.12	$	1,000.00	$	1,018.10		$	4.05		N/A		N/A			N/A
Hypothetical 5% return		1,000.00		1,020.96	+		4.15		1,000.00		1,021.06	+		4.05		N/A		N/A			N/A
Class C
Actual		1,000.00		1,002.60			6.12		1,000.00		1,016.10			6.01		N/A		N/A			N/A
Hypothetical 5% return		1,000.00		1,018.95	+		6.17		1,000.00		1,019.10	+		6.02		N/A		N/A			N/A
Institutional
Actual		1,000.00		1,006.30			2.41		1,000.00		1,019.80			2.28	$	1,000.00	$	1,005.70		$	0.80
Hypothetical 5% return		1,000.00		1,022.66	+		2.43		1,000.00		1,022.81	+		2.28		1,000.00		1,024.27	+		0.81
Administration
Actual		N/A		N/A			N/A		N/A		N/A			N/A		1,000.00		1,004.40			2.06
Hypothetical 5% return		N/A		N/A			N/A		N/A		N/A			N/A		1,000.00		1,023.01	+		2.08
Service
Actual		1,000.00		1,003.80			4.92		N/A		N/A			—		N/A		N/A			N/A
Hypothetical 5% return		1,000.00		1,020.15	+		4.96		N/A		N/A			N/A		N/A		N/A			N/A
Class IR
Actual		1,000.00		1,006.90			2.87		1,000.00		1,019.30			2.78		N/A		N/A			N/A
Hypothetical 5% return		1,000.00		1,022.21	+		2.89		1,000.00		1,022.31	+		2.79		N/A		N/A	+		N/A
Class R
Actual		N/A		N/A			N/A		1,000.00		1,016.80			5.21		N/A		N/A			N/A
Hypothetical 5% return		N/A		N/A			N/A		1,000.00		1,019.90	+		5.22		N/A		N/A			N/A
Class R6
Actual		1,000.00		1,006.40			2.31		1,000.00		1,020.70			2.48		N/A		N/A			N/A
Hypothethical 5% return		1,000.00		1,022.76	+		2.33		1,000.00		1,022.61	+		2.48		N/A		N/A			N/A

* Expenses for each share class are calculated using each Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended September 30, 2016. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows:

Fund	Class A			Class C			Institutional			Administration			Service			Class IR			Class R			Class R6
Enhanced Income		0.69	%		N/A			0.35	%		0.60	%		N/A			0.44	%		N/A			0.35	%
Government Income		0.91			1.66	%		0.57			N/A			1.07	%		0.66			1.16	%		0.55
High Quality Floating Rate		0.60			N/A			0.36			N/A			0.86			0.45			N/A			0.33
Inflation Protected Securities		0.68			1.43			0.34			N/A			N/A			0.43			0.93			0.32
Short Duration Government		0.82			1.22			0.48			N/A			0.98			0.57			N/A			0.46
Short Duration Income		0.80			1.19			0.45			N/A			N/A			0.55			1.03			0.49
Short-Term Conservative Income		N/A			N/A			0.16			0.41			N/A			N/A			N/A			N/A

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

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Statement Regarding Basis for Approval of Management Agreements (Unaudited)

Background

The Goldman Sachs Enhanced Income Fund, Goldman Sachs Government Income Fund, Goldman Sachs High Quality Floating Rate Fund, Goldman Sachs Inflation Protected Securities Fund, Goldman Sachs Short Duration Government Fund, Goldman Sachs Short Duration Income Fund, and Goldman Sachs Short-Term Conservative Income Fund (formerly, Goldman Sachs Limited Maturity Obligations Fund) (the “Funds”) are investment portfolios of Goldman Sachs Trust (the “Trust”). The Board of Trustees oversees the management of the Trust and reviews the investment performance and expenses of the Funds at regularly scheduled meetings held throughout the year. In addition, the Board of Trustees determines annually whether to approve the continuance of the Trust’s investment management agreements (the “Management Agreements”) with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) on behalf of the Funds.

The Management Agreements were most recently approved for continuation until June 30, 2017 by the Board of Trustees, including those Trustees who are not parties to the Management Agreements or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), at a meeting held on June 15-16, 2016 (the “Annual Meeting”).

The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held three meetings over the course of the year since the Management Agreements were last approved. At those Committee meetings, regularly scheduled Board or other committee meetings, and/or the Annual Meeting, matters relevant to the renewal of the Management Agreements were considered by the Board, or the Independent Trustees, as applicable. With respect to each Fund, such matters included:

(a) the nature and quality of the advisory, administrative, and other services provided to the Fund by the Investment Adviser and its affiliates, including information about:

(i) the structure, staff, and capabilities of the Investment Adviser and its portfolio management teams;

(ii) the groups within the Investment Adviser and its affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services, and operations); controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, compliance testing, market risk analysis, finance, and central funding); sales and distribution support groups, and others (e.g., information technology and training);

(iii) trends in employee headcount;

(iv) the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and

(v) the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management;

(b) information on the investment performance of the Fund, including comparisons to the performance of similar mutual funds, as provided by a third-party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”), a benchmark performance index, and a composite of accounts with comparable investment strategies managed by the Investment Adviser (in the case of the Enhanced Income, High Quality Floating Rate, Short Duration Government, and Short Duration Income Funds); and general investment outlooks in the markets in which the Fund invests;

(c) information provided by the Investment Adviser indicating the Investment Adviser’s views on whether the Fund’s peer group and/or benchmark index had high, medium, or low relevance given the Fund’s particular investment strategy;

(d) the terms of the Management Agreements and other agreements with affiliated service providers entered into by the Trust on behalf of the Fund;

(e) fee and expense information for the Fund, including:

(i) the relative management fee and expense level of the Fund as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider;

(ii) the Fund’s expense trends over time; and

(iii) to the extent the Investment Adviser manages other types of accounts (such as bank collective trusts, private wealth management accounts, institutional separate accounts, sub-advised mutual funds, and non-U.S. funds) having investment objectives and policies similar to those of the Fund, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser;

(f) with respect to the extensive investment performance and expense comparison data provided by the Outside Data Provider, its processes in producing that data for the Fund;

(g) the undertakings of the Investment Adviser and its affiliates to implement fee waivers and/or expense limitations;

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Statement Regarding Basis for Approval of Management Agreements (Unaudited) (continued)

(h) information relating to the profitability of the Management Agreements and the transfer agency and distribution and service arrangements of the Fund and the Trust as a whole to the Investment Adviser and its affiliates;

(i) whether the Fund’s existing management fee schedule adequately addressed any economies of scale;

(j) a summary of the “fall-out” benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund, including the fees received by the Investment Adviser’s affiliates from the Fund for transfer agency, portfolio trading, distribution and other services;

(k) a summary of potential benefits derived by the Fund as a result of its relationship with the Investment Adviser;

(l) information regarding portfolio trading and how the Investment Adviser carries out its duty to seek best execution;

(m) portfolio manager ownership of Fund shares; the manner in which portfolio manager compensation is determined; and the number and types of accounts managed by the portfolio managers;

(n) the nature and quality of the services provided to the Fund by its unaffiliated service providers, and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administrative services provided under the Management Agreements; and

(o) the Investment Adviser’s processes and policies addressing various types of potential conflicts of interest; its approach to risk management; the annual review of the effectiveness of the Fund’s compliance program; and periodic compliance reports.

The Trustees also received an overview of the Funds’ distribution arrangements. They received information regarding the Funds’ assets, share purchase and redemption activity, and payment of distribution, service, and shareholder administration fees, as applicable. Information was also provided to the Trustees relating to revenue sharing payments made by and services provided by the Investment Adviser and its affiliates to intermediaries that promote the sale, distribution, and/or servicing of Fund shares. The Independent Trustees also discussed the broad range of other investment choices that are available to Fund investors, including the availability of comparable funds managed by other advisers.

The presentations made at the Board and Committee meetings and at the Annual Meeting encompassed the Funds and other mutual funds for which the Board of Trustees has responsibility. In evaluating the Management Agreements at the Annual Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Adviser and its affiliates, their services, and the Funds. In conjunction with these meetings, the Trustees received written materials and oral presentations on the topics covered, and the Investment Adviser addressed the questions and concerns of the Trustees, including concerns regarding the investment performance of certain of the funds they oversee. The Independent Trustees were advised by their independent legal counsel regarding their responsibilities and other regulatory requirements related to the approval and continuation of mutual fund investment management agreements under applicable law. In addition, the Investment Adviser and its affiliates provided the Independent Trustees with a written response to a formal request for information sent on behalf of the Independent Trustees by their independent legal counsel. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent legal counsel, without representatives of the Investment Adviser or its affiliates present.

Nature, Extent, and Quality of the Services Provided Under the Management Agreements

As part of their review, the Trustees considered the nature, extent, and quality of the services provided to the Funds by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services and non-advisory services that are provided by the Investment Adviser and its affiliates. The Trustees noted the transition in the leadership and changes in personnel of various of the Investment Adviser’s portfolio management teams that had occurred in recent periods, and the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Adviser. They also noted the Investment Adviser’s commitment to maintaining high quality systems and expending substantial resources to respond to ongoing changes to the regulatory and control environment in which the Funds and their service providers operate, as well as the efforts of the Investment Adviser and its affiliates to combat cyber security risks. The Trustees concluded that the Investment Adviser continued to commit substantial financial and operational resources to the Funds and expressed confidence that the Investment Adviser would continue to do so in the future. The Trustees also recognized that the Investment Adviser had made significant commitments to address regulatory compliance requirements applicable to the Funds and the Investment Adviser and its affiliates.

Investment Performance

The Trustees also considered the investment performance of the Funds. In this regard, they compared the investment performance of each Fund to its peers using rankings and (except with respect to the Short-Term Conservative Income Fund) ratings compiled by the Outside Data Provider as of December 31, 2015, and updated performance information prepared by the Investment Adviser using the peer groups identified by the Outside Data Provider as of March 31, 2016. The information on each

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Statement Regarding Basis for Approval of Management Agreements (Unaudited) (continued)

Fund’s investment performance was provided for the one-, three-, five-, and ten-year periods ending on the applicable dates, to the extent that each Fund had been in existence for those periods. The Trustees also reviewed each Fund’s investment performance relative to its performance benchmark. As part of this review, they considered the investment performance trends of the Funds over time, and reviewed the investment performance of each Fund in light of its investment objective and policies and market conditions. The Trustees also received information comparing the Enhanced Income, High Quality Floating Rate, Short Duration Government, and Short Duration Income Funds’ performance to that of composites of accounts with comparable investment strategies managed by the Investment Adviser.

In addition, the Trustees considered materials prepared and presentations made by the Investment Adviser’s senior management and portfolio management personnel in which Fund performance was assessed. The Trustees also considered the Investment Adviser’s periodic reports with respect to the Funds’ risk profiles, and how the Investment Adviser’s approach to risk monitoring and management influences portfolio management.

The Trustees noted that the Enhanced Income Fund’s Institutional Shares had placed in the top half of the Fund’s peer group for the one- and ten-year periods and in the third quartile for the three- and five-year periods, and had outperformed the Fund’s benchmark index for the one-, three-, five-, and ten-year periods ended March 31, 2016. The Trustees noted that the Government Income Fund’s Institutional Shares had placed in the top half of the Fund’s peer group and had underperformed the Fund’s benchmark index for the one-, three-, five-, and ten-year periods ended March 31, 2016. They observed that the High Quality Floating Rate Fund’s Institutional Shares had placed in the fourth quartile of the Fund’s peer group for the one-, three-, five-, and ten-year periods, and had outperformed the Fund’s benchmark index for the five- and ten-year periods and underperformed for the one- and three-year periods ended March 31, 2016. They noted that the Inflation Protected Securities Fund’s Institutional Shares had placed in the first quartile of the Fund’s peer group and had underperformed the Fund’s benchmark index for the one-, three-, and five-year periods ended March 31, 2016. The Trustees noted that the Short Duration Government Fund’s Institutional Shares had placed in the second quartile of the Fund’s peer group for the one-, three-, and ten-year periods and in the third quartile for the five-year period, and had outperformed the Fund’s benchmark index for the one- and ten-year periods and underperformed for the three- and five-year periods ended March 31, 2016. They observed that the Short Duration Income Fund’s Institutional Shares had placed in the first quartile of the Fund’s peer group and had underperformed the Fund’s benchmark index for the one- and three-year periods ended March 31, 2016. The Trustees observed that the Short-Term Conservative Income Fund’s Institutional Shares had placed in the first quartile of the Fund’s peer group and had outperformed the Fund’s benchmark index for the one-year period ended March 31, 2016. They also considered that the Enhanced Income Fund, High Quality Floating Rate Fund, Short Duration Government Fund, Short Duration Income Fund, and Short-Term Conservative Income Fund had experienced certain portfolio management changes in the first quarter of 2016.

Costs of Services Provided and Competitive Information

The Trustees considered the contractual terms of the Management Agreements and the fee rates payable by each Fund thereunder. In this regard, the Trustees considered information on the services rendered by the Investment Adviser to the Funds, which included both advisory and administrative services that were directed to the needs and operations of the Funds as registered mutual funds.

In particular, the Trustees reviewed analyses prepared by the Outside Data Provider regarding the expense rankings of the Funds. The analyses provided a comparison of each Fund’s management fee and breakpoints (with the exception of the Short-Term Conservative Income Fund, which does not have breakpoints) to those of relevant a peer group and category universe; an expense analysis which compared each Fund’s overall net and gross expenses to a peer group and a category universe; and data comparing each Fund’s net expenses to the peer and category medians. The analyses also compared each Fund’s transfer agency, custody, and distribution fees (with the exception of the Short-Term Conservative Income Fund, which does not have distribution fees), other expenses and fee waivers/reimbursements to those of the peer group and category medians. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Funds.

In addition, the Trustees considered the Investment Adviser’s undertakings to implement fee waivers and/or expense limitations. They noted that the Investment Adviser and Goldman Sachs had waived fees and reimbursed expenses for the Short-Term Conservative Income Fund in order to maintain positive yields. They also considered, to the extent that the Investment Adviser manages other types of accounts having investment objectives and policies similar to those of the Funds, comparative fee information for services provided by the Investment Adviser to those accounts, and information that indicated that services provided to the Funds differed in various significant respects from the services provided to other types of accounts which, in many cases, operated under less stringent legal and regulatory structures, required fewer services from the Investment Adviser to a smaller number of client contact points, and were less time-intensive.

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Statement Regarding Basis for Approval of Management Agreements (Unaudited) (continued)

In addition, the Trustees noted that shareholders are able to redeem their Fund shares at any time if shareholders believe that the Fund fees and expenses are too high or if they are dissatisfied with the performance of the Fund.

Profitability

The Trustees reviewed the Investment Adviser’s revenues and pre-tax profit margins with respect to the Trust and each of the Funds. In this regard the Trustees noted that they had received, among other things, profitability analyses and summaries, revenue and expense schedules by Fund and by function (i.e., investment management, transfer agency and distribution and service), and information on the Investment Adviser’s expense allocation methodology. They observed that the profitability and expense figures are substantially similar to those used by the Investment Adviser for many internal purposes, including compensation decisions among various business groups, and are thus subject to a vigorous internal debate about how certain revenue and expenses should be allocated. The Trustees also noted that the internal audit group within the Goldman Sachs organization had audited the expense allocation methodology and was satisfied with the reasonableness, consistency, and accuracy of the Investment Adviser’s expense allocation methodology and profitability analysis calculations. Profitability data for the Trust and each Fund were provided for 2015 and 2014, and the Trustees considered this information in relation to the Investment Adviser’s overall profitability. The Trustees considered the Investment Adviser’s revenues and pre-tax profit margins both in absolute terms and in comparison to information on the reported pre-tax profit margins earned by certain other asset management firms.

Economies of Scale

The Trustees considered the information that had been provided regarding the Investment Adviser’s profitability. The Trustees also considered the breakpoints in the fee rate payable under the Management Agreements for each of the Funds (other than the Short-Term Conservative Income Fund) at the following annual percentage rates of the average daily net assets of the Funds:

Average Daily Net Assets	Enhanced Income Fund			Government Income Fund			High Quality Floating Rate Fund			Inflation Protected Securities Fund			Short Duration Government Fund			Short Duration Income Fund
First $1 billion		0.25	%		0.54	%		0.40	%		0.33	%		0.50	%		0.40	%
Next $1 billion		0.23			0.49			0.36			0.30			0.45			0.36
Next $3 billion		0.22			0.47			0.34			0.28			0.43			0.34
Next $3 billion		0.22			0.46			0.33			0.27			0.42			0.33
Over $8 billion		0.22			0.45			0.32			0.26			0.41			0.32

The Trustees noted that the breakpoints were designed to share potential economies of scale, if any, with the Funds and their shareholders as assets under management reach those asset levels. The Trustees considered the amounts of assets in the Funds; the Funds’ recent share purchase and redemption activity; the information provided by the Investment Adviser relating to the costs of the services provided by the Investment Adviser and its affiliates and their realized profits; information comparing fee rates charged by the Investment Adviser with fee rates charged to other funds in the peer groups; and the Investment Adviser’s undertakings to waive a portion of its management fees (with respect to each Fund other than the Enhanced Income and Short Duration Income Funds) and to limit certain expenses of the Funds that exceed specified levels, as well as Goldman, Sachs & Co.’s (“Goldman Sachs”) undertaking to waive a portion of the distribution and service fees paid by the Short Duration Government and Short Duration Income Funds’ Class C Shares and a portion of the transfer agency fees paid by the Short-Term Conservative Income Fund. Upon reviewing these matters at the Annual Meeting, the Trustees concluded that the fee breakpoints represented a means of assuring that benefits of scalability, if any, would be passed along to shareholders at the specified asset levels. They also noted that the Investment Adviser had passed along savings to shareholders of the Short Duration Government Fund, which had asset levels above at least the first breakpoint during the prior fiscal year.

With respect to the Short-Term Conservative Income Fund, the Trustees noted that the Fund does not have management fee breakpoints. They considered the asset levels in the Fund; the Fund’s recent purchase and redemption activity; the information provided by the Investment Adviser relating to the costs of the services provided by the Investment Adviser and its affiliates and their realized profits; information comparing the contractual fee rates charged by the Investment Adviser with fee rates charged to other funds in the peer group; the Investment Adviser’s undertaking to limit certain expenses of the Fund that exceed specified levels; and the willingness of the Investment Adviser and Goldman Sachs to waive certain fees on a temporary basis in order to maintain a positive Fund yield.

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Statement Regarding Basis for Approval of Management Agreements (Unaudited) (continued)

Other Benefits to the Investment Adviser and Its Affiliates

The Trustees also considered the other benefits derived by the Investment Adviser and its affiliates from their relationships with the Funds as stated above, including: (a) transfer agency fees received by Goldman Sachs; (b) futures commissions earned by Goldman Sachs for executing futures transactions on behalf of the Funds; (c) trading efficiencies resulting from aggregation of orders of the Funds with those for other funds or accounts managed by the Investment Adviser; (d) the Investment Adviser’s ability to leverage the infrastructure designed to service the Funds on behalf of its other clients; (e) the Investment Adviser’s ability to cross-market other products and services to Fund shareholders; (f) Goldman Sachs’ retention of certain fees as Fund Distributor; (g) the Investment Adviser’s ability to negotiate better pricing with custodians on behalf of its other clients, as a result of the relationship with the Funds; and (h) the possibility that the working relationship between the Investment Adviser and the Funds’ third-party service providers may cause those service providers to be more likely to do business with other areas of Goldman Sachs. In the course of considering the foregoing, the Independent Trustees requested and received further information quantifying certain of these fall-out benefits.

Other Benefits to the Funds and Their Shareholders

The Trustees also noted that the Funds receive certain potential benefits as a result of their relationship with the Investment Adviser, including: (a) trading efficiencies resulting from aggregation of orders of the Funds with those of other funds or accounts managed by the Investment Adviser; (b) enhanced servicing from vendors because of the volume of business generated by the Investment Adviser and its affiliates; (c) enhanced servicing from broker-dealers because of the volume of business generated by the Investment Adviser and its affiliates; (d) the Investment Adviser’s ability to negotiate favorable terms with derivatives counterparties on behalf of the Funds as a result of the size and reputation of the Goldman Sachs organization; (e) the Investment Adviser’s knowledge and experience gained from managing other accounts and products; (f) the Investment Adviser’s ability to hire and retain qualified personnel to provide services to the Funds because of the reputation of the Goldman Sachs organization; (g) the Funds’ access, through the Investment Adviser, to certain firmwide resources (e.g., proprietary risk management systems and databases), subject to certain restrictions; and (h) the Funds’ access to certain affiliated distribution channels. In addition, the Trustees noted the competitive nature of the mutual fund marketplace, and considered that many of the Funds’ shareholders invested in the Funds in part because of the Funds’ relationship with the Investment Adviser and that those shareholders have a general expectation that the relationship will continue.

Conclusion

In connection with their consideration of the Management Agreements, the Trustees gave weight to each of the factors described above, but did not identify any particular factor as controlling their decision. After deliberation and consideration of all of the information provided, including the factors described above, the Trustees concluded, in the exercise of their business judgment, that the management fees paid by each of the Funds were reasonable in light of the services provided to it by the Investment Adviser, the Investment Adviser’s costs and each Fund’s current and reasonably foreseeable asset levels. The Trustees unanimously concluded that the Investment Adviser’s continued management likely would benefit each Fund and its shareholders and that the Management Agreements should be approved and continued with respect to each Fund until June 30, 2017.

140

FUNDS PROFILE

Goldman Sachs Funds

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

Today, the Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $1.15 trillion in assets under supervision as of September 30, 2016, 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. subject to legal, internal and regulatory restrictions.

Money Market

Financial Square Funds^SM

n Financial Square Treasury Solutions Fund¹

n Financial Square Government Fund¹

n Financial Square Money Market Fund²

n Financial Square Prime Obligations Fund²

n Financial Square Treasury Instruments Fund¹

n Financial Square Treasury Obligations Fund¹

n Financial Square Federal Instruments Fund¹

n Financial Square Tax-Exempt Money Market Fund²

Investor Funds^SM

n Investor Money Market Fund³

n Investor Tax-Exempt Money Market Fund^3,4

Fixed Income

Short Duration and Government

n Enhanced Income Fund

n High Quality Floating Rate Fund

n Short-Term Conservative Income Fund⁵

n Short Duration Government Fund

n Short Duration Income Fund

n Government Income Fund

n Inflation Protected Securities Fund

Multi-Sector

n Bond Fund

n Core Fixed Income Fund

n Global Income Fund

n Strategic Income Fund

Municipal and Tax-Free

n High Yield Municipal Fund

n Dynamic Municipal Income Fund

n Short Duration Tax-Free Fund

Single Sector

n Investment Grade Credit Fund

n U.S. Mortgages Fund

n High Yield Fund

n High Yield Floating Rate Fund

n Emerging Markets Debt Fund

n Local Emerging Markets Debt Fund

n Dynamic Emerging Markets Debt Fund

Fixed Income Alternatives

n Long Short Credit Strategies Fund

n Fixed Income Macro Strategies Fund

Fundamental Equity

n Growth and Income Fund

n Small Cap Value Fund

n Small/Mid Cap Value Fund

n Mid Cap Value Fund

n Large Cap Value Fund

n Focused Value Fund

n Capital Growth Fund

n Strategic Growth Fund

n Focused Growth Fund

n Small/Mid Cap Growth Fund

n Flexible Cap Growth Fund

n Concentrated Growth Fund

n Technology Opportunities Fund

n Growth Opportunities Fund

n Rising Dividend Growth Fund

n Dynamic U.S. Equity Fund

n Income Builder Fund

Tax-Advantaged Equity

n U.S. Tax-Managed Equity Fund

n International Tax-Managed Equity Fund

n U.S. Equity Dividend and Premium Fund

n International Equity Dividend and Premium Fund

Equity Insights

n Small Cap Equity Insights Fund

n U.S. Equity Insights Fund

n Small Cap Growth Insights Fund

n Large Cap Growth Insights Fund

n Large Cap Value Insights Fund

n Small Cap Value Insights Fund

n International Small Cap Insights Fund⁶

n International Equity Insights Fund

n Emerging Markets Equity Insights Fund

Fundamental Equity International

n Strategic International Equity Fund

n Focused International Equity Fund

n Asia Equity Fund

n Emerging Markets Equity Fund

n N-11 Equity Fund

Select Satellite

n Real Estate Securities Fund

n International Real Estate Securities Fund

n Commodity Strategy Fund

n Global Real Estate Securities Fund

n Dynamic Commodity Strategy Fund

n Dynamic Allocation Fund

n Absolute Return Tracker Fund

n Long Short Fund

n Managed Futures Strategy Fund

n MLP Energy Infrastructure Fund

n Multi-Manager Alternatives Fund

n Multi-Asset Real Return Fund

n Absolute Return Multi-Asset Fund

n Global Infrastructure Fund

Total Portfolio Solutions

n Global Managed Beta Fund

n Multi-Manager Non-Core Fixed Income Fund

n Multi-Manager U.S. Dynamic Equity Fund

n Multi-Manager Global Equity Fund

n Multi-Manager International Equity Fund

n Tactical Tilt Overlay Fund⁷

n Balanced Strategy Portfolio

n Multi-Manager U.S. Small Cap Equity Fund

n Multi-Manager Real Assets Strategy Fund

n Growth and Income Strategy Portfolio

n Growth Strategy Portfolio

n Equity Growth Strategy Portfolio

n Satellite Strategies Portfolio

n Enhanced Dividend Global Equity Portfolio

n Tax-Advantaged Global Equity Portfolio

n Strategic Factor Allocation Fund

n Target Date 2020 Portfolio

n Target Date 2025 Portfolio

n Target Date 2030 Portfolio

n Target Date 2035 Portfolio

n Target Date 2040 Portfolio

n Target Date 2045 Portfolio

n Target Date 2050 Portfolio

n Target Date 2055 Portfolio

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 on March 31, 2016, the Goldman Sachs Financial Square Tax-Free Money Market Fund was renamed the Goldman Sachs Investor Tax-Exempt Money Market Fund.

⁵  Effective on July 29, 2016, the Goldman Sachs Limited Maturity Obligations Fund was renamed the Goldman Sachs Short-Term Conservative Income Fund.

⁶  Effective at the close of business on February 5, 2016, the Goldman Sachs International Small Cap Fund was reorganized with and into the Goldman Sachs International Small Cap Insights Fund.

⁷  Effective on June 1, 2016, the Goldman Sachs Tactical Tilt Implementation Fund was renamed the Goldman Sachs Tactical Tilt Overlay Fund.

Financial Square Funds^SM and Investor Funds^SM are registered service marks of Goldman, Sachs & Co.

* 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 Ashok N. Bakhru, Chairman Kathryn A. Cassidy Diana M. Daniels Herbert J. Markley James A. McNamara Jessica Palmer Alan A. Shuch Roy W. Templin Gregory G. Weaver	OFFICERS James A. McNamara, President Scott M. McHugh, Principal Financial Officer, Senior Vice President and Treasurer Caroline Kraus, Secretary
GOLDMAN, SACHS & CO. Distributor and Transfer Agent	GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser

Visit our website at www.GSAMFUNDS.com to obtain the most recent month-end returns.

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

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

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

The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Qs. The Funds’ Form N-Qs are available on the SEC’s web site at http://www.sec.gov within 60 days after the Funds’ first and third fiscal quarters. The Funds’ 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. Forms N-Q may be obtained upon request and without charge by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders).

Goldman, Sachs & Co. (“Goldman Sachs”) does not provide legal, tax or accounting advice. Any statement contained in this communication (including any attachments) concerning U.S. tax matters was not intended or written to be used, and cannot be used, for the purpose of avoiding penalties under the Internal Revenue Code, and was written to support the promotion or marketing of the transaction(s) or matter(s) addressed. Clients of Goldman Sachs should obtain their own independent tax advice based on their particular circumstances.

Fund holdings and allocations shown are as of September 30, 2016 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.

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

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

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

Goldman Sachs is the distributor of the Goldman Sachs Funds.

© 2016 Goldman Sachs. All rights reserved. 71172-TMPL-11/2016 SDFISAR-16/20k

Goldman Sachs Funds

Semi-Annual Report	September 30, 2016
	Single Sector Fixed Income Funds
	Dynamic Emerging Markets Debt
	Emerging Markets Debt
	High Yield
	High Yield Floating Rate
	Investment Grade Credit
	Local Emerging Markets Debt
	U.S. Mortgages

Goldman Sachs Single Sector Fixed Income Funds

n DYNAMIC EMERGING MARKETS DEBT

n EMERGING MARKETS DEBT

n HIGH YIELD

n HIGH YIELD FLOATING RATE

n INVESTMENT GRADE CREDIT

n LOCAL EMERGING MARKETS DEBT

n U.S. MORTGAGES

TABLE OF CONTENTS
Investment Process	1
Market Review	2
Portfolio Management Discussions and Performance Summaries	4
Schedules of Investments	43
Financial Statements	120
Financial Highlights	128
Notes to the Financial Statements	142
Other Information	182

NOT FDIC-INSURED May Lose Value No Bank Guarantee

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

What Differentiates the Goldman Sachs Asset Management Fixed Income Investment Process?

At Goldman Sachs Asset Management, L.P. (“GSAM”), the goal of our fixed income investment process is to

provide consistent, strong performance by actively managing our portfolios within a research-intensive,

risk-managed framework.

A key element of our fixed income investment philosophy is to evaluate the broadest global opportunity set to capture relative value across sectors and instruments. Our globally integrated investment process involves managing dynamically along the risk/return spectrum, as we continue to develop value-added strategies through:

n Assess relative value among securities and sectors

n Leverage the vast resources of GSAM in selecting securities for each portfolio

n Team approach to decision making

n Manage risk by avoiding significant sector and interest rate bets

n Careful management of yield curve strategies — while closely managing portfolio duration

Fixed Income portfolios that:

n Include domestic and global investment options, income opportunities, and access to areas of specialization such as high yield

n Capitalize on GSAM’s industry-renowned credit research capabilities

n Use a risk-managed framework to seek total return, recognizing the importance of investors’ capital accumulation goals as well as their need for income

1

MARKET REVIEW

Goldman Sachs Single Sector Fixed Income Funds

Market Review

Shifting expectations about global economic conditions and central bank monetary policy influenced the performance of the global fixed income markets during the six months ended September 30, 2016 (the “Reporting Period”).

During the second quarter of 2016 when the Reporting Period began, spread (or non-government bond) sectors rallied on stabilization of commodities prices as well as on declining fears about slowing Chinese economic growth and the potential for a U.S. economic recession. Global interest rates broadly declined amid continued accommodative monetary policy from the world’s central banks. In the U.S., minutes from the Federal Reserve’s (the “Fed”) April 2016 policy meeting, released in mid-May 2016, suggested to many observers that policymakers might raise interest rates in June 2016 if U.S. economic growth strengthened, employment data firmed and inflation rose toward the Fed’s 2% target. In early June 2016, however, the release of weak May 2016 employment data raised concerns about the health of the U.S. economy, pushing down market expectations of a Fed rate hike. Indeed, the Fed did not raise interest rates at its June 2016 policy meeting. In the last week of June 2016, the unexpected “leave” vote in the U.K. referendum on membership in the European Union, popularly known as Brexit, renewed investor uncertainty about the path of global economic growth. Spread sectors withstood the Brexit vote relatively well, selling off at first but then recovering most of their losses afterwards. The U.S. dollar strengthened versus most global currencies during the second calendar quarter, though it weakened against the Japanese yen.

During the third calendar quarter, spread sectors continued to advance. Overall, global interest rates remained low, as the world’s central banks remained broadly accommodative. In July 2016, however, the Fed’s policy statement was more hawkish than most observers expected, reflecting cautious optimism amid the market’s relatively muted reaction to the Brexit outcome and strengthening U.S. economic data. (Hawkish tends to imply higher interest rates; opposite of dovish.) The July 2016 U.S. non-farm payrolls report showed 255,000 new jobs added, exceeding market expectations and countering a disappointing second quarter 2016 gross domestic product (“GDP”) report that showed growth of 1.2%. The European Central Bank (“ECB”) kept interest rates unchanged during July 2016. The Bank of Japan (“BoJ”), meanwhile, fell short of market expectations with the announcement of an equity purchase program and the lack of key monetary measures, such as an interest rate cut and increased government bond purchases. In August 2016, the Bank of England (“BoE”) unveiled a “timely, coherent and comprehensive package,” as described by Governor Mark Carney, which included a number of measures intended to help the U.K. economy navigate a post-Brexit environment. Although the ECB kept monetary policy unchanged during the month, the European and U.K. credit markets received technical, or supply/demand, support from the ongoing corporate bond purchases of central banks. In the U.S., non-farm payroll gains moderated in August 2016 and manufacturing and services data weakened, but continued hawkish comments from the Fed boosted market expectations of a rate hike by the end of 2016. However, at its September 2016 policy meeting, the Fed kept short-term interest rates unchanged. In Japan, during September 2016, the BoJ announced a new “yield curve control” framework designed to steepen Japan’s government bond yield curve and alleviate the impact on financial institutions of low longer-term rates. (Yield curve indicates a spectrum of maturities.). During the third quarter of 2016, the U.S. dollar depreciated versus many world currencies.

2

MARKET REVIEW

For the Reporting Period overall, high yield corporate bonds outperformed U.S. Treasuries by a double-digit margin, followed at some distance by sovereign emerging markets debt and investment grade corporate bonds. Commercial mortgage-backed securities, agency securities, mortgage-backed securities and asset-backed securities also outperformed U.S. Treasuries, albeit more modestly. The U.S. Treasury yield curve flattened during the Reporting Period, as yields on maturities of less than four years rose and yields on maturities of four years and longer fell. The yield on the bellwether 10-year U.S. Treasury dropped approximately 17 basis points to end the Reporting Period at 1.59%. (A basis point is 1/100th of a percentage point. A flattening yield curve is one wherein the differential in yields between longer-term and shorter-term maturities narrows.)

Looking Ahead

At the end of the Reporting Period, we expected the economic growth outlook for the U.S., Japan and China to improve. In the U.S., a strong labor market appeared to be supporting consumption, and a slower pace of monetary policy normalization should, in our view, prevent a sharp tightening of financial conditions. We also believed that positive developments in the manufacturing sector, arising from a decline in inventories as well as a boost in consumer spending due to a strengthening labor market, may further support U.S. economic growth for the rest of 2016. Despite “prudence in the removal of policy accommodation,” as described by Fed Governor Lael Brainard before the September 2016 policy meeting, we expect the Fed to raise short term rates later in 2016.

In Europe, we expect the ECB to extend its quantitative easing program beyond March 2017, when it is currently scheduled to end, to address a weak economic growth and inflation outlook. We believe Eurozone inflation will likely continue to be disappointing and that economic growth may slow in 2017. While the U.K. appears to have avoided the worst immediate near-term Brexit scenario, we expect additional easing from the BoE in the coming months. Political uncertainty arising from negotiations on issues such as immigration and access to the European Union’s single market are likely, in our view, to provide challenges for the U.K.’s economic outlook, and thus we anticipate weak economic growth in the U.K. during 2017.

In Japan, we believe the continuation and expansion of the BoJ’s accommodative monetary policy means economic growth could potentially surprise to the upside, though we believe Abenomics is running out of ammunition (Abenomics refers to the multi-pronged economic program of Japanese Prime Minister Shinzo Abe. It seeks to remedy two decades of economic stagnation by increasing Japan’s money supply, boosting government spending and enacting reforms to make the economy more competitive.). In China, the government’s rapid fiscal policy response to the economic slowdown earlier in 2016 suggests to us that the country’s positive growth impulses are likely to continue in the near term.

In the months ahead, political uncertainty has the potential to increase market volatility. These uncertainties include the November 2016 U.S. elections, the December 2016 Italian referendum on constitutional reform and 2017 elections in Germany and France.

3

PORTFOLIO RESULTS

Goldman Sachs Dynamic Emerging Markets Debt Fund

Investment Objective

The Fund seeks a high level of total return consisting of income and capital appreciation.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Global Fixed Income Investment Management Team discusses the Goldman Sachs Dynamic Emerging Markets Debt Fund’s (the “Fund”) performance and positioning for the six-month period ended September 30, 2016 (the “Reporting Period”).

Q How did the Fund perform during the Reporting Period?

A During the Reporting Period, the Fund’s Class A, C, Institutional, IR and R Shares generated cumulative total returns, without sales charges, of 6.62%, 6.21%, 6.91%, 6.88% and 6.60%, respectively. These returns compare to the 6.84% cumulative total return of the Fund’s benchmark, the Dynamic Emerging Markets Debt Fund Composite Index (the “Index”), which is comprised 50% of the J.P. Morgan Government Bond Index — Emerging Markets (GBI-EM^SM) Global Diversified Index (Gross, USD, Unhedged), 25% of the J.P. Morgan Emerging Markets Bond Index (EMBI^SM) Global Diversified Index (Gross, USD, Unhedged) and 25% of the J.P. Morgan Corporate Emerging Markets Bond Index (CEMBI^SM) Broad Diversified Index (Gross, USD, Unhedged) during the same time period. The components of the Fund’s blended benchmark, the J.P. Morgan GBI-EM^SM Global Diversified Index, J.P. Morgan EMBI^SM Global Diversified Index and J.P. Morgan CEMBI^SM Broad Diversified Index, generated cumulative total returns of 5.46%, 9.26% and 6.96%, respectively, during the Reporting Period.

Q What economic and market factors most influenced emerging markets debt as a whole during the Reporting Period?

A During the Reporting Period, external emerging markets debt, as represented by the J.P. Morgan EMBI^SM Global Diversified Index, returned 9.26%. Sovereign spreads (that is, the difference in yields between external emerging markets debt and U.S. Treasuries) tightened by approximately 73 basis points to close the Reporting Period 336 basis points wider than U.S. Treasury securities. (A basis point is 1/100th of a percentage point.) The top performing emerging external debt markets in the J.P. Morgan EMBI^SM Global Diversified Index (in U.S. dollar terms¹) were Venezuela (+58.45%), Zambia (+23.65%) and Iraq (+21.68%). The weakest performing emerging external debt markets were Turkey (-1.92%), Slovakia (-2.60%) and India (-2.92%).

Local emerging markets debt, as represented by the J.P. Morgan GBI-EM^SM Global Diversified Index, posted a return of 5.46%, with approximately 3.28% due to changes in local interest rates and approximately 2.17% due to currency appreciation against the U.S. dollar. Among countries, on a total return basis, the top performers in the J.P. Morgan GBI-EM^SM Global Diversified Index (in U.S. dollar terms) during the Reporting Period were Brazil (+23.20%), South Africa (+15.91%) and Russia (+14.32%). The weakest performing countries were Mexico (-9.37%), Malaysia (-2.78%) and Poland (-2.32%).

Corporate emerging markets debt, as represented by the J.P. Morgan CEMBI^SM Broad Diversified Index, returned 6.96%. Corporate spreads (that is, the difference in yields between corporate emerging markets debt and U.S. Treasuries) tightened by approximately 78 basis points to close the Reporting Period 343 basis points wider than U.S. Treasury securities. In terms of issuance, the emerging markets corporate bond sector saw approximately $241.5 billion of gross new issuance between the beginning of 2016 and September 30, 2016, 21% higher than during the same period in 2015 and surpassing the 2015 calendar year supply of $239.8 billion.² Meanwhile, J.P. Morgan revised its global emerging markets corporate default rate forecast from 3.5% in March 2016 to 5.5% in September 2016.

¹  All regional and market returns are in U.S. dollar terms (unless otherwise specified), are based on country-specific stock market indices and reflect the reinvestment of any dividends if applicable.

²  Source: J.P. Morgan.

4

PORTFOLIO RESULTS

Q What key factors were responsible for the Fund’s performance during the Reporting Period?

A During the Reporting Period, our selection of emerging markets currencies and the Fund’s positions in local interest rates detracted from relative performance.

Conversely, positions in emerging markets external debt contributed positively to Fund returns. In addition, our issue selection among emerging markets corporate bonds added to performance.

Q Which segments of emerging markets debt most significantly affected Fund performance?

A During the Reporting Period, the Fund’s long position in the Mexican peso (accomplished through the use of forward foreign currency exchange contracts) detracted from relative results. The Mexican peso depreciated against the U.S. dollar amid the U.S. election race. Given that weakness, we believe the currency looks attractive in terms of its valuation. Also, we believe Mexico remains closely tied to the U.S. economy and may therefore benefit should U.S. economic growth continue to improve. The Fund was also hurt during the Reporting Period by a long position in the Polish zloty (accomplished through the use of forward foreign currency exchange contracts). The long position was maintained because of the European Central Bank’s (“ECB”) quantitative easing measures, which we expect to spur growth in the Eurozone. Within local emerging markets debt, the Fund was underweight Malaysian local interest rates because we considered them expensively valued. This positioning detracted from performance during the Reporting Period.

On the positive side, the Fund’s long position in the Brazilian real (accomplished through the use of forward foreign currency exchange contracts) and its overweight position in Brazilian local interest rates (accomplished through Brazilian index-linked bonds) added to relative performance. Brazilian assets rallied over the course of the Reporting Period because the markets viewed the impeachment of President Dilma Rousseff as positive for Brazil’s economy and its fiscal balance. In addition, the markets appeared optimistic about the fiscal and growth reforms being implemented by the country’s new President Michel Temer. In addition, the Fund benefited from an overweight position in Venezuelan external bonds. We maintained the overweight based on valuations, as we believed Venezuelan external bonds should have a relatively high recovery value in the event of a default, and we considered their potential return prospects attractive.

Q Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period?

A The Fund’s U.S. duration and yield curve positioning did not have a meaningful impact on relative returns during the Reporting Period. Duration is a measure of the Fund’s sensitivity to changes in interest rates. Yield curve indicates a spectrum of maturities.

Q How did the Fund use derivatives and similar instruments during the Reporting Period?

A The Fund invested in U.S. Treasury futures, forward foreign currency exchange contracts, interest rate swaps, total return swaps, credit default swaps, non-deliverable currency forwards and structured notes. U.S. Treasury futures were used to manage U.S. interest rate duration. Forward foreign currency exchange contracts were used for hedging purposes or to express a positive view on a given currency. Interest rate swaps were used to express our views on the direction of a country’s interest rates. Credit default swaps were used to implement specific credit-related investment strategies. Total return swaps and structured notes were used in place of buying a local currency denominated bond when a particular market was otherwise inaccessible or as a more efficient means of gaining access to a local market. Non-deliverable currency forwards were used to gain exposure to a particular country and also to take advantage of relative value opportunities. Derivatives may be used in combination with cash securities to implement our views in the Fund.

During the Reporting Period, we used credit default swaps to gain exposure to Chinese external debt, which detracted from performance. The Fund’s use of forward foreign currency exchange contracts to take a long position in the Mexican peso also had a negative impact on the Fund’s performance during the Reporting Period.

A positive contributor was the Fund’s exposure to Brazil for which we used interest rate swaps as well as sovereign local bonds. Additionally, the Fund’s positioning in the Brazilian real, implemented via forward foreign currency exchange contracts, added to the Fund’s performance.

Q Were there any notable changes in the Fund’s weightings during the Reporting Period?

A During the Reporting Period, we increased the Fund’s already overweight position relative to the Index in Mexican local interest rates (accomplished partly through the use of derivatives) as the country’s central bank reduced its 2017

5

PORTFOLIO RESULTS

growth projections for its Gross Domestic Product (“GDP”) from between 2.5% and 3.5% to between 2.3% and 3.3%. Mexico’s output gap is likely, in our view, to remain in negative territory until year-end 2017, and its inflation rate is expected to remain stable as the central bank does not anticipate an increase in aggregate demand. We also increased the Fund’s already overweight position in Polish local interest rates because we expect its central bank to adopt a dovish stance if economic growth or inflation dynamics disappoint. (Dovish tends to imply lower interest rates.) Poland’s central bank continues to revise its inflation forecast downward. In addition, we increased the Fund’s overweight in South African local interest rates during the Reporting Period, as we believe its central bank’s policy rate has almost reached a neutral rate of interest. (Neutral rate of interest is the rate at which real GDP is growing at its trend rate and inflation is stable.) Also, South African local interest rates look inexpensive, in our view, based on risk adjusted metrics. During the Reporting Period, we eliminated the Fund’s overweight in Colombian external debt and shifted to an underweight position based on valuations. We initiated an underweight position in Czech Republic local interest rates as the country’s economy is growing at a rapid pace and inflation is expected by its central bank to go higher. We also increased the Fund’s underweight in China (implemented via a credit default swap) for a number of reasons, including the country’s economic growth continuing to slow; challenging fiscal/debt dynamics; the erosion in foreign exchange reserves we have seen during the Reporting Period; and increasing leverage in the corporate sector.

Q How was the Fund positioned relative to its benchmark index at the end of the Reporting Period?

A Within external debt at the end of the Reporting Period, the Fund’s key overweight positions relative to the Index were in the Dominican Republic and Indonesia, while its largest underweight was in China. We have a positive outlook on the Dominican Republic given its low debt/GDP ratio and improved current account dynamics on the back of lower oil prices. The Fund remained underweight China (implemented via a credit default swap) as a hedge against China’s economic growth slowdown. Within local emerging markets debt, a top overweight was in Mexican local interest rates and a large underweight was maintained in Malaysian local interest rates. Within corporate emerging markets debt, we continued to favor defensive non-cyclical names, such as bottlers and high yield telecommunications issues that, in our view, often have spreads comparable with riskier cyclical names. Among currencies, the Fund’s largest long position at the end of the Reporting Period was in the Mexican peso, while one of its top short positions was in the Singapore dollar.

Q What is the Fund’s tactical view and strategy for the months ahead?

A At the end of the Reporting Period, we believed that in the aftermath of the U.K.’s vote to exit the European Union, popularly known as Brexit, the emerging markets are not likely in the near term to find themselves in the eye of the storm, as they had been after the 2013 “taper tantrum” when U.S. Treasury yields surged in response to the Federal Reserve (the “Fed”) tapering its quantitative easing program or during the commodity sell-off of 2014-2015.

In terms of global monetary policy, we think the possibility of broad-scale normalization by the ECB and the Bank of Japan is remote due to the continued economic slowdowns in the Eurozone and Japan. Meanwhile, remarks from Fed chair Janet Yellen at the Jackson Hole conference indicated that U.S. policymakers see an improving U.S. economic backdrop, suggesting higher odds for an interest rate hike in 2016. However, we do not expect the Fed to move towards an aggressive rate hiking cycle. We believe a moderate terminal rate (the rate at which the Fed ends a tightening cycle), combined with a gradual trajectory for rate hikes, should help limit potential downside within emerging markets debt. In our view, Fed rate increases driven by improving growth data are likely to be less concerning for the emerging markets than a scenario wherein Fed action is driven by inflationary pressures.

In this environment, we think the case for emerging markets debt is nuanced, driven by China’s economic slowdown, stabilization of commodity prices at somewhat lower levels, politics and geopolitics. Although clouds continue to hang over the emerging markets, we see little in the way of a crisis on the horizon. We anticipate that 2016 will be the year when the slowdown in emerging markets growth and the fluctuations in emerging markets foreign exchange rates reach bottom. In our view, there will not be a rapid rebound or V-shaped recovery. Rather, we believe the emerging markets are turning the corner after three consecutive years of declining valuations and downward economic growth projections. We admit structural factors to justify our optimism, outside of demographics, remain scarce, but we anticipate a pick-up nonetheless. In our view, potential downside risks include policy mistakes, populism and depletion of financial reserves.

6

PORTFOLIO RESULTS

Given these views, we think local emerging markets debt remains an attractive investment through the end of 2016, though we continue to monitor currency volatility. Oil prices are likely to move into better balance later in 2016, we believe. A longer time horizon is key, in our view, as further idiosyncratic developments and volatility cannot be ruled out. We continue to take a discerning approach, focusing on identifying countries that remain mispriced, as we think valuations have adjusted in many cases and could adequately compensate for the challenges.

In terms of external emerging markets debt, we had a positive outlook at the end of the Reporting Period. First, we believe economic growth in the emerging markets should begin to recover and also that the difference between emerging markets growth and developed markets growth is now increasing after decreasing in recent years. Second, we consider high quality external emerging markets debt to be a solid bastion of yield in the current low interest rate environment. In our opinion, external emerging markets debt will remain attractive through 2016 and into 2017 as commodity prices find a better balance and given that the macro environment remains supportive for higher yielding investments. That said, we plan to stay watchful about the impact of political developments, potential risks related to any normalizing of central bank monetary policy, and idiosyncratic risks. Going forward, we believe identifying winners and losers remains paramount. In particular, we think it is important to find those investments that offer an attractive risk-adjusted yield. At the end of the Reporting Period, we favored countries with prudent fiscal management (where currencies have adjusted for lower oil prices after the decline through the end of 2014) and idiosyncratic opportunities where valuations offer a strong potential risk-reward, in our view.

Within corporate emerging markets bonds, the Fund was defensively positioned at the end of the Reporting Period with selective overweight positions in names that have, in our view, potential upside based on their valuations. Overall, we continued to favor defensive non-cyclical names, such as bottlers and high yield telecommunications issues that generally offer comparable spreads to riskier cyclical names. Additionally, the Fund’s overweights were focused on select names with solid balance sheets as we closely monitor challenging operating conditions, including the impact of the commodity price decline and currency fluctuations.

7

FUND BASICS

Dynamic Emerging Markets Debt Fund

as of September 30, 2016

PERFORMANCE REVIEW
April 1, 2016– September 30, 2016	Fund Total Return (based on NAV)1			Dynamic Emerging Markets Debt Fund Composite Diversified Index2			J.P. Morgan EMBISM Global Diversified Index3			J.P. Morgan GBI-EMSM Global Diversified Index4			J.P. Morgan CEMBISM Broad Diversified Index5			30-Day Standardized Subsidized Yield6			30-Day Standardized Unsubsidized Yield6
Class A		6.62	%		6.84	%		9.26	%		5.46	%		6.96	%		3.95	%		2.98	%
Class C		6.21			6.84			9.26			5.46			6.96			3.32			2.31
Institutional		6.91			6.84			9.26			5.46			6.96			4.49			3.48
Class IR		6.88			6.84			9.26			5.46			6.96			4.35			3.34
Class R		6.60			6.84			9.26			5.46			6.96			3.77			2.76

¹  The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

²  The Dynamic Emerging Markets Debt Fund Composite Index is comprised of the J.P. Morgan GBI-EM^SM Global Diversified Index (50%), the J.P. Morgan EMBI^SM Global Diversified Index (25%), and the J.P. Morgan CEMBI^SM Broad Diversified Index (25%). The index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.

³  The J.P. Morgan EMBI^SM Global Diversified Index is an unmanaged index of debt instruments of 50 emerging countries. The index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.

⁴  The J.P. Morgan GBI-EM^SM Global Diversified Index (with dividends reinvested) is an unmanaged index of debt instruments of 14 emerging countries. The index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.

⁵  The J.P. Morgan CEMBI^SM Broad Diversified Index tracks total returns of U.S. dollar-denominated debt instruments issued by corporate entities in emerging markets countries. The index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.

⁶  The method of calculation of the 30-Day Standardized Subsidized Yield is mandated by the Securities and Exchange Commission and is determined by dividing the net investment income per share earned during the last 30 days of the period by the maximum public offering price (“POP”) per share on the last day of the period. This number is then annualized. The 30-Day Standardized Subsidized Yield reflects fee waivers and/or expense reimbursements recorded by the Fund during the period. Without waivers and/or reimbursements, yields would be reduced. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. The 30-Day Standardized Unsubsidized Yield does not adjust for any fee waivers and/or expense reimbursements in effect. If the Fund does not incur any fee waivers and/or expense reimbursements during the period, the 30-Day Standardized Subsidized Yield and 30-Day Standardized Unsubsidized Yield will be identical.

8

FUND BASICS

STANDARDIZED TOTAL RETURNS7
For the period ended 9/30/16	One Year			Since Inception			Inception Date
Class A		9.26	%		-1.68	%		5/31/13
Class C		12.48			-0.99			5/31/13
Institutional		14.89			0.12			5/31/13
Class IR		14.82			-0.05			5/31/13
Class R		14.22			-0.47			5/31/13

⁷  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 4.50% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Class IR and Class R Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. The Fund will charge a 2% redemption fee on the redemption of shares (including by exchange) held for 30 calendar days or less. The performance figures do not reflect the deduction of the redemption fee. If reflected, the redemption fee would reduce the performance quoted.

The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted 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 Fund distributions or the redemption of Fund shares.

9

FUND BASICS

EXPENSE RATIOS8
	Net Expense Ratio (Current)			Gross Expense Ratio (Before Waivers)
Class A		1.23	%		2.98	%
Class C		1.99			3.79
Institutional		0.89			2.45
Class IR		0.98			2.63
Class R		1.48			3.18

⁸  The expense ratios of the Fund, 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 Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to a contractual arrangement, the Fund’s waivers and/or expense limitations will remain in place through at least July 29, 2017, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

TOP TEN COUNTRY ALLOCATION9
	Percentage of Net Assets
	as of 9/30/16			as of 3/31/16
Mexico		9.7	%		11.5	%
Poland		9.5			8.0
Indonesia		7.6			7.0
South Africa		6.3			4.6
Brazil		6.1			8.1
Thailand		4.4			3.1
Colombia		4.3			7.3
Russia		4.2			4.5
United States		4.0			5.5
Turkey		3.5			3.4
Other		33.7			30.8

⁹  The percentage shown for each investment category reflects the value of investments in that country as a percentage of net assets. The table does not include repurchase agreements of 6.6% as of 3/31/16. The table depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments.

10

PORTFOLIO RESULTS

Goldman Sachs Emerging Markets Debt Fund

Investment Objective

The Fund seeks a high level of total return consisting of income and capital appreciation.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Global Fixed Income Investment Management Team discusses the Goldman Sachs Emerging Markets Debt Fund’s (the “Fund”) performance and positioning for the six-month period ended September 30, 2016 (the “Reporting Period”).

¹  All regional and market returns are in U.S. dollar terms (unless otherwise specified), are based on country-specific stock market indices and reflect the reinvestment of any dividends if applicable.

Q How did the Fund perform during the Reporting Period?

A During the Reporting Period, the Fund’s Class A, C, Institutional, IR and R6 Shares generated cumulative total returns, without sales charges, of 9.56%, 9.15%, 9.74%, 9.69% and 9.75%, respectively. These returns compare to the 9.26% cumulative total return of the Fund’s benchmark, the J.P. Morgan Emerging Markets Bond Index (EMBI^SM) Global Diversified Index (the “Index”), during the same time period.

Q What economic and market factors most influenced emerging markets debt as a whole during the Reporting Period?

A During the Reporting Period, external emerging markets debt, as represented by the Index, returned 9.26%. Sovereign spreads (that is, the difference in yields between external emerging markets debt and U.S. Treasuries) tightened by approximately 73 basis points to close the Reporting Period 336 basis points wider than U.S. Treasury securities. (A basis point is 1/100th of a percentage point.) The top performing emerging external debt markets during the Reporting Period, as represented by the Index, were (in U.S. dollar terms¹) Venezuela (+58.45%), Zambia (+23.65%) and Iraq (+21.68%). The weakest performing emerging external debt markets were Turkey (-1.92%), Slovakia (-2.60%) and India (-2.92%).

Q What key factors were responsible for the Fund’s performance during the Reporting Period?

A During the Reporting Period, the Fund benefited from country and issue selection of external emerging markets bonds. Issue selection and sector positioning within emerging markets corporate bonds also added to relative returns.

Conversely, the Fund was hampered by our active currency management (accomplished through the use of forward foreign currency exchange contracts as well as bonds denominated in local currencies). Our U.S. duration strategy also detracted from relative returns. Duration is a measure of the Fund’s sensitivity to changes in interest rates.

Q Which segments of emerging markets debt most significantly affected Fund performance?

A During the Reporting Period, the Fund benefited from its overweight position relative to the Index in Venezuelan external debt. Although we remained concerned about the country’s deteriorating fundamentals, we believe valuations imply a material probability of restructuring and that there is the possibility of significant recovery in the event of a default. We found greater value in the quasi-sovereign Petróleos de Venezuela (PDVSA) bonds than the country’s sovereign bonds. In addition, an underweight in Turkish external debt added to relative returns, as we stayed watchful about political developments in the aftermath of the coup, the country’s reliance on global liquidity and the pass-through effects of currency fluctuations. Also, during the Reporting Period, the Fund was helped by its long position in the Brazilian real (accomplished through the use of forward foreign currency exchange contracts).

Conversely, the Fund’s long position in the Mexican peso (implemented through forward foreign currency exchange contracts) was a significant detractor from relative returns. The Mexican peso depreciated against the U.S. dollar amid the U.S. election race. Given that weakness, we believe the currency remains attractive in terms of its valuation. Also, we believe Mexico remains closely tied to the U.S. economy and may therefore benefit from increased capital flows and investment should U.S. economic growth continue to improve. The Fund was also hurt during the Reporting Period by its underweight positions in Ukrainian and Chinese external debt.

11

PORTFOLIO RESULTS

Q Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period?

A The Fund’s U.S. duration strategy detracted from relative returns. For most of the Reporting Period, the Fund held a short duration position on the U.S. Treasury yield curve, as we expected the U.S. economy to pick up and for the Federal Reserve (the “Fed”) to raise short-term interest rates gradually. However, the Fed remained on hold during the Reporting Period. The Fund’s U.S. yield curve positioning did not have a meaningful impact on relative performance. Yield curve indicates a spectrum of maturities.

Q How did the Fund use derivatives and similar instruments during the Reporting Period?

A The Fund invested in U.S. Treasury futures, forward foreign currency exchange contracts, interest rate swaps, credit default swaps, non-deliverable currency forwards and structured notes. U.S. Treasury futures were used to manage U.S. interest rate duration. Forward foreign currency exchange contracts were used for hedging purposes or to express a positive view on a given currency. Interest rate swaps were used to express our views on the direction of a country’s interest rates. Credit default swaps and structured notes were used in place of buying a local currency denominated bond when a particular market was otherwise inaccessible or as a more efficient means of gaining access to a local market. Non-deliverable currency forwards were used to gain exposure to a particular country. Derivatives may be used in combination with cash securities to implement our views in the Fund.

During the Reporting Period, we used credit default swaps to gain exposure to Chinese external debt, which slightly detracted from performance. In addition, the Fund’s use of forward foreign currency exchange contracts to take a long position in the Mexican peso had a negative impact on the Fund’s performance during the Reporting Period.

Q Were there any notable changes in the Fund’s weightings during the Reporting Period?

A During the Reporting Period, we increased the Fund’s already overweight position relative to the Index in Mexican local interest rates as the country’s central bank reduced its 2017 growth projections for the Gross Domestic Product (“GDP”) from between 2.5% and 3.5% to between 2.3% and 3.3%. Mexico’s output gap is likely, in our view, to remain in negative territory until year-end 2017, and inflation is expected to remain stable as its central bank does not anticipate an increase in aggregate demand. At the beginning of the Reporting Period, the Fund held an underweight in Russian external debt based on valuations, which we shifted to a neutral position as Russian assets underperformed the Index. We moved the Fund to an overweight position relative to the Index in Russian external debt given that Russia’s balance of payments appears to have adjusted to lower oil prices and persistent capital outflows. Also, during the Reporting Period, we significantly increased the Fund’s overweight in Indonesian external debt on the back of what we considered to be that country’s strong fiscal position and pace of reforms. Additionally, we initiated an overweight position in Bulgarian external debt, as we believe the country has low government debt levels and a strong fiscal balance. During the Reporting Period, we increased the Fund’s underweight in Chinese external debt (implemented via a credit default swap) relative to the Index. This positioning is a hedge against broader concerns we have about China’s shadow banking system, non-performing loans, economic growth slowdown and potential policy mistakes. Our rationale also includes the country’s challenging fiscal and debt dynamics, erosion of foreign exchange reserves and increasing leverage in the corporate sector. Additionally, we reduced the Fund’s overweight relative to the Index in Colombian external debt during the Reporting Period but maintained an overweight position because of that country’s strong policy framework.

Q How was the Fund positioned relative to its benchmark index at the end of the Reporting Period?

A At the end of the Reporting Period, the Fund was overweight oil importers, and we had selectively added to its holdings of oil exporter names. Overall, we were bullish on the Central American/Caribbean region, including the Dominican Republic, Costa Rica and Guatemala, which import oil and rely on American tourism. Additionally, at the end of the Reporting Period, the Fund held an overweight position in Russian external debt, as we believe Russia is appropriately handling the downturn in oil prices. The Fund also had an overweight position in Venezuelan external debt at the end of the Reporting Period. In our view, valuations imply a material probability of restructuring, and we believe there is the possibility of significant recovery in the event of a default. We find greater value in the quasi-sovereign Petróleos de Venezuela (PDVSA) bonds than the country’s sovereign bonds. In Eastern Europe, the Fund was underweight relative to the Index in Polish external debt based on valuations, which we consider expensive. We also

12

PORTFOLIO RESULTS

think there is a risk of some fiscal slippage in 2016. (Fiscal slippage is when a planned annual budget does not match actual spending.) Additionally, the Fund was underweight Croatian external debt at the end of the Reporting Period based on our concerns about that country’s fiscal condition. In addition, we remained cautious about China as its slower economic growth trajectory has implications for those economies with business models built around Chinese demand and because in recent years GDP data have disappointed in parts of Southeast Asia. Accordingly, the Fund maintained idiosyncratic underweights in certain countries, such as Malaysia and Turkey, at the end of the Reporting Period. In Malaysia, we are concerned about depletion of foreign reserves, uncertainty surrounding the resolution of government contingent liabilities and deterioration in the country’s trade balances. (A contingent liability is a potential liability that may occur, depending on the outcome of an uncertain future event.) In Turkey, we planned to be watchful about political developments, the country’s reliance on global liquidity and the potential pass-through impacts of foreign exchange fluctuations.

Q What is the Fund’s tactical view and strategy for the months ahead?

A At the end of the Reporting Period, we believed that in the aftermath of the U.K.’s vote to exit the European Union, popularly known as Brexit, the emerging markets are not likely in the near term to find themselves in the eye of the storm, as they had been after the 2013 “taper tantrum” when U.S. Treasury yields surged in response to the Fed tapering its quantitative easing program or during the commodity sell-off of 2014-2015.

In terms of global monetary policy, we think the possibility of broad-scale normalization by the European Central Bank and the Bank of Japan is remote due to the continued economic slowdowns in the Eurozone and Japan. Meanwhile, remarks from Fed chair Janet Yellen at the Jackson Hole conference indicated that U.S. policymakers see an improving U.S. economic backdrop, suggesting higher odds for an interest rate hike in 2016. However, we do not expect the Fed to move towards an aggressive rate hiking cycle. We believe a moderate terminal rate (the rate at which the Fed ends a tightening cycle), combined with a gradual trajectory for rate hikes, should help limit potential downside within emerging markets debt. In our view, Fed rate increases driven by improving growth data are likely to be less concerning for the emerging markets than a scenario wherein Fed action is driven by inflationary pressures.

In this environment, we think the case for emerging markets debt is nuanced, driven by China’s economic slowdown, stabilization of commodity prices at somewhat lower levels, politics and geopolitics. Although clouds continue to hang over the emerging markets, we see little in the way of a crisis on the horizon. We anticipate that 2016 will be the year when the slowdown in emerging markets growth and the fluctuations in emerging markets foreign exchange rates reach bottom. In our view, there will not be a rapid rebound or V-shaped recovery. Rather, we believe the emerging markets are turning the corner after three consecutive years of declining valuations and downward growth projections. We admit structural factors to justify our optimism, outside of demographics, remain scarce, but we anticipate a pick-up nonetheless. In our view, potential downside risks include policy mistakes, populism and depletion of financial reserves.

At the end of the Reporting Period, we had a positive outlook on external emerging markets debt. First, we believe economic growth in the emerging markets should begin to recover and also that the difference between emerging markets growth and developed markets growth is now increasing after decreasing in recent years. Second, we consider high quality external emerging markets debt to be a solid bastion of yield in the current low interest rate environment. In our opinion, external emerging markets debt will remain attractive through 2016 and into 2017 as commodity prices find a better balance and given that the macro environment remains supportive for higher yielding investments. That said, we plan to stay watchful about the impact of political developments, potential risks related to any normalizing of central bank monetary policy, and idiosyncratic risks. Going forward, we believe identifying winners and losers remains paramount. In particular, we think it is important to find those investments that offer an attractive risk-adjusted yield. At the end of the Reporting Period, we favored countries with prudent fiscal management (where currencies have adjusted for lower oil prices after the decline through the end of 2014) and idiosyncratic opportunities where valuations offer a strong potential risk-reward.

13

FUND BASICS

Emerging Markets Debt Fund

as of September 30, 2016

PERFORMANCE REVIEW
April 1, 2016– September 30, 2016	Fund Total Return (based on NAV)1			J.P. Morgan EMBISM Global Diversified Index2			30-Day Standardized Subsidized Yield3			30-Day Standardized Unsubsidized Yield3
Class A		9.56	%		9.26	%		3.68	%		3.68	%
Class C		9.15			9.26			3.11			3.11
Institutional		9.74			9.26			4.20			4.20
Class IR		9.69			9.26			4.10			4.11
Class R6		9.75			9.26			4.21			4.22

¹  The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

²  The J.P. Morgan Emerging Markets Bond Index (EMBI^SM) Global Diversified Index (Gross, USD, Unhedged) is an unmanaged index of debt instruments of 50 emerging countries. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.

³  The method of calculation of the 30-Day Standardized Subsidized Yield is mandated by the Securities and Exchange Commission and is determined by dividing the net investment income per share earned during the last 30 days of the period by the maximum public offering price (“POP”) per share on the last day of the period. This number is then annualized. The 30-Day Standardized Subsidized Yield reflects fee waivers and/or expense reimbursements recorded by the Fund during the period. Without waivers and/or reimbursements, yields would be reduced. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. The 30-Day Standardized Unsubsidized Yield does not adjust for any fee waivers and/or expense reimbursements in effect. If the Fund does not incur any fee waivers and/or expense reimbursements during the period, the 30-Day Standardized Subsidized Yield and 30-Day Standardized Unsubsidized Yield will be identical.

14

FUND BASICS

STANDARDIZED TOTAL RETURNS4
For the period ended 9/30/16	One Year			Five Years			Ten Years			Since Inception			Inception Date
Class A		11.00	%		6.68	%		7.03	%		8.78	%		8/29/03
Class C		14.25			6.88			6.72			6.72			9/29/06
Institutional		16.52			8.04			7.88			9.55			8/29/03
Class IR		16.42			7.96			N/A			6.99			7/30/10
Class R6		16.53			N/A			N/A			12.32			7/31/15

⁴  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 4.5% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Class IR and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. The Fund will charge a 2% redemption fee on the redemption of shares (including by exchange) held for 30 calendar days or less. The performance figures do not reflect the deduction of the redemption fee. If reflected, the redemption fee would reduce the performance quoted.

The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted 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 Fund distributions or the redemption of Fund shares.

EXPENSE RATIOS5
	Net Expense Ratio (Current)			Gross Expense Ratio (Before Waivers)
Class A		1.23	%		1.27	%
Class C		1.98			2.02
Institutional		0.89			0.93
Class IR		0.98			1.02
Class R6		0.87			0.92

⁵  The expense ratios of the Fund, 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 Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to a contractual arrangement, the Fund’s waivers and/or expense limitations will remain in place through at least July 29, 2017, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

15

FUND BASICS

TOP TEN COUNTRY ALLOCATION6
	Percentage of Net Assets
	as of 9/30/16			as of 3/31/16
Mexico		10.4	%		5.5	%
Indonesia		8.8			5.1
Dominican Republic		5.4			5.1
Hungary		5.0			4.4
Turkey		4.8			2.8
Argentina		3.9			2.3
Venezuela		3.8			3.7
Brazil		3.8			3.9
Colombia		3.5			3.6
Luxembourg		2.4			2.3
Other		45.3			58.4

⁶  The percentage shown for each investment category reflects the value of investments in that country as a percentage of net assets. The table does not include repurchase agreements of 6.7% as of 3/31/16. The table depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments.

16

PORTFOLIO RESULTS

Goldman Sachs High Yield Fund

Investment Objective

The Fund seeks a high level of current income and may also consider the potential for capital appreciation.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs High Yield Fixed Income Investment Management Team discusses the Goldman Sachs High Yield Fund’s (the “Fund”) performance and positioning for the six-month period ended September 30, 2016 (the “Reporting Period”).

Q How did the Fund perform during the Reporting Period?

A During the Reporting Period, the Fund’s Class A, C, Institutional, Service, IR, R and R6 Shares generated cumulative total returns, without sales charges, of 10.06%, 9.47%, 10.05%, 9.80%, 10.18%, 9.75% and 10.05%, respectively. These returns compare to the 11.38% cumulative total return of the Fund’s benchmark, the Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Bond Index (the “Index”), during the same time period.

Q What economic and market factors most influenced the high yield corporate bond market as a whole during the Reporting Period?

A During the Reporting Period, the high yield corporate bond market generated strong returns, benefiting from investors’ search for higher yield in the low interest rate environment. High yield corporate bonds also benefited as commodity price volatility remained contained.

For the Reporting Period overall, lower quality CC-rated and CCC-rated credits outperformed higher quality B-rated and BB-rated credits. Option adjusted spreads narrowed approximately 186 basis points, ending the Reporting Period at 480 basis points. (The option adjusted spread is a measurement tool for evaluating price differences between similar products with different embedded options. A basis point is 1/100th of a percentage point.) High yield corporate bonds outperformed high yield loans, as represented by the Index.

In terms of issuance, approximately $104.0 billion of new high yield corporate bonds were priced during the second quarter of 2016, with refinancing the primary use of the proceeds. In the third calendar quarter, approximately $77.7 billion of new high yield corporate bonds came to market. Refinancing remained the primary use for the proceeds during the third calendar quarter. With regard to demand, high yield corporate bond mutual funds experienced approximately $6.4 billion of investment outflows during the second quarter of 2016. Flows reversed in the third calendar quarter, with $6.1 billion of investment inflows coming into high yield corporate bond mutual funds.¹

The default rate for high yield corporate bonds rose slightly during the Reporting Period, though it remained below the historical average. Defaults were dominated by energy companies and metals and mining issuers. The 12-month par-weighted default high yield corporate bond rate through September 30, 2016 was 3.54%.²

Q What key factors were responsible for the Fund’s performance during the Reporting Period?

A During the Reporting Period, the Fund was hampered by its overall credit quality positioning relative to the Index. It benefited from its sector positioning and individual issue selection.

Q Which segments within high yield most significantly affected Fund performance?

A The Fund was hurt by its higher credit quality bias during the Reporting Period. More specifically, the Fund’s underweight in lower quality CC-rated and CCC-rated credits detracted from returns, as lower quality credits outperformed higher quality credits during the Reporting Period. In addition, the Fund was hindered by its exposure to high yield loans. Its

¹  Source: J.P. Morgan.

²  Source: J.P. Morgan, Moody’s Investors Service.

17

PORTFOLIO RESULTS

cash holdings dampened relative performance amid the rally in the high yield corporate bond market during the Reporting Period. For similar reasons, the Fund was hampered by its short market beta positioning (that is, its broad underweight relative to the Index in riskier securities).

In terms of sector positioning, the Fund’s overweight positions compared to the Index in cellular telecommunications and corporate emerging markets bonds added to relative performance. Underweights in technology, health care, retail (especially food and drug) and electric utilities also contributed positively. Conversely, overweight positions in media (particularly cable and satellite television), building materials and financials detracted from returns. The Fund’s underweights in metals and mining, energy and gas utilities also dampened relative results.

From an individual issue selection perspective, the Fund benefited from overweight positions in cellular telecommunications company Sprint and oil and gas producers Chaparral Energy and Linn Energy. It was hurt by its overweight in discount retailer rue21 and its underweight positions in oil and gas company Chesapeake Energy and iron ore mining firm Cliffs Natural Resources.

Q Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period?

A During the Reporting Period, the Fund’s duration and yield curve positioning did not have a meaningful impact on performance versus the Index. Duration is a measure of a portfolio’s sensitivity to changes in interest rates. Yield curve indicates a spectrum of maturities. The Fund’s duration strategy is primarily implemented via interest rate swaps and/ or futures.

Q How did the Fund use derivatives and similar instruments during the Reporting Period?

A To hedge against currency risk (that is, the risk that certain currencies might fluctuate in value), the Fund employed forward foreign exchange currency contracts during the Reporting Period. Additionally, a specialized index of credit default swaps (“CDX”) was used to manage the beta of the Fund on an active basis. It was also used as a cost-efficient instrument to help manage the Fund’s cash position. We employ CDX contracts as a way to gain credit exposure by being short credit protection, when the Fund experiences significant cash inflows. The Fund used U.S. Treasury futures and Eurodollar futures. Eurodollar futures are contracts that have underlying assets linked to time deposits denominated in U.S. dollars at banks outside the U.S. Derivatives may be used in combination with cash securities to implement our views in the Fund. Overall, the use of derivatives did not have a material impact on the Fund’s performance during the Reporting Period.

Q Were there any notable changes in the Fund’s weightings during the Reporting Period?

A During the Reporting Period, we shifted the Fund to a modest underweight in CCC-rated credits. We added to the Fund’s holdings in some cyclically sensitive sectors, including technology, gaming and chemicals. We also moved the Fund closer to a neutral position relative to the Index in both the energy and metals and mining sectors. At the same time, we increased the Fund’s underweight in the health care sector. We also sought to extend the Fund’s duration modestly through investments in longer-term issues.

Q How was the Fund positioned relative to its benchmark index at the end of the Reporting Period?

A At the end of the Reporting Period, the Fund was overweight relative to the Index in cellular telecommunications, emerging markets corporate bonds and building materials. It was underweight compared to the Index in metals and mining, gas distribution utilities and electric utilities. We favored BBB-rated credits, maintaining a broad bias toward higher quality credits, and kept the Fund’s modest exposure to CCC-rated credits at the end of the Reporting Period.

Q What is the Fund’s tactical view and strategy for the months ahead?

A At the end of the Reporting Period, we had a cautiously positive outlook for high yield corporate bonds. Overall, we believe that continued accommodative central bank monetary policy, adequate U.S. economic growth, an improved commodity price backdrop and demand by both U.S. and non-U.S. investors should support option adjusted spreads. That said, we see a number of risks that could potentially cause spreads to widen. First, in our view, there could be a backlash against central bank negative interest rate policies should they prove ineffective at stimulating growth and instead continue to punish savers and banks or if an increase in U.S. interest rates causes recession worries. (A negative interest rate policy is an unconventional monetary policy tool whereby nominal target interest rates are set with a negative value, below the theoretical lower boundary of zero percent.) Second, we believe that China’s managed economic stimulus could potentially be derailed by bad debt concerns, capital outflows or currency devaluation. Third, oil prices and those

18

PORTFOLIO RESULTS

of other commodities might drop again because of a supply recovery or weak demand. Fourth, renewed U.S. dollar strength could possibly hurt U.S. competitiveness and corporate earnings. And fifth, there are ever-present but unpredictable geopolitical stresses, including terrorism concerns. In our opinion, any of these risks could increase volatility and have an adverse impact on liquidity and overall financial conditions, which could potentially unwind the “risk-on” trend witnessed in the high yield corporate bond market during the Reporting Period.

19

FUND BASICS

High Yield Fund

as of September 30, 2016

PERFORMANCE REVIEW
April 1, 2016– September 30, 2016	Fund Total Return (based on NAV)1			Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Bond Index2			30-Day Standardized Subsidized Yield3			30-Day Standardized Unsubsidized Yield3
Class A		10.06	%		11.38	%		4.46	%		4.46	%
Class C		9.47			11.38			3.93			3.92
Institutional		10.05			11.38			5.02			5.01
Service		9.80			11.38			4.51			4.51
Class IR		10.18			11.38			4.92			4.92
Class R6		10.05			11.38			5.04			5.03
Class R		9.75			11.38			4.43			4.42

¹  The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

²  The Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Bond Index, an unmanaged index, covers the universe of U.S. dollar denominated, non-convertible, fixed rate, non-investment grade debt. Index holdings must have at least one year to final maturity, at least $150 million par amount outstanding, and be publicly issued with a rating of Ba1 or lower. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.

³  The method of calculation of the 30-Day Standardized Subsidized Yield is mandated by the Securities and Exchange Commission and is determined by dividing the net investment income per share earned during the last 30 days of the period by the maximum public offering price (“POP”) per share on the last day of the period. This number is then annualized. The 30-Day Standardized Subsidized Yield reflects fee waivers and/or expense reimbursements recorded by the Fund during the period. Without waivers and/or reimbursements, yields would be reduced. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. The 30-Day Standardized Unsubsidized Yield does not adjust for any fee waivers and/or expense reimbursements in effect. If the Fund does not incur any fee waivers and/or expense reimbursements during the period, the 30-Day Standardized Subsidized Yield and 30-Day Standardized Unsubsidized Yield will be identical.

The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted 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 Fund distributions or the redemption of Fund shares.

20

FUND BASICS

STANDARDIZED TOTAL RETURNS4
For the period ended 9/30/16	One Year			Five Years			Ten Years			Since Inception			Inception Date
Class A		4.11	%		6.29	%		5.38	%		5.99	%	8/1/97
Class C		6.89			6.44			5.07			5.47		8/15/97
Institutional		9.11			7.59			6.23			6.62		8/1/97
Service		8.57			7.06			5.70			6.09		8/1/97
Class IR		9.18			7.50			N/A			6.33		11/30/07
Class R6		9.12			N/A			N/A			3.60		7/31/15
Class R		8.48			6.96			N/A			5.77		11/30/07

⁴  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 4.5% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Service, Class IR, Class R6 and Class R Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. The Fund will charge a 2% redemption fee on the redemption of shares (including by exchange) held for 60 calendar days or less. The performance figures do not reflect the deduction of the redemption fee. If reflected, the redemption fee would reduce the performance quoted.

The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted 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 Fund distributions or the redemption of Fund shares.

EXPENSE RATIOS5
	Net Expense Ratio (Current)			Gross Expense Ratio (Before Waivers)
Class A		1.05	%		1.06	%
Class C		1.80			1.81
Institutional		0.71			0.72
Service		1.21			1.22
Class IR		0.80			0.81
Class R6		0.69			0.70
Class R		1.30			1.31

⁵  The expense ratios of the Fund, 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 Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to a contractual arrangement, the Fund’s waivers and/or expense limitations will remain in place through at least July 29, 2017, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

21

FUND BASICS

TOP TEN ISSUERS AS OF 9/30/166
Company	% of Net Assets			Line of Business
HCA, Inc.		2.4	%	Health Care – Services
Sprint Corp.		1.8		Telecommunications – Cellular
CCO Holdings LLC/CCO Holdings Capital Corp.		1.7		Media – Cable
T-Mobile USA, Inc.		1.6		Telecommunications – Cellular
Sabine Pass Liquefaction LLC		1.6		Utilities – Pipeline
MGM Resorts International		1.5		Gaming
Valeant Pharmaceuticals International, Inc.		1.5		Health Care – Pharmaceuticals
Altice Financing SA		1.5		Telecommunications – Cellular
Sprint Communications, Inc.		1.2		Telecommunications – Cellular
Equinix, Inc.		1.1		Technology – Software/Services

⁶  The top 10 issuers may not be representative of the Fund’s future investments.

TOP TEN INDUSTRY ALLOCATION7
	Percentage of Net Assets
	as of 9/30/16			as of 3/31/16
Telecommunications		12.5	%		11.6	%
Media		11.1			11.2
Energy		8.3			8.0
Technology		6.9			4.5
Health Care		6.8			9.9
Utilities		5.5			3.0
Gaming		4.9			3.5
Finance		4.6			6.1
Mining		3.1			1.4
Banks		2.8			3.8
Other		31.5			34.2

⁷  The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. The table depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments.

22

PORTFOLIO RESULTS

Goldman Sachs High Yield Floating Rate Fund

Investment Objective

The Fund seeks a high level of current income.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs High Yield Fixed Income Investment Management Team discusses the Goldman Sachs High Yield Floating Rate Fund’s (the “Fund”) performance and positioning for the six-month period ended September 30, 2016 (the “Reporting Period”).

Q How did the Fund perform during the Reporting Period?

A During the Reporting Period, the Fund’s Class A, C, Institutional, IR and R Shares generated cumulative total returns, without sales charges, of 4.95%, 4.56%, 5.13%, 5.08%, and 4.82%, respectively. These returns compare to the 6.47% cumulative total return of the Fund’s benchmark, the Bloomberg Barclays U.S. High-Yield Loans Index (the “Index”), during the same time period.

Q What economic and market factors most influenced the high yield floating rate loan market as a whole during the Reporting Period?

A High yield loans generated positive returns during the Reporting Period, with B-rated credits and lower quality credits outperforming higher quality BB-rated credits. High yield loan spreads (or yield differentials versus duration- equivalent U.S. Treasury securities) contracted by 116 basis points, ending the Reporting Period at 505 basis points.¹ (A basis point is 1/100th of a percentage point.)

In terms of issuance, approximately $125.8 billion in new high yield loans were brought to market during the second quarter of 2016. During the third calendar quarter, new issuance totaled approximately $130.6 billion. With regard to demand, high yield loan mutual funds saw investment outflows of approximately $500 million during the second quarter of 2016. Momentum shifted during the third quarter of 2016, with high yield loan mutual funds experiencing investment inflows of approximately $2.2 billion.²

During the Reporting Period, the default rate for high yield loans declined and remained below the historical average. Defaults were dominated by energy companies and metals

¹  Source: Credit Suisse.

²  Source: J.P. Morgan, S&P LCD, Lipper FMI.

and mining issuers. The trailing 12-month default rate through September 30, 2016 was 2.24%.³

Q What key factors were responsible for the Fund’s performance during the Reporting Period?

A During the Reporting Period, the Fund was hurt by its overall credit quality positioning relative to the Index. It benefited from its sector positioning and issue selection within the high yield loan market.

Q Which segments of the high yield floating rate loan market significantly affected Fund performance?

A The Fund was hampered by its higher credit quality bias during the Reporting Period. More specifically, the Fund’s overweight in higher quality BBB-rated and BB-rated credits detracted from returns as lower quality credits outperformed higher quality credits during the Reporting Period. This was offset somewhat by the Fund’s underweight in B-rated credits and its overweight in CCC-rated credits, which added to performance. In addition, the Fund’s cash holdings hampered results amid the rally in the high yield loan market during the Reporting Period. For similar reasons, the Fund was hindered by its short market beta positioning (that is, its broad underweight relative to the Index in riskier securities).

In terms of its sector positioning, the Fund’s overweight positions compared to the Index in cellular and non-cellular telecommunications bolstered relative performance. Underweights in leisure and restaurants, chemicals and financials also contributed positively. Conversely, overweight positions in the packaging, health care and building materials sectors detracted from results. The Fund’s underweights in metals and mining, energy and utilities also hurt returns.

³  J.P. Morgan, S&P LCD.

23

PORTFOLIO RESULTS

Relative to individual issue selection, the Fund benefited from its overweight in Ascent Resources — Marcellus LLC, which develops and operates oil and natural gas properties; Getty Images, a stock photo agency; and Jones Energy, an independent oil and gas company. The Fund’s exposure to retailer American Apparel, which is not held in the Index, and its overweight in clinic operator U.S. Renal Care detracted from results. In addition, a lack of exposure to coal producer Arch Coal dampened relative performance during the Reporting Period.

Q Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period?

A The Fund does not use duration or yield curve positioning as active management strategies within its investment process.

Q How did the Fund use derivatives and similar instruments during the Reporting Period?

A To hedge against currency risk (that is, the risk that certain currencies might fluctuate in value), the Fund employed forward foreign exchange currency contracts during the Reporting Period. The Fund also employed interest rate swaps as a cost-efficient instrument to provide us with greater precision and versatility in the management of duration. Interest rate swaps were only utilized in the Fund for the purpose of hedging duration, as the Fund does not take active duration and yield curve positions. Additionally, a specialized index of credit default swaps (“CDX”) and standardized total return swap contracts on the Markit iBoxx USD Liquid Leveraged Loan Index (“iBoxx”) were used to manage the beta of the Fund on an active basis. CDX and/or iBoxx were also utilized as cost-efficient instruments to help manage the Fund’s cash position. We employ CDX and/or iBoxx contracts in order to gain credit exposure by being short credit protection, when the Fund experiences significant cash inflows. Derivatives may be used in combination with cash securities to implement our views in the Fund. Overall, the use of derivatives did not have a material impact on the Fund’s performance during the Reporting Period.

Q Were there any notable changes in the Fund’s weightings during the Reporting Period?

A During the Reporting Period, we increased the Fund’s allocation relative to the Index in cable and non-cable media, gaming and lodging, and health care, although the Fund remained underweight relative to the Index in gaming and lodging. We decreased its exposure compared to the Index in consumer products; food, beverage and tobacco; electric utilities; and retail and apparel. In addition, we increased the Fund’s allocations relative to the benchmark in BB-rated and B-rated rated credits, while reducing its allocation to BBB- rated credits.

Q How was the Fund positioned relative to its benchmark index at the end of the Reporting Period?

A At the end of the Reporting Period, the Fund was overweight relative to the Index in the technology, media and telecommunications sectors, with a particular focus on non- cable names and cellular telecommunications companies. We maintained the Fund’s overweight in sectors widely considered to be defensive, including health care. In addition, at the end of the Reporting Period, we favored the building materials and packaging sectors. The Fund was underweight compared to the Index in what we consider to be weaker sectors, such as metals and mining and energy.

Q What is the Fund’s tactical view and strategy for the months ahead?

A At the end of the Reporting Period, the rally in the high yield loan market continued, spurred, we believe, by technical, or supply/demand, factors. Overall, we think a “reach-for-yield” has driven investors into higher yielding asset classes, such as high yield loans. At the same time, fundamentals have gradually worsened. Although we continue to have a positive outlook on high yield loans, the strength of the rally suggests to us that a pause is possible ahead of the November 2016 U.S. elections. That said, we believe the liquidity tailwind provided by accommodative central bank monetary policy could extend the rally, at least in the near term. Looking ahead, we anticipate that high yield loan default rates could approach historical averages, largely because of elevated defaults in energy and commodity-related sectors. We believe high yield loan spreads are likely to widen toward the end of 2016, but we expect them to finish the calendar year tighter than they were at the end of 2015.

24

FUND BASICS

High Yield Floating Rate Fund

as of September 30, 2016

PERFORMANCE REVIEW
April 1, 2016– September 30, 2016	Fund Total Return (based on NAV)1			Bloomberg Barclays U.S. High-Yield Loans  Index2			30-Day Standardized Subsidized Yield3			30-Day Standardized Unsubsidized Yield3
Class A		4.95	%		6.47	%		3.65	%		3.63	%
Class C		4.56			6.47			2.99			2.97
Institutional		5.13			6.47			4.08			4.06
Class IR		5.08			6.47			3.98			3.97
Class R		4.82			6.47			3.48			3.48

¹  The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

²  The Bloomberg Barclays U.S. High-Yield Loans Index provides broad and comprehensive total return metrics of the universe of syndicated term loans. To be included in the index, a bank loan must be dollar denominated, have at least $150 million, a minimum term of one year, and a minimum initial spread of LIBOR+125. It is not possible to invest directly in an index.

³  The method of calculation of the 30-Day Standardized Subsidized Yield is mandated by the Securities and Exchange Commission and is determined by dividing the net investment income per share earned during the last 30 days of the period by the maximum public offering price (“POP”) per share on the last day of the period. This number is then annualized. The 30-Day Standardized Subsidized Yield reflects fee waivers and/or expense reimbursements recorded by the Fund during the period. Without waivers and/or reimbursements, yields would be reduced. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. The 30-Day Standardized Unsubsidized Yield does not adjust for any fee waivers and/or expense reimbursements in effect. If the Fund does not incur any fee waivers and/or expense reimbursements during the period, the 30-Day Standardized Subsidized Yield and 30-Day Standardized Unsubsidized Yield will be identical.

STANDARDIZED TOTAL RETURNS4
For the period ended 9/30/16	One Year			Five Years			Since Inception			Inception Date
Class A		2.68	%		3.71	%		2.70	%		3/31/11
Class C		3.21			3.41			2.36			3/31/11
Institutional		5.38			4.54			3.50			3/31/11
Class IR		5.28			4.47			3.42			3/31/11
Class R		4.66			3.91			2.87			3/31/11

⁴  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 2.25% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Class IR and Class R 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 Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted 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 Fund distributions or the redemption of Fund shares.

25

FUND BASICS

EXPENSE RATIOS5
	Net Expense Ratio (Current)			Gross Expense Ratio (Before Waivers)
Class A		0.97	%		0.98	%
Class C		1.73			1.74
Institutional		0.64			0.65
Class IR		0.73			0.74
Class R		1.21			1.22

⁵  The expense ratios of the Fund, 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 Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to a contractual arrangement, the Fund’s waivers and/or expense limitations will remain in place through at least July 29, 2017, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

TOP TEN INDUSTRY ALLOCATION6
	Percentage of Net Assets
	as of 9/30/16			as of 3/31/16
Health Care – Services		7.3	%		6.1	%
Retailers		7.1			7.3
Health Care		6.7			6.6
Media – Broadcasting & Radio		5.8			4.5
Wireless Telecommunications		5.7			4.6
Technology – Software/Services		5.7			5.3
Media – Cable		5.0			4.3
Media – Non Cable		4.8			3.5
Services Cyclical – Business Services		4.1			5.7
Packaging		3.5			3.0
Other		47.0			50.1

⁶  The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. The table depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments.

26

PORTFOLIO RESULTS

Goldman Sachs Investment Grade Credit Fund

Investment Objective

The Fund seeks a high level of total return consisting of capital appreciation and income that exceeds the total return of the Bloomberg Barclays U.S. Credit Index.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs U.S. Fixed Income Investment Management Team discusses the Goldman Sachs Investment Grade Credit Fund’s (the “Fund”) performance and positioning for the six-month period ended September 30, 2016 (the “Reporting Period”).

Q How did the Fund perform during the Reporting Period?

A During the Reporting Period, the Fund’s Class A, Institutional, IR, R6 and Separate Account Institutional Shares generated cumulative total returns, without sales charges, of 4.85%, 5.03%, 4.97%, 5.14% and 5.02%, respectively. These returns compare to the 4.76% cumulative total return of the Fund’s benchmark, the Bloomberg Barclays U. S. Credit Index (the “Index”), during the same time period.

Q What economic and market factors most influenced the investment grade credit market as a whole during the Reporting Period?

A During the second quarter of 2016 when the Reporting Period started, investment grade corporate bonds outperformed U.S. Treasury securities. Investment grade credit spreads, or the difference in yields between corporate bonds and duration-equivalent U.S. Treasury securities, tightened by four basis points to end the quarter at 154 basis points. (A basis point is 1/100th of a percentage point.) European investment grade corporate bonds underperformed U.S. investment grade corporate bonds. The underperformance was mainly due to weaker European economic data and the contagion effects of the U.K.’s “leave” vote in its referendum about membership in the European Union, popularly known as “Brexit”, although this was partly offset by the support provided by the European Central Bank’s (“ECB”) Corporate Sector Purchase Programme (“CSPP”). Through CSPP, which began in June 2016, the ECB is making outright purchases of investment grade euro-denominated bonds issued by non-bank corporations with the stated goal of further strengthening the pass-through of its asset purchases to the financing conditions of the Eurozone’s real economy. (The real economy is the part of the economy concerned with producing goods and services, rather than that concerned with buying and selling on the financial markets). In the third calendar quarter, investment grade corporate bonds continued to outperform U.S. Treasury securities. Improved oil prices, continued support from the ECB’s CSPP and the Bank of England’s (“BoE”) announcement of corporate bond purchases contributed to the rally. Investment grade credit spreads tightened 20 basis points to end the quarter at 134 basis points. European investment grade corporate bonds outperformed U.S. investment grade corporate bonds during the third calendar quarter.

Issuance was strong throughout the Reporting Period. In the second quarter of 2016, U.S. new issuance was approximately $295 billion, with European new issuance approximately $176 billion. During the third quarter of 2016, U.S. new issuance was approximately $301 billion and European new issuance was approximately $107 billion. Industrial and financial issuers accounted for the largest portion of new issuance in both the U.S. and Europe during the Reporting Period overall. European new issuance includes U.K. new issuance.¹

Q What key factors were responsible for the Fund’s performance during the Reporting Period?

A The Fund outperformed the Index during the Reporting Period largely because of our individual issue selection among investment grade corporate bonds. Our cross-sector strategy detracted from relative results. In our cross-sector strategy, we invest Fund assets across a variety of fixed income sectors, including some that may not be included in the Index.

27

¹Source: Barclays.

PORTFOLIO RESULTS

Q Which segments of investment grade credit most significantly affected Fund performance?

A During the Reporting Period, the Fund benefited from select investments within specific industries and based on credit quality. More specifically, the Fund’s overweights relative to the Index in the financials and industrials sectors and its underweight in higher quality investment grade corporate bonds added to returns. This was offset somewhat by the Fund’s underweight in the chemical sector.

Q Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period?

A During the Reporting Period, the Fund’s duration and yield curve positioning did not have a meaningful impact on performance. Duration is a measure of the Fund’s sensitivity to changes in interest rates. Yield curve indicates a spectrum of maturities. The Fund’s duration strategy is primarily implemented via interest rate swaps and/or futures. Derivatives are used in combination with cash securities to implement our views in the Fund.

Q How did the Fund use derivatives and similar instruments during the Reporting Period?

A As market conditions warranted during the Reporting Period, the Fund used U.S. Treasury futures and Eurodollar futures to hedge interest rate exposure and facilitate specific duration and yield curve strategies. Eurodollar futures are contracts that have underlying assets linked to time deposits denominated in U.S. dollars at banks outside the U.S. Interest rate swaps were used to express our views on the direction of a country’s interest rates. The Fund employed interest rate swaps and swaptions (options on interest rate swap contracts) to hedge interest rate exposure and express an outright term structure view (term structure, most often depicted as a yield curve, refers to the term structure of interest rates, which is the relationship between the yield to maturity and the time to maturity for pure discount bonds). In addition, it used credit default swaps to implement specific credit-related investment strategies and hedge corporate spread duration (the price sensitivity of a corporate bond to a 100 basis point change in its spread over the London Interbank Offered Rate (“LIBOR”)). It utilized forward foreign currency exchange contracts to hedge currency exposure. The use of these derivatives did not have a material impact on the Fund’s performance during the Reporting Period.

Q Were there any notable changes in the Fund’s weightings during the Reporting Period?

A When the Reporting Period started in April 2016, the Fund held a moderate overweight position relative to the Index in investment grade corporate bonds. However, we remained cautious given that we anticipated elevated market volatility amid what we believed was the later stage of the credit cycle and because we saw the potential for further upheaval in the commodities sector. Near the end of April 2016, we reduced the size of the Fund’s overweight in investment grade corporate bonds as a result of meaningful rallies since February 2016, lower risk premiums due to reduced market concerns about global risk factors, as well as seasonal factors, which tend to be less supportive in the months of May and June. Near the end of June 2016, we moved the Fund to an underweight position in investment grade corporate bonds because we expected an uptick in volatility around the U.K.’s Brexit preparations, the November 2016 U.S. election, and the potential widening of investment grade credit spreads given what we considered to be the later stage of the U.S. credit cycle. In late July 2016, we trimmed the size of the Fund’s underweight position in investment grade corporate bonds. The Fund held a modest underweight position in investment grade corporate bonds relative to the Index at the end of the Reporting Period.

Q How was the Fund positioned relative to its benchmark index at the end of the Reporting Period?

A At the end of the Reporting Period, the Fund was overweight relative to the Index in consumer products, pipelines and tobacco investment grade corporate bonds. Compared to the Index, it was underweight technology, diversified manufacturing and retailing investment grade corporate bonds. The Fund maintained a bias to lower credit quality BBB-rated issues and intermediate-term maturities at the end of the Reporting Period.

Q What is the Fund’s tactical view and strategy for the months ahead?

A At the end of the Reporting Period, the Fund was modestly underweight relative to the Index in investment grade corporate bonds. We believe that investment grade credit spreads could potentially drift wider because the U.S.

28

PORTFOLIO RESULTS

economy is in what we consider to be the later stage of the credit cycle and based on weak seasonal factors, slowly deteriorating fundamentals, and the economic and political ramifications of Brexit. In addition, we expect uncertainty surrounding the November 2016 U.S. election to lead to some volatility. That said, we believe that any spread widening will likely be moderate as the corporate bond markets continue to see support from the ECB and BoE’s asset purchases.

Overall, at the end of the Reporting Period, we had an unfavorable view of the technology industry, as we believe the industry is characterized by high event risk, particularly as technology companies use mergers and acquisitions and divestitures to manage top-line growth. We also had a negative view of the retail industry due to continued incursion from e-commerce and prominent shareholder activism that is often to the detriment of bondholders. Conditions for U.S. consumers remain challenging, in our view, despite a falling unemployment rate. Costs for rent, education and telecommunication services appear, in our view, to be eating into traditional spending at retailers. We also observed more modest use of consumer credit and a somewhat elevated savings rate, which have been partially offset by the benefits garnered from lower gasoline costs.

29

FUND BASICS

Investment Grade Credit Fund

as of September 30, 2016

PERFORMANCE REVIEW
April 1, 2016– September 30, 2016	Fund Total Return (based on NAV)1			Bloomberg Barclays U.S. Credit Index2			30-Day Standardized Subsidized Yield3			30-Day Standardized Unsubsidized Yield3
Class A		4.85	%		4.76	%		2.16	%		2.01	%
Institutional		5.03			4.76			2.58			2.43
Class IR		4.97			4.76			2.49			2.34
Class R6		5.14			4.76			2.58			2.43
Separate Account Institutional		5.02			4.76			2.58			2.43

¹  The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

²  The Bloomberg Barclays U.S. Credit Index is an unmanaged index which is unbundled into pure corporates (industrial, utility, and finance, including both U.S. and non-U.S. corporations) and non-corporates (sovereign, supranational, foreign agencies, and foreign local governments). The index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.

³  The method of calculation of the 30-Day Standardized Subsidized Yield is mandated by the Securities and Exchange Commission and is determined by dividing the net investment income per share earned during the last 30 days of the period by the maximum public offering price (“POP”) per share on the last day of the period. This number is then annualized. The 30-Day Standardized Subsidized Yield reflects fee waivers and/or expense reimbursements recorded by the Fund during the period. Without waivers and/or reimbursements, yields would be reduced. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. The 30-Day Standardized Unsubsidized Yield does not adjust for any fee waivers and/or expense reimbursements in effect. If the Fund does not incur any fee waivers and/or expense reimbursements during the period, the 30-Day Standardized Subsidized Yield and 30-Day Standardized Unsubsidized Yield will be identical.

30

FUND BASICS

STANDARDIZED TOTAL RETURNS4
For the period ended 9/30/16	One Year			Five Years			Ten Years			Since Inception			Inception Date
Class A		3.57	%		4.14	%		4.47	%		4.36	%	11/3/03
Institutional		7.93			5.29			5.22			5.05		11/3/03
Class IR		7.83			5.22			N/A			4.97		7/29/11
Class R6		8.05			N/A			N/A			6.39		7/31/15
Separate Account Institutional		7.93			5.31			5.26			5.08		11/3/03

⁴  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 3.75% for Class A Shares. Prior to July 29, 2009, the maximum initial sales charge applicable to Class A Shares was 4.5%, which is not reflected in the average annual total return figures shown. Because Institutional, Class IR, Class R6 and Separate Account Institutional 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 Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted 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 Fund distributions or the redemption of Fund shares.

EXPENSE RATIOS5
	Net Expense Ratio (Current)			Gross Expense Ratio (Before Waivers)
Class A		0.72	%		0.86	%
Institutional		0.38			0.52
Class IR		0.47			0.61
Class R6		0.36			0.50
Separate Account Institutional		0.38			0.52

⁵  The expense ratios of the Fund, 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 Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to a contractual arrangement, the Fund’s waivers and/or expense limitations will remain in place through at least July 29, 2017, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

31

FUND BASICS

FUND COMPOSITION⁶

Percentage of Net Assets

⁶  The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Figures in the graph may not sum to 100% due to the exclusion of other assets and liabilities. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments.

TOP TEN INDUSTRY ALLOCATION7
	Percentage of Net Assets
	as of 9/30/16			as of 3/31/16
Banks		14.9	%		15.3	%
Food & Beverage		8.9			8.6
Electric		7.3			4.4
Energy		5.8			5.4
Real Estate Investment Trusts		5.6			6.7
Pharmaceuticals		5.2			2.0
Technology		4.7			4.4
Wirelines Telecommunications		3.7			5.0
Tobacco		3.7			3.9
Media		3.7			2.9

⁷  The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. The table depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments.

32

PORTFOLIO RESULTS

Goldman Sachs Local Emerging Markets Debt Fund

Investment Objective

The Fund seeks a high level of total return consisting of income and capital appreciation.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Global Fixed Income Investment Management Team discusses the Goldman Sachs Local Emerging Markets Debt Fund’s (the “Fund”) performance and positioning for the six month period ended September 30, 2016 (the “Reporting Period”).

Q How did the Fund perform during the Reporting Period?

A During the Reporting Period, the Fund’s Class A, C, Institutional and IR Shares generated cumulative total returns, without sales charges, of 5.34%, 4.94%, 5.67% and 5.64%, respectively. These returns compare to the 5.46% cumulative total return of the Fund’s benchmark, the J.P. Morgan Government Bond Index — Emerging Markets (GBI-EM^SM) Global Diversified Index (the “Index”), during the same time period.

Q What economic and market factors most influenced local emerging markets debt as a whole during the Reporting Period?

A During the Reporting Period, local emerging markets debt, as represented by the Index, posted a return of 5.46%, with approximately 3.28% due to changes in local interest rates and approximately 2.17% due to currency appreciation against the U.S. dollar. Among countries, on a total return basis, the top performers in the Index (in U.S. dollar terms¹) during the Reporting Period were Brazil (+23.20%), South Africa (+15.91%) and Russia (+14.32%). The weakest performing countries were Mexico (-9.37%), Malaysia (-2.78%) and Poland (-2.32%).

Q What key factors were responsible for the Fund’s performance during the Reporting Period?

A During the Reporting Period, the Fund was hampered by its active currency positioning through which the Fund takes positions in local currencies (accomplished through the use of forward foreign currency exchange contracts as well as bonds denominated in local currencies).

Conversely, the Fund benefited from our country and issue selection of local emerging markets bonds. Our country and security selection of external emerging market bonds also contributed positively.

Q Which segments of local emerging markets debt most significantly affected Fund performance?

A The Fund’s long position in the Mexican peso (accomplished through the use of forward foreign currency exchange contracts) detracted from relative performance during the Reporting Period. The Mexican peso depreciated against the U.S. dollar amid the U.S. election race. Given that weakness, we believe the currency looks attractive in terms of its valuation. Also, we believe Mexico remains closely tied to the U.S. economy and may therefore benefit should U.S. economic growth continue to improve. The Fund was also hurt during the Reporting Period by a long position in the Polish zloty (implemented through forward foreign currency exchange contracts). The long position was maintained because of the European Central Bank’s (“ECB”) quantitative easing measures, which we expect to spur growth in the Eurozone. Additionally, during the Reporting Period, the Fund was underweight Malaysian local interest rates because we considered them expensively valued. This positioning detracted from performance during the Reporting Period.

Conversely, the Fund benefited from its overweight position in Brazilian local interest rates (accomplished through Brazilian index-linked bonds) and its long position in the Brazilian real (accomplished through the use of forward foreign currency exchange contracts). The Fund was overweight as we believed there was a likelihood for rate cuts by the Brazilian central bank if sovereign risks stayed

¹  All regional and market returns are in U.S. dollar terms (unless otherwise specified), are based on country-specific stock market indices and reflect the reinvestment of any dividends if applicable.

33

PORTFOLIO RESULTS

contained and inflation expectations remained anchored near 4.5% during 2017. Brazilian assets rallied during the Reporting Period because the markets viewed the impeachment of President Dilma Rousseff as positive for Brazil’s economy and its fiscal balance. In addition, during the Reporting Period, Fund performance was helped by a long position in the Argentinian peso (implemented through forward foreign currency exchange contracts) based on our expectations for strong capital inflows in the coming years. In our view, Argentina is a relatively closed economy, and we thought even small inflows could lead to a strengthening currency.

Q Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period?

A The Fund’s U.S. duration and yield curve positioning did not have a meaningful impact on relative returns during the Reporting Period. Duration is a measure of the Fund’s sensitivity to changes in interest rates. Yield curve indicates a spectrum of maturities.

Q How did the Fund use derivatives and similar instruments during the Reporting Period?

A The Fund invested in U.S. Treasury futures, forward foreign currency exchange contracts, interest rate swaps, credit default swaps, total return swaps, cross-currency swaps, non-deliverable currency forwards and structured notes. U.S. Treasury futures were used to manage U.S. interest rate duration. Forward foreign currency exchange contracts were used for hedging purposes or to express a positive view on a given currency. Interest rate swaps were used to express our views on the direction of a country’s interest rates. Credit default swaps were used to implement specific credit-related investment strategies. Total return swaps were used in place of buying a local currency denominated bond when a particular market was otherwise inaccessible or as a more efficient means of gaining access to a local market. Cross-currency swaps were employed to express relative value views on given currencies as well as our views on the direction of a country’s interest rates. Non-deliverable currency forwards and non-deliverable bond forward contracts were used to gain exposure to a particular country and also to take advantage of relative value opportunities. Structured notes were used in place of buying a local currency denominated bond when a particular market was otherwise inaccessible or as a more efficient means of gaining access to a local market. Derivatives may be used in combination with cash securities to implement our views in the Fund.

During the Reporting Period, we used interest rate swaps to gain access to the Colombian local debt market, positioning that slightly detracted from Fund performance. A positive contributor to the Fund’s performance was exposure to Brazil for which we used interest rate swaps as well as sovereign local bonds.

The Fund’s use of forward foreign currency exchange contracts to take a long position in the Mexican peso had a negative impact on the Fund’s performance during the Reporting Period. Conversely, the Fund’s positioning in the Brazilian real and Argentina peso, implemented via forward foreign currency exchange contracts, added to the Fund’s performance.

Q Were there any notable changes in the Fund’s weightings during the Reporting Period?

A During the Reporting Period, we increased the Fund’s overweight relative to the Index in South Korean local interest rates due to low headline inflation and our expectations of central bank rate cuts. We added to the Fund’s already overweight position in Mexican local interest rates and its long position in the Mexican peso. In addition, we shifted the Fund from a short position in the United Arab Emirates dirham to a neutral position. We reduced the Fund’s overweight exposure to Polish local interest rates as we expected an interest rate cut from Poland’s central bank. We reduced the size of the Fund’s overweights in Colombian and Russian local interest rates based on valuations. Additionally, during the Reporting Period, we initiated an underweight position in Czech Republic local interest rates as that country’s economy was growing at what we considered to be a rapid pace, and we expected inflation to go higher.

Q How was the Fund positioned relative to its benchmark index at the end of the Reporting Period?

A At the end of the Reporting Period, the Fund was overweight Polish local interest rates, as core inflation was trending downward, opening the door for potential central bank easing. Meanwhile, we maintained the Fund’s underweight in Turkish local interest rates and its short position in the Turkish lira on the back of that country’s challenging politics and macro dynamics. The Fund was also underweight Malaysian local interest rates, as we remain concerned about the depletion in foreign reserves, deterioration in the trade balance and difficult political dynamics. At the end of the

34

PORTFOLIO RESULTS

Reporting Period, the Fund held a long position in the Mexican peso because its valuations remained attractive, in our view, and because we expected currency appreciation from increased capital flows and investment due to Mexico’s close ties to the U.S. economy. We had a negative view of China’s macroeconomic outlook, specifically the country’s economic growth trajectory and outflows. As a result, the Fund was positioned at the end of the Reporting Period with short positions in Southeast Asian currencies with economies that have business models built around Chinese demand.

Q What is the Fund’s tactical view and strategy for the months ahead?

A At the end of the Reporting Period, we believed that in the aftermath of the U.K.’s vote to exit the European Union, popularly known as Brexit, the emerging markets are not likely in the near term to find themselves in the eye of the storm, as they had been after the 2013 “taper tantrum” when U.S. Treasury yields surged in response to the Federal Reserve (the “Fed”) tapering its quantitative easing program or during the commodity sell-off of 2014-2015.

In terms of global monetary policy, we think the possibility of broad-scale normalization by the ECB and the Bank of Japan is remote due to the continued economic slowdowns in the Eurozone and Japan. Meanwhile, remarks from Fed chair Janet Yellen at the Jackson Hole conference indicated that U.S. policymakers see an improving U.S. economic backdrop, suggesting higher odds for an interest rate hike in 2016. However, we do not expect the Fed to move towards an aggressive rate hiking cycle. We believe a moderate terminal rate (the rate at which the Fed ends a tightening cycle), combined with a gradual trajectory for rate hikes, should help limit potential downside within emerging markets debt. In our view, Fed rate increases driven by improving economic growth data are likely to be less concerning for the emerging markets than a scenario wherein Fed action is driven by inflationary pressures.

In this environment, we think the case for emerging markets debt is nuanced, driven by China’s economic slowdown, stabilization of commodity prices at somewhat lower levels, politics and geopolitics. Although clouds continue to hang over the emerging markets, we see little in the way of a crisis on the horizon. We anticipate that 2016 will be the year when the slowdown in emerging markets growth and the fluctuations in emerging markets foreign exchange rates reach bottom. In our view, there will not be a rapid rebound or V-shaped recovery. Rather, we believe the emerging markets are turning the corner after three consecutive years of declining valuations and downward economic growth projections. Aside from demographics, structural factors to justify our optimism remain scarce, we admit, but we anticipate a pick-up nonetheless. In our view, potential downside risks include policy mistakes, populism and depletion of financial reserves.

Given these views, we think local emerging markets debt remains an attractive investment through the end of 2016, though we continue to monitor currency volatility. Oil prices are likely to move into better balance later in 2016, we believe. A longer time horizon is key, in our view, as further idiosyncratic developments and volatility cannot be ruled out. We continue to take a discerning approach, focusing on identifying countries that remain mispriced, as we think valuations have adjusted in many cases and could adequately compensate for the challenges.

35

FUND BASICS

Local Emerging Markets Debt Fund

as of September 30, 2016

PERFORMANCE REVIEW
April 1, 2016– September 30, 2016	Fund Total Return (based on NAV)1			J.P. Morgan GBI-EMSM Global Diversified Index2			30-Day Standardized Subsidized Yield3			30-Day Standardized Unsubsidized Yield3
Class A		5.34	%		5.46	%		4.53	%		4.32	%
Class C		4.94			5.46			4.00			3.78
Institutional		5.67			5.46			5.05			4.83
Class IR		5.64			5.46			5.00			4.78

¹  The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

²  The J.P. Morgan Government Bond Index — Emerging Markets (GBI-EM^SM) Global Diversified Index (Gross, USD, Unhedged) is an unmanaged index of debt instruments of 14 emerging countries. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.

³  The method of calculation of the 30-Day Standardized Subsidized Yield is mandated by the Securities and Exchange Commission and is determined by dividing the net investment income per share earned during the last 30 days of the period by the maximum public offering price (“POP”) per share on the last day of the period. This number is then annualized. The 30-Day Standardized Subsidized Yield reflects fee waivers and/or expense reimbursements recorded by the Fund during the period. Without waivers and/or reimbursements, yields would be reduced. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. The 30-Day Standardized Unsubsidized Yield does not adjust for any fee waivers and/or expense reimbursements in effect. If the Fund does not incur any fee waivers and/or expense reimbursements during the period, the 30-Day Standardized Subsidized Yield and 30-Day Standardized Unsubsidized Yield will be identical.

STANDARDIZED TOTAL RETURNS4
For the period ended 9/30/16	One Year			Five Year			Since Inception			Inception Date
Class A		10.16	%		-1.38	%		-0.01	%		2/15/08
Class C		13.40			-1.22			-0.21			2/15/08
Institutional		15.87			-0.11			0.88			2/15/08
Class IR		15.60			-0.21			-0.18			7/30/10

⁴  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 4.5% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional and Class IR Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. The Fund will charge a 2% redemption fee on the redemption of shares (including by exchange) held for 30 calendar days or less. The performance figures do not reflect the deduction of the redemption fee. If reflected, the redemption fee would reduce the performance quoted.

The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted 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 Fund distributions or the redemption of Fund shares.

36

FUND BASICS

EXPENSE RATIOS5
	Net Expense Ratio (Current)			Gross Expense Ratio (Before Waivers)
Class A		1.21	%		1.40	%
Class C		1.96			2.15
Institutional		0.91			1.06
Class IR		0.96			1.14

⁵  The expense ratios of the Fund, 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 Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to a contractual arrangement, the Fund’s waivers and/or expense limitations will remain in place through at least July 29, 2017, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

TOP TEN COUNTRY ALLOCATION6
	Percentage of Net Assets
	as of 9/30/16			as of 3/31/16
Colombia		13.7	%		12.7	%
Poland		13.6			11.4
Brazil		10.0			10.7
Indonesia		9.4			9.2
Mexico		8.0			9.9
South Africa		7.2			5.2
United States		5.6			1.5
Thailand		4.9			4.6
Turkey		4.6			4.6
Malaysia		3.7			3.4
Other		11.3			13.5

⁶  The percentage shown for each investment category reflects the value of investments in that country as a percentage of net assets. The table depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments.

37

PORTFOLIO RESULTS

Goldman Sachs U.S. Mortgages Fund

Investment Objective

The Fund seeks a high level of total return consisting of income and capital appreciation.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs U.S. Fixed Income Investment Management Team discusses the Goldman Sachs U.S. Mortgages Fund’s (the “Fund”) performance and positioning for the six-month period ended September 30, 2016 (the “Reporting Period”).

Q How did the Fund perform during the Reporting Period?

A During the Reporting Period, the Fund’s Class A, Institutional, IR, R6 and Separate Account Institutional Shares generated cumulative total returns, without sales charges, of 1.63%, 1.80%, 1.76%, 1.81% and 1.71%, respectively. These returns compare to the 1.77% cumulative total return of the Fund’s benchmark, the Bloomberg Barclays U.S. Securitized Bond Index (the “Index”), during the same time period.

Q What economic and market factors most influenced the U.S. mortgage markets as a whole during the Reporting Period?

A During the second quarter of 2016 when the Reporting Period started, mortgage-backed securities slightly outperformed duration-equivalent U.S. Treasury securities. U.S. Treasury security prices rose on demand for perceived safe-haven assets after the U.K. voted to exit the European Union, popularly known as “Brexit”, which helped them keep pace with mortgage-backed securities for the quarter overall. Meanwhile, mortgage-backed securities outperformed most other riskier asset classes, largely because of their liquidity and the scarcity of attractive yields globally. In the third calendar quarter, mortgage-backed securities outperformed duration-equivalent U.S. Treasury securities, benefiting from low volatility and demand from foreign investors and U.S. commercial banks looking for yield.

Q What key factors were responsible for the Fund’s performance during the Reporting Period?

A During the Reporting Period, the Fund benefited from individual issue selection in the securitized sector. The Fund was also helped by our cross-sector strategy. In our cross- sector strategy, we invest Fund assets across a variety of fixed income sectors, including some that may not be included in the Fund’s benchmark. Conversely, the Fund’s duration strategy detracted modestly from relative returns. The duration strategy is primarily implemented via interest rate swaps and/or futures. Duration is a measure of the Fund’s sensitivity to changes in interest rates.

Our government/swaps strategy did not have a meaningful impact on relative performance during the Reporting Period. The government/swaps strategy is primarily implemented via interest rate swaps and/or futures. Derivatives are used in combination with cash securities to implement our views in the Fund.

Q Which segments of the U.S. mortgage-backed securities sector most significantly affected Fund performance?

A Within the securitized sector, individual issue selection contributed most positively to relative performance. More specifically, the Fund benefited from our selection of individual commercial mortgage-backed securities (“CMBS”) and collateralized loan obligations (“CLOs”). The Fund’s overall exposure to CLOs and CMBS also added to relative returns as spreads (yield differentials to duration- equivalent Treasuries) tightened. In addition, an overweight in non-agency mortgage-backed securities bolstered Fund results due to the limited supply of these assets and a broad- based improvement in the U.S. housing landscape. This positive performance was offset somewhat by the Fund’s underweight in agency mortgage-backed securities amid demand by non-U.S. institutional buyers, principally those from Asia, and U.S. commercial banks during the Reporting Period. Among agency mortgage-backed securities, the Fund was hurt by an underweight in 15-year maturities as well as by an underweight in issues lower in the coupon stack (i.e., across securities with different coupons). Fifteen-year agency mortgage-backed securities performed well as spreads narrowed on increased demand. Also, longer maturity U.S.

38

PORTFOLIO RESULTS

Treasury yields fell during the Reporting Period overall, which benefited longer duration, lower coupon agency mortgage-backed securities.

Q Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period?

A The Fund’s duration strategy detracted modestly from results. During the Reporting Period, the Fund held a short duration position relative to that of the Index in response to improving U. S. labor markets, stronger U.S. economic data and the increased likelihood that the Federal Reserve (the “Fed”) would raise short-term interest rates before the end of 2016. This positioning hurt Fund performance in June 2016 when U.S. Treasury yields fell after the Brexit vote. During the Reporting Period, the Fund’s yield curve positioning strategy did not have a meaningful impact on performance. Yield curve indicates a spectrum of maturities.

Q How did the Fund use derivatives and similar instruments during the Reporting Period?

A The Fund used U.S. Treasury and Eurodollar futures to hedge interest rate exposure and to facilitate specific duration and yield curve strategies. Eurodollar futures are contracts that have underlying assets linked to time deposits denominated in U.S. dollars at banks outside the U.S. Interest rate swaps were used to hedge interest rate exposure and express a relative term structure view. (Term structure, most often depicted as a yield curve, refers to the term structure of interest rates, which is the relationship between the yield to the maturity and the time to maturity for pure discount bonds.) The Fund used mortgage-backed securities forward agreements (known as “TBAs”) to efficiently manage certain of its mortgage-backed securities positions. It used interest only and inverse interest-only securities to manage the Fund’s exposure to agency mortgage-backed securities. The Fund utilized swaptions to hedge volatility and yield curve risks in the Fund and/or to express tactical views on rate markets. The Fund also employed index total return swaps to efficiently manage the Fund’s mortgage-backed securities exposure. Additionally, a specialized index of credit default swaps (“CDX”) was used to manage the CMBS beta of the Fund on an active basis and to hedge the Fund’s CMBS exposure. The use of these derivatives had an overall positive impact on the Fund’s performance during the Reporting Period.

Q Were there any notable changes in the Fund’s weightings during the Reporting Period?

A During the Reporting Period, we shifted the Fund from a short duration position relative to that of the Index to a more neutral position, partly because we believed the possibility of higher interest rates had already been priced into the market but also because we believed increased volatility due to near-term events, such as the November 2016 U.S. elections, could cause interest rates to fall. We also reduced the size of the Fund’s underweight in agency mortgage-backed securities during the Reporting Period.

Q How was the Fund positioned relative to its benchmark index at the end of the Reporting Period?

A At the end of the Reporting Period, the Fund was underweight agency pass-through mortgage securities relative to the Index. It held modest positions in non- agency residential mortgage backed securities and agency collateralized mortgage obligations (“CMOs”). (Pass-through mortgage securities consist of a pool of residential mortgage loans, where homeowners’ monthly payments of principal, interest and prepayments pass from the original bank through a government agency or investment bank to investors.) In addition, at the end of the Reporting Period, the Fund was modestly overweight CMBS compared to the Index. It was overweight asset-backed securities (“ABS”), with a position in Federal Family Education Loan Program (“FFELP”) student loan ABS. CMOs, FFELP ABS and non-agency mortgage-backed securities are not represented in the Index.

Q What is the Fund’s tactical view and strategy for the months ahead?

A At the end of the Reporting Period, the Fund was modestly underweight agency mortgage-backed securities. Within agency mortgage-backed securities, it was underweight Government National Mortgage Association (“GNMA”) 3.5% coupon mortgage-backed securities and overweight GNMA 4.0% coupon mortgage-backed securities. Within the securitized sector, we believe senior CLOs and FFELP ABS offer attractive exposure to credit spreads with strong credit protection, and, at the end of the Reporting Period, we considered them compelling investments. We also had a positive view on legacy non-agency mortgage-backed securities (in general, those issued before the 2008-2009 financial crisis), which should continue, we believe, to benefit from weak supply and improvement in the performance of their underlying collateral.

39

FUND BASICS

U.S. Mortgages Fund

as of September 30, 2016

PERFORMANCE REVIEW
April 1, 2016– September 30, 2016	Fund Total Return (based on NAV)1			Bloomberg Barclays U.S. Securitized Bond Index2			30-Day Standardized Subsidized Yield3			30-Day Standardized Unsubsidized Yield3
Class A		1.63	%		1.77	%		0.81	%		0.63	%
Institutional		1.80			1.77			1.18			0.99
Class IR		1.76			1.77			1.09			0.91
Class R6		1.81			1.77			1.15			0.96
Separate Account Institutional		1.71			1.77			1.17			0.99

¹  The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

²  The Bloomberg Barclays U.S. Securitized Bond Index (with dividends reinvested) is an unmanaged composite of asset-backed securities, collateralized mortgage-backed securities and fixed rate mortgage-backed securities. The index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.

³  The method of calculation of the 30-Day Standardized Subsidized Yield is mandated by the Securities and Exchange Commission and is determined by dividing the net investment income per share earned during the last 30 days of the period by the maximum public offering price (“POP”) per share on the last day of the period. This number is then annualized. The 30-Day Standardized Subsidized Yield reflects fee waivers and/or expense reimbursements recorded by the Fund during the period. Without waivers and/or reimbursements, yields would be reduced. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. The 30-Day Standardized Unsubsidized Yield does not adjust for any fee waivers and/or expense reimbursements in effect. If the Fund does not incur any fee waivers and/or expense reimbursements during the period, the 30-Day Standardized Subsidized Yield and 30-Day Standardized Unsubsidized Yield will be identical.

40

FUND BASICS

STANDARDIZED TOTAL RETURNS4
For the period ended 9/30/16	One Year			Five Years			Ten Years			Since Inception			Inception Date
Class A		-0.85	%		2.26	%		3.64	%		3.69	%		11/3/03
Institutional		3.49			3.41			4.42			4.39			11/3/03
Class IR		3.30			3.37			N/A			3.44			7/29/11
Class R6		3.50			N/A			N/A			3.48			7/31/15
Separate Account Institutional		3.40			3.39			4.42			4.40			11/3/03

⁴  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 3.75% for Class A Shares. Prior to July 29, 2009, the maximum initial sales charge applicable to Class A Shares was 4.5%, which is not reflected in the average annual return figures shown. Because Institutional, Class IR, Class R6 and Separate Account Institutional 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 Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted 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 Fund distributions or the redemption of Fund shares.

EXPENSE RATIOS5
	Net Expense Ratio (Current)			Gross Expense Ratio (Before Waivers)
Class A		0.81	%		0.98	%
Institutional		0.47			0.64
Class IR		0.56			0.73
Class R6		0.45			0.66
Separate Account Institutional		0.47			0.64

⁵  The expense ratios of the Fund, 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 Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to a contractual arrangement, the Fund’s waivers and/or expense limitations will remain in place through at least July 29, 2017, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

41

FUND BASICS

FUND COMPOSITION⁶

Percentage of Net Assets

⁶  The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Figures in the graph may not sum to 100% due to the exclusion of other assets and liabilities. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments.

⁷  “Federal Agencies” are mortgage-backed securities guaranteed by the Government National Mortgage Association (“GNMA”), Federal National Mortgage Association (“FNMA”) and Federal Home Loan Mortgage Corp. (“FHLMC”). GNMA instruments are backed by the full faith and credit of the U.S. Government.

42

GOLDMAN SACHS DYNAMIC EMERGING MARKETS DEBT FUND

Schedule of Investments

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Sovereign Debt Obligations – 52.1%
	Argentina – 1.6%
	Letras del Banco Central de la Republica Argentina (NR/NR)(a)
ARS	190,000		0.000	%		12/21/16	$	11,717
	70,000		0.000			12/28/16		4,298
	Republic of Argentina (NR/NR)
	440,000		22.750			03/05/18		29,252
	950,000		18.200			10/03/21		61,851
	Republic of Argentina (B-/NR)(b)
	770,000		27.669			03/28/17		50,122
	2,455,000		27.919			10/09/17		161,578
	Republic of Argentina (B-/B3)(c)
$	150,000		6.625			07/06/28		158,625
	150,000		7.125			07/06/36		159,000
								636,443
	Brazil – 3.9%
	Brazil Letras do Tesouro Nacional (NR/Ba2)(a)
BRL	1,483,000		0.000			07/01/20		302,221
	Brazil Notas do Tesouro Nacional (BB/Ba2)
	430,000		10.000			01/01/17		130,948
	1,273,000		10.000			01/01/19		379,943
	99,000		10.000			01/01/23		28,369
	1,284,000		10.000			01/01/25		363,293
	974,994		6.000			08/15/50		308,915
								1,513,689
	Bulgaria – 0.6%
	Republic of Bulgaria (BB+/Baa2)
EUR	100,000		3.000			03/21/28		122,866
	100,000		3.125			03/26/35		116,548
								239,414
	Chile – 0.3%
	Republic of Chile (AA-/Aa3)
CLP	83,500,000		5.500			08/05/20		134,836
	Colombia – 3.7%
	Republic of Colombia (NR/Baa2)
COP	192,000,000		4.375	(d)		03/21/23		59,607
	75,320,607		3.500			05/07/25		26,195
	Republic of Colombia (BBB/Baa2)
	212,000,000		7.750			04/14/21		78,014
	Republic of Colombia (BBB+/Baa2)
	901,500,000		5.000			11/21/18		303,784
	403,815,641		3.500			03/10/21		141,226
	303,300,000		7.000			05/04/22		106,661
	241,200,000		10.000			07/24/24		99,156
	1,678,200,000		7.500			08/26/26		600,953
	69,800,000		6.000			04/28/28		22,053
	18,500,000		7.750			09/18/30		6,743
								1,444,392
	Costa Rica – 0.6%
	Republic of Costa Rica (BB-/Ba1)
$	200,000		7.158			03/12/45		215,500
	Dominican Republic – 1.2%
	Dominican Republic (NR/NR)
DOP	2,500,000		11.375			07/06/29		54,653
	Sovereign Debt Obligations – (continued)
	Dominican Republic – (continued)
	Dominican Republic (BB-/B1)
$	5,324		9.040	%		01/23/18	$	5,577
	140,000		6.850	(c)		01/27/45		156,800
	200,000		6.850			01/27/45		224,000
	Dominican Republic Central Bank Notes (NR/NR)(c)
DOP	1,910,000		11.000			09/15/23		39,041
								480,071
	Ecuador – 0.5%
	Republic of Ecuador (B/NR)
$	200,000		10.750			03/28/22		204,500
	El Salvador – 0.5%
	El Salvador Government International Bond (B+/B1)
	10,000		8.250			04/10/32		11,150
	Republic of El Salvador (B+/B1)
	20,000		7.750	(e)		01/24/23		22,100
	71,000		5.875			01/30/25		70,734
	30,000		6.375			01/18/27		30,150
	60,000		7.650			06/15/35		62,775
								196,909
	Guatemala – 0.6%
	Republic of Guatemala (BB/Ba1)
	200,000		5.750			06/06/22		224,000
	Honduras – 0.6%
	Republic of Honduras (B+/B2)
	200,000		7.500			03/15/24		225,750
	Hungary – 0.6%
	Hungary Government Bond (BBB-/Ba1)
	160,000		7.625			03/29/41		250,400
	Indonesia – 1.8%
	Perusahaan Penerbit SBSN (BB+/Baa3)
	210,000		4.325			05/28/25		225,330
	Republic of Indonesia (BB+/Baa3)
EUR	150,000		3.750	(c)		06/14/28		184,510
$	200,000		6.750			01/15/44		273,806
								683,646
	Kazakhstan – 0.5%
	Republic of Kazakhstan (BBB-/Baa3)
	200,000		3.875			10/14/24		209,000
	Malaysia – 1.5%
	Malaysia Government Bond (NR/NR)
MYR	150,000		3.990			10/15/25		36,688
	350,000		4.245			09/30/30		86,495
	210,000		4.232			06/30/31		52,646
	Malaysia Government Bond (NR/A3)
	680,000		4.012			09/15/17		166,640
	910,000		4.378			11/29/19		228,771
								571,240
	Mexico – 5.1%
	Mexican Udibonos (A/A3)
MXN	1,576,980		4.000			06/13/19		84,916
	271,649		4.500			12/04/25		16,070

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

GOLDMAN SACHS DYNAMIC EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Sovereign Debt Obligations – (continued)
	Mexico – (continued)
	Mexican Udibonos (A/A3) – (continued)
MXN	288,558		4.000	%		11/08/46	$	17,023
	United Mexican States (NR/A3)
	2,308,200		5.750			03/05/26		116,702
	United Mexican States (A/A3)
	9,503,500		8.500			12/13/18		519,953
	1,738,000		5.000			12/11/19		87,816
	5,946,300		6.500			06/09/22		315,808
	2,936,400		8.000			12/07/23		170,145
	64,300		10.000			12/05/24		4,188
	2,469,000		7.500			06/03/27		140,442
	5,775,500		7.750			11/23/34		338,611
	2,411,600		8.500			11/18/38		153,349
	United Mexican States (BBB+/A3)
$	30,000		5.750			10/12/49		31,725
								1,996,748
	Panama – 0.1%
	Panama Notas del Tesoro (BBB/NR)
	30,000		4.875			02/05/21		32,523
	Paraguay(c) – 0.6%
	Republic of Paraguay (BB/Ba1)
	200,000		5.000			04/15/26		215,000
	Peru – 1.2%
	Republic of Peru (NR/NR)(c)
PEN	517,000		6.350			08/12/28		152,823
	Republic of Peru (NR/A3)
	157,000		6.850			02/12/42		48,922
	Republic of Peru (A-/A3)
	297,000		5.700	(c)		08/12/24		90,223
	4,000		8.200			08/12/26		1,397
	445,000		6.950			08/12/31		143,106
	53,000		6.900			08/12/37		16,878
								453,349
	Poland – 9.5%
	Poland Government Bond (A-/NR)
PLN	2,940,000		2.000			04/25/21		761,591
	Poland Government Bond (A-/A2)
	1,530,000		1.750			07/25/21		389,696
	7,020,000		5.750			10/25/21		2,131,316
	1,490,000		4.000			10/25/23		423,266
								3,705,869
	Romania – 0.0%
	Republic of Romania (BBB-/Baa3)
EUR	10,000		2.875			05/26/28		12,160
	Russia – 2.2%
	Russian Federation Bond (NR/NR)
RUB	24,910,000		8.500			09/17/31		408,960
	Russian Federation Bond (BB+/Ba1)
$	200,000		4.875			09/16/23		219,800
	Russian Federation Bond (BBB-/Ba1)
RUB	14,780,000		7.000			08/16/23		221,786
								850,546
	Sovereign Debt Obligations – (continued)
	South Africa – 6.3%
	Republic of South Africa (NR/NR)
ZAR	2,748,000		8.875	%		02/28/35	$	193,247
	Republic of South Africa (NR/Baa2)
	6,590,000		7.750			02/28/23		466,733
$	200,000		4.875			04/14/26		210,000
ZAR	8,525,000		8.000			01/31/30		571,179
	1,250,000		7.000			02/28/31		76,096
	6,910,000		8.250			03/31/32		466,053
	3,240,000		8.500			01/31/37		218,134
	Republic of South Africa (BBB+/Baa2)
	3,290,000		10.500			12/21/26		269,207
								2,470,649
	Sri Lanka(c) – 0.6%
	Republic of Sri Lanka (B+/B1)
$	200,000		6.825			07/18/26		215,258
	Thailand – 4.4%
	Thailand Government Bond (NR/NR)
THB	12,310,000		2.550			06/26/20		365,032
	Thailand Government Bond (NR/Baa1)
	7,567,536		1.250			03/12/28		201,740
	Thailand Government Bond (A-/Baa1)
	4,520,000		3.875			06/13/19		138,226
	10,552,806		1.200			07/14/21		296,752
	6,695,000		3.650			12/17/21		210,781
	2,630,000		3.625			06/16/23		83,846
	13,110,000		3.850			12/12/25		433,439
								1,729,816
	Turkey – 2.5%
	Republic of Turkey (NR/NR)
TRY	130,000		8.500			07/10/19		43,024
	250,000		7.400			02/05/20		79,678
	Republic of Turkey (NR/Ba1)
$	170,000		7.000			06/05/20		188,700
	200,000		6.250			09/26/22		220,000
	70,000		7.375			02/05/25		82,950
	Turkey Government Bond (NR/NR)
TRY	152,000		10.600			02/11/26		53,967
	Turkey Government Bond (NR/NR)
	210,000		10.400			03/27/19		72,531
	500,000		10.700			02/17/21		176,191
	190,000		8.000			03/12/25		57,709
								974,750
	Venezuela – 0.6%
	Republic of Venezuela (CCC/Caa3)
$	400,000		7.650			04/21/25		193,000
	80,000		9.250			05/07/28		41,200
								234,200
	Zambia – 0.5%
	Republic of Zambia (B/NR)
	200,000		8.970			07/30/27		197,250
	TOTAL SOVEREIGN DEBT OBLIGATIONS
	(Cost $19,833,788)						$	20,317,908

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

GOLDMAN SACHS DYNAMIC EMERGING MARKETS DEBT FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – 32.4%
	Argentina – 1.6%
	Arcor SAIC (NR/B1)(c)(d)
$	180,000		6.000	%		07/06/23	$	192,150
	Cablevision SA (NR/B3)(c)(d)
	150,000		6.500			06/15/21		156,375
	IRSA Propiedades Comerciales SA (B-/NR)(c)(d)
	50,000		8.750			03/23/23		55,813
	YPF SA (NR/B3)
	185,000		8.875			12/19/18		204,887
								609,225
	Australia – 0.0%
	Toyota Finance Australia Ltd. (NR/NR)
MXN	330,000		3.760			07/20/17		16,458
	Brazil – 2.2%
	Banco do Brasil SA (B-/B2)(b)(d)
$	200,000		9.000			06/29/49		170,740
	Banco do Brasil SA (B-/NR)(b)(d)
	200,000		6.250			10/29/49		139,500
	Petrobras Global Finance BV (B+/B3)
	90,000		5.750			01/20/20		92,196
	160,000		4.875			03/17/20		160,707
	40,000		5.375			01/27/21		39,480
	220,000		8.375			05/23/21		240,031
	10,000		4.375			05/20/23		8,875
								851,529
	Canada – 0.3%
	First Quantum Minerals Ltd. (B-/Caa1)(c)(d)
	50,000		7.000			02/15/21		44,875
	Harvest Operations Corp. (CCC/Caa2)
	70,000		6.875			10/01/17		70,525
								115,400
	Chile – 2.1%
	Cencosud SA (NR/Baa3)(d)
	200,000		6.625			02/12/45		212,750
	GNL Quintero SA (BBB/Baa2)
	200,000		4.634			07/31/29		208,500
	Itau CorpBanca (BBB+/A3)
	200,000		3.875			09/22/19		207,750
	Sociedad Quimica y Minera de Chile SA (BBB/Baa1)
	200,000		3.625			04/03/23		196,513
								825,513
	Colombia – 0.5%
	Oleoducto Central SA (BBB/Baa3)
	210,000		4.000			05/07/21		212,730
	Dominican Republic(d) – 1.1%
	Aeropuertos Dominicanos Siglo XXI SA (B+/B1)
	400,000		9.750			11/13/19		419,500
	Ghana(d) – 0.4%
	Tullow Oil PLC (B-/Caa1)
	200,000		6.250			04/15/22		175,750
	Corporate Obligations – (continued)
	Guatemala(d) – 0.5%
	Comcel Trust via Comunicaciones Celulares SA (NR/Ba1)
$	200,000		6.875	%		02/06/24	$	204,000
	Hong Kong – 0.2%
	Noble Group Ltd. (B/B2)
	100,000		6.750			01/29/20		80,500
	India(c)(d) – 0.5%
	Greenko Investment Co. (B+/NR)
	200,000		4.875			08/16/23		195,500
	Indonesia(d) – 1.0%
	Listrindo Capital BV (BB/Ba2)
	200,000		6.950			02/21/19		207,000
	200,000		4.950	(c)		09/14/26		200,500
								407,500
	Israel – 0.6%
	Delek & Avner Tamar Bond Ltd. (BBB-/Baa3)(c)
	100,000		2.803			12/30/16		100,000
	100,000		3.839			12/30/18		104,125
	Embraer Overseas Ltd. (BBB/Ba1)
	28,000		5.696			09/16/23		29,525
								233,650
	Italy(d) – 0.4%
	Wind Acquisition Finance SA (B/Caa1)
EUR	140,000		7.000			04/23/21		164,377
	Ivory Coast(c) – 0.3%
	Agromercantil Senior Trust (BB/NR)
$	100,000		6.250			04/10/19		103,625
	Jamaica(c)(d) – 1.0%
	Digicel Group Ltd. (NR/Caa1)
	200,000		8.250			09/30/20		173,750
	Digicel Ltd. (NR/B1)
	240,000		6.000			04/15/21		210,816
								384,566
	Japan – 0.6%
	SoftBank Group Corp. (BB+/Ba1)
	210,000		4.500			04/15/20		217,350
	Kazakhstan – 0.5%
	KazMunayGas National Co. JSC (BB/Baa3)
	190,000		9.125			07/02/18		209,310
	Luxembourg(c)(d) – 1.7%
	Altice Financing SA (BB-/B1)
EUR	100,000		5.250			02/15/23		116,297
$	210,000		7.500			05/15/26		218,662
	Tupy Overseas SA (BB-/NR)
	200,000		6.625			07/17/24		200,000
	Wind Acquisition Finance SA (BB/Ba3)
EUR	110,000		4.000			07/15/20		125,422
								660,381

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

GOLDMAN SACHS DYNAMIC EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Mexico – 4.6%
	Cemex Finance LLC (B+/NR)(d)
EUR	120,000		4.625	%		06/15/24	$	138,172
	Cemex SAB de CV (B+/NR)(c)(d)
	100,000		4.750			01/11/22		115,565
	Gruma SAB de CV (BBB/NR)(d)
$	200,000		4.875			12/01/24		213,500
	Metalsa SA de CV (BB+/NR)
	150,000		4.900			04/24/23		143,812
	Petroleos Mexicanos (BBB+/Baa3)
	70,000		5.750			03/01/18		73,605
	20,000		5.500	(c)		02/04/19		21,100
	10,000		5.500			02/04/19		10,550
	170,000		8.000			05/03/19		191,250
	10,000		3.500			07/23/20		10,019
	70,000		6.375	(c)		02/04/21		75,985
	10,000		6.375			02/04/21		10,855
EUR	100,000		5.125			03/15/23		125,534
$	90,000		6.875	(c)		08/04/26		101,475
	170,000		6.875			08/04/26		191,675
	Sigma Alimentos SA de CV (BBB/Baa3)(c)(d)
	360,000		4.125			05/02/26		360,900
								1,783,997
	Netherlands – 1.3%
	Greenko Dutch BV (B+/NR)(d)
	200,000		8.000			08/01/19		213,895
	IHS Towers Netherlands FinCo NG BV (B/NR)(d)
	200,000		8.375			07/15/19		205,000
	Myriad International Holding BV (BBB-/Baa3)
	100,000		6.375			07/28/17		103,125
								522,020
	Paraguay – 1.3%
	Banco Continental SAECA (BB/Ba1)(d)
	150,000		8.875			10/15/17		150,275
	Banco Regional SAECA (BB-/Ba1)(c)
	150,000		8.125			01/24/19		161,063
	Telefonica Celular del Paraguay SA (NR/Ba3)(d)
	200,000		6.750			12/13/22		206,750
								518,088
	Peru – 1.8%
	Abengoa Transmision Sur SA (BBB/NR)(c)
	200,000		6.875			04/30/43		212,250
	Corp Lindley S.A. (BBB/NR)
	290,000		6.750			11/23/21		329,150
	150,000		4.625			04/12/23		155,741
								697,141
	Philippines – 0.3%
	Energy Development Corp. (NR/NR)
	100,000		6.500			01/20/21		113,337
	Qatar – 0.8%
	Ras Laffan Liquefied Natural Gas Co. Ltd. III (A/Aa3)
	250,000		6.332			09/30/27		298,438
	Corporate Obligations – (continued)
	Russia – 2.0%
	Gazprom OAO Via Gaz Capital SA (BB+/Ba1)
$	100,000		9.250	%(e)		04/23/19	$	115,000
	300,000		7.288			08/16/37		352,875
	Sberbank of Russia Via SB Capital SA (NR/NR)(b)(d)
	200,000		5.500			02/26/24		201,500
	Severstal OAO Via Steel Capital SA (BBB-/Ba1)
	100,000		6.700			10/25/17		104,560
								773,935
	South Korea – 1.5%
	Kookmin Bank (A+/A1)(c)
	370,000		1.625			08/01/19		370,188
	Woori Bank (BBB/Ba1)
	200,000		4.750			04/30/24		216,708
								586,896
	Turkey – 1.0%
	Anadolu Efes Biracilik Ve Malt Sanayii AS (BBB-/Baa3)
	200,000		3.375			11/01/22		182,750
	Global Liman Isletmeleri (NR/B1)(d)
	200,000		8.125			11/14/21		193,049
								375,799
	United Arab Emirates – 1.7%
	Dolphin Energy Ltd. (NR/A1)
	161,120		5.888			06/15/19		170,787
	210,000		5.500			12/15/21		240,713
	Ruwais Power Co. PJSC (A-/A3)(c)
	200,000		6.000			08/31/36		243,500
								655,000
	Venezuela – 0.6%
	Petroleos de Venezuela SA (CCC/NR)
	260,000		6.000			05/16/24		109,200
	260,000		6.000			11/15/26		109,174
	10,000		5.375			04/12/27		4,163
	10,000		5.500			04/12/37		4,088
								226,625
	TOTAL CORPORATE OBLIGATIONS
	(Cost $12,242,435)						$	12,638,140
	Structured Notes(c) – 4.8%
	Indonesia – 4.8%
	Republic of Indonesia (Issuer Deutsche Bank AG (London)) (NR/NR)
IDR	3,000,000,000		8.375	%		03/19/24	$	247,358
	4,100,000,000		9.000			03/19/29		358,554
	2,200,000,000		8.250			06/17/32		181,634
	Republic of Indonesia (Issuer JPMorgan Chase Bank NA) (NR/NR)
	4,503,000,000		9.000			03/19/29		393,798
	Republic of Indonesia (Issuer Standard Chartered Bank) (NR/NR)
	1,770,000,000		8.375			03/19/24		145,941

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

GOLDMAN SACHS DYNAMIC EMERGING MARKETS DEBT FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Structured Notes (c)– (continued)
	Indonesia – (continued)
	Republic of Indonesia (Issuer Standard Chartered Bank) (NR/NR) – (continued)
IDR	1,026,000,000		9.000	%		03/19/29	$	89,726
	1,110,000,000		9.000			03/19/29		97,072
	4,000,000,000		8.750			05/19/31		346,763
	TOTAL STRUCTURED NOTES
	(Cost $1,734,192)						$	1,860,846
	Municipal Debt Obligations(d) – 1.2%
	Puerto Rico – 1.2%
	Puerto Rico Commonwealth Aqueduct & Sewer Authority RB (Senior Lien) Series 2008 A (CC/Caa3)
$	5,000		6.000	%		07/01/44	$	3,838
	Puerto Rico Commonwealth Aqueduct & Sewer Authority RB (Senior Lien) Series 2012 A (CC/Caa3)
	5,000		5.125			07/01/37		3,750
	20,000		5.250			07/01/42		15,100
	Puerto Rico Commonwealth Aqueduct & Sewer Authority RB (Senior Lien) Series 2012 D (CC/Caa3)
	5,000		5.000			07/01/33		3,750
	Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2008 A (D/Caa3)
	20,000		5.500			07/01/32		12,375
	Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2011 E (D/Caa3)
	70,000		5.625			07/01/32		43,137
	Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2012 A (D/Caa3)
	15,000		5.500			07/01/26		9,281
	20,000		5.500			07/01/39		12,375
	25,000		5.000			07/01/41		15,125
	Puerto Rico Commonwealth GO Bonds Series 2008 A (D/Caa3)
	15,000		5.375			07/01/33		9,225
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2009 A (CC/Ca)
	20,000		6.000			08/01/42		10,652
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2010 A (CC/Ca)
	15,000		5.500			08/01/37		7,913
	55,000		5.375			08/01/39		28,875
	35,000		5.500			08/01/42		18,462
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2010 C (CC/Ca)
	5,000		5.000			08/01/35		2,619
	10,000		6.000			08/01/39		5,326
	350,000		5.250			08/01/41		183,750
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2011 A-1 (CC/Ca)
	75,000		5.000			08/01/43		39,000
	Municipal Debt Obligations(d) – (continued)
	Puerto Rico – (continued)
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB Unrefunded SubSeries 2009 A (CC/Ca)
$	45,000		5.500	%		08/01/28	$	23,737
	35,000		6.125			08/01/29		18,769
	TOTAL MUNICIPAL DEBT OBLIGATIONS
	(Cost $487,130)						$	467,059
	U.S. Treasury Obligation – 0.8%
	United States Treasury Note
$	300,000		1.375	%		09/30/23	$	298,851
	(Cost $299,721)

Shares	Distribution Rate			Value
Investment Company(b)(f) – 2.0%
Goldman Sachs Financial Square Government Fund – Institutional Shares
793,201		0.290	%	$	793,201
(Cost $793,201)
TOTAL INVESTMENTS – 93.3%
(Cost $35,390,467)				$	36,376,005
OTHER ASSETS IN EXCESS OF     LIABILITIES – 6.7%					2,593,507
NET ASSETS – 100.0%				$	38,969,512

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
(a)	Issued with a zero coupon. Income is recognized through the accretion of discount.
(b)	Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on September 30, 2016.
(c)	Exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be deemed 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 $7,092,062, which represents approximately 18.2% of net assets as of September 30, 2016.
(d)	Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.
(e)	Security with “Put” features and resetting interest rates. Maturity dates disclosed are the puttable dates. Interest rate disclosed is that which is in effect at September 30, 2016.
(f)	Represents an Affiliated Fund.

Security ratings disclosed, if any, are obtained from by Standard & Poor’s /Moody’s Investor Service and are unaudited. A brief description of the ratings is available in the Fund’s Statement of Additional Information.

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

GOLDMAN SACHS DYNAMIC EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Currency Abbreviations:
ARS	—Argentine Peso
BRL	—Brazilian Real
CLP	—Chilean Peso
CNH	—Chinese Yuan Renminbi Offshore
COP	—Colombian Peso
CZK	—Czech Koruna
DOP	—Dominican Peso
EUR	—Euro
HKD	—Hong Kong Dollar
HUF	—Hungarian Forint
IDR	—Indonesian Rupiah
ILS	—Israeli Shekel
INR	—Indian Rupee
KRW	—South Korean Won
MXN	—Mexican Peso
MYR	—Malaysian Ringgit
PEN	—Peruvian Nuevo Sol
PHP	—Philippine Peso
PLN	—Polish Zloty
RON	—New Romanian Leu
RUB	—Russian Ruble
SGD	—Singapore Dollar
THB	—Thai Baht
TRY	—Turkish Lira
TWD	—Taiwan Dollar
USD	—U.S. Dollar
ZAR	—South African Rand

Investment Abbreviations:
EURO	—Euro Offered Rate
GO	—General Obligation
HIBOR	—Hong Kong Interbank Offered Rate
JIBAR	—Johannesburg Interbank Agreed Rate
KWCDC	—South Korean Won Certificate of Deposit
LLC	—Limited Liability Company
NR	—Not Rated
PLC	—Public Limited Company
PRIBOR	—Prague Interbank Offered Rate
RB	—Revenue Bond
TIIE	—La Tasa de Interbank Equilibrium Interest Rate
WIBOR	—Warsaw Interbank Offered Rate

ADDITIONAL INVESTMENT INFORMATION

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At September 30, 2016, the Fund had the following forward foreign currency exchange contracts:

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Gain
Bank of America Securities LLC	CZK	2,830,538	EUR	105,000	$	119,814		06/21/17	$	398
	KRW	115,167,000	USD	104,000		104,514		10/28/16		514
	PLN	458,837	EUR	106,024		119,809		12/21/16		245
	USD	206,000	BRL	667,751		205,077		10/04/16		923
BNP Paribas SA	ARS	1,226,400	USD	77,205		78,982		10/21/16		1,778
	EUR	44,000	PLN	189,498		49,619		12/21/16		139
	KRW	130,131,768	USD	117,296		118,096		10/26/16		800
	PEN	388,169	USD	114,295		114,593		10/12/16		298
	PLN	448,000	HUF	31,905,247		116,979		12/21/16		544
	ZAR	2,329,181	USD	159,984		167,021		12/21/16		7,037
Citibank NA	CZK	5,674,200	EUR	210,545		240,184		06/21/17		731
	INR	15,876,994	USD	236,080		237,546		10/26/16		1,465
	RUB	7,606,103	USD	118,000		120,795		10/11/16		2,795
	RUB	59,619,108	USD	910,118		943,083		10/27/16		32,965
	TWD	3,513,484	USD	111,960		112,308		10/07/16		348
	USD	588,582	KRW	642,319,285		582,939		10/20/16		5,642
Credit Suisse International (London)	COP	1,226,076,080	USD	418,456		421,975		11/10/16		3,519
	RUB	21,134,704	USD	321,956		334,816		10/21/16		12,859
Deutsche Bank AG (London)	COP	120,396,500	USD	41,000		41,504		10/31/16		504
	EUR	48,134	PLN	207,414		54,282		12/21/16		123
	IDR	1,000,875,000	USD	75,000		76,750		10/03/16		1,750

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

GOLDMAN SACHS DYNAMIC EMERGING MARKETS DEBT FUND

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN (continued)

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Gain
Deutsche Bank AG (London) (continued)	IDR	2,044,117,245	USD	154,390	$	156,331		11/08/16	$	1,941
	KRW	261,684,630	USD	233,000		237,554		10/04/16		4,554
	KRW	259,878,280	USD	232,000		235,854		10/20/16		3,854
	PLN	456,200	EUR	105,000		119,120		12/21/16		711
	THB	7,083,144	USD	202,709		204,357		10/20/16		1,649
	TWD	3,677,970	USD	116,000		117,731		10/24/16		1,731
	USD	249,000	THB	8,611,671		248,457		10/20/16		543
HSBC Bank PLC	IDR	1,000,875,000	USD	76,315		76,525		11/10/16		210
	KRW	129,122,152	USD	116,000		117,186		10/19/16		1,186
	MYR	793,310	USD	191,380		191,986		11/18/16		605
	USD	216,673	TWD	6,710,798		214,811		10/24/16		1,862
JPMorgan Chase Bank (London)	CNH	789,163	USD	117,000		117,660		12/21/16		660
	INR	7,961,472	USD	118,000		119,100		10/27/16		1,100
	INR	6,912,824	USD	103,000		103,321		11/03/16		321
	KRW	128,278,020	USD	116,000		116,449		10/04/16		449
	USD	104,000	ZAR	1,438,510		103,152		12/21/16		848
Morgan Stanley & Co.	BRL	3,108,457	USD	934,094		954,658		10/04/16		20,565
	BRL	415,933	USD	123,525		126,660		11/03/16		3,135
	EUR	197,000	USD	222,106		222,159		12/21/16		53
	HUF	28,898,541	EUR	93,000		105,463		12/21/16		585
	IDR	1,459,383,600	USD	109,284		111,766		10/27/16		2,482
	IDR	4,134,155,420	USD	312,460		316,091		11/10/16		3,631
	PLN	349,328	USD	90,582		91,214		12/21/16		632
	RON	804,000	USD	202,239		203,637		12/21/16		1,398
	RUB	10,569,645	USD	163,253		167,196		10/27/16		3,943
	USD	837,731	BRL	2,709,684		832,189		10/04/16		5,542
	USD	4,210	TRY	12,778		4,188		12/21/16		21
Royal Bank of Canada	BRL	334,045	USD	102,000		102,591		10/04/16		591
	USD	103,000	BRL	334,810		101,956		11/03/16		1,044
	USD	191,827	SGD	261,440		191,774		12/21/16		52
Royal Bank of Scotland PLC	KRW	187,283,817	USD	165,870		169,971		10/19/16		4,101
	PLN	1,993,440	USD	516,295		520,515		12/21/16		4,220
	TWD	5,516,808	USD	173,430		176,591		10/24/16		3,161
	USD	577,768	MXN	11,069,360		565,687		12/21/16		12,081
	USD	132,492	TRY	403,504		132,264		12/21/16		228
Standard Chartered Bank	CNH	4,139,387	USD	615,000		617,160		12/21/16		2,160
	IDR	4,087,777,800	USD	307,537		313,061		10/27/16		5,525
	USD	104,000	IDR	1,348,832,160		103,264		10/31/16		736
	USD	663,925	SGD	902,992		662,372		12/21/16		1,554
State Street Bank (London)	EUR	20,740	CZK	554,422		23,588		06/21/17		120
UBS AG (London)	CZK	2,828,700	EUR	105,000		119,736		06/21/17		320
	EUR	516,842	USD	582,593		582,847		12/21/16		254
	HUF	397,413,006	USD	1,440,320		1,450,323		12/21/16		10,003
	INR	6,866,507	USD	102,000		102,734		10/26/16		734
	PLN	455,415	EUR	105,000		118,915		12/21/16		506
	TWD	3,513,484	USD	112,198		112,438		10/21/16		240
	ZAR	6,775,980	USD	471,912		485,891		12/21/16		13,979
Westpac Banking Corp.	IDR	9,063,785,765	USD	677,565		694,148		10/27/16		16,583
	USD	170,538	EUR	151,165		170,470		12/21/16		68
TOTAL									$	217,848

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

GOLDMAN SACHS DYNAMIC EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Loss
Bank of America Securities LLC	ARS	1,404,410	USD	90,959	$	90,821		10/13/16	$	(138	)
	MXN	8,693,384	USD	451,921		444,266		12/21/16		(7,656	)
	PLN	401,584	EUR	93,000		104,859		12/21/16		(18	)
	USD	78,508	CLP	51,901,726		78,612		11/16/16		(104	)
	USD	102,000	TWD	3,193,161		102,212		10/24/16		(212	)
BNP Paribas SA	ARS	1,436,044	USD	93,038		92,915		10/12/16		(123	)
	ARS	2,260,029	USD	147,542		146,077		10/14/16		(1,466	)
	ARS	714,714	USD	46,592		46,100		10/18/16		(491	)
	ARS	253,284	USD	16,447		16,287		10/24/16		(160	)
	ARS	704,920	USD	45,086		44,499		11/29/16		(587	)
	ARS	625,919	USD	39,867		39,273		12/12/16		(594	)
	EUR	76,000	PLN	328,352		85,706		12/21/16		(31	)
	MXN	15,981,697	USD	827,724		816,727		12/21/16		(10,997	)
	SGD	282,538	USD	208,000		207,250		12/21/16		(750	)
	USD	454,980	COP	1,369,943,486		471,490		11/10/16		(16,510	)
	USD	117,331	KRW	130,131,768		118,132		10/04/16		(801	)
	USD	372,650	KRW	411,901,636		373,826		10/19/16		(1,175	)
Citibank NA	ARS	2,107,563	USD	137,422		136,293		10/13/16		(1,130	)
	ARS	604,670	USD	39,036		38,802		10/28/16		(234	)
	ARS	434,118	USD	27,651		27,239		12/12/16		(412	)
	ARS	210,367	USD	13,247		13,133		12/23/16		(114	)
	BRL	338,104	USD	103,000		102,960		11/03/16		(40	)
	COP	162,771,853	USD	56,135		56,084		11/03/16		(51	)
	EUR	246,696	USD	279,010		278,201		12/21/16		(810	)
	MYR	1,360,097	USD	339,625		329,432		10/20/16		(10,193	)
	SGD	140,092	USD	103,000		102,762		12/21/16		(238	)
	TRY	309,112	USD	102,000		101,323		12/21/16		(677	)
	USD	274,845	KRW	311,811,819		282,984		10/21/16		(8,139	)
	USD	104,000	KRW	114,844,080		104,222		10/26/16		(222	)
	USD	117,000	RUB	7,699,244		121,971		10/21/16		(4,971	)
	USD	210,190	TWD	6,651,451		212,911		10/24/16		(2,721	)
	USD	515,719	TWD	16,126,543		517,252		11/22/16		(1,533	)
Credit Suisse International (London)	COP	168,281,780	USD	58,000		57,973		11/04/16		(27	)
	USD	105,000	RUB	6,740,286		106,647		10/26/16		(1,647	)
	USD	127,467	RUB	8,283,000		131,024		10/27/16		(3,557	)
Deutsche Bank AG (London)	ARS	877,305	USD	56,237		55,586		11/22/16		(651	)
	BRL	334,033	USD	104,000		102,587		10/04/16		(1,413	)
	MYR	793,310	USD	196,291		192,234		10/07/16		(4,057	)
	PEN	398,853	USD	118,000		117,747		10/12/16		(253	)
	USD	116,000	ILS	436,972		116,865		12/21/16		(865	)
	USD	103,000	KRW	115,540,013		104,855		10/24/16		(1,855	)
	USD	39,623	THB	1,373,643		39,631		10/20/16		(8	)
HSBC Bank PLC	MXN	2,011,860	USD	103,000		102,814		12/21/16		(186	)
	MYR	1,528,895	USD	371,452		370,097		11/09/16		(1,355	)
	TWD	3,640,900	USD	117,000		116,419		10/11/16		(581	)
	USD	118,849	EUR	105,675		119,171		12/21/16		(322	)
	USD	76,637	IDR	1,000,875,000		76,750		10/03/16		(113	)
	USD	105,392	INR	7,112,882		106,405		10/27/16		(1,014	)
	USD	233,000	KRW	259,830,882		235,871		10/04/16		(2,871	)
	USD	101,037	KRW	113,221,880		102,754		10/21/16		(1,717	)
	USD	243,140	KRW	271,696,500		246,571		10/24/16		(3,432	)

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

GOLDMAN SACHS DYNAMIC EMERGING MARKETS DEBT FUND

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Loss
HSBC Bank PLC (continued)	USD	191,621	MYR	793,310	$	192,234		10/07/16	$	(613	)
	USD	205,000	TWD	6,421,789		205,509		10/21/16		(509	)
JPMorgan Chase Bank (London)	ARS	751,383	USD	48,950		48,465		10/18/16		(485	)
	BRL	665,341	USD	206,145		204,337		10/04/16		(1,808	)
	MXN	2,225,436	USD	118,000		113,728		12/21/16		(4,272	)
	MYR	1,355,191	USD	335,468		328,244		10/20/16		(7,224	)
	PHP	11,075,172	USD	231,274		229,158		10/17/16		(2,116	)
	SGD	279,049	USD	205,000		204,691		12/21/16		(309	)
	TRY	3,266,940	USD	1,078,790		1,070,864		12/21/16		(7,926	)
Morgan Stanley & Co.	BRL	3,229,329	USD	987,307		983,398		11/03/16		(3,910	)
	EUR	303,000	USD	342,092		341,696		12/21/16		(396	)
	MXN	2,855,627	USD	146,202		145,934		12/21/16		(268	)
	PHP	13,403,744	USD	282,958		277,140		10/27/16		(5,819	)
	TRY	215,103	USD	70,548		70,508		12/21/16		(40	)
	USD	393,933	IDR	5,257,035,885		402,609		10/27/16		(8,676	)
	USD	175,608	PEN	599,000		176,833		10/12/16		(1,225	)
	USD	117,000	RUB	7,593,183		120,590		10/11/16		(3,590	)
	USD	104,000	RUB	6,681,875		105,697		10/27/16		(1,697	)
	USD	37,717	RUB	2,476,850		38,982		11/17/16		(1,265	)
	USD	507,267	SGD	691,607		507,315		12/21/16		(48	)
	USD	490,967	TWD	15,326,524		491,592		11/22/16		(625	)
	USD	329,000	ZAR	4,685,740		336,004		12/21/16		(7,004	)
Royal Bank of Scotland PLC	MXN	13,915,910	USD	738,021		711,157		12/21/16		(26,864	)
	TRY	311,495	USD	104,000		102,104		12/21/16		(1,896	)
	USD	318,886	BRL	1,064,441		326,908		10/04/16		(8,022	)
	USD	133,623	HUF	36,887,965		134,619		12/21/16		(996	)
	USD	206,000	MXN	4,065,077		207,741		12/21/16		(1,741	)
	USD	241,857	MYR	1,003,586		243,081		10/20/16		(1,224	)
	USD	413,439	PLN	1,604,825		419,042		12/21/16		(5,603	)
	USD	349,757	ZAR	5,158,916		369,935		12/21/16		(20,178	)
Standard Chartered Bank	CNH	1,575,456	USD	235,000		234,892		12/21/16		(108	)
	USD	253,050	IDR	3,385,812,350		259,301		10/27/16		(6,251	)
	USD	456,104	PLN	1,760,925		459,802		12/21/16		(3,698	)
	USD	91,556	ZAR	1,329,398		95,328		12/21/16		(3,772	)
State Street Bank (London)	CZK	2,837,100	EUR	105,744		120,092		06/21/17		(170	)
UBS AG (London)	EUR	17,000	PLN	73,449		19,171		12/21/16		(8	)
	MXN	7,184,939	USD	373,177		367,178		12/21/16		(5,999	)
	MYR	751,673	USD	187,253		182,071		10/19/16		(5,183	)
	MYR	3,148,359	USD	765,614		762,392		10/27/16		(3,223	)
	MYR	1,619,779	USD	398,352		392,097		11/09/16		(6,255	)
	PHP	10,926,422	USD	227,586		225,561		11/18/16		(2,025	)
	PLN	401,034	EUR	93,000		104,715		12/21/16		(161	)
	USD	3,197,110	EUR	2,835,335		3,197,432		12/21/16		(323	)
	USD	216,417	KRW	239,876,858		217,703		10/19/16		(1,286	)
	USD	456,427	PLN	1,771,393		462,535		12/21/16		(6,108	)
	USD	112,073	TWD	3,513,484		112,308		10/07/16		(235	)
	USD	313,256	TWD	9,898,903		317,239		11/10/16		(3,982	)
Westpac Banking Corp.	USD	369,434	CNH	2,484,811		370,472		12/21/16		(1,039	)
TOTAL									$	(275,397	)

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

GOLDMAN SACHS DYNAMIC EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION (continued)

FUTURES CONTRACTS — At September 30, 2016, the Fund had the following futures contracts:

Type	Number of Contracts Long (Short)			Expiration Date		Current Value			Unrealized Gain (Loss)
U.S. Long Bonds		(1	)		December 2016	$	(168,156	)	$	(2,656	)
Ultra Long U.S. Treasury Bonds		1			December 2016		183,875			(3,582	)
Ultra 10 Year U.S. Treasury Notes		2			December 2016		288,313			2,277
2 Year U.S. Treasury Notes		(2	)		December 2016		(436,938	)		(512	)
5 Year U.S. Treasury Notes		11			December 2016		1,336,672			4,158
10 Year U.S. Treasury Notes		7			December 2016		917,875			3,048
TOTAL									$	2,733

SWAP CONTRACTS – At September 30, 2016, the Fund had the following swap contracts:

OVER THE COUNTER INTEREST RATE SWAP CONTRACTS

				Rates Exchanged
Counterparty	Notional Amount (000s)		Termination Date	Payments Received	Payments Made	Unrealized Gain (Loss)*
Bank of America Securities LLC	BRL	1,180	01/02/18	13.962%	1 month Brazilian Interbank Deposit Average	$	5,668
	KRW	317,770	08/12/18	1.205	3 month KWCDC		(217	)
	MXN	680	03/03/26	6.930	Mexico Interbank TIIE 28 Days		1,480
Barclays Bank PLC	BRL	440	01/02/17	12.190	1 month Brazilian Interbank Deposit Average		(2,216	)
Citibank NA	THB	8,830	11/17/16	1.905	6 month Thai Reuters		515
		8,830	11/28/16	1.800	6 month Thai Reuters		390
	BRL	980	01/02/17	11.455	1 month Brazilian Interbank Deposit Average		(11,298	)
	COP	2,442,740	06/13/17	Colombia IBR Overnight Interbank	7.220%		1,005
	BRL	320	01/02/18	14.460	1 month Brazilian Interbank Deposit Average		2,399
	THB	15,090	04/11/19	1.523	6 month Thai Reuters		(1,091	)
		6,390	02/04/21	1.903	6 month Thai Reuters		1,306
		2,790	02/15/21	1.815	6 month Thai Reuters		259
Credit Suisse International (London)	BRL	170	01/02/18	11.120	1 month Brazilian Interbank Deposit Average		(2,400	)
		300	01/02/18	11.960	1 month Brazilian Interbank Deposit Average		(2,394	)
	COP	95,320	04/15/19	Colombia IBR Overnight Interbank	5.110		835
	THB	3,650	02/16/21	1.830	6 month Thai Reuters		416
Deutsche Bank AG	BRL	1,880	01/02/17	12.842	1 month Brazilian Interbank Deposit Average		(8,425	)

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

GOLDMAN SACHS DYNAMIC EMERGING MARKETS DEBT FUND

ADDITIONAL INVESTMENT INFORMATION (continued)

OVER THE COUNTER INTEREST RATE SWAP CONTRACTS (continued)

					Rates Exchanged
Counterparty	Notional Amount (000s)			Termination Date	Payments Received		Payments Made	Unrealized Gain (Loss)*
Deutsche Bank AG (continued)	BRL	40		01/02/18		11.150%	1 month Brazilian Interbank Deposit Average	$	(554	)
		400		01/02/18		11.945	1 month Brazilian Interbank Deposit Average		(3,235	)
	MXN	990		09/25/18		Mexico Interbank TIIE 28 Days	5.180		565
	BRL	1,540		01/02/19		11.992	1 month Brazilian Interbank Deposit Average		3,068
		830		01/04/21		14.08	1 month Brazilian Interbank Deposit Average		17,201
		570		01/02/23		12.270	1 month Brazilian Interbank Deposit Average		4,380
		700		01/02/23		1 month Brazilian Interbank Deposit Average	13.602		(14,688	)
		150		01/02/25		1 month Brazilian Interbank Deposit Average	12.340		(1,185	)
	MXN	3,740	(a)	02/15/29		9.625	Mexico Interbank TIIE 28 Days		14,195
JPMorgan Securities, Inc.	THB	9,440		11/24/16		1.810	6 month Thai Reuters		423
	BRL	1,520		01/02/17		1 month Brazilian Interbank Deposit Average	12.290		11,193
	THB	9,510		04/19/19		1.554	6 month Thai Reuters		(459	)
	COP	67,690		04/22/19		Colombia IBR Overnight Interbank	5.190		547
Morgan Stanley & Co. International PLC	THB	4,410		11/28/16		1.820	6 month Thai Reuters		201
	COP	2,556,420		03/27/17		Columbia IBR Overnight Interbank	7.340		831
		1,988,090	(a)	04/03/17		Columbia IBR Overnight Interbank	7.360		(55	)
		2,497,070		08/01/17		7.339	Columbia IBR Overnight Interbank		1,009
	KRW	443,180		02/03/19		1.461	3 month KWCDC		2,303
	ZAR	6,350		07/23/20		7.490	3 month JIBAR		(862	)
	BRL	150		01/04/21		1 month Brazilian Interbank Deposit Average	11.410		1,051
TOTAL								$	22,161

(a) Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to September 30, 2016.

* There are no upfront payments on the swap contract(s), therefore the unrealized gain (loss) on the swap contracts is equal to their market value.

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

GOLDMAN SACHS DYNAMIC EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION (continued)

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS

					Rates Exchanged				Market Value
Notional Amount (000s)			Termination Date		Payments Received		Payments Made		Upfront Payments Made (Received)			Unrealized Gain (Loss)
EUR	290	(a)		12/21/18		6 month EURO		1.000%	$	(1,375	)	$	(91	)
ZAR	1,120			06/13/19		7.640%		3 month JIBAR		1			380
	350			09/05/19		7.280		3 month JIBAR		(1	)		(130	)
	2,400			09/08/19		7.310		3 month JIBAR		(5	)		(756	)
HKD	2,600	(a)		12/21/21		3 month HIBOR		1.200		1,242			(1,538	)
EUR	360	(a)		12/21/21		6 month EURO		0.250		(6,658	)		(1,101	)
MXN	6,300	(a)		03/09/22		5.500		Mexico Interbank TIIE 28 Days		(7,159	)		(2,795	)
PLN	2,840	(a)		03/15/22		1.820		6 month WIBOR		(1,268	)		(4,911	)
EUR	90	(a)		12/21/23		6 month EURO		0.500		(2,767	)		(620	)
MXN	9,300	(a)		03/06/24		5.750		Mexico Interbank TIIE 28 Days		(5,807	)		(10,628	)
ZAR	750			03/14/24		3 month JIBAR		8.550		1			(2,014	)
	690			12/18/24		3 month JIBAR		7.890		1			221
MXN	1,060			01/24/25		Mexico Interbank TIIE 28 Days		5.660		1			2,426
EUR	180	(a)		12/21/26		6 month EURO		0.750		(6,970	)		(2,077	)
CZK	29,000	(a)		12/21/26		6 month PRIBOR		0.475		1,258			5,637
MXN	20,990	(a)		03/03/27		6.000		Mexico Interbank TIIE 28 Days		(25,371	)		(16,010	)
EUR	70	(a)		12/21/36		6 month EURO		1.250		(7,575	)		(230	)
	TOTAL								$	(62,452	)	$	(34,237	)

(a) Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to September 30, 2016.

OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS

												Market Value
Counterparty	Referenced Obligation	Notional Amount (000s)		Rates Received (Paid)			Termination Date		Credit Spread at September 30, 2016(b)			Upfront Payments Made (Received)			Unrealized Gain (Loss)
Protection Purchased:
Bank of America Securities LLC	People’s Republic of China, 4.250%, 10/28/17	$	30		(1.000	)%		06/20/19		0.559	%	$	(97	)	$	(268	)
	People’s Republic of China 7.500%, 10/28/27		200		(1.000	)		12/20/20		0.844			1,552			(2,894	)
			130		(1.000	)		06/20/21		0.959			1,142			(1,424	)
Barclays Bank PLC	People’s Republic of China, 4.250%, 10/28/17		30		(1.000	)		03/20/19		0.509			(64	)		(306	)
	People’s Republic of China 7.500%, 10/28/27		310		(1.000	)		06/20/21		0.959			935			(1,607	)
Citibank NA	People’s Republic of China, 4.250%, 10/28/17		480		(1.000	)		03/20/19		0.509			(1,073	)		(4,848	)
			850		(1.000	)		06/20/19		0.559			(3,484	)		(6,875	)

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

GOLDMAN SACHS DYNAMIC EMERGING MARKETS DEBT FUND

ADDITIONAL INVESTMENT INFORMATION (continued)

OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS (continued)

												Market Value
Counterparty	Referenced Obligation	Notional Amount (000s)		Rates Received (Paid)			Termination Date		Credit Spread at September 30, 2016(b)			Upfront Payments Made (Received)			Unrealized Gain (Loss)
Citibank NA (continued)	People’s Republic of China 7.500%, 10/28/27	$	1,550		(1.000	)%		12/20/20		0.844	%	$	10,100		$	(20,493	)
			1,040		(1.000	)		06/20/21		0.959			7,743			(9,995	)
Deutsche Bank AG	People’s Republic of China 7.500%, 10/28/27		180		(1.000	)		12/20/20		0.844			1,396			(2,603	)
			230		(1.000	)		06/20/21		0.959			621			(1,120	)
JPMorgan Securities, Inc.	People’s Republic of China, 4.250%, 10/28/17		30		(1.000	)		03/20/19		0.509			(53	)		(316	)
			170		(1.000	)		06/20/19		0.559			(535	)		(1,537	)
	People’s Republic of China 7.500%, 10/28/27		590		(1.000	)		12/20/20		0.844			3,664			(7,621	)
			300		(1.000	)		06/20/21		0.959			1,188			(1,836	)
Protection Sold:
Barclays Bank PLC	Republic of Colombia, 10.375%, 01/28/33		300		1.000	%		12/20/19		0.976	%		(8,022	)		8,340
	Russian Federation, 7.500%, 03/31/30		60		1.000			06/20/20		1.596			(4,990	)		3,719
	Republic of South Africa, 5.500%, 03/09/20		90		1.000			12/20/20		2.105			(8,244	)		4,268
Citibank NA	Republic of Chile, 3.875%, 08/05/20		20		1.000			12/20/20		0.706			(246	)		494
	Republic of South Africa, 5.500%, 03/09/20		50		1.000			12/20/20		2.105			(4,603	)		2,394
Deutsche Bank AG	Republic of Brazil, 4.250%, 1/07/25		90		1.000			12/20/20		2.137			(11,934	)		7,854
Morgan Stanley & Co. International PLC	Republic of South Africa, 5.500%, 03/09/20		130		1.000			12/20/20		2.105			(11,909	)		6,165
TOTAL												$	(26,913	)	$	(30,509	)

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

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

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

Schedule of Investments

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Sovereign Debt Obligations – 68.4%
	Albania – 0.2%
	Republic of Albania (B+/B1)
	EUR3,220,000		5.750	%		11/12/20	$	3,978,904
	Angola – 0.6%
	Republic of Angola (NR/B1)
$	9,720,000		9.500			11/12/25		9,659,250
	Argentina – 3.5%
	Republic of Argentina (B-/NR)
	EUR10,609,760		7.820			12/31/33		13,211,620
$	4,696,827		8.280			12/31/33		5,248,704
EUR	15,495,341		0.000	(a)		12/15/35		1,814,647
	Republic of Argentina (B-/B3)
$	1,770,000		6.875			04/22/21		1,927,530
	6,450,000		6.875	(b)		04/22/21		7,024,050
	4,540,000		7.500			04/22/26		5,123,390
	10,690,000		7.500	(b)		04/22/26		12,063,665
	1,720,000		6.625	(b)		07/06/28		1,818,900
	6,960,000		7.125	(b)		07/06/36		7,377,600
	Republic of Argentina (NR/NR)
	308,448		8.280			12/31/33		354,716
	Republic of Argentina (NR/B3)(c)
	5,900,000		2.500			12/31/38		4,218,500
								60,183,322
	Armenia – 0.1%
	Republic of Armenia (NR/B1)
	1,270,000		6.000			09/30/20		1,316,038
	1,120,000		7.150			03/26/25		1,191,400
								2,507,438
	Belize(b)(c) – 0.1%
	Government of Belize (B-/Caa2)
	2,446,500		5.000			02/20/38		1,376,156
	Brazil – 1.2%
	Brazil Letras do Tesouro Nacional (BB/Ba2)(d)
BRL	3,362,000		0.000			01/01/17		1,000,549
	Brazil Notas do Tesouro Nacional (BB/Ba2)
	2,951,000		10.000			01/01/17		898,672
	2,702,000		10.000			01/01/25		764,501
	7,224,351		6.000			08/15/40		2,274,155
	Federal Republic of Brazil (BB/Ba2)
$	12,120,000		2.625			01/05/23		11,211,000
	1,830,000		6.000	(e)		04/07/26		2,031,300
	2,000,000		5.000			01/27/45		1,805,000
								19,985,177
	Bulgaria – 1.7%
	Republic of Bulgaria (BB+/Baa2)
EUR	610,000		4.250			07/09/17		707,257
	5,360,000		1.875			03/21/23		6,299,631
	3,860,000		2.950			09/03/24		4,829,363
	5,960,000		3.000			03/21/28		7,322,834
	9,030,000		3.125			03/26/35		10,524,239
								29,683,324
	Sovereign Debt Obligations – (continued)
	Cameroon – 0.1%
	Republic of Cameroon (B/NR)
$	1,170,000		9.500	%		11/19/25	$	1,294,313
	Chile – 0.4%
	Republic of Chile (AA-/Aa3)
	6,110,000		3.125			01/21/26		6,484,238
	Colombia – 3.1%
	Republic of Colombia (BBB/Baa2)
	2,090,000		7.375			03/18/19		2,364,313
	11,920,000		2.625	(f)		03/15/23		11,759,080
	8,810,000		4.000	(f)		02/26/24		9,382,650
	4,330,000		4.500	(e)(f)		01/28/26		4,784,650
EUR	7,120,000		3.875	(f)		03/22/26		9,058,015
$	1,730,000		6.125			01/18/41		2,093,300
	6,770,000		5.625	(f)		02/26/44		7,853,200
	5,900,000		5.000	(f)		06/15/45		6,401,500
								53,696,708
	Costa Rica – 1.5%
	Republic of Costa Rica (BB-/Ba1)
	390,000		9.995			08/01/20		473,363
	3,270,000		5.625			04/30/43		2,996,137
	3,500,000		5.625	(b)		04/30/43		3,206,875
	5,100,000		7.158			03/12/45		5,495,250
	12,430,000		7.158	(b)		03/12/45		13,393,325
								25,564,950
	Croatia – 0.8%
	Republic of Croatia (BB/Ba2)
	10,087,000		6.250			04/27/17		10,324,045
EUR	1,240,000		5.875			07/09/18		1,528,766
	1,157,000		3.875			05/30/22		1,402,068
	1,260,000		3.000			03/11/25		1,441,959
								14,696,838
	Dominican Republic – 5.2%
	Dominican Republic (NR/NR)
DOP	20,700,000		16.000			07/10/20		529,162
	13,900,000		11.500			05/10/24		312,098
	8,900,000		18.500	(b)		02/04/28		271,874
	134,200,000		11.375			07/06/29		2,933,742
	Dominican Republic (BB-/B1)
$	1,016,468		9.040			01/23/18		1,064,751
	1,532,000		7.500			05/06/21		1,715,840
	1,250,000		6.600			01/28/24		1,409,375
	12,530,000		5.875			04/18/24		13,501,075
	14,342,000		5.500			01/27/25		15,202,520
	1,860,000		6.875	(b)		01/29/26		2,152,950
	4,140,000		6.875			01/29/26		4,792,050
	1,500,000		8.625			04/20/27		1,826,250
	10,290,000		7.450	(b)		04/30/44		12,257,962
	4,086,000		7.450			04/30/44		4,867,448
	17,730,000		6.850	(b)		01/27/45		19,857,600
	5,279,000		6.850			01/27/45		5,912,480
								88,607,177

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

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Sovereign Debt Obligations – (continued)
	Ecuador – 1.1%
	Ecuador Government International Bond (B/NR)
$	10,404,000		7.950	%		06/20/24	$	9,337,590
	Republic of Ecuador (B/NR)
	8,780,000		10.750			03/28/22		8,977,550
								18,315,140
	El Salvador – 1.5%
	El Salvador Government International Bond (B+/B1)
	3,870,000		8.250			04/10/32		4,315,050
	330,000		7.625			02/01/41		344,025
	Republic of El Salvador (B+/B1)
	1,550,000		7.375			12/01/19		1,654,625
	5,320,000		7.750	(g)		01/24/23		5,878,600
	4,049,000		5.875			01/30/25		4,033,816
	3,000,000		6.375			01/18/27		3,015,000
	6,420,000		7.650			06/15/35		6,716,925
								25,958,041
	Gabon – 0.5%
	Republic of Gabon (NR/NR)
	8,710,000		6.375			12/12/24		7,947,875
	Republic of Gabon (NR/B1)
	200,000		6.950	(b)		06/16/25		183,750
	520,000		6.950			06/16/25		477,750
								8,609,375
	Ghana(b) – 0.3%
	Republic of Ghana (NR/B1)
	4,290,000		10.750			10/14/30		5,009,004
	Guatemala – 1.9%
	Republic of Guatemala (BB/Ba1)
	3,300,000		5.750	(b)		06/06/22		3,696,000
	5,740,000		5.750			06/06/22		6,428,800
	6,440,000		4.500	(b)		05/03/26		6,705,650
	7,070,000		4.500			05/03/26		7,361,637
	7,720,000		4.875			02/13/28		8,356,900
								32,548,987
	Honduras – 1.2%
	Republic of Honduras (B+/B2)
	9,010,000		8.750	(b)		12/16/20		10,338,975
	6,018,000		8.750			12/16/20		6,905,655
	1,310,000		7.500	(b)		03/15/24		1,478,662
	1,128,000		7.500			03/15/24		1,273,230
								19,996,522
	Hungary – 4.9%
	Hungary Government Bond (BBB-/Ba1)
EUR	5,780,000		4.375			07/04/17		6,711,253
$	1,810,000		4.125			02/19/18		1,871,088
EUR	7,340,000		5.750			06/11/18		9,042,548
$	870,000		4.000			03/25/19		912,413
	28,770,000		6.250			01/29/20		32,330,287
	3,680,000		6.375			03/29/21		4,264,200
	3,830,000		5.375			02/21/23		4,390,137
	7,980,000		5.750			11/22/23		9,396,450
	Sovereign Debt Obligations – (continued)
	Hungary – (continued)
	Hungary Government Bond (BBB-/Ba1) – (continued)
$	6,470,000		5.375	%		03/25/24	$	7,513,287
	4,340,000		7.625			03/29/41		6,792,100
								83,223,763
	Indonesia – 8.2%
	Perusahaan Penerbit SBSN (NR/Baa3)
	3,190,000		4.350			09/10/24		3,434,546
	Perusahaan Penerbit SBSN (BB+/Baa3)
	360,000		3.300			11/21/22		370,336
	250,000		4.325	(b)		05/28/25		268,250
	3,449,000		4.325			05/28/25		3,700,777
	1,130,000		4.550	(b)		03/29/26		1,224,773
	Republic of Indonesia (BB+/Baa3)
	2,970,000		6.875			01/17/18		3,162,515
	10,094,000		11.625			03/04/19		12,371,307
	8,785,000		5.875			03/13/20		9,811,176
	2,170,000		4.875			05/05/21		2,385,481
EUR	3,760,000		2.625	(b)		06/14/23		4,434,983
$	610,000		5.375			10/17/23		702,842
	24,054,000		5.875			01/15/24		28,349,563
	13,070,000		4.125			01/15/25		13,949,219
EUR	7,860,000		3.375			07/30/25		9,568,999
$	15,380,000		4.750	(b)		01/08/26		17,206,375
EUR	2,430,000		3.750	(b)		06/14/28		2,989,064
	1,790,000		3.750			06/14/28		2,201,821
$	330,000		6.625			02/17/37		431,864
	5,574,000		7.750			01/17/38		8,051,922
	8,789,000		5.250			01/17/42		10,049,694
	1,340,000		4.625			04/15/43		1,430,852
	1,560,000		6.750			01/15/44		2,135,687
	390,000		5.125			01/15/45		444,050
	1,980,000		5.950			01/08/46		2,509,769
								141,185,865
	Ivory Coast(c)(f) – 0.3%
	Republic of Ivory Coast (NR/NR)
	4,633,200		5.750			12/31/32		4,563,702
	Kazakhstan – 1.0%
	Republic of Kazakhstan (BBB-/Baa3)
	2,750,000		3.875			10/14/24		2,873,750
	3,460,000		5.125			07/21/25		3,892,500
	920,000		5.125	(b)		07/21/25		1,035,000
	240,000		4.875			10/14/44		250,200
	810,000		4.875	(b)		10/14/44		844,425
	6,450,000		6.500	(b)		07/21/45		8,046,375
								16,942,250
	Kenya – 0.4%
	Republic of Kenya (B+/NR)
	6,817,000		6.875			06/24/24		6,689,181
	720,000		6.875	(b)		06/24/24		706,500
								7,395,681
	Latvia – 0.2%
	Republic of Latvia (A-/A3)
	2,723,000		5.250			02/22/17		2,761,381

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

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Sovereign Debt Obligations – (continued)
	Macedonia – 1.0%
	Republic of Macedonia (BB-/NR)
EUR	4,530,000		4.875	%(b)		12/01/20	$	5,385,117
	216,000		3.975			07/24/21		248,406
	3,530,000		5.625			07/26/23		4,260,709
	5,640,000		5.625	(b)		07/26/23		6,807,478
	16,701,710
	Mexico – 4.7%
	United Mexican States (NR/NR)(d)
MXN	379,126,400		0.000			10/20/16		19,501,113
	United Mexican States (NR/A3)
	47,442,000		4.750			06/14/18		2,420,298
	United Mexican States (A/A3)
	334,700		10.000			12/05/24		21,803
	4,382,200		7.500			06/03/27		249,270
	10,713,200		8.500			05/31/29		660,325
	58,940,100		7.750			11/23/34		3,455,592
	United Mexican States (BBB+/A3)
$	8,090,000		5.950			03/19/19		8,990,012
	200,000		3.625			03/15/22		210,500
	20,680,000		4.000			10/02/23		22,117,260
	5,130,000		4.125			01/21/26		5,522,445
	7,468,000		4.750			03/08/44		7,766,720
	6,290,000		4.350			01/15/47		6,187,787
EUR	1,320,000		4.000			03/15/49		1,403,120
$	2,632,000		5.750			10/12/49		2,783,340
	81,289,585
	Mongolia – 0.4%
	Republic of Mongolia (B-/B3)
	1,010,000		10.875	(b)		04/06/21		1,081,963
	5,874,000		5.125			12/05/22		5,125,065
	6,207,028
	Montenegro(b) – 0.1%
	Republic of Montenegro (B+/B1)
EUR	1,360,000		3.875			03/18/20		1,531,575
	Namibia(b) – 0.1%
	Republic of Namibia (NR/Baa3)
$	1,930,000		5.250			10/29/25		2,040,975
	Nigeria – 0.4%
	Republic of Nigeria (B/NR)
	493,000		6.750			01/28/21		496,698
	5,970,000		6.375			07/12/23		5,880,450
	6,377,148
	Oman – 0.1%
	Oman Government International Bond (BBB-/Baa1)
	1,540,000		4.750			06/15/26		1,540,770
	Pakistan – 1.0%
	Islamic Republic of Pakistan (NR/B3)
	3,720,000		8.250			09/30/25		4,116,254
	Islamic Republic of Pakistan (B-/B3)
	1,830,000		6.875			06/01/17		1,871,175
	1,070,000		6.875	(b)		06/01/17		1,094,075
	2,650,000		6.750	(b)		12/03/19		2,793,206
	Sovereign Debt Obligations – (continued)
	Pakistan – (continued)
	Islamic Republic of Pakistan (B-/B3) – (continued)
$	5,100,000		8.250	%		04/15/24	$	5,585,698
	560,000		8.250	(b)		04/15/24		613,332
	380,000		7.875			03/31/36		375,136
	16,448,876
	Panama – 0.1%
	Panama Notas del Tesoro (BBB/NR)
	920,000		4.875			02/05/21		997,372
	Paraguay – 1.6%
	Republic of Paraguay (BB/Ba1)
	12,098,000		4.625			01/25/23		12,793,635
	3,930,000		5.000	(b)		04/15/26		4,224,750
	2,745,000		5.000			04/15/26		2,950,875
	6,500,000		6.100			08/11/44		7,345,000
	27,314,260
	Philippines – 0.2%
	Republic of Philippines (BBB/Baa2)
	1,260,000		9.875			01/15/19		1,496,250
	1,409,000		8.375			06/17/19		1,662,690
	3,158,940
	Romania – 0.4%
	Republic of Romania (BBB-/Baa3)
EUR	5,110,000		2.875			05/26/28		6,213,891
	Russia – 3.0%
	Russian Federation (NR/NR)
$	37,200,000		4.750			05/27/26		40,101,600
	Russian Federation (BB+/Ba1)
	800,000		4.500	(b)		04/04/22		861,600
	2,000,000		4.875	(b)		09/16/23		2,198,000
	6,000,000		4.875			09/16/23		6,594,000
	1,000,000		5.625			04/04/42		1,152,500
	50,907,700
	Serbia – 0.3%
	Republic of Serbia (BB-/B1)
	4,480,000		7.250			09/28/21		5,219,200
	South Africa – 2.2%
	Republic of South Africa (NR/NR)
	1,540,000		4.300			10/12/28		1,524,600
	1,390,000		5.000			10/12/46		1,391,737
	Republic of South Africa (NR/Baa2)
	2,361,000		4.875			04/14/26		2,479,050
	Republic of South Africa (BBB-/Baa2)
	4,090,000		6.875			05/27/19		4,570,575
	170,000		5.500			03/09/20		185,088
	3,480,000		5.875			05/30/22		3,919,350
	2,540,000		4.665			01/17/24		2,676,525
	19,015,000		5.875	(e)		09/16/25		21,486,950
	38,233,875

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

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Sovereign Debt Obligations – (continued)
	Sri Lanka – 2.1%
	Republic of Sri Lanka (B+/B1)
$	1,180,000		6.000	%(b)		01/14/19	$	1,214,739
	360,000		6.000			01/14/19		370,598
	1,222,000		6.250	(b)		10/04/20		1,278,750
	1,260,000		6.250			10/04/20		1,318,514
	7,814,000		6.250			07/27/21		8,165,865
	530,000		5.750			01/18/22		541,925
	7,300,000		5.750	(b)		01/18/22		7,464,250
	7,600,000		6.850	(b)		11/03/25		8,165,972
	2,660,000		6.850			11/03/25		2,858,090
	4,530,000		6.825	(b)		07/18/26		4,875,594
	36,254,297
	Trinidad and Tobago(b) – 0.0%
	Republic of Trinidad and Tobago (A-/Baa3)
	720,000		4.500			08/04/26		742,500
	Turkey – 4.6%
	Republic of Turkey (NR/Ba1)
	18,383,000		5.750			03/22/24		19,807,682
	4,546,000		4.250			04/14/26		4,455,080
	6,790,000		4.875			10/09/26		6,942,775
	2,330,000		4.875			04/16/43		2,178,550
	650,000		6.625			02/17/45		760,500
	5,364,000		7.500			07/14/17		5,578,560
	6,700,000		7.000			06/05/20		7,437,000
	3,090,000		5.125			03/25/22		3,221,325
	19,066,000		6.250			09/26/22		20,972,600
	6,009,000		7.375			02/05/25		7,120,665
	610,000		8.000			02/14/34		789,188
	79,263,925
	Ukraine(b) – 0.1%
	Ukraine Government Bond (B-/NR)(a)
	3,074,000		0.000			05/31/40		983,680
	Ukraine Government Bond (B-/Caa3)
	1,769,000		7.750			09/01/20		1,731,409
	2,715,089
	United Arab Emirates – 1.0%
	Abu Dhabi Government International Bond (AA/NR)
	8,910,000		2.125			05/03/21		8,965,687
	7,890,000		3.125			05/03/26		8,233,215
	17,198,902
	Venezuela – 1.9%
	Republic of Venezuela (CCC/Caa3)
	299,000		7.000			12/01/18		210,795
	9,340,000		7.750			10/13/19		5,767,450
	9,991,000		9.000			05/07/23		5,082,921
	21,371,600		8.250			10/13/24		10,578,942
	9,850,000		7.650			04/21/25		4,752,625
	10,848,000		9.250			05/07/28		5,586,720
	80,000		9.375			01/13/34		41,300
	32,020,753
	Sovereign Debt Obligations – (continued)
	Vietnam(b) – 0.6%
	Socialist Republic of Vietnam (BB-/B1)
$	8,840,000		6.750	%		01/29/20	$	9,854,832
	Zambia – 2.5%
	Republic of Zambia (B/NR)
	8,802,000		5.375			09/20/22		7,734,757
	10,950,000		8.500			04/14/24		10,758,375
	4,660,000		8.970	(b)		07/30/27		4,595,925
	19,440,000		8.970			07/30/27		19,172,700
	42,261,757
	TOTAL SOVEREIGN DEBT OBLIGATIONS
	(Cost $1,119,624,202)						$	1,168,722,466
	Foreign Debt Obligation – 0.0%
	Supranational – 0.0%
	Corporacion Andina de Fomento (AA-/Aa3)
$	550,000		1.500	%		08/08/17	$	551,303
	(Cost $550,851)
	Corporate Obligations – 26.6%
	Argentina – 0.3%
	Cablevision SA (NR/B3)(f)
$	1,060,000		6.500	%		06/15/21	$	1,105,050
	1,600,000		6.500	(b)		06/15/21		1,668,000
	YPF SA (NR/B3)
	2,780,000		8.875			12/19/18		3,078,850
	5,851,900
	Azerbaijan – 0.3%
	State Oil Company of the Azerbaijan Republic (BB/Ba1)
	3,960,000		4.750			03/13/23		3,905,550
	State Oil Company of the Azerbaijan Republic (BB/NR)
	1,040,000		6.950			03/18/30		1,123,200
	5,028,750
	Brazil – 2.4%
	Banco do Brasil SA (B-/B2)(a)(f)
	8,360,000		9.000			06/29/49		7,136,932
	Banco do Brasil SA (B-/NR)(a)(f)
	3,410,000		6.250			10/29/49		2,378,475
	Brazil Minas SPE via State of Minas Gerais (BB/NR)
	12,200,000		5.333	(b)		02/15/28		11,956,000
	597,000		5.333			02/15/28		585,060
	Independencia International Ltd. (NR/NR)(b)(h)
	1,277,436		12.000			12/30/16		—
	Petrobras Global Finance BV (B+/B3)
	5,830,000		5.750			01/20/20		5,972,281
	8,010,000		4.875			03/17/20		8,045,404
	150,000		5.375			01/27/21		148,050
	3,350,000		8.375			05/23/21		3,655,017
	Raizen Energy Finance Ltd. (BBB-/Ba1)
	450,000		7.000			02/01/17		457,313
	40,334,532

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

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	British Virgin Islands(b) – 0.0%
	Arcos Dorados Holdings, Inc. (NR/B1)
$	265,000		6.625	%		09/27/23	$	274,275
	Chile – 1.6%
	AES Gener SA (BBB-/Baa3)
	1,320,000		5.250	(b)		08/15/21		1,400,850
	129,000		5.250			08/15/21		136,901
	Banco del Estado de Chile (AA-/Aa3)
	2,420,000		4.125	(b)		10/07/20		2,592,425
	970,000		3.875	(b)		02/08/22		1,036,688
	1,660,000		3.875			02/08/22		1,774,125
	Embotelladora Andina SA (BBB/NR)(b)
	980,000		5.000			10/01/23		1,089,065
	Engie Energia Chile SA (BBB/NR)
	1,270,000		5.625	(b)		01/15/21		1,409,700
	430,000		5.625			01/15/21		477,300
	GNL Quintero SA (BBB/Baa2)
	5,920,000		4.634	(b)		07/31/29		6,171,600
	740,000		4.634			07/31/29		771,450
	Itau CorpBanca (BBB+/A3)
	690,000		3.875			09/22/19		716,738
	4,071,000		3.875	(b)		09/22/19		4,228,751
	Sociedad Quimica y Minera de Chile SA (BBB/Baa1)
	793,000		3.625			04/03/23		779,174
	290,000		4.375	(f)		01/28/25		291,280
	3,991,000		4.375	(b)(f)		01/28/25		4,008,620
								26,884,667
	Colombia – 0.4%
	Banco de Bogota SA (BBB-/Baa2)
	1,450,000		5.000	(b)		01/15/17		1,459,425
	4,324,000		5.000			01/15/17		4,352,106
	Ecopetrol SA (BBB/Baa3)
	70,000		7.375			09/18/43		73,675
	Millicom International Cellular SA (NR/Ba2)(f)
	200,000		4.750			05/22/20		201,500
								6,086,706
	Costa Rica – 0.9%
	Banco de Costa Rica (NR/Ba1)
	4,870,000		5.250	(b)		08/12/18		5,010,012
	1,010,000		5.250			08/12/18		1,039,038
	Banco Nacional de Costa Rica (NR/Ba1)
	3,000,000		4.875	(b)		11/01/18		3,071,250
	380,000		4.875			11/01/18		389,025
	5,690,000		6.250	(b)		11/01/23		5,897,685
								15,407,010
	Dominican Republic(f) – 0.2%
	Aeropuertos Dominicanos Siglo XXI SA (B+/B1)
	3,932,000		9.750			11/13/19		4,123,685
	Ecuador(a) – 0.2%
	EP PetroEcuador via Noble Sovereign Funding I Ltd. (B/NR)
	2,857,895		6.487			09/24/19		2,765,013
	Corporate Obligations – (continued)
	Guatemala(f) – 0.2%
	Central American Bottling Corp. (BB/Ba2)
$	2,050,000		6.750	%(b)		02/09/22	$	2,134,563
	604,000		6.750			02/09/22		628,915
								2,763,478
	Hong Kong – 0.2%
	China Unicom Ltd. (NR/NR)
CNH	8,770,000		4.000			04/16/17		1,311,925
	Wharf Finance Ltd. (NR/NR)
$	1,980,000		4.625			02/08/17		1,999,963
								3,311,888
	Hungary(b) – 0.2%
	MFB Magyar Fejlesztesi Bank Zrt (NR/Ba1)
	2,510,000		6.250			10/21/20		2,836,300
	India(b)(f) – 0.2%
	Greenko Investment Co. (B+/NR)
	4,260,000		4.875			08/16/23		4,164,150
	Indonesia – 0.5%
	Listrindo Capital BV (BB/Ba2)(b)(f)
	3,450,000		4.950			09/14/26		3,458,625
	Pertamina Persero PT (BB+/Baa3)(b)
	2,930,000		5.625			05/20/43		3,074,434
	Perusahaan Gas Negara Persero Tbk PT (BB+/Baa3)
	1,940,000		5.125			05/16/24		2,098,886
								8,631,945
	Ireland – 0.3%
	MTS International Funding Ltd. (BB+/Ba1)
	2,943,000		5.000			05/30/23		3,075,435
	Phosagro OAO via Phosagro Bond Funding Ltd. (NR/Ba1)
	2,250,000		4.204	(b)		02/13/18		2,292,188
	240,000		4.204			02/13/18		244,500
								5,612,123
	Israel – 0.5%
	Delek & Avner Tamar Bond Ltd. (BBB-/Baa3)(b)
	1,200,000		2.803			12/30/16		1,200,000
	1,200,000		3.839			12/30/18		1,249,500
	Teva Pharmaceutical Finance Netherlands III BV (BBB/Baa2)
	4,490,000		1.400			07/20/18		4,476,063
	980,000		1.700			07/19/19		977,782
								7,903,345
	Italy(f) – 0.9%
	Wind Acquisition Finance SA (BB/Ba3)
EUR	150,000		4.000			07/15/20		171,030
	Wind Acquisition Finance SA (B/Caa1)
	6,440,000		7.000			04/23/21		7,561,363
$	5,914,000		7.375			04/23/21		6,194,915
	640,000		7.375	(b)		04/23/21		670,400
								14,597,708
	Ivory Coast – 0.5%
	Agromercantil Senior Trust (BB/NR)(b)
	3,420,000		6.250			04/10/19		3,543,975

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

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Ivory Coast – (continued)
	Comcel Trust via Comunicaciones Celulares SA (NR/Ba1)(f)
$	4,390,000		6.875	%		02/06/24	$	4,477,800
	Comunicaciones Celulares SA (NR/Ba1)(b)(f)
	810,000		6.875			02/06/24		826,200
								8,847,975
	Jamaica(f) – 0.6%
	Digicel Ltd. (NR/B1)
	4,200,000		6.000	(b)		04/15/21		3,689,280
	3,200,000		6.000			04/15/21		2,810,880
	580,000		6.750			03/01/23		513,300
	4,500,000		6.750	(b)		03/01/23		3,982,500
								10,995,960
	Japan – 0.3%
	SoftBank Group Corp. (BB+/Ba1)
	2,300,000		4.500	(b)		04/15/20		2,380,500
	2,990,000		4.500			04/15/20		3,094,650
								5,475,150
	Kazakhstan – 0.8%
	Kazakhstan Temir Zholy Finance BV (BB/Baa3)
	500,000		6.950			07/10/42		543,250
	KazMunayGas National Co. JSC (BB/Baa3)
	11,640,000		9.125			07/02/18		12,822,973
								13,366,223
	Luxembourg – 2.4%
	Altice Financing SA (BB-/B1)(b)(f)
	400,000		6.500			01/15/22		422,000
	1,160,000		6.625			02/15/23		1,187,550
	1,700,000		7.500			05/15/26		1,770,125
	Gazprom Neft OAO Via GPN Capital SA (BB+/Ba1)(b)
	7,987,000		6.000			11/27/23		8,605,993
	Gazprom OAO Via Gaz Capital SA (BB+/Ba1)
	6,400,000		9.250	(g)		04/23/19		7,360,000
	10,860,000		7.288			08/16/37		12,774,075
	MHP SA (B-/NR)
	1,420,000		8.250			04/02/20		1,364,975
	Severstal OAO Via Steel Capital SA (BBB-/Ba1)
	3,300,000		6.700			10/25/17		3,450,480
	Tupy Overseas SA (BB-/NR)(f)
	3,450,000		6.625	(b)		07/17/24		3,450,000
	1,259,000		6.625			07/17/24		1,259,000
								41,644,198
	Malaysia – 0.1%
	1MDB Global Investments Ltd. (A-/NR)
	2,400,000		4.400			03/09/23		2,112,000
	Mexico – 5.7%
	America Movil SAB de CV (A-/A2)
MXN	19,010,000		6.000			06/09/19		966,792
	Cemex Finance LLC (B+/NR)(f)
EUR	3,950,000		4.625			06/15/24		4,548,161
	Cemex SAB de CV (B+/NR)(b)(f)
	1,300,000		4.750			01/11/22		1,502,339
	Corporate Obligations – (continued)
	Mexico – (continued)
	Corporacion Geo SA (NR/NR)
$	312,982		8.000	%		04/13/21	$	—
	Gruma SAB de CV (BBB/NR)(b)(f)
	2,220,000		4.875			12/01/24		2,369,850
	Grupo Cementos de Chihuahua SAB de CV (BB-/NR)(b)(f)
	710,000		8.125			02/08/20		752,600
	Metalsa SA de CV (BB+/NR)(b)
	2,220,000		4.900			04/24/23		2,128,425
	Mexico City Airport Trust (BBB+/Baa1)(b)(f)
	1,340,000		4.250			10/31/26		1,341,675
	Petroleos Mexicanos (BBB+/Baa3)
	5,500,000		5.750			03/01/18		5,783,250
	1,640,000		5.500	(b)		02/04/19		1,730,200
	1,530,000		5.500			02/04/19		1,614,150
	1,610,000		8.000			05/03/19		1,811,250
	1,630,000		3.500			07/23/20		1,633,097
	3,930,000		6.375	(b)		02/04/21		4,266,015
	3,509,000		6.375			02/04/21		3,809,019
	35,000		4.875			01/24/22		35,613
	290,000		3.500			01/30/23		273,108
EUR	12,220,000		5.125			03/15/23		15,340,291
$	430,000		4.875			01/18/24		435,375
	380,000		4.500			01/23/26		368,676
	6,430,000		6.875	(b)		08/04/26		7,249,825
	21,041,000		6.875			08/04/26		23,723,727
	260,000		6.625			06/15/35		263,341
	1,570,000		6.500			06/02/41		1,516,118
	1,894,000		5.500			06/27/44		1,623,347
	330,000		6.375			01/23/45		316,800
	190,000		5.625			01/23/46		165,737
	3,050,000		6.750	(b)		09/21/47		3,050,000
	Sigma Alimentos SA de CV (BBB/Baa3)(b)(f)
	5,630,000		4.125			05/02/26		5,644,075
	Trust F/1401 (NR/Baa2)(b)(f)
	500,000		5.250			01/30/26		520,000
	1,810,000		6.950			01/30/44		1,859,775
								96,642,631
	Netherlands – 0.7%
	Greenko Dutch BV (B+/NR)(b)(f)
	3,830,000		8.000			08/01/19		4,096,089
	Listrindo Capital BV (BB/Ba2)(f)
	3,812,000		6.950			02/21/19		3,945,420
	Lukoil International Finance BV (BBB-/Ba1)
	1,480,000		3.416			04/24/18		1,500,350
	1,650,000		6.125			11/09/20		1,817,063
	620,000		4.563			04/24/23		641,700
	Majapahit Holding BV (BB/Baa3)
	494,000		7.750			10/17/16		494,410
	100,000		7.250			06/28/17		103,579
								12,598,611
	Panama(b) – 0.0%
	Autoridad Canal De Panam (A-/A2)
	380,000		4.950			07/29/35		431,300

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

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Paraguay – 0.7%
	Banco Continental SAECA (BB/Ba1)(f)
$	1,900,000		8.875	%(b)		10/15/17	$	1,900,093
	1,990,000		8.875			10/15/17		1,993,652
	Banco Regional SAECA (BB-/Ba1)
	4,670,000		8.125	(b)		01/24/19		5,014,412
	905,000		8.125			01/24/19		971,744
	Telefonica Celular del Paraguay SA (NR/Ba3)(f)
	2,700,000		6.750			12/13/22		2,791,125
								12,671,026
	Peru – 0.8%
	Abengoa Transmision Sur SA (BBB/NR)(b)
	5,160,000		6.875			04/30/43		5,476,050
	Corp Financiera de Desarrollo SA (BBB+/NR)
	2,478,000		4.750			02/08/22		2,704,118
	Corp Lindley S.A. (BBB/NR)
	1,630,000		6.750	(b)		11/23/21		1,850,050
	3,560,000		6.750			11/23/21		4,040,600
	120,000		4.625	(b)		04/12/23		124,593
								14,195,411
	Philippines – 0.2%
	Energy Development Corp. (NR/NR)
	2,625,000		6.500			01/20/21		2,975,095
	Russia(a)(f) – 0.3%
	Sberbank of Russia Via SB Capital SA (NR/NR)
	5,290,000		5.500			02/26/24		5,329,675
	Singapore – 0.1%
	China Resources Cement Holdings Ltd. (NR/Aa1)
	1,240,000		2.125			10/05/17		1,244,966
	South Africa – 0.3%
	ZAR Sovereign Capital Fund Propriety Ltd. (BBB-/Baa2)
	5,440,000		3.903			06/24/20		5,630,400
	South Korea – 0.5%
	Kookmin Bank (A+/A1)
	790,000		1.625			07/14/17		791,200
	6,930,000		1.625	(b)		08/01/19		6,933,520
	Korea Southern Power Co. Ltd. (NR/Aa2)
	240,000		1.875			02/05/18		241,006
								7,965,726
	Turkey – 0.2%
	Export Credit Bank of Turkey (BB/Ba1)
	270,000		5.375	(b)		11/04/16		270,610
	2,240,000		5.375			11/04/16		2,245,062
	Hazine Mustesarligi Varlik Kiralama AS (NR/Ba1)
	208,000		2.803			03/26/18		208,021
								2,723,693
	United Arab Emirates – 0.5%
	Aabar Investments PJSC (NR/NR)
EUR	100,000		1.000			03/27/22		80,881
	Dolphin Energy Ltd. (NR/A1)
$	296,800		5.888			06/15/19		314,608
	3,580,000		5.500			12/15/21		4,103,575
	Corporate Obligations – (continued)
	United Arab Emirates – (continued)
	Ruwais Power Co. PJSC (A-/A3)(b)
$	3,700,000		6.000	%		08/31/36	$	4,504,750
								9,003,814
	United States – 0.6%
	Brazil Loan Trust 1 (BB/NR)(b)
	9,179,315		5.477			07/24/23		9,236,686
	New Cotai LLC/New Cotai Capital Corp. (NR/NR)(b)(f)(i)
	1,334,102		10.625			05/01/19		654,683
	The Bank of New York Mellon SA (D/NR)(h)
	400,000		9.625	(b)		05/02/21		—
	520,000		9.625			05/03/21		—
								9,891,369
	Venezuela – 1.9%
	Petroleos de Venezuela SA (CCC/NR)
	9,500,000		9.000			11/17/21		5,368,450
	26,020,000		6.000			05/16/24		10,928,400
	35,315,000		6.000			11/15/26		14,828,768
	5,020,000		5.375			04/12/27		2,089,826
	390,000		5.500			04/12/37		159,413
								33,374,857
	Vietnam(f) – 0.1%
	Debt and Asset Trading Corp. (NR/NR)
	1,960,000		1.000			10/10/25		1,128,245
	TOTAL CORPORATE OBLIGATIONS
	(Cost $449,097,466)						$	454,825,800
	Structured Note – 0.3%
	Brazil – 0.3%
	Notas do Tesouro Nacional Series B (Issuer HSBC Corp.) (NR/NR)
BRL	15,858,332		6.000	%		08/15/40	$	4,992,048
	(Cost $8,522,815)
	Municipal Debt Obligations – 1.0%
	Puerto Rico – 1.0%
	Puerto Rico Commonwealth Aqueduct & Sewer Authority RB (Senior Lien) Series 2008 A (CC/Caa3)(f)
$	975,000		6.000	%		07/01/44	$	748,313
	Puerto Rico Commonwealth Aqueduct & Sewer Authority RB (Senior Lien) Series 2012 A (CC/Caa3)(f)
	305,000		5.125			07/01/37		228,750
	640,000		5.250			07/01/42		483,200
	80,000		6.000			07/01/47		61,200
	Puerto Rico Commonwealth Aqueduct & Sewer Authority RB (Senior Lien) Series 2012 D (CC/Caa3)(f)
	305,000		5.000			07/01/33		228,750
	Puerto Rico Commonwealth GO Bonds Public Improvement Series 2006 A (D/Caa3)(f)
	105,000		5.250			07/01/26		64,313

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

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Municipal Debt Obligations – 1.0%
	Puerto Rico – (continued)
	Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2008 A (D/Caa3)(f)
$	135,000		5.500	%		07/01/32	$	83,531
	Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2009 B (D/Caa3)(f)
	135,000		6.000			07/01/39		85,219
	Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2012 A (D/Caa3)
	110,000		4.000			07/01/21		66,138
	140,000		4.500	(f)		07/01/26		83,650
	1,210,000		5.500	(f)		07/01/26		748,687
	390,000		5.000	(f)		07/01/41		235,950
	Puerto Rico Commonwealth GO Bonds Refunding Public Improvement Series 2009 B (D/Caa3)(f)
	1,385,000		5.750			07/01/38		862,162
	Puerto Rico Commonwealth GO Bonds Series 2008 A (D/Caa3)(f)
	1,315,000		5.375			07/01/33		808,725
	Puerto Rico Commonwealth GO Bonds Series 2014 A (D/Caa3)(f)
	3,205,000		8.000			07/01/35		2,095,269
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2009 A (CC/Ca)(f)
	4,600,000		5.500			08/01/22		2,426,500
	4,210,000		5.250			08/01/27		2,210,250
	340,000		6.750			08/01/32		190,400
	2,990,000		5.750			08/01/37		1,584,700
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2010 A (CC/Ca)(f)
	3,965,000		5.500			08/01/37		2,091,537
	240,000		5.375			08/01/39		126,000
	260,000		5.500			08/01/42		137,150
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2010 C (CC/Ca)(f)
	1,620,000		5.500			08/01/40		854,550
	1,410,000		5.250			08/01/41		740,250
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2011 A-1 (CC/Ca)(f)
	720,000		5.000			08/01/43		374,400
	90,000		5.250			08/01/43		47,250
	TOTAL MUNICIPAL DEBT OBLIGATIONS
	(Cost $22,246,829)						$	17,666,844
	U.S. Treasury Obligations – 0.6%
	United States Treasury Bonds
$	5,600,000		2.875	%(j)		08/15/45	$	6,241,592
	2,510,000		2.250			08/15/46		2,465,498
	United States Treasury Note
	900,000		1.375			04/30/21		909,540
	TOTAL U.S. TREASURY OBLIGATIONS
	(Cost $8,806,294)						$	9,616,630

Shares	Distribution Rate			Value
Investment Company(a)(k) – 0.2%
Goldman Sachs Financial Square Government Fund – Institutional Shares
3,669,180		0.290	%	$	3,669,180
(Cost $3,669,180)
TOTAL INVESTMENTS – 97.1%
(Cost $1,612,517,637)				$	1,660,044,271

Principal Amount			Interest Rate (Paid) Received			Maturity Date		Value
	Reverse Repurchase Agreements – (1.0)%
	Citigroup Reverse Repurchase Agreement (NR/NR)
$	(2,127,375	)		(0.250	)%		08/25/17	$	(2,127,375	)
	(5,775,000	)		(0.250	)		09/25/17		(5,775,000	)
	JPMorgan Chase & Co. Repurchase Agreement (NR/NR)
	(4,676,400	)		(0.150	)		10/05/16		(4,676,400	)
	(4,676,400	)		(0.150	)		09/12/17		(4,676,400	)
	TOTAL REVERSE REPURCHASE AGREEMENTS
	(Cost $(17,255,175))							$	(17,255,175	)
	OTHER ASSETS IN EXCESS OF     LIABILITIES – 3.9%								66,314,901
	NET ASSETS – 100.0%							$	1,709,103,997

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 or distribution rate disclosed is that which is in effect on September 30, 2016.
(b)	Exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be deemed 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 $389,628,709, which represents approximately 22.8% of net assets as of September 30, 2016.
(c)	Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect on September 30, 2016.
(d)	Issued with a zero coupon. Income is recognized through the accretion of discount.
(e)	All or a portion of the security was pledged as collateral against open reverse repurchase agreements. As of September 30, 2016, the value of securities pledged amounted to $12,465,950.
(f)	Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.
(g)	Security with “Put” features and resetting interest rates. Maturity dates disclosed are the puttable dates. Interest rate disclosed is that which is in effect at September 30, 2016.
(h)	Security is currently in default and/or non-income producing.
(i)	Pay-in-kind securities.
(j)	A portion of this security is segregated as collateral for initial margin requirement on futures transactions.
(k)	Represents an Affiliated Fund.

The accompanying notes are an integral part of these financial statements. 63

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Security ratings disclosed, if any, are obtained from by Standard & Poor’s /Moody’s Investor Service and are unaudited. A brief description of the ratings is available in the Fund’s Statement of Additional Information.

Currency Abbreviations:
AED	—United Arab Emirates Dirham
ARS	—Argentine Peso
BRL	—Brazilian Real
CNH	—Chinese Yuan Renminbi Offshore
COP	—Colombian Peso
CZK	—Czech Koruna
DOP	—Dominican Peso
EUR	—Euro
HKD	—Hong Kong Dollar
HUF	—Hungarian Forint
IDR	—Indonesian Rupiah
ILS	—Israeli Shekel
INR	—Indian Rupee
KRW	—South Korean Won
MXN	—Mexican Peso
MYR	—Malaysian Ringgit
PEN	—Peruvian Nuevo Sol
PHP	—Philippine Peso
PLN	—Polish Zloty
RUB	—Russian Ruble
SGD	—Singapore Dollar
THB	—Thai Baht
TRY	—Turkish Lira
TWD	—Taiwan Dollar
USD	—U.S. Dollar
ZAR	—South African Rand

Investment Abbreviations:
EURO	—Euro Offered Rate
GO	—General Obligation
KLIBOR	—Kuala Lumpur Interbank Offered Rate
KWCDC	—South Korean Won Certificate of Deposit
LIBOR	—London Interbank Offered Rate
LLC	—Limited Liability Company
NR	—Not Rated
PLC	—Public Limited Company
RB	—Revenue Bond
TIIE	—La Tasa de Interbank Equilibrium Interest Rate
WIBOR	—Warsaw Interbank Offered Rate

ADDITIONAL INVESTMENT INFORMATION

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At September 30, 2016, the Fund had the following forward foreign currency exchange contracts:

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Gain
Bank of America Securities LLC	CZK	63,404,040	EUR	2,352,000	$	2,683,835		06/21/17	$	8,916
	KRW	3,148,267,125	USD	2,843,000		2,857,041		10/28/16		14,041
	PLN	12,691,191	EUR	2,932,553		3,313,847		12/21/16		6,781
	USD	5,546,000	BRL	17,977,414		5,521,161		10/04/16		24,839
Barclays Bank PLC	IDR	105,941,789,917	USD	7,933,932		8,113,522		10/27/16		179,591
	IDR	100,006,541,635	USD	7,553,364		7,646,345		11/10/16		92,980
BNP Paribas SA	ARS	22,834,400	USD	1,437,482		1,470,578		10/21/16		33,096
	ARS	26,926,213	USD	1,672,436		1,713,281		11/14/16		40,846
	ARS	52,912,988	USD	3,342,577		3,354,337		11/21/16		11,760
	EUR	1,199,000	PLN	5,163,824		1,352,123		12/21/16		3,777
	KRW	2,038,010,208	USD	1,836,989		1,849,516		10/26/16		12,528
	PEN	8,672,416	USD	2,553,564		2,560,216		10/12/16		6,652
	PLN	10,541,000	HUF	750,699,135		2,752,402		12/21/16		12,793
	PLN	56,885,689	USD	14,660,126		14,853,645		12/21/16		193,519
	USD	12,658,841	TRY	38,327,172		12,563,197		12/21/16		95,644
Citibank NA (London)	AED	100,272,386	USD	27,277,581		27,289,817		12/07/16		12,237
	CZK	127,075,060	EUR	4,715,216		5,378,972		06/21/17		16,377

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

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN (continued)

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Gain
Citibank NA (London) (continued)	INR	322,048,520	USD	4,788,648	$	4,818,373		10/26/16	$	29,725
	RUB	178,098,836	USD	2,763,000		2,828,446		10/11/16		65,446
	RUB	530,260,722	USD	8,094,718		8,387,914		10/27/16		293,195
	TWD	44,016,146	USD	1,402,610		1,406,963		10/07/16		4,353
	USD	10,404,227	KRW	11,354,133,361		10,304,487		10/20/16		99,740
	USD	16,667,601	MXN	305,260,436		15,719,138		10/13/16		948,462
	ZAR	15,961,677	USD	1,141,000		1,144,577		12/21/16		3,577
Credit Suisse International (London)	RUB	491,572,639	USD	7,491,012		7,787,486		10/21/16		296,475
Deutsche Bank AG (London)	COP	3,338,800,500	USD	1,137,000		1,150,971		10/31/16		13,971
	EUR	1,307,477	PLN	5,633,983		1,474,453		12/21/16		3,342
	IDR	45,657,825,710	USD	3,448,476		3,491,834		11/08/16		43,358
	KRW	6,079,394,430	USD	5,413,000		5,518,802		10/04/16		105,802
	KRW	6,212,435,090	USD	5,546,000		5,638,119		10/20/16		92,119
	PLN	10,649,012	EUR	2,451,000		2,780,605		12/21/16		16,591
	TWD	87,922,513	USD	2,773,000		2,814,374		10/24/16		41,374
HSBC Bank PLC	KRW	3,086,687,306	USD	2,773,000		2,801,357		10/19/16		28,357
	MYR	22,140,650	USD	5,341,274		5,358,169		11/18/16		16,895
	USD	5,530,747	TWD	171,298,283		5,483,208		10/24/16		47,538
JPMorgan Chase Bank (London)	CNH	18,710,575	USD	2,774,000		2,789,646		12/21/16		15,646
	INR	180,347,577	USD	2,673,000		2,697,918		10/27/16		24,918
	INR	191,344,295	USD	2,851,000		2,859,897		11/03/16		8,897
	KRW	1,994,944,380	USD	1,804,000		1,810,987		10/04/16		6,987
	USD	20,019,864	MXN	374,972,045		19,292,403		10/20/16		727,461
	USD	2,811,000	ZAR	38,881,274		2,788,091		12/21/16		22,909
	ZAR	16,341,883	USD	1,147,000		1,171,841		12/21/16		24,841
Morgan Stanley & Co. International PLC	BRL	8,998,053	USD	2,733,000		2,763,451		10/04/16		30,451
	HUF	798,904,827	EUR	2,571,000		2,915,531		12/21/16		16,192
	IDR	32,934,738,000	USD	2,466,283		2,522,298		10/27/16		56,015
	MXN	325,720,218	USD	16,554,346		16,772,698		10/13/16		218,352
	RUB	164,725,162	USD	2,544,254		2,605,700		10/27/16		61,447
	USD	9,173,363	BRL	29,516,269		9,064,935		10/04/16		108,428
	USD	2,202,892	EUR	1,954,348		2,199,544		11/10/16		3,347
	ZAR	173,082,903	USD	11,895,405		12,411,398		12/21/16		515,993
Royal Bank of Canada	BRL	11,396,826	USD	3,480,000		3,500,154		10/04/16		20,154
	USD	2,851,000	BRL	9,267,404		2,822,115		11/03/16		28,885
	USD	4,581,686	SGD	6,244,380		4,580,443		12/21/16		1,244
Royal Bank of Scotland PLC	USD	2,733,000	MXN	50,536,969		2,582,635		12/21/16		150,365
Standard Chartered Bank	CNH	111,696,147	USD	16,595,000		16,653,296		12/21/16		58,296
	CZK	7,607,178	USD	314,243		316,587		10/27/16		2,344
	USD	2,476,341	EUR	2,195,396		2,470,836		11/10/16		5,505
	USD	18,181,237	SGD	24,727,937		18,138,693		12/21/16		42,543
State Street Bank and Trust (London)	EUR	489,464	CZK	13,084,352		556,665		06/21/17		2,816
UBS AG (London)	CZK	64,413,540	EUR	2,391,000		2,726,567		06/21/17		7,292
	INR	185,934,249	USD	2,762,000		2,781,881		10/26/16		19,881
	PLN	10,626,361	EUR	2,450,000		2,774,691		12/21/16		11,804
	PLN	56,779,491	USD	14,714,668		14,825,915		12/21/16		111,247
	TWD	44,016,146	USD	1,405,593		1,408,594		10/21/16		3,001
Westpac Banking Corp.	USD	114,779,416	EUR	101,767,883		114,535,913		11/10/16		243,502
TOTAL									$	5,467,460

The accompanying notes are an integral part of these financial statements. 65

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Loss
Bank of America Securities LLC	ARS	10,183,880	USD	659,578	$	658,575		10/13/16	$	(1,002	)
	MXN	227,143,323	USD	11,807,934		11,607,906		12/21/16		(200,028	)
	PLN	10,911,864	EUR	2,527,000		2,849,240		12/21/16		(481	)
	USD	2,762,000	TWD	86,465,791		2,767,745		10/24/16		(5,745	)
Barclays Bank PLC	PHP	223,381,414	USD	4,717,166		4,618,700		10/27/16		(98,466	)
	PHP	247,928,047	USD	5,168,937		5,118,145		11/18/16		(50,792	)
	USD	12,115,826	SGD	16,518,415		12,116,760		12/21/16		(933	)
	USD	8,857,000	ZAR	126,103,094		9,042,579		12/21/16		(185,579	)
BNP Paribas SA	ARS	74,340,187	USD	4,816,339		4,809,950		10/12/16		(6,388	)
	ARS	8,584,812	USD	560,183		554,879		10/14/16		(5,304	)
	ARS	10,556,208	USD	675,165		666,378		11/29/16		(8,787	)
	ARS	32,402,172	USD	2,063,833		2,033,077		12/12/16		(30,755	)
	EUR	2,040,000	PLN	8,813,657		2,300,526		12/21/16		(842	)
	MXN	417,574,496	USD	21,627,020		21,339,678		12/21/16		(287,342	)
	SGD	5,544,813	USD	4,082,000		4,067,289		12/21/16		(14,711	)
	USD	27,159,000	AED	100,272,386		27,289,817		12/07/16		(130,817	)
	USD	6,416,376	HUF	1,772,267,351		6,467,730		12/21/16		(51,354	)
	USD	1,837,535	KRW	2,038,010,208		1,850,082		10/04/16		(12,546	)
	USD	8,127,110	KRW	8,983,138,317		8,152,746		10/19/16		(25,636	)
Citibank NA (London)	ARS	15,178,298	USD	989,691		981,556		10/13/16		(8,135	)
	ARS	11,258,384	USD	726,816		722,455		10/28/16		(4,361	)
	ARS	22,473,143	USD	1,431,410		1,410,080		12/12/16		(21,331	)
	BRL	9,411,100	USD	2,867,000		2,865,874		11/03/16		(1,126	)
	COP	4,521,264,764	USD	1,559,245		1,557,839		11/03/16		(1,406	)
	MYR	1,596,640	USD	398,692		386,726		10/20/16		(11,966	)
	SGD	3,868,181	USD	2,844,000		2,837,429		12/21/16		(6,571	)
	TRY	8,370,269	USD	2,762,000		2,743,676		12/21/16		(18,324	)
	USD	9,143,287	KRW	10,373,058,571		9,414,035		10/21/16		(270,748	)
	USD	2,805,000	KRW	3,097,477,350		2,810,994		10/26/16		(5,994	)
	USD	16,310,080	MXN	319,041,414		16,428,779		10/13/16		(118,698	)
	USD	2,774,000	RUB	182,544,457		2,891,866		10/21/16		(117,866	)
	USD	3,859,660	TWD	122,138,941		3,909,632		10/24/16		(49,972	)
	USD	15,208,328	TWD	475,564,424		15,253,531		11/22/16		(45,203	)
Credit Suisse International (London)	COP	4,659,664,460	USD	1,606,000		1,605,265		11/04/16		(735	)
	USD	2,831,000	RUB	181,730,949		2,875,417		10/26/16		(44,417	)
Deutsche Bank AG (London)	ARS	13,137,668	USD	842,158		832,402		11/22/16		(9,756	)
	BRL	9,028,527	USD	2,811,000		2,772,810		10/04/16		(38,190	)
	MYR	22,140,650	USD	5,478,325		5,365,089		10/07/16		(113,236	)
	PEN	9,339,244	USD	2,763,000		2,757,073		10/12/16		(5,927	)
	USD	2,728,000	ILS	10,276,376		2,748,350		12/21/16		(20,350	)
	USD	2,767,000	KRW	3,103,875,886		2,816,845		10/24/16		(49,845	)
	USD	508,200	THB	17,618,268		508,308		10/20/16		(108	)
HSBC Bank PLC	MXN	55,882,826	USD	2,861,000		2,855,829		12/21/16		(5,171	)
	MYR	11,418,514	USD	2,774,177		2,764,061		11/09/16		(10,117	)
	TWD	85,483,344	USD	2,747,000		2,733,354		10/11/16		(13,646	)
	USD	2,080,732	INR	140,428,606		2,100,748		10/27/16		(20,016	)
	USD	5,413,000	KRW	6,036,328,602		5,479,708		10/04/16		(66,708	)
	USD	3,237,013	KRW	3,627,397,020		3,292,032		10/21/16		(55,019	)
	USD	5,363,984	KRW	5,993,983,915		5,439,691		10/24/16		(75,707	)
	USD	5,347,983	MYR	22,140,650		5,365,089		10/07/16		(17,106	)
	USD	5,524,000	TWD	173,043,719		5,537,703		10/21/16		(13,703	)
JPMorgan Chase Bank (London)	BRL	18,070,277	USD	5,598,777		5,549,681		10/04/16		(49,096	)

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

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Loss
JPMorgan Chase Bank (London) (continued)	MXN	52,109,158	USD	2,763,000	$	2,662,980		12/21/16	$	(100,020	)
	MYR	30,139,866	USD	7,460,917		7,300,248		10/20/16		(160,669	)
	PHP	257,856,795	USD	5,384,880		5,335,360		10/17/16		(49,520	)
	SGD	7,519,357	USD	5,524,000		5,515,677		12/21/16		(8,323	)
	TRY	8,551,778	USD	2,835,000		2,803,172		12/21/16		(31,828	)
Morgan Stanley & Co. International PLC	BRL	43,941,056	USD	13,441,102		13,380,957		11/03/16		(60,145	)
	HKD	4,045,618	USD	521,995		521,840		11/17/16		(155	)
	USD	4,195,020	BRL	13,898,939		4,232,513		11/03/16		(37,494	)
	USD	2,278,026	EUR	2,028,961		2,283,519		11/10/16		(5,494	)
	USD	2,747,000	RUB	178,277,553		2,831,285		10/11/16		(84,285	)
	USD	2,811,000	RUB	180,603,377		2,856,869		10/27/16		(45,869	)
	USD	8,593,921	TWD	268,276,447		8,604,855		11/22/16		(10,934	)
Royal Bank of Scotland PLC	MXN	472,998,364	USD	25,109,080		24,172,053		12/21/16		(937,028	)
	TRY	8,401,368	USD	2,805,000		2,753,870		12/21/16		(51,130	)
	USD	5,522,000	MXN	108,967,752		5,568,675		12/21/16		(46,675	)
Standard Chartered Bank	CNH	36,825,457	USD	5,493,000		5,490,478		12/21/16		(2,522	)
State Street Bank and Trust (London)	CZK	66,280,060	EUR	2,470,371		2,805,575		06/21/17		(3,968	)
UBS AG (London)	EUR	448,000	PLN	1,935,593		505,214		12/21/16		(197	)
	MXN	52,532,090	USD	2,763,000		2,684,594		12/21/16		(78,406	)
	MYR	14,548,799	USD	3,624,333		3,524,018		10/19/16		(100,316	)
	MYR	17,339,129	USD	4,216,509		4,198,761		10/27/16		(17,749	)
	MYR	13,515,151	USD	3,323,779		3,271,590		11/09/16		(52,189	)
	PLN	13,035,750	EUR	3,023,000		3,403,816		12/21/16		(5,248	)
	USD	48,743,915	EUR	43,228,212		48,748,834		12/21/16		(4,918	)
	USD	4,282,231	KRW	4,746,425,350		4,307,670		10/19/16		(25,439	)
	USD	1,404,024	TWD	44,016,146		1,406,963		10/07/16		(2,940	)
	USD	6,442,215	TWD	203,574,006		6,524,111		11/10/16		(81,895	)
Westpac Banking Corp.	USD	8,842,510	CNH	59,474,725		8,867,362		12/21/16		(24,851	)
	USD	3,710,953	EUR	3,321,932		3,738,709		11/10/16		(27,757	)
TOTAL									$	(4,466,026	)

FUTURES CONTRACTS — At September 30, 2016, the Fund had the following futures contracts:

Type	Number of Contracts Long (Short)		Expiration Date	Current Value		Unrealized Gain (Loss)
Ultra Long U.S. Treasury Bonds		218	December 2016	$	40,084,750	$	(626,012	)
2 Year U.S. Treasury Notes		223	December 2016		48,718,531		60,585
5 Year U.S. Treasury Notes		580	December 2016		70,479,063		244,207
10 Year U.S. Treasury Notes		450	December 2016		59,006,250		70,375
20 Year U.S. Treasury Bonds		411	December 2016		69,112,219		(715,624	)
TOTAL						$	(966,469	)

The accompanying notes are an integral part of these financial statements. 67

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION (continued)

SWAP CONTRACTS — At September 30, 2016, the Fund had the following swap contracts:

OVER THE COUNTER INTEREST RATE SWAP CONTRACTS

						Rates Exchanged				Market Value
Counterparty	Notional Amount(a) (000s)			Termination Date		Payments Received		Payments Made		Upfront Payments Made (Received)		Unrealized Gain (Loss)
Bank of America Securities LLC		BRL	100,350		01/02/17		1 month Brazilian Interbank Deposit Average		14.220%	$	—	$	(43,690	)
		KRW	7,739,660		11/04/17		2.060%		3 month KWCDC		—		69,102
		MYR	28,040		09/21/21		3 month KLIBOR		3.700		5,538		(86,020	)
		MXN	14,640		03/03/26		6.930		Mexico Interbank TIIE 28 Days		—		31,860
Citibank NA		BRL	10,940		01/02/17		15.740		1 month Brazilian Interbank Deposit Average		—		51,875
		KRW	4,820,980		03/07/17		2.875		3 month KWCDC		—		34,063
			18,832,760		10/06/17		2.239		3 month KWCDC		—		204,851
			4,044,740		10/14/17		2.240		3 month KWCDC		—		44,070
		BRL	8,360		01/02/18		14.460		1 month Brazilian Interbank Deposit Average		—		62,686
		MYR	18,970		09/17/18		3 month KLIBOR		3.830		—		(48,156	)
			11,920		09/24/18		3 month KLIBOR		3.785		—		(27,207	)
			20,280		11/19/18		3 month KLIBOR		3.915		—		(61,961	)
			9,040		11/21/18		3 month KLIBOR		3.960		—		(30,975	)
		KRW	2,069,140		08/16/23		3 month KWCDC		3.485		—		(292,301	)
		MYR	14,950		11/15/23		3 month KLIBOR		4.450		—		(196,289	)
Deutsche Bank AG		KRW	4,252,430		03/03/17		2.850		3 month KWCDC		—		29,147
		MYR	19,420		09/13/18		3 month KLIBOR		3.920		—		(56,394	)
		MXN	60,090		09/25/18		Mexico interbank TIIE 28 Days		5.180		—		34,298
		MYR	16,090		11/14/18		3 month KLIBOR		3.880		—		(48,420	)
		BRL	25,000		01/02/23		14.558		1 month Brazilian Interbank Deposit Average		—		752,124
		MYR	5,830		08/14/23		3 month KLIBOR		4.490		—		(79,109	)
JPMorgan Securities, Inc.		KRW	38,314,470		03/05/17		2.889		3 month KWCDC		—		273,833
		MYR	11,150		12/11/18		3 month KLIBOR		3.972		—		(39,250	)
			6,450		08/15/23		3 month KLIBOR		4.520		—		(90,477	)
		KRW	2,607,840		08/19/23		3 month KWCDC		3.563		—		(382,156	)
		MYR	9,260		09/26/23		3 month KLIBOR		4.330		—		(101,733	)
		KRW	1,936,610		01/15/24		3 month KWCDC		3.445		—		(287,422	)
Morgan Stanley & Co. International PLC			767,460		10/13/17		2.250		3 month KWCDC		—		8,406
			3,709,820		10/14/17		2.245		3 month KWCDC		—		40,632
			3,709,830		10/14/17		2.250		3 month KWCDC		—		40,843
		MYR	23,990		11/20/18		3 month KLIBOR		3.934		—		(78,886	)
			12,480		01/12/21		3 month KLIBOR		4.195		—		(98,487	)
TOTAL										$	5,538	$	(371,143	)

(a) Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to September 30, 2016.

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

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

ADDITIONAL INVESTMENT INFORMATION (continued)

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS

				Rates Exchanged				Market Value
Notional Amount (000s)(a)		Termination Date		Payments Received		Payments Made		Upfront Payments Made (Received)			Unrealized Gain (Loss)
PLN	287,230		09/21/18		1.614%		6 month WIBOR	$	(23,676	)	$	(149,109	)
MXN	103,600		09/25/18		Mexico Interbank TIIE 28 Days		5.190%		17			58,387
EUR	18,200		12/21/18		6 month EURO		0.000		(86,283	)		(5,688	)
	4,500		12/21/19		6 month EURO		0.000		(31,864	)		(205	)
	20,410		12/21/21		6 month EURO		0.250		(377,488	)		(62,433	)
MXN	80,660		03/09/22		5.500		Mexico Interbank TIIE 28 Days		(91,657	)		(35,783	)
EUR	34,360		12/21/23		6 month EURO		0.500		(1,109,961	)		(182,973	)
	20,800		12/21/26		3 month LIBOR		1.750		(390,360	)		(130,832	)
EUR	30,150		12/21/26		6 month EURO		0.750		(1,240,267	)		(274,953	)
MXN	340,880		03/03/27		6.000		Mexico Interbank TIIE 28 Days		(411,949	)		(260,086	)
EUR	5,740		12/21/36		6 month EURO		1.250		(488,763	)		(151,218	)
	860		12/21/46		6 month EURO		1.250		(95,246	)		(33,440	)
	TOTAL							$	(4,347,497	)	$	(1,228,333	)

(a) Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to September 30, 2016.

OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS

												Market Value
Counterparty	Referenced Obligation	Notional Amount (000s)		Rates Received (Paid)			Termination Date		Credit Spread at September 30, 2016(b)			Upfront Payments Made (Received)			Unrealized Gain (Loss)
Protection Purchased:
Bank of America Securities LLC	People’s Republic of China 4.250% 10/28/17	$	1,100		(1.000	)%		03/20/19		0.509	%	$	(1,026	)	$	(12,545	)
			2,680		(1.000	)		06/20/19		0.559			(8,953	)		(23,708	)
	People’s Republic of China 7.500%, 10/28/27		9,500		(1.000	)		12/20/20		0.844			70,865			(134,570	)
			12,670		(1.000	)		06/20/21		0.959			130,423			(157,852	)
Barclays Bank PLC	People’s Republic of China 4.250%, 10/28/17		12,630		(1.000	)		03/20/19		0.509			(77,968	)		(77,853	)
			3,350		(1.000	)		09/20/19		0.600			(28,898	)		(11,431	)
	People’s Republic of China 7.500%, 10/28/27		14,440		(1.000	)		06/20/21		0.959			47,694			(78,955	)
Citibank NA	People’s Republic of China 4.250% 10/28/17		31,240		(1.000	)		03/20/19		0.509			(71,342	)		(314,075	)
			21,330		(1.000	)		06/20/19		0.559			(40,542	)		(219,413	)
	People’s Republic of China 7.500%, 10/28/27		20,690		(1.000	)		12/20/20		0.844			183,010			(321,751	)
			79,770		(1.000	)		06/20/21		0.959			493,302			(666,002	)

The accompanying notes are an integral part of these financial statements. 69

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION (continued)

OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS (continued)

												Market Value
Counterparty	Referenced Obligation	Notional Amount (000s)		Rates Received (Paid)			Termination Date		Credit Spread at September 30, 2016(b)			Upfront Payments Made (Received)			Unrealized Gain (Loss)
Deutsche Bank AG		$	5,280		(1.000	)%		12/20/20		0.844	%	$	40,942		$	(76,348	)
			28,030		(1.000	)		06/20/21		0.959			102,866			(163,551	)
			7,260		(1.000	)		12/20/21		1.066			24,942			(2,218	)
JPMorgan Securities, Inc.	People’s Republic of China 4.250% 10/28/17		10,100		(1.000	)		03/20/19		0.509			(30,775	)		(93,833	)
			2,690		(1.000	)		06/20/19		0.559			(8,326	)		(24,458	)
	People’s Republic of China 7.500%, 10/28/27		18,200		(1.000	)		12/20/20		0.844			113,374			(235,417	)
			24,990		(1.000	)		06/20/21		0.959			69,035			(123,136	)
Morgan Stanley & Co. International			2,430		(1.000	)		12/20/21		1.066			8,348			(742	)
UBS AG (London)			18,520		(1.000	)		06/20/21		0.959			80,680			(120,775	)
Protection Sold:
Barclays Bank PLC	Republic of Colombia, 10.375%, 01/28/2033		5,720		1.000	%		12/20/19		0.976	%		(152,943	)		159,010
	Federative Republic of Brazil, 4.250%, 01/07/2025		60		1.000			09/20/20		2.033			(5,781	)		3,445
			1,590		1.000			12/20/20		2.105			(145,651	)		75,408
Citibank NA	Republic of Chile, 3.875%, 08/05/2020		11,510		1.000			12/20/20		0.706			(132,560	)		275,417
	Republic of South Africa, 5.500%, 03/09/2020		4,090		1.000			12/20/20		2.105			(376,508	)		195,820
Morgan Stanley & Co. International PLC			2,960		1.000			12/20/20		2.105			(271,150	)		140,383
TOTAL												$	13,058		$	(2,009,150	)

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

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

GOLDMAN SACHS HIGH YIELD FUND

Schedule of Investments

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Bank Loans(a) – 2.2%
	Energy – 0.2%
	American Energy – Marcellus LLC (CCC-/Ca)
$	12,175,000		5.250	%		08/04/20	$	6,643,045
	American Energy – Marcellus LLC (CC/Ca)
	3,275,000		8.500			08/04/21		266,094
								6,909,139
	Energy – Exploration & Production – 0.0%
	Magnum Hunter Resources, Inc. (NR/NR)(d)(i)(j)
	985,305		8.000			05/06/19		955,746
	Entertainment & Leisure – 0.5%
	Lions Gate Entertainment Corp. (B+/Ba3)
	4,207,500		1.000			06/27/17		4,207,500
	14,917,500		1.000			06/27/17		14,917,500
								19,125,000
	Food & Beverages – 0.3%
	Shearer’s Foods, Inc. (CCC+/Caa1)
	12,250,000		7.750			06/30/22		11,086,250
	Health Care – Services – 0.2%
	MPH Acquisition Holdings LLC (B+/B1)
	8,921,902		5.000			06/07/23		9,029,232
	Media – Non Cable – 0.4%
	Getty Images, Inc. (CCC+/B3)
	16,349,349		4.750			10/18/19		13,638,136
	Retailers – 0.6%
	J Crew Group, Inc. (B-/B2)
	13,698,469		4.000			03/05/21		10,842,338
	Neiman Marcus Group Ltd., Inc. (B-/B2)
	7,163,265		4.250			10/25/20		6,581,250
	True Religion Apparel, Inc. (CCC/Caa2)
	8,250,750		5.875			07/30/19		3,300,300
	True Religion Apparel, Inc. (CC/Caa3)
	6,825,000		11.000			01/30/20		2,730,000
								23,453,888
	TOTAL BANK LOANS
	(Cost $103,278,731)						$	84,197,391
	Corporate Obligations – 92.1%
	Aerospace & Defense(b) – 0.3%
	TransDigm, Inc. (CCC+/B3)
$	5,650,000		6.000	%		07/15/22	$	5,974,875
	4,000,000		6.375	(c)		06/15/26		4,150,000
								10,124,875
	Airlines – 0.5%
	Air Canada (BB+/B2)(b)(c)
	1,855,000		8.750			04/01/20		2,005,116
	Continental Airlines 2012-3 Class C Pass Through Certificates (NR/Ba2)
	10,000,000		6.125			04/29/18		10,500,000
	Corporate Obligations – (continued)
	Airlines – (continued)
	VistaJet Malta Finance PLC/VistaJet Co. Finance LLC (CCC+/NR)(b)(c)
$	14,450,000		7.750	%		06/01/20	$	6,430,250
								18,935,366
	Automotive(d) – 0.0%
	General Motors Liquidation Co. (NR/NR)
	7,125,000		7.125			07/15/13		—
	2,000,000		7.700			04/15/16		—
	1,000,000		8.800			03/01/49		—
	14,500,000		8.375			07/15/49		—
								—
	Automotive Parts – 1.2%
	Allison Transmission, Inc. (NR/Ba3)(b)(c)
	5,800,000		5.000			10/01/24		5,945,000
	Gates Global LLC (B/Caa2)(b)(c)
	10,000,000		6.000			07/15/22		9,475,000
	IHO Verwaltungs GmbH (BB-/Ba1)(b)(c)(e)
	6,861,000		4.750			09/15/26		6,895,305
	Schaeffler Finance BV (BB+/Baa3)(b)(c)
	2,950,000		4.750			05/15/23		3,042,188
	The Goodyear Tire & Rubber Co. (BB/Ba3)(b)
	8,580,000		5.000			05/31/26		8,858,850
	ZF North America Capital, Inc. (BB+/Ba1)(c)
	6,300,000		4.500			04/29/22		6,678,000
	7,200,000		4.750			04/29/25		7,560,000
								48,454,343
	Banks – 2.8%
	Bank of America Corp. (BB+/Ba2)(b)(f)
	7,000,000		8.000			01/30/49		7,140,000
	1,830,000		8.125			05/15/49		1,875,750
	14,000,000		6.250			09/05/49		14,577,500
	Citigroup, Inc. (BB+/Ba2)(b)(f)
	3,800,000		6.300			05/15/49		3,885,500
	5,700,000		5.900			12/31/49		5,892,375
	Credit Suisse Group AG (BB/NR)(b)(c)(f)
	10,000,000		7.500			12/11/49		10,187,500
	Deutsche Bank AG (BB+/Ba2)
	1,650,000		4.500			04/01/25		1,496,621
	Intesa Sanpaolo SpA (BB/Ba1)(c)
	10,000,000		5.017			06/26/24		9,225,000
	5,700,000		5.710			01/15/26		5,386,500
	JPMorgan Chase & Co. (BBB-/Baa3)(b)(f)
	4,250,000		5.000			07/01/49		4,190,500
	6,790,000		6.000			08/01/49		7,087,063
	7,410,000		6.100			10/01/49		7,826,812
	Royal Bank of Scotland Group PLC (B/B1)(b)(f)
	2,850,000		8.625			08/15/49		2,821,500
	13,000,000		7.500			12/29/49		11,895,000
	Royal Bank of Scotland Group PLC (B+/B1)(b)(f)
	3,900,000		7.640			09/30/49		3,763,500
	UBS Group AG (BB+/NR)(b)(f)
	10,000,000		6.875			08/07/49		9,785,700
								107,036,821

The accompanying notes are an integral part of these financial statements. 71

GOLDMAN SACHS HIGH YIELD FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Building Materials – 2.3%
	American Builders & Contractors Supply Co., Inc. (B+/B3)(b)(c)
$	4,600,000		5.750	%		12/15/23	$	4,812,750
	Anixter, Inc. (BB/Ba3)
	6,500,000		5.500			03/01/23		6,808,750
	Atrium Windows & Doors, Inc. (B-/Caa1)(b)(c)
	9,350,000		7.750			05/01/19		8,461,750
	BMC East LLC (BB-/B3)(b)(c)
	3,050,000		5.500			10/01/24		3,057,625
	Boise Cascade Co. (BB-/B1)(b)(c)
	2,200,000		5.625			09/01/24		2,233,000
	Broadspectrum Ltd. (BB-/Ba3)(b)(c)
	1,160,000		8.375			05/15/20		1,241,200
	Builders FirstSource, Inc. (B+/B3)(b)(c)
	7,000,000		5.625			09/01/24		7,175,000
	Cemex SAB de CV (B+/NR)(b)(c)
	3,000,000		6.125			05/05/25		3,082,500
	5,000,000		7.750			04/16/26		5,510,000
	Gibraltar Industries, Inc. (BB-/B2)(b)
	5,000,000		6.250			02/01/21		5,162,500
	Masco Corp. (BBB/Ba2)(b)
	5,550,000		4.375			04/01/26		5,855,250
	Masonite International Corp. (BB/B1)(b)(c)
	6,950,000		5.625			03/15/23		7,297,500
	Summit Materials LLC/Summit Materials Finance Corp. (B/Caa1)(b)
	20,000,000		6.125			07/15/23		20,400,000
	Zachry Holdings, Inc. (B+/B2)(b)(c)
	8,400,000		7.500			02/01/20		8,505,000
								89,602,825
	Chemicals – 1.5%
	Axalta Coating Systems LLC (B+/B1)(b)(c)
	5,900,000		4.875			08/15/24		6,047,500
	Huntsman International LLC (B/B1)(b)
	2,000,000		4.875	(g)		11/15/20		2,085,000
EUR	2,500,000		5.125			04/15/21		2,930,594
	LyondellBasell Industries NV (NR/NR)(d)(f)
	2,250,000		1.000			08/15/15		530,782
	Momentive Performance Materials, Inc. (NR/NR)(b)(d)
$	3,110,000		8.875			10/15/20		—
	Nell AF SARL (NR/NR)(c)
	10,625,000		8.375			12/30/49		1,912,500
	PolyOne Corp. (BB-/Ba3)
	4,000,000		5.250			03/15/23		4,140,000
	PQ Corp. (B+/B2)(b)(c)
	5,850,000		6.750			11/15/22		6,215,625
	Valvoline, Inc. (B+/Ba3)(b)(c)
	4,150,000		5.500			07/15/24		4,316,000
	Versum Materials, Inc. (BB-/Ba3)(b)(c)
	15,810,000		5.500			09/30/24		16,284,300
	WR Grace & Co. (BB+/Ba3)(c)
	6,000,000		5.125			10/01/21		6,375,000
	8,000,000		5.625			10/01/24		8,620,000
								59,457,301
	Corporate Obligations – (continued)
	Conglomerates(b) – 0.4%
	Park-Ohio Industries, Inc. (B-/B3)
$	15,000,000		8.125	%		04/01/21	$	15,375,000
	Construction Machinery(b) – 0.9%
	ATS Automation Tooling Systems, Inc. (B+/B2)(c)
	10,250,000		6.500			06/15/23		10,534,950
	Manitowoc Foodservice, Inc. (B/Caa1)
	3,450,000		9.500			02/15/24		3,885,563
	Milacron LLC/Mcron Finance Corp. (B-/Caa1)(c)
	9,000,000		7.750			02/15/21		9,360,000
	Shape Technologies Group, Inc. (B/B2)(c)
	11,350,000		7.625			02/01/20		11,562,812
								35,343,325
	Consumer Cyclical Services(b)(c) – 0.3%
	IHS Markit Ltd. (BB+/Ba1)
	10,000,000		5.000			11/01/22		10,625,000
	Consumer Products – Household & Leisure(b) – 0.2%
	Spectrum Brands, Inc. (BB-/B2)
	6,915,000		6.625			11/15/22		7,485,488
	Consumer Products – Industrial(b) – 0.7%
	HD Supply, Inc. (B/B3)(c)
	8,945,000		5.750			04/15/24		9,392,250
	HD Supply, Inc. (BB/B1)(c)
	9,000,000		5.250			12/15/21		9,562,500
	WESCO Distribution, Inc. (BB-/B1)
	8,000,000		5.375			12/15/21		8,200,000
								27,154,750
	Consumer Products – Non Durable – 1.2%
	Acosta, Inc. (CCC+/Caa1)(b)(c)
	10,000,000		7.750			10/01/22		8,225,000
	Constellation Brands, Inc. (BB+/Ba1)
	11,000,000		4.250			05/01/23		11,632,500
	6,000,000		4.750			11/15/24		6,480,000
	Prestige Brands, Inc. (B/Caa1)(b)(c)
	6,850,000		5.375			12/15/21		7,089,750
	3,350,000		6.375			03/01/24		3,551,000
	Sally Holdings LLC/Sally Capital, Inc. (BB+/Ba2)(b)
	10,000,000		5.625			12/01/25		10,737,500
								47,715,750
	Emerging Markets(b)(c) – 1.0%
	Digicel Group Ltd. (NR/Caa1)
	11,800,000		8.250			09/30/20		10,251,250
	5,000,000		7.125			04/01/22		3,848,500
	Digicel Ltd. (NR/B1)
	5,000,000		7.000			02/15/20		4,793,750
	22,000,000		6.750			03/01/23		19,470,000
								38,363,500
	Energy – Exploration & Production – 6.0%
	Antero Resources Corp. (BB/Ba3)(b)
	1,000,000		6.000			12/01/20		1,032,500
	10,000,000		5.375			11/01/21		10,125,000
	3,800,000		5.125			12/01/22		3,819,000
	5,950,000		5.625			06/01/23		6,054,125

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

GOLDMAN SACHS HIGH YIELD FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Energy – Exploration & Production – (continued)
	Berry Petroleum Co. LLC (NR/WR)(b)(d)
$	2,050,000		6.750	%		11/01/20	$	1,127,500
	15,510,000		6.375			09/15/22		8,530,500
	California Resources Corp. (CCC+/Caa3)(b)(c)
	6,000,000		8.000			12/15/22		3,960,000
	California Resources Corp. (D/Ca)(b)
	8,023,000		6.000			11/15/24		3,830,982
	Carrizo Oil & Gas, Inc. (B+/B3)(b)
	4,000,000		7.500			09/15/20		4,130,000
	Chaparral Energy, Inc. (NR/WR)(b)(d)
	7,000,000		9.875			10/01/20		4,777,500
	10,000,000		7.625			11/15/22		6,775,000
	Chesapeake Energy Corp. (B/Caa2)(b)(c)
	4,950,000		8.000			12/15/22		5,011,875
	Chesapeake Energy Corp. (D/Caa3)
	2,943,000		6.125			02/15/21		2,692,845
	11,100,000		5.750			03/15/23		9,435,000
	Concho Resources, Inc. (BB+/Ba2)(b)
	5,450,000		5.500			10/01/22		5,640,750
	1,000,000		5.500			04/01/23		1,032,500
	Continental Resources, Inc. (BB+/Ba3)(b)
	1,550,000		7.125			04/01/21		1,600,375
	10,000,000		5.000			09/15/22		9,987,500
	4,900,000		4.500			04/15/23		4,716,250
	CrownRock LP/CrownRock Finance, Inc. (B+/B3)(b)(c)
	8,000,000		7.125			04/15/21		8,360,000
	Halcon Resources Corp. (B-/NR)(b)(c)
	300,000		12.000			02/15/22		300,000
	Halcon Resources Corp. (B-/WR)(b)(c)
	10,080,000		8.625			02/01/20		10,105,200
	Laredo Petroleum, Inc. (B-/B3)(b)
	8,400,000		5.625			01/15/22		8,148,000
	6,000,000		7.375			05/01/22		6,165,000
	6,000,000		6.250			03/15/23		5,850,000
	MEG Energy Corp. (BB-/Caa3)(b)(c)
	2,350,000		6.500			03/15/21		1,915,250
	5,000,000		6.375			01/30/23		3,950,000
	Oasis Petroleum, Inc. (B+/Caa1)(b)
	9,950,000		6.875			03/15/22		9,477,375
	Range Resources Corp. (BB+/B1)(b)
	6,950,000		4.875			05/15/25		6,672,000
	Rice Energy, Inc. (B-/B3)(b)
	3,283,000		6.250			05/01/22		3,389,698
	6,900,000		7.250			05/01/23		7,322,625
	Samson Investment Co. (NR/WR)(b)(d)
	20,000,000		9.750			02/15/20		800,000
	Sanchez Energy Corp. (B-/Caa2)(b)
	5,000,000		6.125			01/15/23		4,000,000
	Seven Generations Energy Ltd. (B/Ba3)(b)(c)
	8,200,000		6.875			06/30/23		8,569,000
	SM Energy Co. (B+/B3)(b)
	8,000,000		6.500			11/15/21		8,140,000
	4,000,000		6.750			09/15/26		4,040,000
	Whiting Petroleum Corp. (B+/NR)(b)
	5,760,000		5.750			03/15/21		5,904,000
	5,040,000		6.250			04/01/23		5,115,600
	Corporate Obligations – (continued)
	Energy – Exploration & Production – (continued)
	Whiting Petroleum Corp. (B+/Caa1)(b)
$	12,000,000		5.000	%		03/15/19	$	11,610,000
	WPX Energy, Inc. (B/B3)(b)
	7,000,000		8.250			08/01/23		7,516,250
	YPF SA (NR/B3)(c)
	9,000,000		8.500			03/23/21		9,945,000
								231,574,200
	Energy – Services – 2.1%
	CVR Refining LLC/Coffeyville Finance, Inc. (BB-/B1)(b)
	5,249,000		6.500			11/01/22		4,724,100
	Ensco PLC (BBB-/B1)(b)
	2,000,000		4.500			10/01/24		1,440,000
	6,000,000		5.750			10/01/44		3,664,110
	FTS International, Inc. (B/B3)(b)(c)(f)
	5,200,000		8.350			06/15/20		4,368,000
	Noble Holding International Ltd. (BB+/B1)
	6,450,000		4.900			08/01/20		5,482,500
	5,150,000		6.950	(b)		04/01/25		4,068,500
	Pride International, Inc. (BBB-/B1)
	6,000,000		6.875			08/15/20		5,925,000
	Rowan Cos., Inc. (BB/B1)
	1,848,000		7.875			08/01/19		1,972,740
	1,350,000		4.875	(b)		06/01/22		1,140,750
	2,650,000		4.750	(b)		01/15/24		2,159,750
	7,000,000		5.400	(b)		12/01/42		4,655,000
	Sunoco LP/Sunoco Finance Corp. (BB-/Ba3)(b)(c)
	8,150,000		5.500			08/01/20		8,211,125
	4,850,000		6.250			04/15/21		4,995,500
	6,000,000		6.375			04/01/23		6,165,000
	Transocean, Inc. (BB-/Caa1)
	750,000		6.375			12/15/21		716,250
	3,300,000		5.050	(b)		10/15/22		2,590,500
	15,700,000		7.500			04/15/31		10,833,000
	1,350,000		6.800			03/15/38		874,125
	Weatherford International Ltd. (BB-/B2)
	10,000,000		6.500			08/01/36		7,100,000
								81,085,950
	Entertainment & Leisure(b) – 0.4%
	AMC Entertainment, Inc. (B/B2)
	4,850,000		5.750			06/15/25		4,910,625
	Carmike Cinemas, Inc. (BB/B1)(c)
	3,950,000		6.000			06/15/23		4,117,875
	Cinemark USA, Inc. (BB/B2)
	5,850,000		4.875			06/01/23		5,879,250
								14,907,750
	Environmental(b) – 0.3%
	Advanced Disposal Services, Inc. (CCC+/Caa2)
	11,000,000		8.250			10/01/20		11,522,500
	Finance – 4.6%
	Aircastle Ltd. (BB+/Ba1)
	800,000		5.500			02/15/22		864,000
	4,400,000		5.000			04/01/23		4,598,000

The accompanying notes are an integral part of these financial statements. 73

GOLDMAN SACHS HIGH YIELD FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Finance – (continued)
	Ally Financial, Inc. (BB+/NR)
$	5,550,000		3.600	%		05/21/18	$	5,633,250
	Ally Financial, Inc. (BB+/Ba3)
	7,450,000		6.250			12/01/17		7,775,938
	3,050,000		3.500			01/27/19		3,065,250
	2,500,000		5.125			09/30/24		2,650,000
	15,000,000		8.000			11/01/31		18,450,000
	CIT Group, Inc. (BB+/Ba3)
	20,000,000		5.500	(c)		02/15/19		21,100,000
	9,500,000		5.000			08/15/22		10,070,000
	HRG Group, Inc. (BB-/Ba3)(b)
	5,000,000		7.875			07/15/19		5,268,750
	International Lease Finance Corp. (BBB-/Ba1)
	10,000,000		5.875			04/01/19		10,712,500
	Jefferies LoanCore LLC/JLC Finance Corp. (B/B1)(b)(c)
	5,000,000		6.875			06/01/20		4,568,750
	Nationstar Mortgage LLC/Nationstar Capital Corp. (B+/B2)(b)
	10,950,000		6.500			08/01/18		11,127,937
	5,000,000		7.875			10/01/20		5,075,000
	7,000,000		6.500			07/01/21		6,912,500
	Navient Corp. (BB-/Ba3)
	15,000,000		5.500			01/15/19		15,255,810
	11,150,000		4.875			06/17/19		11,143,310
	6,000,000		5.875			03/25/21		5,998,578
	2,850,000		6.625			07/26/21		2,861,158
	5,000,000		6.125			03/25/24		4,662,670
	Rialto Holdings LLC/Rialto Corp. (B/B1)(b)(c)
	11,300,000		7.000			12/01/18		11,469,500
	Speedy Cash Intermediate Holdings Corp. (B-/Caa1)(b)(c)
	5,900,000		10.750			05/15/18		4,189,000
	Synovus Financial Corp. (BBB-/Ba1)
	5,000,000		7.875			02/15/19		5,537,500
								178,989,401
	Food – 1.9%
	FAGE International SA/FAGE USA Dairy Industry, Inc. (BB-/B1)(b)(c)
	2,050,000		5.625			08/15/26		2,116,625
	Performance Food Group, Inc. (BB-/B2)(b)(c)
	11,700,000		5.500			06/01/24		12,109,500
	Post Holdings, Inc. (B/B3)(b)(c)
	400,000		6.750			12/01/21		429,000
	5,200,000		6.000			12/15/22		5,512,000
	4,650,000		8.000			07/15/25		5,318,438
	12,635,000		5.000			08/15/26		12,571,825
	R&R Ice Cream PLC (NR/B2)(b)
AUD	4,900,000		8.250			05/15/20		3,904,911
	Shearer’s Foods LLC/Chip Finance Corp. (B/B1)(b)(c)
$	6,957,000		9.000			11/01/19		7,287,457
	The WhiteWave Foods Co. (BB-/B1)
	5,200,000		5.375			10/01/22		5,928,000
	US Foods, Inc. (B/B3)(b)(c)
	9,150,000		5.875			06/15/24		9,516,000
	Wells Enterprises, Inc. (B+/B2)(b)(c)
	8,750,000		6.750			02/01/20		9,034,375
								73,728,131
	Corporate Obligations – (continued)
	Gaming – 4.9%
	Boyd Gaming Corp. (B/B3)(b)(c)
$	5,550,000		6.375	%		04/01/26	$	5,938,500
	GLP Capital LP/GLP Financing II, Inc. (BB+/Ba1)
	9,600,000		5.375			04/15/26		10,344,000
	KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC (BB/B1)(b)(c)
	4,490,000		5.000			06/01/24		4,692,050
	10,640,000		5.250			06/01/26		11,251,800
	MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. (BB-/B2)(b)(c)
	4,500,000		5.625			05/01/24		4,843,125
	7,300,000		4.500			09/01/26		7,290,875
	MGM Resorts International (BB-/B1)
	17,000,000		6.750			10/01/20		19,040,000
	21,000,000		6.625			12/15/21		23,598,750
	13,000,000		7.750			03/15/22		15,031,250
	700,000		6.000			03/15/23		756,000
	Mohegan Tribal Gaming Authority (CCC/B3)(b)
	6,600,000		9.750			09/01/21		7,119,750
	Mohegan Tribal Gaming Authority (CCC+/B3)(b)(c)
	15,300,000		7.875			10/15/24		15,280,875
	New Red Finance, Inc. (B+/Ba3)(b)(c)
	11,000,000		4.625			01/15/22		11,440,000
	New Red Finance, Inc. (B-/B3)(b)(c)
	10,000,000		6.000			04/01/22		10,475,000
	Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. (B/B2)(b)(c)
	9,550,000		6.125			08/15/21		9,812,625
	Scientific Games International, Inc. (B-/Caa1)(b)
	21,050,000		10.000			12/01/22		19,366,000
	Seminole Hard Rock Entertainment, Inc. (BB-/B2)(b)(c)
	9,200,000		5.875			05/15/21		9,280,500
	Yum! Brands, Inc. (B+/B2)(b)
	5,900,000		5.350			11/01/43		5,074,000
								190,635,100
	Health Care – Medical Products(c) – 0.3%
	Fresenius Medical Care US Finance II, Inc. (BB+/Ba2)
	6,000,000		5.875			01/31/22		6,780,000
	3,020,000		4.750	(b)		10/15/24		3,186,100
								9,966,100
	Health Care – Pharmaceuticals(b)(c) – 1.8%
	Concordia International Corp. (CCC+/Caa2)
	5,000,000		7.000			04/15/23		3,200,000
	Endo Ltd./Endo Finance LLC/Endo Finco, Inc. (B/B3)
	10,650,000		6.000			07/15/23		9,718,125

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

GOLDMAN SACHS HIGH YIELD FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Health Care – Pharmaceuticals(b)(c) – (continued)
	Valeant Pharmaceuticals International, Inc. (B-/B3)
$	13,000,000		5.375	%		03/15/20	$	12,025,000
	8,000,000		6.375			10/15/20		7,520,000
	7,000,000		7.500			07/15/21		6,755,000
	5,000,000		5.625			12/01/21		4,450,000
	3,000,000		7.250			07/15/22		2,775,000
	400,000		5.500			03/01/23		341,000
	27,000,000		5.875			05/15/23		23,321,250
								70,105,375
	Health Care – Services – 4.5%
	Centene Corp. (BB/Ba2)(b)
	10,900,000		5.625			02/15/21		11,567,625
	6,550,000		6.125			02/15/24		7,074,000
	CHS/Community Health Systems, Inc. (BB-/Ba3)(b)
	3,000,000		5.125			08/15/18		3,018,750
	CHS/Community Health Systems, Inc. (CCC+/Caa1)(b)
	5,000,000		8.000			11/15/19		4,918,750
	550,000		6.875			02/01/22		474,375
	HCA, Inc. (B+/B1)
	11,000,000		7.500			02/15/22		12,622,500
	HCA, Inc. (BBB-/Ba1)
	30,400,000		6.500			02/15/20		33,668,000
	5,000,000		4.750			05/01/23		5,212,500
	20,000,000		5.000			03/15/24		21,100,000
	20,000,000		5.250			04/15/25		21,325,000
	MEDNAX, Inc. (BBB-/Ba2)(b)(c)
	9,750,000		5.250			12/01/23		10,249,687
	MPH Acquisition Holdings LLC (B-/Caa1)(b)(c)
	2,250,000		7.125			06/01/24		2,418,750
	MPT Operating Partnership LP/MPT Finance Corp. (BBB-/Ba1)(b)
	2,000,000		6.375			03/01/24		2,170,000
	1,650,000		5.250			08/01/26		1,711,875
	Quintiles Transnational Corp. (BB+/Ba3)(b)(c)
	2,200,000		4.875			05/15/23		2,266,000
	Tenet Healthcare Corp. (BB-/Ba3)(b)(f)
	16,650,000		4.350			06/15/20		16,650,000
	Tenet Healthcare Corp. (CCC+/Caa1)
	1,500,000		5.000			03/01/19		1,470,000
	18,900,000		6.750			06/15/23		17,577,000
								175,494,812
	Home Construction – 2.2%
	Beazer Homes USA, Inc. (B-/B3)(b)
	6,000,000		7.500			09/15/21		5,955,000
	5,750,000		8.750	(c)		03/15/22		6,051,875
	5,000,000		7.250			02/01/23		4,962,500
	Brookfield Residential Properties, Inc. (B+/B1)(b)(c)
	3,000,000		6.500			12/15/20		3,090,900
	5,000,000		6.125			07/01/22		5,051,500
	4,000,000		6.375	(g)		05/15/25		4,001,200
	Calatlantic Group, Inc. (BB/Ba2)(b)
	7,450,000		6.250			12/15/21		8,195,000
	Century Communities, Inc. (B/B3)(b)
	5,075,000		6.875			05/15/22		5,113,063
	Corporate Obligations – (continued)
	Home Construction – (continued)
	D.R. Horton, Inc. (BBB-/Ba1)(b)
$	2,000,000		4.375	%		09/15/22	$	2,140,000
	5,000,000		4.750			02/15/23		5,425,000
	3,650,000		5.750			08/15/23		4,179,250
	Lennar Corp. (BB/Ba1)(b)
	8,000,000		4.750			11/15/22		8,260,000
	4,800,000		4.875			12/15/23		4,920,000
	Toll Brothers Finance Corp. (BB+/Ba1)(b)
	7,650,000		4.375			04/15/23		7,889,062
	TRI Pointe Group, Inc./TRI Pointe Homes, Inc. (BB-/B1)
	1,350,000		4.375			06/15/19		1,383,750
	8,000,000		5.875			06/15/24		8,320,000
	William Lyon Homes, Inc. (B-/B3)(b)
	400,000		7.000			08/15/22		410,000
								85,348,100
	Life Insurance(b)(c) – 0.3%
	Fidelity & Guaranty Life Holdings, Inc. (BB-/Ba3)
	10,000,000		6.375			04/01/21		9,975,000
	Lodging(b)(c)(e) – 0.1%
	New Cotai LLC/New Cotai Capital Corp. (NR/NR)
	9,166,523		10.625			05/01/19		4,498,281
	Machinery(b) – 0.5%
	AECOM (BB/Ba3)
	5,000,000		5.875			10/15/24		5,337,500
	Cortes NP Acquisition Corp. (B/B3)(c)
	6,050,000		9.250			10/15/24		6,050,000
	EnPro Industries, Inc. (BB-/B1)
	4,450,000		5.875			09/15/22		4,616,875
	Oshkosh Corp. (BB+/Ba3)
	4,400,000		5.375			03/01/25		4,614,500
								20,618,875
	Media – Broadcasting & Radio(b) – 3.2%
	AMC Networks, Inc. (BB/Ba3)
	14,150,000		5.000			04/01/24		14,238,437
	Gray Television, Inc. (B+/B2)(c)
	2,000,000		5.125			10/15/24		1,960,000
	iHeartCommunications, Inc. (CC/NR)(e)
	3,581,448		14.000			02/01/21		1,423,626
	iHeartCommunications, Inc. (CC/Ca)
	4,247,000		10.000			01/15/18		2,781,785
	iHeartCommunications, Inc. (CCC/Caa1)
	8,386,000		9.000			12/15/19		6,624,940
	15,750,000		10.625			03/15/23		11,733,750
	Nexstar Escrow Corp. (B+/B3)(c)
	6,150,000		5.625			08/01/24		6,180,750
	Sinclair Television Group, Inc. (B+/B1)(c)
	5,000,000		5.875			03/15/26		5,200,000
	3,850,000		5.125			02/15/27		3,763,375
	Sirius XM Radio, Inc. (BB/Ba3)(c)
	10,000,000		5.750			08/01/21		10,450,000
	7,000,000		6.000			07/15/24		7,437,500
	10,000,000		5.375			04/15/25		10,325,000
	Tribune Media Co. (BB-/B2)
	22,650,000		5.875			07/15/22		22,933,125

The accompanying notes are an integral part of these financial statements. 75

GOLDMAN SACHS HIGH YIELD FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Media – Broadcasting & Radio(b) – (continued)
	Univision Communications, Inc. (B+/B2)(c)
$	15,000,000		6.750	%		09/15/22	$	15,900,000
	1,450,000		5.125			05/15/23		1,468,125
	Univision Communications, Inc. (CCC+/Caa1)(c)
	1,448,000		8.500			05/15/21		1,498,680
								123,919,093
	Media – Cable – 6.8%
	Adelphia Communications Corp. (NR/WR)(d)
	2,000,000		10.250			06/15/49		—
	Altice US Finance I Corp. (BB-/Ba3)(b)(c)
	1,650,000		5.375			07/15/23		1,703,625
	24,500,000		5.500			05/15/26		25,173,750
	CCO Holdings LLC/CCO Holdings Capital Corp. (BB+/B1)(b)
	6,000,000		5.750			09/01/23		6,345,000
	18,900,000		5.875	(c)		04/01/24		20,128,500
	20,850,000		5.750	(c)		02/15/26		22,048,875
	2,800,000		5.500	(c)		05/01/26		2,926,000
	15,000,000		5.875	(c)		05/01/27		15,937,500
	Cequel Communications Holdings I LLC/Cequel Capital Corp. (B-/Caa1)(b)(c)
	5,250,000		7.750			07/15/25		5,709,375
	CSC Holdings LLC (B-/B2)
	8,900,000		6.750			11/15/21		9,411,750
	15,950,000		5.250			06/01/24		15,152,500
	CSC Holdings LLC (BB-/Ba1)(b)(c)
	15,450,000		5.500			04/15/27		15,797,625
	DISH DBS Corp. (B+/Ba3)
	5,000,000		6.750			06/01/21		5,387,500
	3,540,000		5.875			07/15/22		3,628,500
	19,000,000		5.875			11/15/24		18,833,750
	11,000,000		7.750	(c)		07/01/26		11,687,500
	Midcontinent Communications & Midcontinent Finance Corp. (B/B3)(b)(c)
	5,000,000		6.250			08/01/21		5,225,000
	SFR Group SA (B+/B1)(b)(c)
	33,000,000		6.000			05/15/22		33,577,500
	10,000,000		7.375			05/01/26		10,200,000
	UPCB Finance IV Ltd. (BB/Ba3)(b)(c)
	11,200,000		5.375			01/15/25		11,354,000
	Virgin Media Secured Finance PLC (BB-/Ba3)(b)(c)
	10,000,000		5.500			08/15/26		10,200,000
	VTR Finance BV (B+/B1)(b)(c)
	11,450,000		6.875			01/15/24		11,850,750
								262,279,000
	Media – Diversified – 0.5%
	Videotron Ltd. (BB/Ba2)
	10,000,000		5.000			07/15/22		10,425,000
	8,000,000		5.375	(b)(c)		06/15/24		8,320,000
								18,745,000
	Corporate Obligations – (continued)
	Media – Non Cable – 0.2%
	Netflix, Inc. (B+/B1)
$	5,000,000		5.500	%		02/15/22	$	5,381,250
	3,450,000		5.875			02/15/25		3,717,375
								9,098,625
	Metals – 2.6%
	AK Steel Corp. (BB-/B2)(b)
	6,950,000		7.500			07/15/23		7,384,375
	Alcoa, Inc. (BBB-/Ba1)
	9,025,000		6.150			08/15/20		9,950,063
	1,400,000		5.400	(b)		04/15/21		1,498,000
	17,946,000		5.125	(b)		10/01/24		19,090,057
	4,050,000		5.950			02/01/37		4,072,275
	ArcelorMittal (BB/Ba2)
	3,800,000		6.250			08/05/20		4,137,250
	10,450,000		6.000			03/01/21		11,586,437
	10,500,000		6.750			02/25/22		11,904,375
	BlueScope Steel Finance Ltd./BlueScope Steel Finance USA LLC (BB/Ba2)(b)(c)
	5,050,000		6.500			05/15/21		5,340,375
	Novelis Corp. (B/B2)(b)(c)
	4,800,000		6.250			08/15/24		5,100,000
	6,600,000		5.875			09/30/26		6,765,000
	Steel Dynamics, Inc. (BB+/Ba2)(b)
	5,000,000		5.125			10/01/21		5,200,000
	5,000,000		5.250			04/15/23		5,212,500
	United States Steel Corp. (BB-/B1)(b)(c)
	4,000,000		8.375			07/01/21		4,375,000
								101,615,707
	Mining – 3.0%
	Anglo American Capital PLC (BB/Ba2)(c)
	3,950,000		9.375			04/08/19		4,547,438
	5,000,000		3.625			05/14/20		4,987,500
	6,550,000		4.450			09/27/20		6,664,625
	6,650,000		4.125			04/15/21		6,575,187
	Cliffs Natural Resources, Inc. (CCC+/Caa2)(b)(c)
	4,013,000		7.750			03/31/20		3,752,155
	Cliffs Natural Resources, Inc. (CCC-/Caa2)
	3,187,000		5.900			03/15/20		2,744,804
	5,445,000		4.800			10/01/20		4,437,675
	First Quantum Minerals Ltd. (B-/Caa1)(b)(c)
	11,275,000		7.000			02/15/21		10,119,312
	FMG Resources (August 2006) Pty Ltd. (BB+/Ba1)(b)(c)
	10,000,000		9.750			03/01/22		11,575,000
	Freeport-McMoRan, Inc. (BB-/B1)
	7,800,000		2.300			11/14/17		7,741,500
	13,800,000		3.550	(b)		03/01/22		12,558,000
	17,000,000		5.450	(b)		03/15/43		13,685,000
	New Gold, Inc. (B+/B3)(b)(c)
	5,100,000		6.250			11/15/22		5,227,500

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

GOLDMAN SACHS HIGH YIELD FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Mining – (continued)
	Teck Resources Ltd. (B+/Caa1)(b)
$	6,450,000		4.500	%		01/15/21	$	6,369,375
	9,000,000		6.250			07/15/41		8,550,000
	8,450,000		5.200			03/01/42		7,267,000
	1,550,000		5.400			02/01/43		1,340,750
								118,142,821
	Packaging(b) – 2.2%
	ARD Finance SA (CCC+/Caa2)(c)(e)
	10,700,000		7.125			09/15/23		10,646,500
	Ardagh Packaging Finance PLC (CCC+/B3)(c)
	10,000,000		6.250			01/31/19		10,175,000
	7,822,000		7.250			05/15/24		8,310,875
	Ardagh Packaging Finance PLC (NR/B3)(c)
	1,685,294		7.000			11/15/20		1,742,173
	BWAY Holding Co. (CCC/Caa2)(c)
	16,550,000		9.125			08/15/21		17,253,375
	Reynolds Group Issuer, Inc. (B-/Caa2)
	15,000,000		9.875			08/15/19		15,450,000
	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/ Reynolds Group Issuer Lu (B+/B2)(c)
	14,450,000		5.125			07/15/23		14,901,562
	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/ Reynolds Group Issuer Lu (B-/Caa2)(c)
	5,750,000		7.000			07/15/24		6,159,688
								84,639,173
	Paper – 0.7%
	Clearwater Paper Corp. (BB+/Ba2)
	5,000,000		4.500	(b)		02/01/23		4,993,750
	10,000,000		5.375	(c)		02/01/25		10,162,500
	Mercer International, Inc. (B+/B2)(b)
	4,350,000		7.000			12/01/19		4,491,375
	7,000,000		7.750			12/01/22		7,367,500
	Stone Container Finance Co. of Canada II (NR/WR)(b)(d)
	2,250,000		7.375			07/15/14		—
								27,015,125
	Printing(b)(c) – 0.3%
	Southern Graphics, Inc. (CCC+/Caa1)
	11,000,000		8.375			10/15/20		11,220,000
	Publishing(b) – 1.2%
	Gray Television, Inc. (B+/B2)(c)
	17,000,000		5.875			07/15/26		17,255,000
	Nielsen Finance LLC/Nielsen Finance Co. (BB+/B1)(c)
	17,350,000		5.000			04/15/22		17,913,875
	Outfront Media Capital LLC/Outfront Media Capital Corp. (BB-/B1)
	7,100,000		5.875			03/15/25		7,446,125
	The Nielsen Co Luxembourg SARL (BB+/B1)(c)
	2,250,000		5.500			10/01/21		2,351,250
								44,966,250
	Corporate Obligations – (continued)
	Real Estate(b) – 0.3%
	DuPont Fabros Technology LP (BB/Ba1)
$	9,000,000		5.875	%		09/15/21	$	9,416,250
	1,000,000		5.625			06/15/23		1,056,250
								10,472,500
	Retailers – 1.6%
	Albertsons Cos. LLC/Safeway, Inc./New Albertson’s, Inc./ Albertson’s LLC (B+/B3)(b)(c)
	12,050,000		5.750			03/15/25		11,974,687
	Dollar Tree, Inc. (BB/Ba3)(b)
	10,050,000		5.750			03/01/23		10,816,313
	JC Penney Corp., Inc. (B-/B3)
	650,000		6.375			10/15/36		562,250
	6,500,000		7.400	(h)		04/01/37		5,996,250
	L Brands, Inc. (BB+/Ba1)
	15,050,000		5.625			02/15/22		16,818,375
	Neiman Marcus Group Ltd., Inc. (CCC/Caa2)(b)(c)
	3,150,000		8.000			10/15/21		2,630,250
	6,200,000		8.750	(e)		10/15/21		4,836,000
	The William Carter Co. (BB+/Ba2)(b)
	8,000,000		5.250			08/15/21		8,340,000
								61,974,125
	Services Cyclical – Business Services(b)(c) – 0.4%
	SPL Logistics Escrow LLC/SPL Logistics Finance Corp. (CCC+/B3)
	5,150,000		8.875			08/01/20		4,190,813
	WEX, Inc. (BB-/Ba3)
	10,000,000		4.750			02/01/23		9,875,000
								14,065,813
	Services Cyclical – Rental Equipment(b) – 1.0%
	Ahern Rentals, Inc. (B/B3)(c)
	16,000,000		7.375			05/15/23		10,440,000
	United Rentals North America, Inc. (BB+/Ba1)
	10,000,000		4.625			07/15/23		10,237,500
	United Rentals North America, Inc. (BB-/B1)
	5,000,000		5.750			11/15/24		5,187,500
	5,200,000		5.500			07/15/25		5,330,000
	7,550,000		5.875			09/15/26		7,776,500
								38,971,500
	Technology – Hardware – 3.3%
	Advanced Micro Devices, Inc. (CCC/Caa2)
	1,489,000		7.500			08/15/22		1,529,948
	Alcatel-Lucent USA, Inc. (BB+/WR)
	9,000,000		6.450			03/15/29		9,922,500
	Ancestry.com, Inc. (NR/B3)(b)
	4,999,000		11.000			12/15/20		5,348,930
	Diamond 1 Finance Corp./Diamond 2 Finance Corp. (BB/Ba2)(b)(c)
	5,700,000		5.875			06/15/21		6,042,000
	3,800,000		7.125			06/15/24		4,184,750
	Diamond 1 Finance Corp./Diamond 2 Finance Corp. (BBB-/Baa3)(b)(c)
	9,300,000		5.450			06/15/23		9,964,550
	9,350,000		8.100			07/15/36		10,991,308

The accompanying notes are an integral part of these financial statements. 77

GOLDMAN SACHS HIGH YIELD FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Technology – Hardware – (continued)
	Micron Technology, Inc. (BB/Ba3)(b)(c)
$	6,000,000		5.250	%		08/01/23	$	5,925,000
	Micron Technology, Inc. (BBB-/Baa2)(b)(c)
	7,000,000		7.500			09/15/23		7,775,180
	NCR Corp. (BB/B1)(b)
	7,000,000		5.000			07/15/22		7,157,500
	NXP BV/NXP Funding LLC (BBB-/Ba1)(c)
	5,200,000		4.125			06/01/21		5,570,500
	5,000,000		3.875			09/01/22		5,237,500
	16,850,000		4.625			06/01/23		18,429,687
	Qorvo, Inc. (BB+/Ba1)(b)
	6,550,000		6.750			12/01/23		7,074,000
	VeriSign, Inc. (BB+/Ba1)(b)
	6,150,000		5.250			04/01/25		6,442,125
	Western Digital Corp. (BB+/Ba2)(b)(c)
	9,000,000		10.500			04/01/24		10,440,000
	Western Digital Corp. (BBB-/Ba1)(b)(c)
	5,000,000		7.375			04/01/23		5,500,000
								127,535,478
	Technology – Software/Services(b) – 3.6%
	BMC Software Finance, Inc. (CCC+/Caa1)(c)
	19,000,000		8.125			07/15/21		17,290,000
	CyrusOne LP/CyrusOne Finance Corp. (BB/B1)
	7,000,000		6.375			11/15/22		7,411,250
	Equinix, Inc. (BB+/B1)
	4,250,000		5.375			01/01/22		4,515,625
	10,000,000		5.375			04/01/23		10,487,500
	18,000,000		5.750			01/01/25		19,125,000
	9,650,000		5.875			01/15/26		10,373,750
	First Data Corp. (B/B3)(c)
	7,000,000		7.000			12/01/23		7,402,500
	18,000,000		5.750			01/15/24		18,495,000
	First Data Corp. (BB/Ba3)(c)
	7,000,000		6.750			11/01/20		7,262,500
	Infor US, Inc. (B-/Caa1)
EUR	3,980,000		5.750			05/15/22		4,361,393
$	7,000,000		6.500			05/15/22		7,087,500
	MSCI, Inc. (BB+/Ba2)(c)
	5,750,000		4.750			08/01/26		5,850,625
	Nuance Communications, Inc. (BB-/Ba3)(c)
	10,000,000		5.375			08/15/20		10,225,000
	Open Text Corp. (BB/Ba2)(c)
	9,350,000		5.875			06/01/26		9,770,750
								139,658,393
	Telecommunications – 4.0%
	CenturyLink, Inc. (BB/Ba3)
	10,000,000		6.450			06/15/21		10,700,000
	3,250,000		5.800			03/15/22		3,335,313
	750,000		6.750			12/01/23		786,563
	13,000,000		7.500	(b)		04/01/24		13,942,500
	Cincinnati Bell, Inc. (B/B3)(b)(c)
	5,950,000		7.000			07/15/24		6,091,312
	Corporate Obligations – (continued)
	Telecommunications – (continued)
	Frontier Communications Corp. (BB-/Ba3)
$	19,550,000		8.500	%		04/15/20	$	21,065,125
	7,750,000		8.875	(b)		09/15/20		8,370,000
	7,000,000		10.500	(b)		09/15/22		7,420,000
	Level 3 Financing, Inc. (B+/B1)(b)
	6,000,000		5.375			01/15/24		6,270,000
	9,200,000		5.375			05/01/25		9,591,000
	Telecom Italia Capital SA (BB+/Ba1)
	4,750,000		7.200			07/18/36		5,058,750
	11,350,000		7.721			06/04/38		12,414,062
	Telecom Italia SpA (BB+/Ba1)(c)
	15,800,000		5.303			05/30/24		16,116,000
	Windstream Services LLC (B+/B2)(b)
	24,900,000		7.750	(g)		10/15/20		25,335,750
	10,000,000		7.750			10/01/21		9,975,000
								156,471,375
	Telecommunications – Cellular – 7.6%
	Altice Financing SA (BB-/B1)(b)(c)
	17,550,000		6.500			01/15/22		18,515,250
	17,100,000		6.625			02/15/23		17,506,125
	20,000,000		7.500			05/15/26		20,825,000
	Altice Finco SA (B-/B3)(b)(c)
	7,000,000		8.125			01/15/24		7,367,500
	Communications Sales & Leasing, Inc. (B-/Caa1)(b)
	16,000,000		8.250			10/15/23		16,680,000
	SoftBank Group Corp. (BB+/Ba1)(c)
	7,000,000		4.500			04/15/20		7,245,000
	Sprint Capital Corp. (B/Caa1)
	18,750,000		6.900			05/01/19		19,382,812
	Sprint Communications, Inc. (B/Caa1)
	20,000,000		7.000			08/15/20		20,050,000
	14,700,000		11.500			11/15/21		16,868,250
	Sprint Communications, Inc. (BB-/B1)(c)
	7,000,000		9.000			11/15/18		7,717,500
	Sprint Corp. (B/Caa1)
	19,850,000		7.250			09/15/21		19,899,625
	49,750,000		7.875			09/15/23		49,998,750
	T-Mobile USA, Inc. (BB/Ba3)(b)
	9,050,000		6.542			04/28/20		9,355,438
	16,000,000		6.250			04/01/21		16,720,000
	5,000,000		6.125			01/15/22		5,287,500
	9,000,000		6.731			04/28/22		9,483,750
	500,000		6.836			04/28/23		538,750
	18,000,000		6.500			01/15/26		19,912,500
	Wind Acquisition Finance SA (B/Caa1)(b)(c)
	8,950,000		7.375			04/23/21		9,375,125
								292,728,875
	Telecommunications – Satellites(b) – 0.9%
	Inmarsat Finance PLC (BB+/Ba2)(c)
	7,000,000		4.875			05/15/22		6,650,000
	Intelsat Jackson Holdings SA (B-/B1)(c)
	3,500,000		8.000			02/15/24		3,508,750

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

GOLDMAN SACHS HIGH YIELD FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Telecommunications – Satellites(b) – 0.9%
	Intelsat Jackson Holdings SA (CCC/Caa2)
$	300,000		7.250	%		04/01/19	$	240,750
	8,000,000		7.500			04/01/21		6,040,000
	7,000,000		5.500			08/01/23		4,847,500
	Intelsat Luxembourg SA (CC/Ca)
	28,000,000		7.750			06/01/21		9,380,000
	10,000,000		8.125			06/01/23		3,350,000
								34,017,000
	Utilities – Distribution(b) – 0.2%
	AmeriGas Partners LP/AmeriGas Finance Corp. (NR/Ba3)
	7,000,000		5.875			08/20/26		7,437,500
	Utilities – Electric(b) – 1.3%
	Calpine Corp. (B/B2)
	10,000,000		5.375			01/15/23		9,975,000
	6,150,000		5.500			02/01/24		6,057,750
	Calpine Corp. (BB/Ba2)(c)
	4,000,000		6.000			01/15/22		4,190,000
	5,550,000		7.875			01/15/23		5,862,187
	Dynegy, Inc. (B+/B3)
	17,000,000		6.750			11/01/19		17,425,000
	NRG Energy, Inc. (BB-/B1)
	2,050,000		6.250			07/15/22		2,085,875
	4,450,000		6.625	(c)		01/15/27		4,338,750
								49,934,562
	Utilities – Pipelines – 4.0%
	Antero Midstream Partners LP/Antero Midstream Finance Corp. (BB/B1)(b)(c)
	4,000,000		5.375			09/15/24		4,035,000
	Blue Racer Midstream LLC/Blue Racer Finance Corp. (B-/B3)(b)(c)
	5,000,000		6.125			11/15/22		4,887,500
	DCP Midstream LLC (BB/Ba2)(c)
	2,800,000		9.750			03/15/19		3,129,000
	500,000		6.750			09/15/37		493,750
	Energy Transfer Equity LP (BB/Ba2)
	4,000,000		7.500			10/15/20		4,390,000
	4,000,000		5.875	(b)		01/15/24		4,165,000
	450,000		5.500	(b)		06/01/27		447,750
	EnLink Midstream Partners LP (BBB-/Ba2)(b)
	3,100,000		4.400			04/01/24		3,027,138
	1,550,000		4.150			06/01/25		1,483,807
	Genesis Energy LP/Genesis Energy Finance Corp. (B+/B1)(b)
	10,011,000		6.000			05/15/23		9,935,917
	MPLX LP (BBB-/Baa3)(b)
	2,142,000		5.500			02/15/23		2,216,970
	3,441,000		4.500			07/15/23		3,544,230
	4,247,000		4.875			12/01/24		4,416,880
	ONEOK, Inc. (BB+/Ba1)(b)
	2,000,000		4.250			02/01/22		1,960,000
	2,300,000		7.500			09/01/23		2,576,000
	Corporate Obligations – (continued)
	Utilities – Pipelines – (continued)
	Sabine Pass Liquefaction LLC (BBB-/Ba2)
$	11,000,000		6.250	%(b)		03/15/22	$	12,017,500
	10,000,000		5.625	(b)		04/15/23		10,675,000
	20,000,000		5.750	(b)		05/15/24		21,525,000
	7,000,000		5.875	(c)		06/30/26		7,608,125
	8,855,000		5.000	(b)(c)		03/15/27		9,076,375
	Targa Resources Partners LP/Targa Resources Partners Finance Corp. (BB-/Ba3)(b)
	9,000,000		6.875			02/01/21		9,292,500
	5,000,000		5.250			05/01/23		5,062,500
	4,500,000		5.375	(c)		02/01/27		4,522,500
	Tesoro Logistics LP/Tesoro Logistics Finance Corp. (BB/Ba3)(b)
	5,000,000		6.375			05/01/24		5,350,000
	The Williams Cos., Inc. (BB/Ba2)
	2,000,000		7.875			09/01/21		2,310,000
	3,544,000		3.700	(b)		01/15/23		3,462,903
	3,250,000		7.500			01/15/31		3,705,000
	1,700,000		7.750			06/15/31		1,929,500
	2,000,000		5.750	(b)		06/24/44		2,065,000
	Williams Partners LP (BBB-/Baa3)(b)
	2,550,000		4.500			11/15/23		2,642,840
	1,950,000		4.300			03/04/24		1,994,160
								153,947,845
	TOTAL CORPORATE OBLIGATIONS
	(Cost $3,522,803,758)						$	3,562,979,679

Shares		Description	Value
	Preferred Stock(b)(e)(h) – 0.1%
	Media – Broadcasting & Radio – 0.1%
	3,014	Spanish Broadcasting System, Inc.	$	2,049,520
	(Cost $3,042,344)
	Common Stocks – 0.3%
	40	Dawn Holdings, Inc.(d)	$	—
	80,000	Denbury Resources, Inc.		258,400
	668,513	Magnum Hunter Resources Corp. PI(d)(i)(j)		8,216,025
	28,148	Motors Liquidation Co.		281,480
	21	New Cotai Class B Shares(d)		—
	10	Nycomed(d)		—
	2,500	Port Townsend Holdings Co., Inc.(d)		—
	427,096	Whiting Petroleum Corp.(d)		3,732,819
	TOTAL COMMON STOCKS
	(Cost $15,045,370)		$	12,488,724

The accompanying notes are an integral part of these financial statements. 79

GOLDMAN SACHS HIGH YIELD FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Units		Expiration Date	Value
	Warrant(d) – 0.0%
	Lender Process Services, Inc. (NR/NR)
	14,274	12/31/20	$	—
	(Cost $21,898,892)
Shares		Distribution Rate	Value
	Investment Company(h)(j) – 3.3%
	Goldman Sachs Financial Square Government Fund – Institutional Shares
	129,262,770	0.290%	$	129,262,770
	(Cost $129,262,770)
	TOTAL INVESTMENTS – 98.0%
	(Cost $3,795,331,865)		$	3,790,978,084

Principal Amount			Interest Rate (Paid) Received			Maturity Date		Value
	Reverse Repurchase Agreements – (0.3)%
	Barclays Reverse Repurchase Agreement (NR/NR)
$	(4,286,188	)		(0.500	)%		11/22/16	$	(4,286,188	)
	(3,660,000	)		(0.250	)		04/12/17		(3,660,000	)
	(2,085,000	)		(1.000	)		07/25/17		(2,085,000	)
	TOTAL REVERSE REPURCHASE AGREEMENTS
	(Cost $(10,031,188))							$	(10,031,188	)
	OTHER ASSETS IN EXCESS OF     LIABILITIES – 2.3%								89,116,463
	NET ASSETS – 100.0%							$	3,870,063,359

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
(a)	Bank Loans often require prepayments from excess cash flows or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturity shown. The stated interest rate represents the weighted average interest rate of all contracts within the bank loan facility on September 30, 2016. Bank Loans typically have rates of interest which are predetermined either daily, monthly, quarterly or semi-annually by reference to a base lending rate, plus a premium. These base lending rates are primarily the London-Interbank Offered Rate (“LIBOR”), and secondarily the prime rate offered by one or more major United States banks (the “Prime Rate”) and the certificate of deposit (“CD”) rate or other base lending rates used by commercial lenders.
(b)	Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.

(c)	Exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be deemed 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 $1,564,128,852, which represents approximately 40.4% of net assets as of September 30, 2016.
(d)	Security is currently in default and/or non-income producing.
(e)	Pay-in-kind securities.
(f)	Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on September 30, 2016.
(g)	All or a portion of the security was pledged as collateral against open reverse repurchase agreements. As of September 30, 2016, the value of securites pledged amounted to $11,224,575.
(h)	Security with “Put” features and resetting interest rates. Maturity dates disclosed are the puttable dates. Interest rate disclosed is that which is in effect at September 30, 2016.
(i)	Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are subsequently registered and the registration statement is effective. Disposal of these securities may involve time consuming negotiations and prompt sale at an acceptable price may be difficult. Total market value of restricted securities amounts to $9,171,771, which represents approximately 0.2% of net assets as of September 30, 2016. See additional details below:

Restricted Security	Acquisition Date		Cost
Magnum Hunter Resources Corp PI		05/06/16 – 08/18/16	$	6,670,580
Magnum Hunter Resources, Inc.		05/06/16 – 08/08/16		985,305

(j)	Represents an Affiliated Fund/Issuer.
Security ratings disclosed, if any, are obtained from Standard & Poor’s/Moody’s Investors Service and are unaudited. A description of the ratings is available in the Fund’s Statement of Additional Information.

Currency Abbreviations:
AUD	—Australian Dollar
EUR	—Euro
USD	—U.S. Dollar
Investment Abbreviations:
LLC	—Limited Liability Company
LP	—Limited Partnership
PI	—Private Investment
PLC	—Public Limited Company
WR	—Withdrawn Rating

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

GOLDMAN SACHS HIGH YIELD FUND

ADDITIONAL INVESTMENT INFORMATION

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At September 30, 2016, the Fund had the following forward foreign currency exchange contracts:

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS

Counterparty	Currency Purchased		Currency Sold		Current Value	Settlement Date		Unrealized Loss
Morgan Stanley & Co.	USD	7,547,939	EUR	6,768,117	$7,604,700		10/05/16	$	(56,761	)

FUTURES CONTRACTS — At September 30, 2016, the Fund had the following futures contracts:

Type	Number of Contracts Long (Short)			Expiration Date	Current Value			Unrealized Gain (Loss)
Ultra Long U.S. Treasury Bonds		69		December 2016	$	12,687,375		$	(164,804	)
2 Year U.S. Treasury Notes		(3	)	December 2016		(655,406	)		(774	)
5 Year U.S. Treasury Notes		630		December 2016		76,554,843			278,939
10 Year U.S. Treasury Notes		(1,820	)	December 2016		(238,647,500	)		(786,610	)
20 Year U.S. Treasury Bonds		3		December 2016		504,469			(756	)
TOTAL								$	(674,005	)

The accompanying notes are an integral part of these financial statements. 81

GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND

Schedule of Investments

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Bank Loans(a) – 80.6%
	Aerospace – 1.0%
	Silver II US Holdings LLC (B/B3)
$	7,303,472		4.000	%		12/13/19	$	6,816,550
	Transdigm, Inc. (B/Ba2)
	14,972,577		3.838			02/28/20		14,966,289
	7,985,879		3.838			06/04/21		7,979,250
	4,831,606		3.750			05/14/22		4,834,312
								34,596,401
	Airlines – 1.4%
	Air Canada (BB+/Ba3)
	10,150,000		3.500			09/21/23		10,157,612
	Atlantic Aviation FBO, Inc. (BB-/Ba3)
	5,419,323		5.000			06/01/20		5,435,147
	Continental Airlines, Inc. (BB+/Ba1)
	19,355,760		3.250			04/01/19		19,361,760
	Delta Air Lines, Inc. (BBB/Baa2)
	11,809,474		3.250			10/18/18		11,872,183
	742,500		3.250			08/24/22		745,901
								47,572,603
	Automotive – Parts – 1.4%
	Chrysler Group LLC (BBB-/Ba3)
	3,000,000		3.250			12/31/18		3,002,820
	Chrysler Group LLC (BBB-/Baa3)
	10,680,443		3.500			05/24/17		10,698,279
	Cooper Standard Holdings, Inc. (BB-/Ba3)
	8,430,197		4.000			04/04/21		8,461,810
	Gates Global LLC (B+/B2)
	16,646,390		4.250			07/06/21		16,381,547
	Jason, Inc. (B/B2)
	8,820,000		5.500			06/30/21		8,379,000
	46,923,456
	Building Materials – 2.9%
	American Builders & Contractors Supply Co., Inc. (BB+/B1)
	13,275,466		3.500			09/23/23		13,311,973
	American Builders & Contractors Supply Co., Inc. (BBB-/B1)
	15,765,029		3.500			04/16/20		15,798,609
	CPG International, Inc. (B/B2)
	3,876,938		4.750			09/30/20		3,881,785
	HD Supply, Inc. (BB/B1)
	2,481,203		3.750			08/13/21		2,483,262
	Jeld-Wen, Inc. (B+/B1)
	15,687,592		5.250			10/15/21		15,770,893
	10,518,750		4.750			07/01/22		10,575,762
	LBM Borrower, LLC (B+/B3)
	13,365,000		6.250			08/20/22		13,345,487
	Quikrete Cos., Inc. (BB-/Ba3)
	17,624,711		4.000			09/28/20		17,734,865
	Safway Group Holding LLC (B+/B3)
	5,234,243		4.500			08/19/23		5,264,759
								98,167,395
	Capital Goods – Others – 0.2%
	USIC Holdings, Inc. (B/B2)
	7,179,322		4.000			07/10/20		7,134,451
	Bank Loans(a) – (continued)
	Chemicals – 2.4%
	Emerald Performance Materials LLC (B/B1)
$	7,237,682		4.500	%		08/01/21	$	7,278,430
	Emerald Performance Materials LLC (CCC+/Caa1)
	6,350,000		7.750			08/01/22		6,334,125
	Huntsman International LLC (BB/Ba2)
	3,438,750		3.750			10/01/21		3,453,812
	Univar, Inc. (BB-/B2)
	15,406,224		4.250			07/01/22		15,425,481
	US Coatings Acquisition, Inc. (BB+/Ba1)
	31,023,054		3.750			02/01/20		31,230,908
	Versum Materials, Inc. (BB+/Ba1)
	14,650,000		3.500			09/20/23		14,711,091
								78,433,847
	Consumer Products – Household & Leisure – 1.7%
	Bombardier Recreational Products, Inc. (BB/Ba3)
	9,521,423		3.750			06/30/23		9,539,323
	Coty, Inc. (NR/Ba1)
	4,228,750		3.750			10/27/22		4,271,037
	Galleria Co. (BBB-/Ba1)
	8,500,000		3.750			01/26/23		8,523,885
	Renfro Corp. (B/B3)
	21,900,245		5.750			01/30/19		19,272,216
	Samsonite International SA (BBB-/Ba2)
	7,950,000		4.000			05/12/23		8,017,098
	Spectrum Brands, Inc. (BB+/Ba1)
EUR	137,215		3.500			06/23/22		154,911
$	7,317,602		3.503			06/23/22		7,341,092
								57,119,562
	Consumer Products – Industrial – 1.0%
	Atkore International, Inc. (B/B2)
	13,330,026		4.500			04/09/21		13,352,287
	Atkore International, Inc. (CCC+/Caa1)
	12,750,000		7.750			10/09/21		12,755,355
	Southwire Co. (BB+/Ba2)
	8,737,801		3.000			02/10/21		8,650,423
								34,758,065
	Diversified Manufacturing – 2.7%
	CPM Holdings, Inc. (B+/B1)
	4,247,503		6.000			04/11/22		4,265,215
	Crosby US Acquisition Corp. (B-/Caa1)
	18,704,150		4.000			11/23/20		15,617,966
	Doosan Infracore Co., Ltd. (BB-/Ba3)
	7,423,163		4.500			05/28/21		7,497,395
	Dynacast International LLC (B/B1)
	2,748,663		4.500			01/28/22		2,755,534
	Gardner Denver, Inc. (B/B2)
	5,220,680		4.250			07/30/20		5,051,008
	Mannington Mills, Inc. (BB-/B1)
	3,458,728		4.750			10/01/21		3,463,052
	Mirror Bidco Corp. (B/Ba3)
	18,945,000		4.250			12/28/19		18,926,055

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

GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Bank Loans(a) – (continued)
	Diversified Manufacturing – (continued)
	Rexnord LLC (BB-/B2)
$	32,999,834		4.000	%		08/21/20	$	33,028,874
	90,605,099
	Energy – 1.8%
	American Energy – Marcellus LLC (CC/C)
	34,190,000		8.500			08/04/21		2,777,938
	American Energy – Marcellus LLC (CCC-/Ca)
	13,550,000		5.250			08/04/20		7,393,286
	CITGO Holding, Inc. (B-/Caa1)
	3,966,424		9.500			05/12/18		4,009,817
	Jonah Energy LLC (B/Caa1)
	9,250,000		7.500			05/12/21		8,163,125
	Magnum Hunter Resources, Inc. (NR/NR)(f)(g)(h)
	1,889,888		8.000			05/06/19		1,833,191
	MEG Energy Corp. (BB+/B3)
	38,871,271		3.750			03/31/20		36,182,545
								60,359,902
	Entertainment – 0.6%
	Sabre, Inc. (BB-/Ba2)
	488,221		4.000			02/19/18		488,221
	1,726,605		4.000			02/19/19		1,732,717
	17,733,910		4.500			02/19/19		17,778,245
								19,999,183
	Environmental – 0.9%
	EnergySolutions LLC (B-/B3)
	29,526,303		6.750			05/29/20		29,378,671
	Finance – 1.6%
	CeramTec Acquisition Corp. (B/Ba3)
	624,963		4.250			08/30/20		628,088
	1,723,333		4.250			08/30/20		1,731,950
	5,638,315		4.250			08/30/20		5,666,506
	MKS Instruments, Inc. (BB/Ba2)
	7,795,375		4.250			05/01/23		7,879,799
	ROC Finance LLC (B+/B2)
	1,940,000		5.000			06/20/19		1,894,740
	SBA Senior Finance II LLC (BB/B1)
	16,104,190		3.340			03/24/21		16,132,372
	Victory Capital Management, Inc. (BB-/B2)
	19,002,115		8.500			10/31/21		18,669,578
								52,603,033
	Food & Beverages – 2.8%
	AdvancePierre Foods, Inc. (B+/B1)
	4,106,250		4.500			06/02/23		4,137,047
	Candy Intermediate Holdings, Inc. (B/B2)
	7,331,625		5.500			06/15/23		7,377,448
	High Liner Foods, Inc. (B+/B2)
	8,640,614		4.250			04/24/21		8,572,180
	Pinnacle Foods Finance LLC (BB+/Ba2)
	6,099,206		3.252			04/29/20		6,125,554
	Shearer’s Foods, Inc. (B/B1)
	7,570,500		4.938			06/30/21		7,523,184
	Shearer’s Foods, Inc. (CCC+/Caa1)
	12,800,000		7.750			06/30/22		11,584,000
	Bank Loans(a) – (continued)
	Food & Beverages – (continued)
	US Foods, Inc. (B+/B1)
$	45,900,843		4.000	%		06/27/23	$	46,235,460
								91,554,873
	Food & Drug Retailers – 0.5%
	Rite Aid Corp. (B+/B2)
	8,790,000		5.750			08/21/20		8,806,525
	7,195,000		4.875			06/21/21		7,203,994
								16,010,519
	Gaming – 0.3%
	Caesars Entertainment Operating Co., Inc. (D/WR)
	6,890,990		2.500			03/01/17		7,868,684
	Graton Economic Development Authority (B+/B1)
	2,037,539		4.750			09/01/22		2,047,726
								9,916,410
	Health Care – 0.5%
	Community Health Systems, Inc. (BB-/Ba3)
	4,574,285		3.750			12/31/19		4,486,047
	12,447,215		4.000			01/27/21		12,210,718
								16,696,765
	Health Care – Medical Products – 0.3%
	Alere, Inc. (B+/Ba3)
	8,040,590		4.250			06/18/22		7,972,486
	Convatec, Inc. (NR/Ba2)
	2,649,373		4.250			06/15/20		2,660,421
								10,632,907
	Health Care – Pharmaceuticals – 4.2%
	Endo Luxembourg Finance Co. I S.A.R.L. (BB/Ba2)
	51,256,407		3.750			09/26/22		51,113,914
	Mallinckrodt International Finance SA (BB+/Ba1)
	7,829,847		3.338			03/19/21		7,813,561
	Valeant Pharmaceuticals International, Inc. (BB-/Ba2)
	2,552,978		4.280			10/20/18		2,549,787
	4,423,587		5.000			02/13/19		4,425,666
	22,597,346		5.250			08/05/20		22,632,598
	51,711,311		5.500			04/01/22		51,845,760
								140,381,286
	Health Care – Services – 7.3%
	21st Century Oncology Holdings, Inc. (CCC/Caa1)
	12,590,625		7.125			04/30/22		11,803,711
	Air Medical Group Holdings, Inc. (B/B2)
	10,640,619		4.250			04/28/22		10,530,914
	23,989,875		5.000			04/28/22		24,109,824
	American Renal Holdings, Inc. (B/B2)
	18,580,387		4.750			09/20/19		18,545,641
	Amsurg Corp. (BB-/Ba2)
	1,883,608		3.500			07/16/21		1,884,795
	Envision Healthcare Corp. (BB-/B1)
	10,922,719		4.250			05/25/18		10,928,617
	ExamWorks Group, Inc. (B/B1)
	3,925,000		4.750			07/27/23		3,952,004

The accompanying notes are an integral part of these financial statements. 83

GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Bank Loans(a) – (continued)
	Health Care – Services – (continued)
	HCA, Inc. (BBB-/B2)
$	2,000,000		3.588	%		02/15/24	$	2,017,500
	HCA, Inc. (BBB-/Ba1)
	7,208,766		3.774			03/17/23		7,288,711
	MPH Acquisition Holdings LLC (B+/B1)
	47,264,553		5.000			06/07/23		47,833,146
	Sedgwick Claims Management Services, Inc. (NR/Caa2)
	12,850,000		6.750			02/28/22		12,689,375
	Sedgwick Claims Management Services, Inc. (B/B1)
	13,060,977		3.750			03/01/21		12,949,437
	Sedgwick Claims Management Services, Inc. (CCC+/Caa2)
	13,600,758		6.750			02/28/22		13,430,748
	Sterigenics-Nordion Holdings LLC (B/B1)
	14,240,752		4.250			05/15/22		14,276,354
	U.S. Renal Care, Inc. (B/B1)
	48,300,321		5.250			12/31/22		46,271,708
	U.S. Renal Care, Inc. (CCC+/Caa1)
	4,025,000		9.000			12/31/23		3,884,125
								242,396,610
	Lodging – 1.0%
	Four Seasons Holdings, Inc. (BB/B1)
	9,586,906		3.500			06/27/20		9,634,841
	Hilton Worldwide Finance LLC (BBB/Ba1)
	729,600		3.500			10/26/20		733,248
	7,458,510		3.025			10/25/23		7,499,308
	La Quinta Intermediate Holding LLC (BB/B1)
	16,517,413		3.750			04/14/21		16,486,525
								34,353,922
	Media – Broadcasting & Radio – 4.6%
	Getty Images, Inc. (CCC+/B3)
	53,477,049		4.750			10/18/19		44,608,950
	iHeart Communications, Inc. (CCC/Caa1)
	7,725,000		7.274			01/30/19		5,934,190
	20,847,038		8.024			07/30/19		15,924,844
	Nexstar Broadcasting, Inc. (BB+/Ba3)
	13,451,364		4.000			09/21/23		13,512,971
	Salem Communications Corp. (B-/B2)
	13,492,410		4.500			03/13/20		13,239,427
	Telesat Canada (BB/Ba3)
	1,993,093		3.500			03/28/19		1,992,894
	The E.W. Scripps Co. (BBB-/Ba2)
	12,785,976		3.500			11/26/20		12,817,941
	Townsquare Media, Inc. (BB-/Ba2)
	3,123,949		4.250			04/01/22		3,127,854
	Tribune Media Co. (BB+/Ba2)
	15,605,593		3.750			12/27/20		15,707,965
	Univision Communications, Inc. (B+/B2)
	11,690,998		4.000			03/01/20		11,708,066
	15,027,625		4.000			03/01/20		15,053,473
								153,628,575
	Bank Loans(a) – (continued)
	Media – Cable – 3.3%
	Charter Communications Operating LLC (BBB/Ba1)
$	29,246,332		3.000	%		07/01/20	$	29,323,250
	14,430,178		3.000			01/04/21		14,468,563
	623,434		3.500			01/24/23		627,155
	Charter Communications Operating LLC (BBB/Ba2)
	3,191,980		2.500			08/24/21		3,203,152
	Neptune Finco Corp. (BB-/Ba1)
	14,738,063		5.000			10/09/22		14,753,390
	Numericable Group SA (B+/B1)
	3,697,063		4.564			07/31/22		3,721,315
	Numericable U.S. LLC (B+/B1)
	1,994,987		4.752			02/10/23		2,008,075
	5,112,188		5.002			01/15/24		5,158,197
	Virgin Media Investment Holdings Ltd. (BB-/Ba3)
	6,050,000		3.500			06/30/23		6,074,079
	Wave Division Holdings LLC (BB-/Ba3)
	8,183,893		4.000			10/15/19		8,180,456
	WideOpenWest Finance LLC (B/B1)
	1,825,000		4.500			08/18/23		1,816,258
	Ziggo N.V. (BB-/Ba3)
	7,328,726		3.652			01/15/22		7,320,884
	4,343,261		3.652			01/15/22		4,338,614
	1,349,572		3.701			01/15/22		1,348,128
	Ziggo Secured Finance BV (BB-/Ba3)
EUR	5,500,000		3.750			08/31/24		6,187,936
								108,529,452
	Media – Non Cable – 4.4%
	Advantage Sales & Marketing, Inc. (B/B1)
$	15,971,948		4.250			07/23/21		15,762,396
	Advantage Sales & Marketing, Inc. (CCC+/Caa1)
	4,203,226		7.500			07/25/22		3,987,811
	Checkout Holding Corp. (B-/B1)
	24,431,501		4.500			04/09/21		22,171,587
	Checkout Holding Corp. (CCC-/Caa1)
	21,800,000		7.750			04/11/22		15,659,594
	EMI Music Publishing LLC (BB-/Ba3)
	4,316,129		4.000			08/19/22		4,327,610
	Media General, Inc. (BB+/Ba3)
	8,729,366		4.000			07/31/20		8,730,501
	Mission Broadcasting, Inc. (BB-/Ba3)
	1,198,636		3.000			09/26/23		1,204,126
	NEP Supershooters LP (B-/Caa1)
	20,832,739		10.000			07/22/20		20,858,780
	NEP/NCP Holdco, Inc. (B+/B1)
	27,348,348		4.250			01/22/20		27,211,607
	Nielsen Finance LLC (BBB/Ba1)
	10,850,000		2.500			09/23/23		10,895,787
	Renaissance Learning, Inc. (B-/B1)
	7,416,971		4.500			04/09/21		7,379,886
	Renaissance Learning, Inc. (CCC/Caa2)
	9,612,400		8.000			04/11/22		9,404,099
								147,593,784

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

GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Bank Loans(a) – (continued)
	Metals & Mining – 1.0%
	FMG Resources (August 2006) Pty Ltd. (BB+/Ba1)
$	13,392,586		3.750	%		06/30/19	$	13,374,239
	Freeport-McMoRan Copper & Gold, Inc. (BB-/B1)
	4,105,496		3.280			05/31/18		4,084,968
	Global Brass & Copper, Inc. (BB-/B2)
	7,300,000		5.250			07/18/23		7,354,750
	Hi Crush Partners LP (B+/Caa1)
	9,000,821		4.750			04/28/21		8,162,664
	Novelis, Inc. (BB/Ba2)
	271,563		4.000			06/02/22		272,752
								33,249,373
	Packaging – 2.9%
	Ardagh Holdings USA, Inc. (B+/Ba3)
	5,417,341		4.000			12/17/19		5,439,335
	Berry Plastics Holding Corp. (BB/Ba3)
	18,708,766		3.500			02/08/20		18,720,552
	17,435,295		3.500			01/06/21		17,439,654
	2,849,605		3.750			10/01/22		2,857,527
	BWAY Holding Co., Inc. (B-/B2)
	22,897,496		5.500			08/14/20		23,006,259
	Onex Wizard U.S. Acquisition, Inc. (B+/B1)
	15,774,812		4.000			03/13/22		15,790,114
	Reynolds Group Holdings, Inc. (B+/B2)
	14,381,569		4.250			02/05/23		14,421,981
								97,675,422
	Real Estate – 1.6%
	Communications Sales & Leasing, Inc. (BB-/B1)
	6,365,802		5.000			10/24/22		6,394,448
	MGM Growth Properties LLC (BB+/B1)
	23,742,782		4.000			04/25/23		23,943,171
	Realogy Corp. (BB+/Ba1)
	12,173,689		3.750			07/20/22		12,310,643
	Starwood Property Trust, Inc. (BB/Ba2)
	9,310,110		3.500			04/17/20		9,298,472
								51,946,734
	Restaurants – 1.9%
	1011778 B.C. Unlimited Liability Co. (B+/Ba3)
	61,196,282		3.750			12/10/21		61,597,730
	Retailers – 7.0%
	Academy Ltd. (B/B2)
	9,236,042		5.000			07/01/22		9,014,377
	American Apparel (USA) LLC (NR/NR)(f)(g)(h)
	4,693,550		12.000			10/30/16		4,693,550
	American Apparel (USA) LLC (NR/WR)(f)(g)(h)
	5,868,522		11.106			02/05/20		5,281,669
	Bass Pro Group LLC (BB-/B1)
	9,080,562		4.000			06/05/20		9,052,231
	BJ’s Wholesale Club, Inc. (B-/B3)
	44,057,802		4.500			09/26/19		44,135,784
	BJ’s Wholesale Club, Inc. (CCC/Caa2)
	21,255,209		8.500			03/26/20		21,324,288
	Bank Loans(a) – (continued)
	Retailers – (continued)
	Burlington Coat Factory Warehouse Corp. (BB/Ba3)
$	5,015,645		3.500	%		08/13/21	$	5,049,099
	Dollar Tree, Inc. (BBB/Ba1)
	4,286,033		3.063			07/06/22		4,312,820
	15,625,000		4.250			07/06/22		15,781,250
	Harbor Freight Tools USA, Inc. (BB-/Ba3)
	10,950,000		4.000			08/19/23		11,002,998
	J Crew Group, Inc. (B-/B2)
	27,543,676		4.000			03/05/21		21,800,820
	Michaels Stores, Inc. (B+/Ba2)
	10,296,382		3.750			01/27/23		10,334,993
	Neiman Marcus Group Ltd., Inc. (B-/B2)
	32,760,814		4.250			10/25/20		30,098,998
	Party City Holdings, Inc. (B+/B1)
	1,513,449		4.490			08/19/22		1,517,778
	Petco Animal Supplies, Inc. (B/B1)
	4,079,500		5.000			01/26/23		4,119,724
	3,507,375		5.002			01/26/23		3,541,888
	PetSmart, Inc. (BB-/Ba3)
	23,509,782		4.250			03/11/22		23,536,818
	True Religion Apparel, Inc. (CC/Caa3)
	7,650,000		11.000			01/30/20		3,060,000
	True Religion Apparel, Inc. (CCC/Caa2)
	16,646,250		5.875			07/30/19		6,658,500
								234,317,585
	Services Cyclical – Business Services – 3.8%
	Acosta Holdco, Inc. (B/B1)
	9,413,123		4.250			09/26/21		8,942,467
	ADS Waste Holdings, Inc. (B+/B2)
	39,988,398		3.750			10/09/19		40,007,193
	First Data Corp. (BB/Ba3)
	36,769,734		4.525			03/24/21		37,024,916
	3,077,731		4.275			07/08/22		3,093,889
	Global Payments, Inc. (BBB-/Ba2)
	5,162,063		4.024			04/22/23		5,209,812
	Koosharem LLC (B-/Caa1)
	6,815,457		7.500			05/16/20		5,838,597
	Vantiv, LLC (BBB-/Ba2)
	27,616,715		3.500			06/13/21		27,630,523
								127,747,397
	Services Cyclical – Consumer Services – 1.7%
	Bright Horizons Family Solution, Inc. (BB/B1)
	28,003,604		3.750			01/30/20		28,139,142
	Spin Holdco, Inc. (B/B2)
	21,034,195		4.250			11/14/19		20,923,765
	Weight Watchers International, Inc. (B-/B3)
	10,087,666		4.000			04/02/20		7,619,315
								56,682,222
	Technology – Software/Services – 5.7%
	Aspect Software, Inc. (NR/WR)
	4,619,984		10.500			05/25/20		4,496,769
	Avago Technologies Cayman Ltd. (BBB/Ba1)
	38,644,544		3.524			02/01/23		39,084,705

The accompanying notes are an integral part of these financial statements. 85

GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Bank Loans(a) – (continued)
	Technology – Software/Services – (continued)
	Avast Software BV (BB-/Ba3)
$	5,500,000		5.500	%		07/19/22	$	5,524,090
	BMC Software Finance, Inc. (B/B1)
	31,988,081		5.000			09/10/20		30,803,563
	Cavium, Inc. (BB-/Ba3)
	5,475,000		3.750			08/16/22		5,529,750
	Electrical Components International, Inc. (B/B1)
	7,166,240		5.750			05/28/21		7,143,882
	Emdeon, Inc. (B+/Ba3)
	17,796,144		3.750			11/02/18		17,818,389
	Lawson Software, Inc. (B+/B1)
	16,565,622		3.750			06/03/20		16,457,945
	MA FinanceCo., LLC (BB-/B1)
	7,434,544		4.502			11/20/19		7,446,960
	Micron Technology, Inc. (BBB-/Baa2)
	20,074,688		6.530			04/26/22		20,279,048
	NXP BV (BBB-/Baa2)
	12,156,976		3.405			12/07/20		12,199,525
	Press Ganey Holdings, Inc. (B/B2)
	5,850,000		5.000			09/20/23		5,850,000
	SS&C Technologies, Inc. (BB/Ba3)
	1,465,838		4.000			07/08/22		1,475,923
	11,795,564		4.000			07/08/22		11,876,717
	Western Digital Corp. (BBB-/Ba1)
	3,172,050		4.500			04/29/23		3,201,804
								189,189,070
	Utilities – Electric – 0.5%
	Calpine Corp. (BB/Ba2)
	16,983,871		3.590			05/27/22		17,020,556
	Wireless Telecommunications – 5.7%
	Asurion LLC (B+/B1)
	11,203,294		5.000			05/24/19		11,236,008
	15,765,972		5.000			08/04/22		15,840,861
	Asurion LLC (CCC+/Caa1)
	51,889,949		8.500			03/03/21		51,543,843
	GCI Holdings, Inc. (BB+/Ba2)
	5,122,000		4.000			02/02/22		5,109,195
	Intelsat Jackson Holdings SA (B-/B1)
	67,730,182		3.750			06/30/19		64,328,095
	Level 3 Financing, Inc. (BB+/Ba1)
	12,095,000		4.000			08/01/19		12,140,356
	13,000,000		4.000			01/15/20		13,055,250
	9,727,000		3.500			05/31/22		9,775,635
	LTS Buyer LLC (B/B1)
	3,198,673		4.088			04/13/20		3,197,682
	Zayo Group LLC (BB-/Ba2)
	4,127,619		3.750			05/06/21		4,144,831
								190,371,756
	TOTAL BANK LOANS
	(Cost $2,767,401,628)						$	2,689,144,616
	Corporate Obligations – 11.3%
	Airlines – 1.3%
	Air Canada (BB+/B2)(b)(c)
$	4,450,000		8.750	%		04/01/20	$	4,810,116
	Air Canada (BB+/Ba3)(b)(c)
	8,250,000		6.750			10/01/19		8,525,756
	Air Canada (BBB/Ba1)(c)
	14,058,095		5.375			11/15/22		14,479,838
	Air Canada 2013-1 Class C Pass Through Trust (BB/Ba3)(c)
	4,996,000		6.625			05/15/18		5,150,502
	Continental Airlines 2012-3 Class C Pass Through Certificates (NR/Ba2)
	4,825,000		6.125			04/29/18		5,066,250
	United Airlines 2014-1 Class B Pass Through Trust (BBB/NR)
	339,910		4.750			10/11/23		347,558
	United Continental Holdings, Inc. (BB-/B1)
	4,513,000		6.375			06/01/18		4,738,650
								43,118,670
	Automotive(b)(c) – 0.4%
	IHO Verwaltungs GmbH (BB-/Ba1)(d)
$	6,700,000		4.500	%		09/15/23	$	6,741,875
	Schaeffler Finance BV (BB+/Baa3)
	7,475,000		4.750			05/15/23		7,708,594
								14,450,469
	Chemicals(b) – 0.0%
	Axalta Coating Systems US Holdings, Inc./Axalta Coating Systems Dutch Holding BV (BB+/Ba1)
EUR	850,000		5.750			02/01/21		994,702
	Consumer Cyclical Services – Business – 0.0%
	Escrow Ambassadors Group, Inc. (NR/NR)
$	9,986,469		13.000			04/15/20		—
	Consumer Products – Industrial(b)(c) – 0.2%
	HD Supply, Inc. (BB/B1)
	7,525,000		5.250			12/15/21		7,995,313
	Electric(b)(c) – 0.2%
	Calpine Corp. (BB/Ba2)
	6,000,000		7.875			01/15/23		6,337,500
	Energy(b)(c)(e) – 0.2%
	FTS International, Inc. (B/B3)
	5,950,000		8.350			06/15/20		4,998,000
	Energy – Exploration & Production(b) – 0.3%
	Antero Resources Corp. (BB/Ba3)
	8,075,000		5.625			06/01/23		8,216,312
	SM Energy Co. (B+/B3)
	2,400,000		6.750			09/15/26		2,424,000
								10,640,312
	Finance – 0.6%
	CIT Group, Inc. (BB+/Ba3)(c)
	7,525,000		5.500			02/15/19		7,938,875
	International Lease Finance Corp. (BBB-/Ba1)
	7,500,000		5.875			04/01/19		8,034,375
	International Lease Finance Corp. (BBB-/Baa3)(c)
	1,000,000		7.125			09/01/18		1,091,250

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

GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Finance – (continued)
	Navient Corp. (BB-/Ba3)
$	4,550,000		6.625	%		07/26/21	$	4,567,813
								21,632,313
	Food and Beverage(b)(c) – 0.3%
	Performance Food Group, Inc. (BB-/B2)
	7,950,000		5.500			06/01/24		8,228,250
	Shearer’s Foods LLC/Chip Finance Corp. (B/B1)
	900,000		9.000			11/01/19		942,750
								9,171,000
	Gaming(b) – 0.6%
	Caesars Entertainment Operating Co., Inc. (D/WR)(f)
	14,850,000		9.000			02/15/20		15,332,625
	Churchill Downs, Inc. (BB/B1)(c)
	3,000,000		5.375			12/15/21		3,120,000
								18,452,625
	Health Care – 1.7%
	CHS/Community Health Systems, Inc. (BB-/Ba3)(b)
	1,807,000		5.125			08/15/18		1,818,294
	HCA, Inc. (BBB-/Ba1)
	10,000,000		3.750			03/15/19		10,337,500
	8,150,000		6.500			02/15/20		9,026,125
	8,050,000		5.000			03/15/24		8,492,750
	3,275,000		5.250			04/15/25		3,491,968
	14,050,000		5.250	(b)		06/15/26		14,928,125
	Tenet Healthcare Corp. (BB-/Ba3)(b)(e)
	8,000,000		4.350			06/15/20		8,000,000
								56,094,762
	Media – Broadcasting & Radio – 1.2%
	Abe Investment Holdings, Inc./Getty Images, Inc. (CCC+/B3)(c)
	3,000,000		10.500			10/16/20		2,850,000
	Gray Television, Inc. (B+/B2)(b)(c)
	3,250,000		5.125			10/15/24		3,185,000
	iHeartCommunications, Inc. (CCC/Caa1)(b)
	3,153,000		9.000			12/15/19		2,490,870
	Nexstar Escrow Corp. (B+/B3)(b)(c)
	2,500,000		5.625			08/01/24		2,512,500
	Univision Communications, Inc. (B+/B2)(b)(c)
	13,339,000		6.750			09/15/22		14,139,340
	16,075,000		5.125			02/15/25		16,155,375
								41,333,085
	Media – Cable(c) – 1.8%
	Altice Financing SA (BB-/B1)(b)
	8,075,000		7.500			05/15/26		8,408,094
	DISH DBS Corp. (B+/Ba3)
	7,850,000		7.750			07/01/26		8,340,625
	SFR Group SA (B+/B1)(b)
	3,875,000		6.000			05/15/22		3,942,813
	16,300,000		6.250			05/15/24		16,177,750
	Virgin Media Secured Finance PLC (BB-/Ba3)(b)
	4,725,000		5.375			04/15/21		4,925,812
	16,300,000		5.500			08/15/26		16,626,000
								58,421,094
	Corporate Obligations – (continued)
	Media – Non Cable(b) – 0.4%
	Nielsen Finance LLC/Nielsen Finance Co. (BB+/B1)(c)
$	7,800,000		5.000	%		04/15/22	$	8,053,500
	Tribune Media Co. (BB-/B2)
	3,125,000		5.875			07/15/22		3,164,062
	Univision Communications, Inc. (B+/B2)
	2,032,000		6.750			09/15/22		2,159,000
								13,376,562
	Packaging(b)(c) – 0.5%
	Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (B+/Ba3)
	5,000,000		4.067	(e)		05/15/21		5,062,500
EUR	2,600,000		4.250			01/15/22		2,972,551
$	3,000,000		4.625			05/15/23		3,007,500
	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/ Reynolds Group Issuer Lu (B+/B2)
	4,800,000		4.127	(e)		07/15/21		4,878,000
	2,000,000		5.125			07/15/23		2,062,500
								17,983,051
	Restaurants(b) – 0.3%
	New Red Finance, Inc. (B+/Ba3)
	3,025,000		4.625	(c)		01/15/22		3,146,000
	4,000,000		4.625			01/15/22		4,160,000
	New Red Finance, Inc. (B-/B3)(c)
	2,050,000		6.000			04/01/22		2,147,375
								9,453,375
	Retailers(b) – 0.1%
	Dollar Tree, Inc. (BB/Ba3)
	325,000		5.250			03/01/20		337,594
	1,300,000		5.750			03/01/23		1,399,125
								1,736,719
	Services Cyclical – Business Services(b)(c) – 0.3%
	First Data Corp. (BB/Ba3)
	9,075,000		6.750			11/01/20		9,415,313
	Telecommunications – Cellular – 0.9%
	Sprint Communications, Inc. (B/Caa1)
	5,000,000		8.375			08/15/17		5,200,000
	Sprint Communications, Inc. (BB-/B1)(c)
	16,050,000		9.000			11/15/18		17,695,125
	Sprint Corp. (B/Caa1)
	3,650,000		7.875			09/15/23		3,668,250
	Wind Acquisition Finance SA (BB/Ba3)(b)(c)
	3,900,000		4.750			07/15/20		3,929,250
								30,492,625
	TOTAL CORPORATE OBLIGATIONS
	(Cost $366,605,492)						$	376,097,490

The accompanying notes are an integral part of these financial statements. 87

GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Shares		Description	Value
	Common Stocks(f)(g)(h) – 0.5%
	Oil, Gas & Consumable Fuels – 0.5%
	1,282,257	Magnum Hunter Resources Corp. PI	$	15,758,939
	Textiles, Apparel & Luxury Goods – 0.0%
	449,607	American Apparel, Inc. PI		—
	TOTAL COMMON STOCKS
	(Cost $22,721,441)		$	15,758,939

Shares	Distribution Rate			Value
Investment Company(e)(h) – 10.3%
Goldman Sachs Financial Square Government Fund – Institutional Shares
343,839,632		0.290	%	$	343,839,632
(Cost $343,839,632)
TOTAL INVESTMENTS – 102.7%
(Cost $3,500,568,193)				$	3,424,840,677
LIABILITIES IN EXCESS OF     OTHER ASSETS – (2.7)%					(91,322,164	)
NET ASSETS – 100.0%				$	3,333,518,513

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
(a)	Bank Loans often require prepayments from excess cash flows or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturity shown. The stated interest rate represents the weighted average interest rate of all contracts within the bank loan facility on September 30, 2016. Bank Loans typically have rates of interest which are predetermined either daily, monthly, quarterly or semi-annually by reference to a base lending rate, plus a premium. These base lending rates are primarily the London-Interbank Offered Rate (“LIBOR”), and secondarily the prime rate offered by one or more major United States banks (the “Prime Rate”) and the certificate of deposit (“CD”) rate or other base lending rates used by commercial lenders.
(b)	Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.

(c)	Exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be deemed 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 $247,701,542, which represents approximately 7.4% of net assets as of September 30, 2016.
(d)	Pay-in-kind securities.
(e)	Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on September 30, 2016.
(f)	Security is currently in default and/or non-income producing.
(g)	Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are subsequently registered and the registration statement is effective. Disposal of these securities may involve time consuming negotiations and prompt sale at an acceptable price may be difficult. Total market value of restricted securities amounts to $27,567,349, which represents approximately 0.8% of net assets as of September 30, 2016. See additional details below:

Restricted Security	Acquisition Date		Cost
Magnum Hunter Resources Corp. PI		05/06/16 – 08/18/16	$	12,794,670
Magnum Hunter Resources, Inc.		05/06/16 – 08/08/16		1,889,888
American Apparel, Inc. PI		04/01/13 – 02/05/16		9,926,771
American Apparel (USA) LLC (NR/NR)		04/05/16 – 09/31/16		4,671,454
American Apparel (USA) LLC (NR/WR)		02/05/16 – 09/01/16		5,868,522

(h) Represents an Affiliated Fund/Issuer.

Security ratings disclosed, if any, are obtained from Standard & Poor’s/Moody’s Investors Service and are unaudited. A description of the ratings is available in the Fund’s Statement of Additional Information.

Currency Abbreviations:
EUR	—Euro
USD	—U.S. Dollar
Investment Abbreviations:
LIBOR	—London Interbank Offered Rate
LLC	—Limited Liability Company
LP	—Limited Partnership
PI	—Private Investment
PLC	—Public Limited Company

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

GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND

ADDITIONAL INVESTMENT INFORMATION

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At September 30, 2016, the Fund had the following forward foreign currency exchange contracts:

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS

Counterparty	Currency Purchased			Currency Sold		Current Value		Settlement Date		Unrealized Gain
Morgan Stanley & Co. International PLC		USD	10,352,701	EUR	9,283,102	$	10,430,554		10/05/16	$	(77,853	)

SWAP CONTRACTS — At September 30, 2016, the Fund had the following swap contracts:

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS

			Rates Exchanged					Market Value
Notional Amount (000s)(a)		Termination Date	Payments Received		Payments Made			Upfront Payments Made (Received)			Unrealized Gain (Loss)
$	29,600	12/21/21		3 month LIBOR		1.500	%	$	(370,610	)	$	(50,350	)
	31,000	12/21/23		3 month LIBOR		1.750			(767,198	)		(112,113	)
	TOTAL							$	(1,137,808	)	$	(162,463	)

(a) Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to September 30, 2016.

OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS

Counterparty	Notional Amount (000s)		Reference Security	Termination Date	Financing Fee#	Unrealized Gain (Loss)*
JPMorgan Securities, Inc.	$	50	Markit iBoxx USD Liquid Leveraged Loans Total Return Index	12/20/16	3 month LIBOR	$	29,427
Morgan Stanley & Co.		76	Markit iBoxx USD Liquid Leveraged Loans Total Return Index	12/20/16	3 month LIBOR		30,862
TOTAL						$	60,289

# The Fund receives annual coupon payments in accordance with the swap contract. On the termination date of the swap contract(s), the Fund will either receive from or pay to the counterparty an amount equal to the net of the accrued financing fees and the value of the reference security subtracted from the original notional cost (notional principal amount multiplied by the price change of the reference security, converted to U.S. Dollars).

* There are no upfront payments on the swap contract(s), therefore the unrealized gain (loss) on the swap contracts is equal to their market value.

The accompanying notes are an integral part of these financial statements. 89

GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND

Schedule of Investments

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – 87.9%
	Aerospace/Defense(a) – 0.3%
	Lockheed Martin Corp.
$	850,000		4.700	%		05/15/46	$	1,009,903
	Automotive – 2.1%
	Ford Motor Credit Co. LLC
	4,325,000		5.875			08/02/21		4,937,031
	General Motors Co.
	3,700,000		3.500			10/02/18		3,814,148
								8,751,179
	Banks – 14.9%
	Bank of America Corp.
	1,950,000		5.000			05/13/21		2,179,885
	5,500,000		4.000			04/01/24		5,926,866
	800,000		4.875			04/01/44		927,142
	Citigroup, Inc.
	850,000		2.650			10/26/20		868,265
	500,000		3.875			03/26/25		516,004
	1,350,000		4.450			09/29/27		1,412,739
	1,075,000		4.650			07/30/45		1,213,289
	Citizens Financial Group, Inc.(a)
	1,550,000		2.375			07/28/21		1,555,428
	Compass Bank(a)
	1,025,000		2.750			09/29/19		1,023,691
	Credit Suisse Group Funding Guernsey Ltd.
	2,150,000		3.125			12/10/20		2,178,159
	400,000		3.750			03/26/25		397,416
	Deutsche Bank AG
	325,000		2.500			02/13/19		315,370
	Discover Financial Services(a)
	2,400,000		3.750			03/04/25		2,428,728
	HSBC Bank USA NA
	300,000		7.000			01/15/39		405,905
	HSBC Holdings PLC
	1,600,000		3.400			03/08/21		1,654,818
	ING Bank NV(a)(b)
	3,075,000		4.125			11/21/23		3,148,492
	Intesa Sanpaolo SpA
	4,075,000		3.875			01/16/18		4,155,200
	725,000		5.017	(c)		06/26/24		668,813
	JPMorgan Chase & Co.
	3,700,000		3.875			09/10/24		3,895,264
	1,575,000		5.300	(a)(b)		05/01/49		1,596,656
	KBC Bank NV(a)(b)
	2,000,000		8.000			01/25/23		2,121,200
	Lloyds Banking Group PLC
	1,600,000		4.500			11/04/24		1,656,579
	Mitsubishi UFJ Financial Group, Inc.
	1,400,000		2.950			03/01/21		1,441,476
	2,600,000		3.850			03/01/26		2,820,054
	Mizuho Financial Group, Inc.(c)
	2,275,000		2.632			04/12/21		2,303,183
	PNC Preferred Funding Trust II(a)(b)(c)
	2,800,000		2.073			03/29/49		2,674,000
	Royal Bank of Scotland Group PLC
	1,050,000		3.875			09/12/23		1,033,193
	Corporate Obligations – (continued)
	Banks – (continued)
	Royal Bank of Scotland PLC(a)(b)
$	1,150,000		9.500	%		03/16/22	$	1,185,937
	Santander UK Group Holdings PLC
	1,725,000		2.875			10/16/20		1,738,084
	Santander UK PLC(c)
	1,475,000		5.000			11/07/23		1,537,180
	Synchrony Financial(a)
	2,675,000		2.600			01/15/19		2,706,509
	The Toronto-Dominion Bank(a)(b)
	1,175,000		3.625			09/15/31		1,178,241
	UBS Group Funding Jersey Ltd.(c)
	2,200,000		3.000			04/15/21		2,259,545
	Wells Fargo & Co.
	1,200,000		3.900			05/01/45		1,234,584
								62,357,895
	Brokerage – 1.6%
	Morgan Stanley, Inc.
	3,125,000		3.700			10/23/24		3,297,366
	2,150,000		4.000			07/23/25		2,312,022
	1,125,000		4.300			01/27/45		1,204,239
								6,813,627
	Chemicals – 0.9%
	Albemarle Corp.(a)
	900,000		3.000			12/01/19		928,551
	Ecolab, Inc.
	1,667,000		5.500			12/08/41		2,080,054
	Monsanto Co.(a)
	350,000		4.700			07/15/64		334,254
	Westlake Chemical Corp.(a)(c)
	550,000		3.600			08/15/26		551,560
								3,894,419
	Consumer Cyclical Services(a) – 0.8%
	The Priceline Group, Inc.
	3,275,000		3.650			03/15/25		3,434,709
	Diversified Financial Services – 0.6%
	Air Lease Corp.
	1,250,000		2.125			01/15/20		1,247,207
	GE Capital International Funding Co.
	1,200,000		4.418			11/15/35		1,346,838
								2,594,045
	Electric – 7.3%
	Berkshire Hathaway Energy Co.
	1,300,000		6.125			04/01/36		1,726,713
	CMS Energy Corp.(a)
	500,000		4.875			03/01/44		586,730
	Dominion Resources, Inc.(a)
	1,450,000		2.000			08/15/21		1,446,540
	Duke Energy Corp.(a)
	500,000		2.650			09/01/26		490,634
	400,000		4.800			12/15/45		454,111
	Emera US Finance LP(a)(c)
	775,000		2.700			06/15/21		793,102

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

GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Electric – (continued)
	Entergy Corp.(a)
$	875,000		2.950	%		09/01/26	$	876,424
	Exelon Corp.(a)
	1,550,000		2.850			06/15/20		1,607,173
	400,000		4.450			04/15/46		429,691
	Florida Power & Light Co.(a)
	2,600,000		5.250			02/01/41		3,333,507
	Fortive Corp.(a)(c)
	1,075,000		4.300			06/15/46		1,150,477
	Kentucky Utilities Co.(a)
	1,700,000		5.125			11/01/40		2,112,442
	Pacific Gas & Electric Co.(a)
	1,000,000		4.250			03/15/46		1,123,967
	PPL WEM Holdings PLC(a)(c)
	1,750,000		5.375			05/01/21		1,949,407
	Progress Energy, Inc.
	1,000,000		7.000			10/30/31		1,342,613
	Public Service Electric & Gas Co.(a)
	2,525,000		3.950			05/01/42		2,771,973
	Puget Sound Energy, Inc.(a)(b)
	2,300,000		6.974			06/01/67		1,978,000
	Ruwais Power Co. PJSC(c)
	670,000		6.000			08/31/36		815,725
	Southern California Edison Co.(a)
	1,550,000		4.050			03/15/42		1,709,529
	The Southern Co.(a)
	1,675,000		2.350			07/01/21		1,706,991
	Virginia Electric and Power Co.(a)
	2,030,000		4.000			01/15/43		2,181,881
								30,587,630
	Energy – 5.8%
	Anadarko Petroleum Corp.
	3,125,000		8.700			03/15/19		3,558,069
	540,000		3.450	(a)		07/15/24		532,657
	Apache Corp.(a)
	525,000		2.625			01/15/23		516,847
	1,395,000		4.250			01/15/44		1,355,130
	BP Capital Markets PLC(a)
	1,925,000		3.119			05/04/26		1,967,167
	ConocoPhillips Co.(a)
	2,010,000		3.350			11/15/24		2,057,866
	1,150,000		4.950			03/15/26		1,296,242
	725,000		4.150			11/15/34		723,549
	Devon Energy Corp.(a)
	1,320,000		3.250			05/15/22		1,310,563
	700,000		4.750			05/15/42		652,567
	Dolphin Energy Ltd.(c)
	114,480		5.888			06/15/19		121,349
	Occidental Petroleum Corp.(a)
	900,000		3.400			04/15/26		949,507
	Petroleos Mexicanos
	170,000		5.500	(c)		02/04/19		179,350
	410,000		6.375	(c)		02/04/21		445,055
	12,000		6.375			02/04/21		13,026
EUR	1,450,000		5.125			03/15/23		1,820,247
	Corporate Obligations – (continued)
	Energy – (continued)
	Petroleos Mexicanos (continued)
$	160,000		4.500	%		01/23/26	$	155,232
	92,000		6.875			08/04/26		103,730
	1,080,000		6.875	(c)		08/04/26		1,217,700
	62,000		5.500			06/27/44		53,140
	180,000		5.625			01/23/46		157,014
	130,000		6.750	(c)		09/21/47		130,000
	Pioneer Natural Resources Co.(a)
	1,610,000		3.450			01/15/21		1,674,180
	Suncor Energy, Inc.(a)
	2,875,000		3.600			12/01/24		3,013,587
								24,003,774
	Food & Beverage – 8.9%
	Anheuser-Busch InBev Finance, Inc.(a)
	11,300,000		3.300			02/01/23		11,927,252
	2,825,000		3.650			02/01/26		3,034,050
	1,025,000		4.900			02/01/46		1,219,525
	Beam Suntory, Inc.(a)
	3,150,000		3.250			05/15/22		3,252,454
	Kraft Heinz Foods Co.(a)
	3,300,000		3.500			07/15/22		3,506,847
	1,450,000		4.375			06/01/46		1,534,138
	Mead Johnson Nutrition Co.(a)
	1,550,000		4.125			11/15/25		1,680,504
	Molson Coors Brewing Co.(a)
	775,000		3.000			07/15/26		780,368
	Pernod-Ricard SA(c)
	2,300,000		4.450			01/15/22		2,536,886
	SABMiller Holdings, Inc.(c)
	925,000		4.950			01/15/42		1,080,449
	Sigma Alimentos SA de CV(a)(c)
	350,000		4.125			05/02/26		350,875
	Sysco Corp.(a)
	1,650,000		3.750			10/01/25		1,775,474
	The JM Smucker Co.
	1,450,000		3.000			03/15/22		1,518,611
	WM Wrigley Jr Co.(a)(c)
	2,650,000		3.375			10/21/20		2,805,036
								37,002,469
	Health Care – 2.7%
	Aetna, Inc.(a)
	375,000		2.400			06/15/21		379,342
	1,000,000		2.800			06/15/23		1,021,139
	AmerisourceBergen Corp.(a)
	2,975,000		3.250			03/01/25		3,144,507
	Medtronic, Inc.
	2,450,000		3.150			03/15/22		2,605,043
	Thermo Fisher Scientific, Inc.(a)
	1,100,000		3.650			12/15/25		1,161,999
	UnitedHealth Group, Inc.
	1,125,000		4.625			07/15/35		1,306,429
	1,475,000		4.750			07/15/45		1,768,802
								11,387,261

The accompanying notes are an integral part of these financial statements. 91

GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Life Insurance – 2.1%
	AIA Group Ltd.(a)(c)
$	3,025,000		3.200	%		03/11/25	$	3,087,058
	MetLife, Inc.
	2,275,000		3.600			04/10/24		2,409,680
	Reliance Standard Life Global Funding II(c)
	2,350,000		2.500			01/15/20		2,381,626
	Teachers Insurance & Annuity Association of America(c)
	890,000		4.900			09/15/44		1,000,995
								8,879,359
	Lodging(a) – 0.8%
	Marriott International, Inc.
	1,600,000		2.875			03/01/21		1,659,792
	1,825,000		2.300			01/15/22		1,840,394
								3,500,186
	Media – Cable – 2.9%
	Charter Communications Operating LLC/Charter Communications Operating Capital(a)(c)
	2,175,000		3.579			07/23/20		2,273,306
	700,000		4.464			07/23/22		755,343
	2,325,000		4.908			07/23/25		2,564,603
	Comcast Corp.
	1,375,000		4.250			01/15/33		1,527,179
	2,075,000		6.450			03/15/37		2,864,809
	Time Warner Cable LLC
	890,000		6.750			07/01/18		967,039
	150,000		5.000			02/01/20		162,600
	500,000		5.875	(a)		11/15/40		555,244
	300,000		5.500	(a)		09/01/41		320,222
								11,990,345
	Media – Non Cable – 0.8%
	21st Century Fox America, Inc.
	2,200,000		6.150			02/15/41		2,790,751
	Time Warner, Inc.(a)
	350,000		4.850			07/15/45		391,251
								3,182,002
	Metals & Mining(c) – 0.0%
	Glencore Funding LLC
	172,000		2.500			01/15/19		171,587
	Noncaptive – Financial – 2.0%
	Air Lease Corp.
	1,100,000		5.625			04/01/17		1,118,757
	Capital One Financial Corp.(a)
	1,550,000		4.200			10/29/25		1,617,103
	General Electric Co.
	294,000		5.875			01/14/38		393,750
	International Lease Finance Corp.(c)
	2,625,000		7.125			09/01/18		2,864,531
	KKR Group Finance Co. LLC(c)
	1,850,000		6.375			09/29/20		2,151,041
								8,145,182
	Corporate Obligations – (continued)
	Pharmaceuticals – 5.2%
	AbbVie, Inc.(a)
$	2,500,000		2.300	%		05/14/21	$	2,521,712
	Actavis Funding SCS(a)
	2,175,000		3.450			03/15/22		2,283,398
	275,000		3.800			03/15/25		291,047
	1,400,000		4.850			06/15/44		1,539,937
	Actavis, Inc.(a)
	825,000		4.625			10/01/42		878,813
	Forest Laboratories LLC(a)(c)
	2,075,000		4.375			02/01/19		2,185,851
	1,550,000		5.000			12/15/21		1,734,717
	Shire Acquisitions Investments Ireland DAC
	3,750,000		1.900			09/23/19		3,748,076
	2,300,000		3.200	(a)		09/23/26		2,312,372
	Teva Pharmaceutical Finance Netherlands III BV
	1,750,000		1.400			07/20/18		1,744,568
	1,500,000		2.800			07/21/23		1,503,849
	925,000		3.150			10/01/26		929,279
								21,673,619
	Pipelines(a) – 3.3%
	Enbridge, Inc.
	1,000,000		3.500			06/10/24		993,379
	Energy Transfer Partners LP
	1,065,000		5.200			02/01/22		1,154,321
	EnLink Midstream Partners LP
	275,000		4.850			07/15/26		276,726
	Enterprise Products Operating LLC(b)
	1,525,000		4.465			08/01/66		1,437,465
	1,765,000		7.000			06/01/67		1,494,531
	Kinder Morgan Energy Partners LP
	1,900,000		5.400			09/01/44		1,904,761
	Magellan Midstream Partners LP
	400,000		4.250			09/15/46		398,783
	Plains All American Pipeline LP/PAA Finance Corp.
	1,344,000		4.650			10/15/25		1,392,200
	Western Gas Partners LP
	1,425,000		5.450			04/01/44		1,446,929
	Williams Partners LP
	3,000,000		3.600			03/15/22		3,052,110
								13,551,205
	Property/Casualty Insurance – 1.1%
	American International Group, Inc.(a)
	475,000		3.750			07/10/25		498,202
	500,000		4.500			07/16/44		509,321
	Arch Capital Group Ltd.
	1,245,000		7.350			05/01/34		1,680,988
	The Chubb Corp.(a)(b)
	1,943,000		6.375			03/29/67		1,846,044
								4,534,555
	Real Estate Investment Trusts – 5.6%
	American Campus Communities Operating Partnership LP(a)
	3,200,000		4.125			07/01/24		3,413,952
	Camden Property Trust
	2,575,000		5.700			05/15/17		2,640,490

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

GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Real Estate Investment Trusts – (continued)
	CubeSmart LP(a)
$	1,625,000		4.800	%		07/15/22	$	1,809,176
	Developers Diversified Realty Corp.
	3,750,000		7.500			04/01/17		3,859,957
	HCP, Inc.(a)
	1,975,000		2.625			02/01/20		2,003,412
	Kilroy Realty LP
	1,125,000		6.625			06/01/20		1,290,087
	Select Income REIT(a)
	650,000		2.850			02/01/18		653,859
	1,125,000		3.600			02/01/20		1,142,321
	Tanger Properties LP(a)
	975,000		3.125			09/01/26		972,327
	Trust F/1401(a)(c)
	230,000		5.250			12/15/24		239,767
	UDR, Inc.
	1,900,000		4.250			06/01/18		1,980,281
	400,000		2.950	(a)		09/01/26		397,035
	WEA Finance LLC/Westfield UK & Europe Finance PLC(a)(c)
	2,150,000		2.700			09/17/19		2,204,210
	Welltower, Inc.(a)
	775,000		4.125			04/01/19		814,993
								23,421,867
	Retailers(a) – 2.6%
	Amazon.com, Inc.
	2,325,000		3.300			12/05/21		2,493,063
	CVS Health Corp.
	3,500,000		2.800			07/20/20		3,626,189
	2,125,000		2.875			06/01/26		2,156,486
	375,000		5.125			07/20/45		458,867
	Walgreens Boots Alliance, Inc.
	775,000		2.600			06/01/21		793,111
	850,000		3.450			06/01/26		882,400
	375,000		4.650			06/01/46		406,553
								10,816,669
	Technology – Hardware – 2.7%
	Cisco Systems, Inc.
	4,075,000		1.400			09/20/19		4,078,558
	2,375,000		2.200			02/28/21		2,430,055
	Hewlett Packard Enterprise Co.(a)(c)
	1,400,000		4.900			10/15/25		1,494,229
	Intel Corp.(a)
	1,100,000		4.900			07/29/45		1,312,091
	NVIDIA Corp.(a)
	625,000		3.200			09/16/26		629,921
	Oracle Corp.(a)
	800,000		4.300			07/08/34		867,615
	QUALCOMM, Inc.
	600,000		3.000			05/20/22		629,528
								11,441,997
	Technology – Software/Services – 2.0%
	Apple, Inc.
	1,550,000		3.850			05/04/43		1,584,084
	Corporate Obligations – (continued)
	Technology – Software/Services – (continued)
	Fidelity National Information Services, Inc.(a)
$	3,300,000		4.500	%		10/15/22	$	3,637,709
	Fiserv, Inc.(a)
	3,100,000		2.700			06/01/20		3,196,447
								8,418,240
	Tobacco – 3.7%
	Altria Group, Inc.
	1,650,000		2.850			08/09/22		1,722,833
	BAT International Finance PLC(c)
	3,300,000		2.750			06/15/20		3,417,153
	2,225,000		3.950			06/15/25		2,458,156
	Philip Morris International, Inc.(a)
	1,350,000		2.750			02/25/26		1,384,853
	Reynolds American, Inc.
	861,000		3.250			06/12/20		905,831
	499,000		4.850			09/15/23		571,181
	2,875,000		4.450	(a)		06/12/25		3,207,712
	1,275,000		5.850	(a)		08/15/45		1,657,638
								15,325,357
	Transportation(a) – 0.3%
	Burlington Northern Santa Fe LLC
	1,000,000		3.900			08/01/46		1,069,000
	Norfolk Southern Corp.
	200,000		4.650			01/15/46		230,609
								1,299,609
	Trucking & Leasing(c) – 1.2%
	ERAC USA Finance LLC
	1,525,000		5.625			03/15/42		1,844,922
	Penske Truck Leasing Co. LP/PTL Finance Corp.
	2,275,000		3.375	(a)		02/01/22		2,365,823
	650,000		4.875			07/11/22		725,332
								4,936,077
	Wireless Telecommunications – 2.0%
	American Tower Corp.(a)
	1,025,000		3.300			02/15/21		1,071,519
	Crown Castle International Corp.(a)
	675,000		2.250			09/01/21		674,453
	Verizon Communications, Inc.
	5,425,000		4.500			09/15/20		5,953,221
	525,000		3.500	(a)		11/01/24		560,003
								8,259,196
	Wirelines Telecommunications – 3.7%
	AT&T, Inc.(a)
	600,000		3.950			01/15/25		636,904
	1,375,000		3.400			05/15/25		1,412,686
	300,000		6.000			08/15/40		359,414
	525,000		4.750			05/15/46		549,389
	Telefonica Emisiones SAU
	4,290,000		5.462			02/16/21		4,871,535
	Verizon Communications, Inc.
	2,000,000		5.150			09/15/23		2,329,854
	650,000		2.625	(a)		08/15/26		637,955

The accompanying notes are an integral part of these financial statements. 93

GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Wirelines Telecommunications – (continued)
	Verizon Communications, Inc. – (continued)
$	1,648,000		4.862	%		08/21/46	$	1,845,864
	2,685,000		4.522			09/15/48		2,838,934
								15,482,535
	TOTAL CORPORATE OBLIGATIONS
	(Cost $352,265,316)						$	366,866,498
	Foreign Debt Obligations – 4.0%
	Sovereign – 4.0%
	Republic of Chile
$	935,000		3.625	%		10/30/42	$	991,100
	Republic of Colombia
	2,221,000		4.000	(a)		02/26/24		2,365,365
	522,000		6.125			01/18/41		631,620
	Republic of Indonesia
	387,000		5.875			01/15/24		456,111
	430,000		4.125			01/15/25		458,926
	470,000		6.750			01/15/44		643,444
	Republic of Panama(d)
	350,000		9.375			04/01/29		542,500
	Republic of South Africa
	730,000		4.875			04/14/26		766,500
	Republic of Turkey
	2,040,000		6.250			09/26/22		2,244,000
	1,820,000		5.750			03/22/24		1,961,050
	United Mexican States
	1,810,000		6.050			01/11/40		2,212,725
	980,000		4.750			03/08/44		1,019,200
	1,335,000		5.550			01/21/45		1,548,600
	786,000		4.600			01/23/46		801,720
	TOTAL FOREIGN DEBT OBLIGATIONS
	(Cost $15,221,614)						$	16,642,861
	Municipal Debt Obligations(a) – 3.5%
	California – 2.0%
	California State GO Bonds Build America Taxable Series 2009
$	455,000		7.300	%		10/01/39	$	691,045
	California State GO Bonds Build America Taxable Series 2010
	2,320,000		7.625			03/01/40		3,671,934
	California State University RB Build America Bonds Series 2010
	2,825,000		6.484			11/01/41		3,880,674
								8,243,653
	Illinois – 1.4%
	Chicago Illinois Metropolitan Water Reclamation District GO Bonds Build America Taxable Direct Payment Series 2009
	1,775,000		5.720			12/01/38		2,238,861
	Illinois State GO Bonds Build America Series 2010
	3,225,000		6.630			02/01/35		3,471,841
								5,710,702
	Municipal Debt Obligations(a) – (continued)
	New Jersey – 0.1%
	New Jersey State Turnpike Authority RB Build America Bonds Taxable Series 2009 F
$	350,000		7.414	%		01/01/40	$	548,037
	TOTAL MUNICIPAL DEBT OBLIGATIONS
	(Cost $11,060,955)						$	14,502,392
	U.S. Treasury Obligations – 3.1%
	United States Treasury Bonds
$	5,470,000		3.000	%		11/15/45	$	6,245,263
	310,000		2.250			08/15/46		304,504
	United States Treasury Inflation Protected Securities
	821,648		0.125			04/15/19		836,158
	521,310		0.125			01/15/23		529,943
	412,564		0.625			01/15/24		433,064
	202,708		0.125			07/15/24		205,749
	United States Treasury Notes
	2,660,000		1.125			09/30/21		2,656,356
	1,900,000		1.375			09/30/23		1,892,723
	TOTAL U.S. TREASURY OBLIGATIONS
	(Cost $12,522,490)						$	13,103,760

Shares	Distribution Rate			Value
Investment Company(b)(e) – 0.0%
Goldman Sachs Financial Square Government Fund – Institutional Shares
1,253		0.290	%	$	1,253
(Cost $1,253)
TOTAL INVESTMENTS – 98.5%
(Cost $391,071,628)				$	411,116,764
OTHER ASSETS IN EXCESS OF     LIABILITIES – 1.5%					6,228,646
NET ASSETS – 100.0%				$	417,345,410

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

GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
(a)	Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.
(b)	Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on September 30, 2016.
(c)	Exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be deemed 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 $59,489,942, which represents approximately 14.3% of net assets as of September 30, 2016.
(d)	Security with “Put” features and resetting interest rates. Maturity dates disclosed are the puttable dates. Interest rate disclosed is that which is in effect at September 30, 2016.
(e)	Represents an Affiliated Fund.

Currency Abbreviations:
EUR	—Euro
Investment Abbreviations:
GO	—General Obligation
LLC	—Limited Liability Company
LP	—Limited Partnership
PLC	—Public Limited Company
RB	—Revenue Bond
REIT	—Real Estate Investment Trust

ADDITIONAL INVESTMENT INFORMATION

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At September 30, 2016, the Fund had the following forward foreign currency exchange contracts:

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Gain
Westpac Banking Corp.	USD	1,749,486	EUR	1,551,162	$	1,745,775		11/10/16	$	3,712

FUTURES CONTRACTS — At September 30, 2016, the Fund had the following futures contracts:

Type	Number of Contracts Long (Short)			Expiration Date	Current Value			Unrealized Gain (Loss)
Eurodollars		(5	)	June 2018	$	(1,236,063	)	$	(640	)
Eurodollars		(5	)	September 2018		(1,235,625	)		176
Eurodollars		(5	)	December 2018		(1,235,063	)		114
Eurodollars		(5	)	March 2019		(1,234,750	)		51
Eurodollars		(5	)	June 2019		(1,234,375	)		(74	)
Eurodollars		(5	)	September 2019		(1,233,938	)		(324	)
Eurodollars		(5	)	December 2019		(1,233,375	)		(387	)
Eurodollars		(5	)	March 2020		(1,232,937	)		(449	)
Ultra Long U.S. Treasury Bonds		19		December 2016		3,493,625			(68,209	)
2 Year U.S. Treasury Notes		85		December 2016		18,569,844			20,458
5 Year U.S. Treasury Notes		97		December 2016		11,787,016			43,105
10 Year U.S. Treasury Notes		(268	)	December 2016		(35,141,500	)		(111,743	)
20 Year U.S. Treasury Bonds		15		December 2016		2,522,344			(27,540	)
TOTAL								$	(145,462	)

The accompanying notes are an integral part of these financial statements. 95

GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION (continued)

SWAP CONTRACTS — At September 30, 2016, the Fund had the following swap contracts:

OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS

												Market Value
Counterparty	Referenced Obligation	Notional Amount (000s)		Rates Received (Paid)			Termination Date		Credit Spread at September 30, 2016(a)			Upfront Payments Made (Received)			Unrealized Gain (Loss)
Protection Sold:
Barclays Bank PLC	Markit CMBX Series 7	$	1,900		0.500	%		01/17/47		0.742	%	$	(64,153	)	$	35,225
	Markit CMBX Series 8		1,600		0.500			10/17/57		0.823			(63,711	)		24,844
Credit Suisse International (London)	Markit CMBX Series 7		1,300		0.500			01/17/47		0.742			(47,816	)		28,018
	Markit CMBX Series 8		1,600		0.500			10/17/57		0.823			(72,883	)		34,017
	Markit CMBX Series 6		200		0.500			05/11/63		0.643			(4,850	)		3,304
TOTAL												$	(253,413	)	$	125,408

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

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

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND

Schedule of Investments

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Sovereign Debt Obligations – 69.1%
	Argentina – 1.1%
	Letras del Banco Central de la Republica Argentina (NR/NR)(a)
ARS	7,430,000		0.000	%		12/21/16	$	458,212
	2,750,000		0.000			12/28/16		168,842
	Republic of Argentina (NR/NR)
	7,240,000		22.750			03/05/18		481,325
	26,004,000		18.200			10/03/21		1,693,024
	Republic of Argentina (B-/NR)(b)
	43,596,000		27.669			03/28/17		2,837,806
	70,000		27.919			10/09/17		4,607
								5,643,816
	Brazil – 9.9%
	Brazil Notas do Tesouro Nacional (BB/Ba2)
BRL	24,246,000		10.000			01/01/19		7,236,527
	61,900,000		10.000			01/01/23		17,737,571
	76,017,000		10.000			01/01/25		21,508,158
	19,350,102		6.000			08/15/40		6,091,223
	52,573,479
	Colombia – 9.6%
	Republic of Colombia (NR/Baa2)
COP	1,851,000,000		4.375	(c)		03/21/23		574,653
	439,775,157		3.500			05/07/25		152,946
	Republic of Colombia (BBB+/Baa2)
	3,424,300,000		11.250			10/24/18		1,291,231
	75,413,400,000		5.000			11/21/18		25,412,512
	17,201,039,912		3.500			03/10/21		6,015,696
	22,121,000,000		7.000			05/04/22		7,779,233
	104,800,000		10.000			07/24/24		43,083
	12,253,700,000		7.500			08/26/26		4,387,975
	100,000		6.000			04/28/28		31
	13,849,800,000		7.750			09/18/30		5,048,055
	50,705,415
	Dominican Republic – 0.7%
	Dominican Republic (NR/NR)
DOP	77,900,000		11.375			07/06/29		1,702,970
	Dominican Republic (BB-/B1)(d)
$	2,040,000		6.850			01/27/45		2,284,800
	3,987,770
	Hungary – 1.6%
	Hungary Government Bond (BBB-/NR)
HUF	1,017,570,000		5.500			06/24/25		4,503,797
	1,056,780,000		3.000			10/27/27		3,889,197
	8,392,994
	Indonesia – 0.2%
	Indonesia Government Bond (NR/Baa3)
IDR	14,400,000,000		7.875			04/15/19		1,132,393
	Republic of Indonesia (NR/Baa3)
	9,000,000		6.125			05/15/28		630
	1,133,023
	Sovereign Debt Obligations – (continued)
	Malaysia – 3.7%
	Malaysia Government Bond (NR/NR)
MYR	32,380,000		3.394	%		03/15/17	$	7,855,856
	6,060,000		3.743			08/26/21		1,492,857
	1,430,000		3.990			10/15/25		349,763
	4,740,000		4.245			09/30/30		1,171,387
	11,840,000		4.232			06/30/31		2,968,231
	3,380,000		4.786			10/31/35		872,482
	5,270,000		4.736			03/15/46		1,323,075
	Malaysia Government Bond (NR/A3)
	13,330,000		4.498			04/15/30		3,398,175
	19,431,826
	Mexico – 7.5%
	Mexican Udibonos (A/A3)
MXN	51,607,223		4.500			12/04/25		3,052,889
	United Mexican States (NR/NR)(a)
	112,582,050		0.000			11/24/16		5,763,805
	United Mexican States (NR/A3)
	8,883,900		5.750			03/05/26		449,166
	United Mexican States (A/A3)
	51,788,100		5.000			12/11/19		2,616,708
	112,300,900		6.500			06/10/21		5,953,814
	117,500,100		6.500			06/09/22		6,240,426
	14,766,400		8.000			12/07/23		855,614
	136,389,200		10.000			12/05/24		8,884,506
	91,922,300		7.750			11/23/34		5,389,302
	7,762,100		7.750			11/13/42		462,605
	39,668,835
	Peru – 2.4%
	Republic of Peru (NR/A3)
PEN	14,471,000		6.350	(d)		08/12/28		4,277,564
	1,998,000		6.850			02/12/42		622,589
	Republic of Peru (A-/A3)
	2,887,000		7.840			08/12/20		945,696
	15,084,000		5.700	(d)		08/12/24		4,582,228
	6,466,000		8.200			08/12/26		2,257,678
	50,000		6.950			08/12/31		16,079
	857,000		6.900			08/12/37		272,920
	12,974,754
	Philippines – 0.3%
	Republic of Philippines (BBB/Baa2)
PHP	67,000,000		6.250			01/14/36		1,602,640
	Poland – 13.6%
	Poland Government Bond (A-/NR)
PLN	92,690,000		2.000			04/25/21		24,010,828
	8,850,000		3.250			07/25/25		2,386,970
	Poland Government Bond (A-/A2)
	42,090,000		1.750			07/25/21		10,720,463
	4,280,000		5.750			10/25/21		1,299,435
	86,160,000		5.750			09/23/22		26,639,773
	23,640,000		4.000			10/25/23		6,715,444
	71,772,913

The accompanying notes are an integral part of these financial statements. 97

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Sovereign Debt Obligations – (continued)
	Russia – 3.2%
	Russian Federation Bond (NR/NR)
RUB	671,260,000		8.500	%		09/17/31	$	11,020,417
	Russian Federation Bond (BBB-/Ba1)
	122,140,000		7.000			01/25/23		1,832,966
	267,980,000		7.000			08/16/23		4,021,258
	16,874,641
	South Africa – 5.5%
	Republic of South Africa (NR/NR)
ZAR	69,210,000		8.875			02/28/35		4,867,035
	44,950,000		9.000			01/31/40		3,153,829
	Republic of South Africa (NR/Baa2)
	166,610,000		8.250			03/31/32		11,237,198
	110,750,000		8.500			01/31/37		7,456,286
	36,928,000		8.750			01/31/44		2,516,894
	29,231,242
	Thailand – 4.9%
	Thailand Government Bond (NR/NR)
THB	154,790,000		2.550			06/26/20		4,590,029
	Thailand Government Bond (NR/Baa1)
	85,665,000		3.580			12/17/27		2,782,964
	198,698,952		1.250			03/12/28		5,297,039
	69,580,000		3.775			06/25/32		2,319,180
	Thailand Government Bond (A-/Baa1)
	381,926,302		1.200			07/14/21		10,740,032
	25,729,244
	Turkey – 4.6%
	Republic of Turkey (NR/NR)
TRY	37,120,000		8.500			07/10/19		12,285,100
	34,360,000		7.400			02/05/20		10,950,890
	Republic of Turkey (NR/Ba1)
$	264,000		6.250			09/26/22		290,400
	Turkey Government Bond (NR/NR)
TRY	2,284,000		10.600			02/11/26		810,930
	24,337,320
	Venezuela – 0.3%
	Republic of Venezuela (CCC/Caa3)
$	1,350,000		7.750			10/13/19		833,625
	1,292,000		8.250			10/13/24		639,540
	259,000		9.250			05/07/28		133,385
	1,606,550
	TOTAL SOVEREIGN DEBT OBLIGATIONS
	(Cost $398,402,604)						$	365,666,462
	Corporate Obligations – 3.3%
	Australia – 0.3%
	Toyota Finance Australia Ltd. (NR/NR)
MXN	27,460,000		3.760	%		07/20/17	$	1,369,477
	Hong Kong – 0.4%
	China Unicom Ltd. (NR/NR)
CNH	14,190,000		4.000			04/16/17		2,122,716
	Corporate Obligations – (continued)
	Mexico – 0.5%
	America Movil SAB de CV (A-/A2)
MXN	55,140,000		6.000			06/09/19		2,804,256
	South Africa – 1.7%
	Transnet Ltd. (BBB+/Baa2)
ZAR	136,000,000		10.000			03/30/29		9,011,332
	Venezuela – 0.4%
	Petroleos de Venezuela SA (CCC/NR)
$	770,000		9.000			11/17/21		435,127
	350,000		6.000			05/16/24		147,000
	2,190,000		6.000			11/15/26		919,581
	1,220,000		5.375			04/12/27		507,886
	200,000		5.500			04/12/37		81,750
	2,091,344
	TOTAL CORPORATE OBLIGATIONS
	(Cost $24,183,847)						$	17,399,125
	Structured Notes – 13.4%
	Brazil(b) – 0.1%
	Notas do Tesouro Nacional Series B (Issuer HSBC Corp.) (NR/NR)
BRL	845,000		0.000	%		01/05/17	$	257,329
	Colombia – 4.1%
	Republic of Columbia (Issuer Citigroup Funding, Inc.) (NR/NR)
COP	40,167,000,000		11.250	(d)		10/25/18		15,146,122
	12,492,000,000		11.000			07/27/20		4,956,465
	4,226,000,000		11.000			07/25/24		1,737,286
	21,839,873
	Indonesia – 9.2%
	Republic of Indonesia (Issuer Deutsche Bank AG (London)) (NR/NR)(d)
IDR	28,000,000,000		7.875			04/17/19		2,201,876
	34,500,000,000		8.250			07/19/21		2,786,223
	41,200,000,000		8.375			03/19/24		3,397,051
	35,400,000,000		7.000			05/17/27		2,695,714
	Republic of Indonesia (Issuer JPMorgan Chase Bank NA) (NR/NR)
	15,900,000,000		8.375			03/17/24		1,310,998
	21,250,000,000		7.000	(d)		05/17/27		1,618,190
	22,718,000,000		9.000	(d)		03/19/29		1,986,741
	221,071,000,000		6.625	(d)		05/17/33		15,629,200
	Republic of Indonesia (Issuer Standard Chartered Bank) (NR/NR)(d)
	190,066,000,000		9.000			03/19/29		16,621,708
	6,551,000,000		8.750			05/19/31		567,912
	48,815,613
	TOTAL STRUCTURED NOTES
	(Cost $93,842,207)						$	70,912,815

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

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Municipal Debt Obligations(c) – 0.7%
	Puerto Rico – 0.7%
	Puerto Rico Commonwealth Aqueduct & Sewer Authority RB (Senior Lien) Series 2008 A (CC/Caa3)
$	215,000		6.000	%		07/01/38	$	165,550
	100,000		6.000			07/01/44		76,750
	Puerto Rico Commonwealth Aqueduct & Sewer Authority RB (Senior Lien) Series 2012 A (CC/Caa3)
	60,000		5.750			07/01/37		45,900
	Puerto Rico Commonwealth GO Bonds for Public Improvement Series 2011 A (D/Caa3)
	120,000		5.750			07/01/41		74,700
	Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2008 A (D/Caa3)
	70,000		5.500			07/01/32		43,313
	Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2009 B (D/Caa3)
	45,000		5.875			07/01/36		28,238
	170,000		5.750			07/01/38		105,825
	Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2009 C (D/Caa3)
	705,000		6.000			07/01/39		442,387
	Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2011 A (D/Caa3)
	45,000		6.000			07/01/34		28,125
	Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2011 E (D/Caa3)
	40,000		5.625			07/01/32		24,650
	Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2012 A (D/Caa3)
	20,000		5.500			07/01/26		12,375
	265,000		5.000			07/01/41		160,325
	Puerto Rico Commonwealth GO Bonds Unrefunded Balance for Public Improvement Series 2001 A (D/Caa3)
	80,000		5.125			07/01/31		48,700
	Puerto Rico Commonwealth GO Bonds Unrefunded Balance for Public Improvement Series 2004 A (D/Caa3)
	20,000		5.000			07/01/34		12,100
	Puerto Rico Commonwealth GO Bonds Unrefunded Balance for Public Improvement Series 2006 A (D/Caa3)
	30,000		5.250			07/01/27		18,375
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB Capital Appreciation Series 2010 A (CC/Ca)(a)
	85,000		0.000			08/01/35		10,069
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB Capital Appreciation SubSeries 2010 C (CC/Ca)(a)
	215,000		0.000			08/01/37		22,863
	175,000		0.000			08/01/38		17,435
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2009 A (CC/Ca)
	90,000		5.250			08/01/27		47,250
	215,000		5.750			08/01/37		113,950
	60,000		6.375			08/01/39		32,700
	15,000		6.500			08/01/44		8,250
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2010 A (CC/Ca)
	475,000		0.000	(e)		08/01/33		161,514
	840,000		5.500			08/01/37		443,100
	Municipal Debt Obligations(c) – (continued)
	Puerto Rico – (continued)
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2010 A (CC/Ca) – (continued)
	540,000		5.375			08/01/39		283,500
	165,000		5.500			08/01/42		87,038
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2010 C (CC/Ca)
	240,000		5.375			08/01/38		126,000
	670,000		5.250			08/01/41		351,750
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2011 A-1 (CC/Ca)
	485,000		5.000			08/01/43		252,200
	175,000		5.250			08/01/43		91,875
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB Unrefunded SubSeries 2009 A (CC/Ca)
	305,000		5.500			08/01/28		160,887
	TOTAL MUNICIPAL DEBT OBLIGATIONS
	(Cost $4,466,812)						$	3,497,694
	U.S. Treasury Obligations – 4.3%
	United States Treasury Bonds
$	700,000		3.625	%(f)		08/15/43	$	891,933
	9,230,000		3.000			11/15/45		10,538,167
	740,000		2.250			08/15/46		726,880
	United States Treasury Notes
	6,300,000		1.375			04/30/21		6,366,780
	4,460,000		1.375			09/30/23		4,442,918
	TOTAL U.S. TREASURY OBLIGATIONS
	(Cost $23,089,424)						$	22,966,678

Shares	Distribution Rate			Value
Investment Company(b)(g) – 1.2%
Goldman Sachs Financial Square Government Fund – Institutional Shares
6,323,118		0.290	%	$	6,323,118
(Cost $6,323,118)
TOTAL INVESTMENTS – 92.0%
(Cost $550,308,012)				$	486,765,892
OTHER ASSETS IN EXCESS OF     LIABILITIES – 8.0%					42,286,261
NET ASSETS – 100.0%				$	529,052,153

The accompanying notes are an integral part of these financial statements. 99

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
(a)	Issued with a zero coupon. Income is recognized through the accretion of discount.
(b)	Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on September 30, 2016.
(c)	Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.
(d)	Exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be deemed 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 $73,795,329, which represents approximately 14.0% of net assets as of September 30, 2016.
(e)	Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect on September 30, 2016.
(f)	All or a portion of security is segregated as collateral for initial margin requirements on futures transaction.
(g)	Represents an Affiliated Fund.

Security ratings disclosed, if any, are obtained from by Standard & Poor’s /Moody’s Investor Service and are unaudited. A brief description of the ratings is available in the Fund’s Statement of Additional Information.

Currency Abbreviations:
ARS	—Argentine Peso
BRL	—Brazilian Real
CLP	—Chilean Peso
CNH	—Chinese Yuan Renminbi Offshore
CNY	—Chinese Yuan Renminbi
COP	—Colombian Peso
CZK	—Czech Koruna
DOP	—Dominican Peso
EUR	—Euro
HKD	—Hong Kong Dollar
HUF	—Hungarian Forint
IDR	—Indonesian Rupiah
ILS	—Israeli Shekel
INR	—Indian Rupee
KRW	—South Korean Won
MXN	—Mexican Peso
MYR	—Malaysian Ringgit
PEN	—Peruvian Nuevo Sol
PHP	—Philippine Peso
PLN	—Polish Zloty
RON	—New Romanian Leu
RUB	—Russian Ruble
SGD	—Singapore Dollar
THB	—Thai Baht
TRY	—Turkish Lira
TWD	—Taiwan Dollar
USD	—U.S. Dollar
ZAR	—South African Rand
Investment Abbreviations:
BUBOR	—Budapest Interbank Offered Rate
GO	—General Obligation
HIBOR	—Hong Kong Interbank Offered Rate
JIBAR	—Johannesburg Interbank Agreed Rate
KWCDC	—South Korean Won Certificate of Deposit
LIBOR	—London Interbank Offered Rate
LLC	—Limited Liability Company
MIBOR	—Mumbai Interbank Offered Rate
NR	—Not Rated
PLC	—Public Limited Company
PRIBOR	—Prague Interbank Offered Rate
RB	—Revenue Bond
SHIBOR	—Shanghai Interbank Offered Rate
TIIE	—La Tasa de Interbank Equilibrium Interest Rate
WIBOR	—Warsaw Interbank Offered Rate

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

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At September 30, 2016, the Fund had the following forward foreign currency exchange contracts:

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Gain
Bank of America Securities LLC	CZK	46,986,923	EUR	1,743,000	$	1,988,914		06/21/17	$	6,607
	KRW	2,050,858,500	USD	1,852,000		1,861,147		10/28/16		9,147
	PLN	8,214,427	EUR	1,898,107		2,144,901		12/21/16		4,389
	PLN	11,773,642	USD	3,069,691		3,074,262		12/21/16		4,571
	USD	3,692,000	BRL	11,967,655		3,675,465		10/04/16		16,535
Barclays Bank PLC	IDR	171,087,801,658	USD	12,812,686		13,102,712		10/27/16		290,025
	IDR	67,374,931,705	USD	5,088,741		5,151,383		11/10/16		62,641
BNP Paribas SA	ARS	20,482,000	USD	1,289,393		1,319,079		10/21/16		29,687
	EUR	784,000	PLN	3,376,512		884,124		12/21/16		2,470
	KRW	2,986,517,358	USD	2,691,939		2,710,297		10/26/16		18,358
	PEN	6,429,664	USD	1,893,194		1,898,125		10/12/16		4,932
	PLN	7,277,000	HUF	518,246,618		1,900,126		12/21/16		8,832
	USD	21,799,835	TRY	66,003,359		21,635,126		12/21/16		164,709
Citibank NA (London)	INR	257,975,547	USD	3,835,925		3,859,736		10/26/16		23,811
Credit Suisse International (London)	RUB	310,719,037	USD	4,729,594		4,922,406		10/21/16		192,812
	RUB	1,215,657,635	USD	18,496,685		19,132,691		11/17/16		636,006
Deutsche Bank AG (London)	COP	2,181,819,500	USD	743,000		752,130		10/31/16		9,130
	CZK	94,191,720	EUR	3,492,463		3,987,050		06/21/17		15,087
	EUR	855,432	PLN	3,686,099		964,678		12/21/16		2,186
	IDR	27,982,663,425	USD	2,096,865		2,145,792		10/03/16		48,927
	IDR	34,168,477,056	USD	2,580,701		2,613,148		11/08/16		32,447
	KRW	4,146,522,120	USD	3,692,000		3,764,164		10/04/16		72,164
	KRW	4,173,734,790	USD	3,726,000		3,787,889		10/20/16		61,889
	PLN	7,420,854	EUR	1,708,000		1,937,688		12/21/16		11,561
	TWD	73,106,970	USD	2,333,165		2,336,843		10/07/16		3,679
	TWD	59,069,470	USD	1,863,000		1,890,797		10/24/16		27,797
	USD	3,664,800	MYR	14,998,194		3,631,059		10/04/16		33,741
HSBC Bank PLC	BRL	7,495,852	USD	2,272,159		2,282,642		11/03/16		10,483
	CLP	403,707,389	USD	610,199		611,469		11/16/16		1,271
	CZK	6,651,015	USD	275,815		278,084		12/21/16		2,270
	IDR	6,676,086,425	USD	509,042		510,443		11/10/16		1,401
	KRW	2,724,922,656	USD	2,448,000		2,473,033		10/19/16		25,033
	MYR	13,954,427	USD	3,366,406		3,377,054		11/18/16		10,648
	USD	10,501,073	KRW	11,477,463,061		10,416,415		10/20/16		84,658
	USD	4,908,230	MYR	20,217,000		4,895,652		10/27/16		12,578
	USD	4,254,380	TWD	131,766,644		4,217,812		10/24/16		36,568
JPMorgan Chase Bank (London)	CNH	12,498,448	USD	1,853,000		1,863,451		12/21/16		10,451
	INR	131,566,695	USD	1,950,000		1,968,178		10/27/16		18,178
	INR	124,363,724	USD	1,853,000		1,858,783		11/03/16		5,783
	KRW	1,486,255,680	USD	1,344,000		1,349,205		10/04/16		5,205
	USD	1,835,000	ZAR	25,381,408		1,820,046		12/21/16		14,955
Morgan Stanley & Co. International PLC	BRL	17,481,007	USD	5,318,691		5,368,707		10/04/16		50,016
	BRL	10,981,261	USD	3,261,244		3,344,020		11/03/16		82,776
	HUF	517,066,368	EUR	1,664,000		1,886,987		12/21/16		10,480
	IDR	24,073,255,600	USD	1,802,700		1,843,644		10/27/16		40,944
	PLN	5,049,875	USD	1,316,683		1,318,593		12/21/16		1,909
	RON	18,973,000	USD	4,772,481		4,805,483		12/21/16		33,002
	RUB	192,626,157	USD	2,975,197		3,047,051		10/27/16		71,854
	USD	7,750,687	BRL	24,988,745		7,674,457		10/04/16		76,230

The accompanying notes are an integral part of these financial statements. 101

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN (continued)

Counterparty	Currency Purchased			Currency Sold		Current Value		Settlement Date		Unrealized Gain
Morgan Stanley & Co. International PLC		USD	886,456	MYR	3,659,735	$	886,224		10/27/16	$	232
(continued)		USD	1,148,419	TRY	3,475,461		1,139,215		12/21/16		9,204
		ZAR	184,043,354	USD	12,648,680		13,197,348		12/21/16		548,668
Royal Bank of Canada		BRL	5,999,708	USD	1,832,000		1,842,610		10/04/16		10,610
		USD	1,853,000	BRL	6,023,325		1,834,227		11/03/16		18,773
		USD	3,429,080	SGD	4,673,493		3,428,149		12/21/16		931
Royal Bank of Scotland PLC		USD	1,887,000	MXN	34,893,253		1,783,181		12/21/16		103,819
Standard Chartered Bank		CNH	74,165,697	USD	11,019,000		11,057,707		12/21/16		38,707
		USD	3,379,000	IDR	43,824,075,660		3,355,082		10/31/16		23,918
		USD	12,415,889	SGD	16,886,603		12,386,836		12/21/16		29,053
State Street Bank (London)		EUR	341,173	CZK	9,120,237		388,015		06/21/17		1,964
UBS AG (London)		CZK	46,794,780	EUR	1,737,000		1,980,780		06/21/17		5,298
		HUF	8,584,182,407	USD	31,111,128		31,327,201		12/21/16		216,073
		INR	123,327,858	USD	1,832,000		1,845,187		10/26/16		13,187
		PLN	7,403,754	EUR	1,707,000		1,933,223		12/21/16		8,225
		RUB	124,102,825	USD	1,925,000		1,970,918		10/11/16		45,918
		TWD	73,106,970	USD	2,334,567		2,339,552		10/21/16		4,984
		ZAR	20,652,587	USD	1,462,247		1,480,953		12/21/16		18,705
TOTAL										$	3,499,102

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Loss
Bank of America Securities LLC	ARS	24,338,550	USD	1,576,331	$	1,573,935		10/13/16	$	(2,396	)
	MXN	207,262,336	USD	10,774,431		10,591,910		12/21/16		(182,521	)
	PLN	7,107,609	EUR	1,646,000		1,855,896		12/21/16		(313	)
	USD	1,832,000	TWD	57,351,676		1,835,810		10/24/16		(3,810	)
Barclays Bank PLC	PHP	187,623,738	USD	3,962,068		3,879,364		10/27/16		(82,704	)
	PHP	179,128,113	USD	3,734,559		3,697,862		11/18/16		(36,697	)
	USD	9,067,871	SGD	12,362,909		9,068,570		12/21/16		(698	)
	USD	5,895,000	ZAR	83,930,788		6,018,495		12/21/16		(123,495	)
BNP Paribas SA	ARS	41,982,229	USD	2,719,937		2,716,329		10/12/16		(3,608	)
	ARS	38,582,981	USD	2,518,805		2,493,810		10/14/16		(24,995	)
	ARS	19,891,524	USD	1,296,710		1,283,034		10/18/16		(13,675	)
	ARS	3,041,896	USD	197,526		195,601		10/24/16		(1,924	)
	ARS	11,840,933	USD	757,335		747,479		11/29/16		(9,856	)
	EUR	1,358,000	PLN	5,867,130		1,531,429		12/21/16		(561	)
	MXN	381,025,797	USD	19,734,089		19,471,897		12/21/16		(262,192	)
	SGD	6,382,920	USD	4,699,000		4,682,066		12/21/16		(16,934	)
	USD	34,232,491	COP	103,074,031,416		35,474,715		11/10/16		(1,242,224	)
	USD	2,692,739	KRW	2,986,517,358		2,711,125		10/04/16		(18,386	)
	USD	4,646,265	KRW	5,135,656,566		4,660,921		10/19/16		(14,656	)
	USD	759,181	RUB	49,700,532		786,186		10/27/16		(27,006	)
Citibank NA (London)	ARS	35,267,061	USD	2,299,566		2,280,665		10/13/16		(18,901	)
	ARS	10,077,837	USD	650,603		646,699		10/28/16		(3,904	)
	ARS	2,526,464	USD	159,097		157,725		12/23/16		(1,372	)
	BRL	6,085,866	USD	1,854,000		1,853,272		11/03/16		(728	)
	COP	2,926,732,731	USD	1,009,340		1,008,430		11/03/16		(910	)
	SGD	2,524,383	USD	1,856,000		1,851,711		12/21/16		(4,289	)
	TRY	2,627,951	USD	866,161		861,411		12/21/16		(4,750	)

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

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)

Counterparty	Currency Purchased		Currency Sold			Current Value		Settlement Date		Unrealized Loss
Citibank NA (London) (continued)	USD	2,918,244		KRW	3,310,748,351	$	3,004,659		10/21/16	$	(86,414	)
	USD	1,835,000		KRW	2,026,335,450		1,838,921		10/26/16		(3,921	)
	USD	1,853,000		RUB	121,937,592		1,931,733		10/21/16		(78,733	)
	USD	7,469,760		TWD	233,579,409		7,491,962		11/22/16		(22,202	)
Credit Suisse International (London)	COP	3,017,466,400		USD	1,040,000		1,039,524		11/04/16		(476	)
	USD	1,862,000		RUB	119,527,738		1,891,214		10/26/16		(29,214	)
Deutsche Bank AG (London)	ARS	14,736,565		USD	944,652		933,708		11/22/16		(10,943	)
	BRL	5,893,756		USD	1,835,000		1,810,070		10/04/16		(24,930	)
	MYR	13,954,427		USD	3,452,784		3,381,416		10/07/16		(71,368	)
	PEN	6,506,712		USD	1,925,000		1,920,871		10/12/16		(4,129	)
	THB	575,541,554		USD	16,605,354		16,605,062		10/20/16		(292	)
	USD	1,874,000		ILS	7,059,358		1,887,980		12/21/16		(13,980	)
	USD	1,846,000		KRW	2,070,746,254		1,879,254		10/24/16		(33,254	)
	USD	3,562,357		TWD	112,748,609		3,609,050		10/24/16		(46,693	)
HSBC Bank PLC	BRL	2,030,938		USD	623,044		618,462		11/03/16		(4,582	)
	MXN	36,174,412		USD	1,852,000		1,848,653		12/21/16		(3,347	)
	MYR	14,998,194		USD	3,643,876		3,631,059		10/04/16		(12,817	)
	MYR	43,914,902		USD	10,669,315		10,630,407		11/09/16		(38,908	)
	TWD	97,090,656		USD	3,120,000		3,104,502		10/11/16		(15,498	)
	USD	511,186		IDR	6,676,086,425		511,942		10/03/16		(756	)
	USD	1,850,878		INR	124,915,750		1,868,683		10/27/16		(17,805	)
	USD	2,373,000		KRW	2,646,260,442		2,402,244		10/04/16		(29,244	)
	USD	2,761,351		KRW	3,094,369,460		2,808,285		10/21/16		(46,934	)
	USD	4,084,814		KRW	4,564,575,034		4,142,467		10/24/16		(57,653	)
	USD	3,370,635		MYR	13,954,427		3,381,416		10/07/16		(10,781	)
	USD	3,663,000		TWD	114,746,405		3,672,087		10/21/16		(9,087	)
	ZAR	17,534,870		USD	1,260,731		1,257,387		12/21/16		(3,343	)
JPMorgan Chase Bank (London)	ARS	20,912,073		USD	1,362,350		1,348,861		10/18/16		(13,489	)
	BRL	11,792,929		USD	3,653,844		3,621,804		10/04/16		(32,041	)
	MXN	36,304,788		USD	1,925,000		1,855,316		12/21/16		(69,684	)
	MYR	22,586,117		USD	5,591,038		5,470,636		10/20/16		(120,402	)
	PHP	177,178,543		USD	3,699,791		3,666,032		10/17/16		(33,759	)
	SGD	4,986,134		USD	3,663,000		3,657,481		12/21/16		(5,519	)
	TRY	5,574,492		USD	1,848,000		1,827,253		12/21/16		(20,747	)
	USD	2,915,035		PLN	11,251,161		2,937,835		12/21/16		(22,800	)
Morgan Stanley & Co. International PLC	BRL	23,124,253		USD	7,066,387		7,041,811		11/03/16		(24,576	)
	MXN	63,734,245		USD	3,263,057		3,257,067		12/21/16		(5,990	)
	MYR	28,805,750		USD	7,191,549		6,977,108		10/20/16		(214,441	)
	USD	1,256,569		BRL	4,211,000		1,293,268		10/04/16		(36,699	)
	USD	1,018,641		HUF	280,599,946		1,024,024		12/21/16		(5,383	)
	USD	1,597,434		IDR	21,306,577,000		1,633,850		10/03/16		(36,416	)
	USD	2,138,294		PEN	7,265,032		2,144,738		10/12/16		(6,443	)
	USD	1,916,000		RUB	124,346,484		1,974,787		10/11/16		(58,787	)
	USD	1,835,000		RUB	117,896,548		1,864,943		10/27/16		(29,943	)
	USD	8,625,487		TWD	269,261,838		8,636,461		11/22/16		(10,974	)
	ZAR	29,706,274		USD	2,166,665		2,130,172		12/21/16		(36,493	)
Royal Bank of Scotland PLC	MXN	208,942,444		USD	11,068,367		10,677,770		12/21/16		(390,596	)
	TRY	5,496,082		USD	1,835,000		1,801,551		12/21/16		(33,449	)
	USD	2,137,800		COP	6,239,169,300		2,147,318		11/10/16		(9,518	)
	USD	3,690,000		MXN	72,816,191		3,721,190		12/21/16		(31,190	)

The accompanying notes are an integral part of these financial statements. 103

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)

Counterparty	Currency Purchased			Currency Sold			Current Value		Settlement Date		Unrealized Loss
Standard Chartered Bank		CNH	25,689,996		USD	3,832,000	$	3,830,240		12/21/16	$	(1,760	)
		USD	2,304,662		IDR	30,836,373,000		2,361,595		10/27/16		(56,933	)
		USD	965,014		PLN	3,725,726		972,839		12/21/16		(7,825	)
State Street Bank (London)		CZK	46,177,180		EUR	1,721,103		1,954,638		06/21/17		(2,764	)
UBS AG (London)		EUR	298,000		PLN	1,287,515		336,057		12/21/16		(131	)
		MXN	36,599,448		USD	1,925,000		1,870,374		12/21/16		(54,626	)
		MYR	8,509,330		USD	2,119,807		2,061,134		10/19/16		(58,673	)
		MYR	59,603,532		USD	14,494,317		14,433,307		10/27/16		(61,011	)
		MYR	42,199,276		USD	10,378,062		10,215,108		11/09/16		(162,954	)
		PLN	7,084,928		EUR	1,643,000		1,849,973		12/21/16		(2,852	)
		USD	16,747,445		EUR	14,852,358		16,749,135		12/21/16		(1,690	)
		USD	4,204,784		KRW	4,660,582,653		4,229,763		10/19/16		(24,979	)
		USD	2,331,961		TWD	73,106,970		2,336,843		10/07/16		(4,882	)
		USD	5,732,002		TWD	181,131,273		5,804,869		11/10/16		(72,869	)
Westpac Banking Corp.		USD	7,643,098		CNH	51,407,474		7,664,578		12/21/16		(21,481	)
TOTAL											$	(4,565,578	)

FUTURES CONTRACTS — At September 30, 2016, the Fund had the following futures contracts:

Type	Number of Contracts Long (Short)			Expiration Date		Current Value			Unrealized Gain (Loss)
U.S. Long Bonds		(127	)		December 2016	$	(21,355,844	)	$	162,831
Ultra Long U.S. Treasury Bonds		(15	)		December 2016		(2,758,125	)		24,227
2 Year U.S. Treasury Notes		(81	)		December 2016		(17,695,969	)		(20,716	)
5 Year U.S. Treasury Notes		(70	)		December 2016		(8,506,093	)		(18,475	)
10 Year U.S. Treasury Notes		23			December 2016		3,015,875			11,032
TOTAL									$	158,899

SWAP CONTRACTS — At September 30, 2016, the Fund had the following swap contracts:

OVER THE COUNTER INTEREST RATE SWAP CONTRACTS

					Rates Exchanged		Market Value
Counterparty	Notional Amount (000s)			Termination Date	Payments Received	Payments Made	Upfront Payments Made (Received)			Unrealized Gain (Loss)
Bank of America Securities LLC	COP	20,906,520		12/11/16	Colombia IBR Overnight Interbank	4.340%	$	—		$	55,845
		14,069,340		04/06/17	Colombia IBR Overnight Interbank	6.590		—			26,214
	KRW	7,833,870		11/04/17	2.060%	3 month KWCDC		—			69,943
		8,896,640		08/12/18	1.212	3 month KWCDC		—			(4,864	)
		13,338,680		08/12/18	1.205	3 month KWCDC		—			(9,105	)
		10,497,060		08/29/18	1.226	3 month KWCDC		—			(2,201	)
	INR	443,200		09/21/21	12 month MIBOR	6.420		—			(33,798	)
		273,470	(a)	12/21/21	12 month MIBOR	6.235		—			11,127
Barclays Bank PLC	KRW	14,556,500		11/07/17	2.034	3 month KWCDC		—			125,128
	CNY	21,600	(a)	12/21/21	2.800	3 month SHIBOR		(5,275	)		500

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

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND

ADDITIONAL INVESTMENT INFORMATION (continued)

OVER THE COUNTER INTEREST RATE SWAP CONTRACTS (continued)

					Rates Exchanged		Market Value
Counterparty	Notional Amount (000s)			Termination Date	Payments Received	Payments Made	Upfront Payments Made (Received)			Unrealized Gain (Loss)
Barclays Bank PLC (continued)	KRW	24,854,460	(a)	09/18/22	3 month KWCDC	3.300%	$	—		$	(2,322,898	)
		20,329,360	(a)	12/05/22	3 month KWCDC	3.275		—			(1,872,616	)
	MXN	309,200	(a)	06/29/27	8.010%	Mexico Interbank TIIE 28 Days		—			562,648
Citibank NA	COP	20,669,680		12/11/16	Colombia IBR Overnight Interbank	4.330		—			58,350
	BRL	19,380		01/02/17	15.740	1 month Brazilian Interbank Deposit Average		—			91,895
		35,190		01/02/17	11.500	1 month Brazilian Interbank Deposit Average		—			(396,659	)
		54,230		01/02/17	15.238	1 month Brazilian Interbank Deposit Average		—			185,911
	COP	78,271,530		03/30/17	Columbia IBR Overnight Interbank	7.350		—			6,247
		12,695,600		06/13/17	Colombia IBR Overnight Interbank	7.220		—			5,221
	KRW	25,075,360		07/29/17	1.625	3 month KWCDC		—			73,877
	BRL	17,340		01/02/18	14.460	1 month Brazilian Interbank Deposit Average		—			130,021
	KRW	9,913,750		09/22/18	1.276	3 month KWCDC		—			8,026
	BRL	10,920		01/02/19	12.645	1 month Brazilian Interbank Deposit Average		—			45,134
	THB	128,250		04/11/19	1.523	6 month Thai Reuters		—			(9,273	)
		446,710		06/15/19	1.550	6 month Thai Reuters		(19,049	)		(3,612	)
		188,720		09/21/19	1.641	6 month Thai Reuters		—			5,585
	ZAR	162,000		05/30/20	6.623	3 month JIBAR		—			(355,184	)
	THB	650,000		12/17/20	2.080	6 month Thai Reuters		—			297,415
		141,790		02/04/21	1.903	6 month Thai Reuters		—			28,990
	INR	315,920		09/21/21	6 month MIBOR	6.420		(3,733	)		809
		145,440	(a)	12/21/21	6 month MIBOR	6.235		3,645			2,272
	KRW	20,189,970		07/11/24	2.940	3 month KWCDC		—			2,453,191
		4,797,960	(a)	03/13/28	3 month KWCDC	3.165		—			(392,722	)
Credit Suisse International (London)	BRL	45,140		01/02/17	12.580	1 month Brazilian Interbank Deposit Average		—			(243,175	)
	BRL	17,400		01/02/18	11.960	1 month Brazilian Interbank Deposit Average		—			(138,834	)
		23,240		01/02/18	11.120	1 month Brazilian Interbank Deposit Average		—			(328,081	)
	COP	20,678,330		04/15/19	3 month COP	5.110		—			181,058
		3,635,890		05/02/24	Colombia IBR Overnight Interbank	6.055		—			16,567
Deutsche Bank AG	KRW	11,710,120		03/03/17	2.850	3 month KWCDC		—			80,263
		7,077,400		10/28/17	2.173	3 month KWCDC		—			72,060

The accompanying notes are an integral part of these financial statements. 105

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION (continued)

OVER THE COUNTER INTEREST RATE SWAP CONTRACTS (continued)

					Rates Exchanged		Market Value
Counterparty	Notional Amount (000s)			Termination Date	Payments Received	Payments Made	Upfront Payments Made (Received)			Unrealized Gain (Loss)
Deutsche Bank AG (continued)	BRL	9,840		01/02/18	11.150%	1 month Brazilian Interbank Deposit Average	$	—		$	(136,317	)
		31,520		01/02/18	11.450	1 month Brazilian Interbank Deposit Average		—			(353,240	)
	ZAR	168,500		06/07/18	7.100	3 month JIBAR		—			(62,340	)
	KRW	8,507,770		08/30/18	1.242	3 month KWCDC		—			749
		13,118,310		09/09/18	1.235	3 month KWCDC		—			(9	)
		6,480		01/02/19	14.357	1 month Brazilian Interbank Deposit Average		—			89,115
	BRL	9,150		01/02/19	11.992	1 month Brazilian Interbank Deposit Average		—			18,230
	THB	46,620		06/15/19	1.645	6 month Thai Reuters		—			2,072
	BRL	16,650	(a)	01/02/20	11.840	1 month Brazilian Interbank Deposit Average		—			24,256
		11,360		01/04/21	1 month Brazilian Interbank Deposit Average	13.927%		—			(221,482	)
		11,730		01/04/21	14.080	1 month Brazilian Interbank Deposit Average		—			243,088
	ZAR	7,820		05/23/21	6.550	3 month JIBAR		—			(24,546	)
	BRL	7,260		01/02/23	1 month Brazilian Interbank Deposit Average	13.855		—			(170,092	)
		7,350		01/02/23	1 month Brazilian Interbank Deposit Average	14.195		—			(195,944	)
		17,590		01/02/23	1 month Brazilian Interbank Deposit Average	13.602		—			(369,084	)
	KRW	17,289,860		08/23/23	3.620	3 month KWCDC		—			2,594,316
	BRL	22,680		01/02/25	1 month Brazilian Interbank Deposit Average	12.340		—			(179,130	)
JPMorgan Securities, Inc.		295,000		01/02/17	1 month Brazilian Interbank Deposit Average	14.430		—			(281,990	)
	KRW	9,675,870		09/12/18	1.265	3 month KWCDC		—			5,344
	THB	169,850		04/19/19	1.554	6 month Thai Reuters		—			(8,200	)
	COP	10,159,090		04/22/19	3 month COP	5.190		—			82,165
	BRL	23,970	(a)	01/02/20	11.870	1 month Brazilian Interbank Deposit Average		—			36,399
	INR	259,100		09/21/21	6 month MIBOR	6.420		(6,920	)		(12,838	)

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

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND

ADDITIONAL INVESTMENT INFORMATION (continued)

OVER THE COUNTER INTEREST RATE SWAP CONTRACTS (continued)

					Rates Exchanged			Market Value
Counterparty	Notional Amount (000s)			Termination Date	Payments Received		Payments Made	Upfront Payments Made (Received)			Unrealized Gain (Loss)
JPMorgan Securities, Inc. (continued)	INR	211,640	(a)	12/21/21		6 month MIBOR	6.235%		(7,252	)		15,863
	ZAR	125,000		12/20/21		7.760	3 month JIBAR		(1,139	)		29,152
Morgan Stanley & Co. International PLC	COP	35,960,090		12/07/16		Colombia IBR Overnight Interbank	6.080%	$	—		$	89,776
	COP	12,522,350		02/08/17		Colombia IBR Overnight Interbank	6.390		—			30,982
		68,572,350		03/27/17		Columbia IBR Overnight Interbank	7.340		—			22,278
		9,927,740		03/31/17		Colombia IBR Overnight Interbank	6.570		—			18,805
		9,927,740		04/03/17		Colombia IBR Overnight Interbank	6.550		—			24,804
		6,725,950		05/04/17		Colombia IBR Overnight Interbank	7.040		—			6,757
		32,718,530		05/08/17		Colombia IBR Overnight Interbank	7.120		—			23,904
		21,167,900		07/11/17		Columbia IBR Overnight Interbank	7.210		—			3,138
		23,936,280		08/01/17		7.339	Columbia IBR Overnight Interbank		—			9,669
	KRW	5,518,900		10/13/17		2.250	3 month KWCDC		—			60,448
		36,805,190		09/09/18		1.234	3 month KWCDC		—			(359	)
		8,046,080		09/28/18		1.252	3 month KWCDC		—			3,082
	BRL	1,330		01/02/19		12.610	1 month Brazilian Interbank Deposit Average		—			5,230
		20,490		01/02/19		14.080	1 month Brazilian Interbank Deposit Average		—			249,074
	BRL	22,820		01/02/19		11.913	1 month Brazilian Interbank Deposit Average		—			35,851
		36,490		01/02/19		12.017	1 month Brazilian Interbank Deposit Average		—			77,898
	KRW	9,834,960		02/03/19		1.461	3 month KWCDC		—			51,115
	MXN	135,000		06/17/21		5.630	Mexico Interbank TIIE 28 Days		—			(124,381	)
		103,340		09/21/21		6 month MIBOR	6.420		(959	)		(6,921	)
	INR	118,390	(a)	12/21/21		6 month MIBOR	6.235		3,794			1,022
	COP	3,635,890		05/02/24		6.055	Columbia IBR Overnight Interbank		(5,241	)		(11,326	)
	KRW	19,502,470	(a)	03/03/28		3 month KWCDC	3.135		—			(1,570,604	)
TOTAL								$	(42,129	)	$	(1,392,946	)

(a) Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to September 30, 2016.

The accompanying notes are an integral part of these financial statements. 107

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION (continued)

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS

					Rates Exchanged				Market Value
Notional Amount (000s)			Termination Date		Payments Received		Payments Made		Upfront Payments Made (Received)			Unrealized Gain (Loss)
$	51,130	(a)		12/21/18		3 month LIBOR		1.250%	$	(178,584	)	$	(33,237	)
ZAR	83,620	(a)		03/15/19		7.415%		3 month JIBAR		27			(3,894	)
HUF	1,871,420			09/21/21		1.380		6 month BUBOR		70			(98,872	)
HKD	45,010	(a)		12/21/21		6 month HIBOR		1.200		21,500			(26,628	)
CZK	310,420	(a)		12/21/21		6 month PRIBOR		0.367		2,296			(5,693	)
MXN	184,840	(a)		03/09/22		5.500		Mexico Interbank TIIE 28 Days		(210,040	)		(82,001	)
PLN	65,660	(a)		03/15/22		1.820		6 month WIBOR		(28,688	)		(114,186	)
MXN	248,000	(a)		03/06/24		5.750		Mexico Interbank TIIE 28 Days		(97,320	)		(340,933	)
	54,290	(a)		11/20/24		Mexico Interbank TIIE 28 Days		5.955		23			63,928
ZAR	52,850			12/18/24		3 month JIBAR		7.890		29			16,965
MXN	20,280			01/24/25		Mexico Interbank TIIE 28 Days		5.660		16			46,412
CZK	63,420			06/21/26		6 month PRIBOR		0.550		38			(13,696	)
	146,470	(a)		12/21/26		6 month PRIBOR		0.475		17,442			17,382
MXN	352,810	(a)		03/03/27		6.000		Mexico Interbank TIIE 28 Days		(426,348	)		(269,206	)
ZAR	90,000	(a)		03/15/27		8.250		3 month JIBAR		7,286			35,505
	TOTAL								$	(892,253	)	$	(808,154	)

(a) Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to September 30, 2016.

OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS

												Market Value
Counterparty	Referenced Obligation	Notional Amount (000s)		Rates Received (Paid)			Termination Date		Credit Spread at September 30, 2016(b)			Upfront Payments Made (Received)			Unrealized Gain (Loss)
Protection Purchased:
Bank of America Securities LLC	People’s Republic of China 4.250%, 10/28/17	$	1,160		(1.000	)%		06/20/19		0.559	%	$	(3,969	)	$	(10,169	)
	People’s Republic of China 4.250%, 10/28/27		4,100		(1.000	)		12/20/20		0.844			27,073			(54,567	)
			1,800		(1.000	)		06/20/21		0.959			15,974			(19,870	)
Barclays Bank PLC	People’s Republic of China 4.250%, 10/28/17		3,170		(1.000	)		03/20/19		0.509			(5,989	)		(33,121	)
	People’s Republic of China 4.250%, 10/28/27		6,740		(1.000	)		06/20/21		0.959			17,739			(32,329	)
Citibank NA	People’s Republic of China 4.250%, 10/28/17		22,180		(1.000	)		03/20/19		0.509			(62,601	)		(211,042	)
			44,310		(1.000	)		06/20/19		0.559			(144,347	)		(395,669	)
	People’s Republic of China 4.250%, 10/28/27		4,470		(1.000	)		12/20/20		0.844			44,217			(74,191	)
			8,440		(1.000	)		06/20/21		0.959			81,308			(99,580	)

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

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND

ADDITIONAL INVESTMENT INFORMATION (continued)

OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS (continued)

												Market Value
Counterparty	Referenced Obligation	Notional Amount (000s)		Rates Received (Paid)			Termination Date		Credit Spread at September 30, 2016(b)			Upfront Payments Made (Received)			Unrealized Gain (Loss)
Deutsche Bank AG	People’s Republic of China 4.250%, 10/28/27	$	610		(1.000	)%		12/20/20		0.844	%	$	4,730		$	(8,821	)
			2,690		(1.000	)		06/20/21		0.959			7,273			(13,097	)
JPMorgan Securities, Inc.	People’s Republic of China 4.250%, 10/28/17		1,630		(1.000	)		06/20/19		0.559			(5,989	)		(13,876	)
	People’s Republic of China 4.250%, 10/28/27		5,260		(1.000	)		12/20/20		0.844			9,605			(44,877	)
			8,880		(1.000	)		06/20/21		0.959			34,990			(54,216	)
UBS AG (London)	People’s Republic of China 7.500%, 10/28/27		3,550		(1.000	)		06/20/21		0.959			16,732			(24,417	)
TOTAL												$	36,746		$	(1,089,842	)

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

OVER THE COUNTER CROSS CURRENCY SWAP CONTRACTS

							Rates Exchanged			Market Value
Counterparty	Notional Amount of Currency Received		Notional Amount of Currency Delivered		Termination Date(c)		Receive	Pay		Upfront Payments Made (Received)			Unrealized Gain (Loss)
Citibank NA	ZAR	26,400,000	$	2,540,263		05/13/24	3 Month JIBAR		3 Month LIBOR	$	1,169		$	(591,965	)
Deutsche Bank AG		42,202,250		4,054,984		05/23/19	3 Month JIBAR		3 Month LIBOR		8,688			(976,814	)
	TRY	6,600,000		2,960,969		12/04/16	8.05%		3 Month LIBOR		(2,257	)		(612,227	)
JPMorgan Securities, Inc.		113,210,000		38,598,704		08/19/17	8.93		3 Month LIBOR		—			(318,875	)
TOTAL										$	7,600		$	(2,499,881	)

(c) At the termination date, the notional amount of the currency received will be exchanged back for the notional amount of the currency delivered.

NON-DELIVERABLE BOND FORWARD CONTRACT#

Counterparty	Notional Amount (000s)		Reference Obligation	Settlement Date		Unrealized Gain (Loss)*
Deutsche Bank AG	COP	3,201,100	Titulos de Tesoreria 7.75% 09/18/2030		10/27/16	$	8,726

# Represents a short term forward contract to purchase the referenced obligation denominated in a non-deliverable foreign currency.

* There are no upfront payments on the bond forward contract, therefore the unrealized gain (loss) of the bond forward contract is equal to their market value.

The accompanying notes are an integral part of these financial statements. 109

GOLDMAN SACHS U.S. MORTGAGES FUND

Schedule of Investments

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Mortgage-Backed Obligations – 99.4%
	Collateralized Mortgage Obligations – 5.5%
	Adjustable Rate Non-Agency(a) – 0.6%
	Adjustable Rate Mortgage Trust Series 2004-5, Class 2A1
$	123,038		3.094	%		04/25/35	$	123,030
	Bear Stearns Alt-A Trust Series 2005-5, Class 21A1
	716,454		2.819			07/25/35		693,911
	Countrywide Alternative Loan Trust Series 2005-16, Class A1
	468,574		2.134			06/25/35		419,474
	Countrywide Alternative Loan Trust Series 2005-38, Class A1
	127,993		1.989			09/25/35		118,846
	Harborview Mortgage Loan Trust Series 2005-16, Class 2A1A
	224,057		0.754			01/19/36		146,769
	Impac CMB Trust Series 2004-08, Class 1A
	52,115		1.244			10/25/34		45,060
	Morgan Stanley Mortgage Loan Trust Series 2004-8AR, Class 4A1
	533,887		2.961			10/25/34		530,443
								2,077,533
	Interest Only(b) – 0.4%
	CS First Boston Mortgage Securities Corp. Series 2003-19, Class 1A2
	2,173		5.250			07/25/33		43
	FHLMC REMIC Series 4456, Class IO
	412,539		4.500			10/15/44		71,579
	FHLMC STRIPS Series 304, Class C45
	490,146		3.000			12/15/27		41,500
	FNMA REMIC Series 2011-124, Class SC(a)
	615,025		6.025			12/25/41		114,393
	FNMA REMIC Series 2012-146, Class IO
	2,926,778		3.500			01/25/43		449,951
	FNMA REMIC Series 2016-3, Class IP
	1,266,737		4.000			02/25/46		199,499
	GNMA REMIC Series 2014-11, Class KI
	457,990		4.500			12/20/42		48,107
	GNMA REMIC Series 2014-188, Class IB
	2,138,749		4.000			12/20/44		265,947
	GNMA REMIC Series 2015
	400,000		4.000			10/01/46		58,500
	GNMA REMIC Series 2015-129, Class IC
	901,281		4.500			09/16/45		130,261
	GNMA REMIC Series 2015-72, Class JI
	213,337		3.500			05/20/45		19,316
	GNMA REMIC Series 2015-83, Class PI
	353,636		3.500			06/20/45		31,724
	GNMA REMIC Series 2015-90, Class PI
	281,406		3.500			04/20/45		23,032
	Master Adjustable Rate Mortgages Trust Series 2003-2, Class 3AX(a)
	12,786		0.123			08/25/33		77
	Master Adjustable Rate Mortgages Trust Series 2003-2, Class 4AX(a)
	2,071		0.320			07/25/33		23
								1,453,952
	Mortgage-Backed Obligations – (continued)
	Inverse Floaters(a) – 1.6%
	FHLMC REMIC Series 3852, Class SW
$	896,790		5.476	%		05/15/41	$	145,015
	FHLMC REMIC Series 4273, Class PS
	441,801		5.576			11/15/43		77,822
	FHLMC REMIC Series 4314, Class SE
	560,995		5.526			03/15/44		95,059
	FHLMC REMIC Series 4320, Class SD
	321,674		5.576			07/15/39		57,545
	FHLMC REMIC Series 4326, Class GS
	704,645		5.526			04/15/44		118,973
	FHLMC REMIC Series 4583, Class ST
	2,235,121		5.476			05/15/46		442,261
	FNMA REMIC Series 2010-126, Class LS
	953,961		4.477			11/25/40		170,309
	FNMA REMIC Series 2012-88, Class SB
	721,759		6.145			07/25/42		130,272
	FNMA REMIC Series 2013-121, Class SA
	654,208		5.575			12/25/43		121,458
	FNMA REMIC Series 2013-96, Class SW
	360,362		5.575			09/25/43		65,824
	FNMA REMIC Series 2014-87, Class MS
	189,122		5.725			01/25/45		35,739
	FNMA REMIC Series 2015-20, Class ES
	862,001		5.625			04/25/45		193,254
	FNMA REMIC Series 2015-79, Class SA
	765,823		5.725			11/25/45		135,085
	FNMA REMIC Series 2015-81, Class SA
	2,409,038		5.175			11/25/45		385,401
	FNMA REMIC Series 2015-82, Class MS
	637,125		5.175			11/25/45		112,193
	GNMA REMIC Series 2010-1, Class SD
	27,578		5.258			01/20/40		4,618
	GNMA REMIC Series 2010-101, Class S
	1,820,170		5.468			08/20/40		303,229
	GNMA REMIC Series 2010-20, Class SE
	720,009		5.718			02/20/40		121,121
	GNMA REMIC Series 2010-31, Class SA
	447,653		5.218			03/20/40		68,695
	GNMA REMIC Series 2010-85, Class SN
	69,372		5.408			07/20/40		12,952
	GNMA REMIC Series 2010-98, Class QS
	230,172		6.068			01/20/40		31,588
	GNMA REMIC Series 2011-17, Class SA
	277,301		5.568			09/20/40		39,518
	GNMA REMIC Series 2011-61, Class CS
	152,476		6.148			12/20/35		10,135
	GNMA REMIC Series 2011-79, Class AS
	21,667		5.578			07/20/37		256
	GNMA REMIC Series 2013-113, Class SD
	309,378		6.170			08/16/43		66,019
	GNMA REMIC Series 2013-134, Class DS
	163,829		5.568			09/20/43		27,331
	GNMA REMIC Series 2013-152, Class SJ
	915,194		5.618			05/20/41		152,477

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

GOLDMAN SACHS U.S. MORTGAGES FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Mortgage-Backed Obligations – (continued)
	Inverse Floaters(a) – (continued)
	GNMA REMIC Series 2014-132, Class SL
$	1,281,800		5.568	%		10/20/43	$	174,076
	GNMA REMIC Series 2014-133, Class BS
	568,387		5.068			09/20/44		84,322
	GNMA REMIC Series 2014-41, Class SA
	181,167		5.568			03/20/44		31,837
	GNMA REMIC Series 2015-110, Class MS
	2,471,307		5.178			08/20/45		350,969
	GNMA REMIC Series 2015-111, Class SM
	754,443		5.668			08/20/45		120,618
	GNMA REMIC Series 2015-112, Class SB
	732,239		5.208			08/20/45		104,703
	GNMA REMIC Series 2015-119, Class SN
	1,606,389		5.718			08/20/45		252,539
	GNMA REMIC Series 2015-126, Class HS
	1,486,747		5.668			09/20/45		228,495
	GNMA REMIC Series 2015-168, Class SD
	385,633		5.668			11/20/45		61,386
	GNMA REMIC Series 2015-64, Class SG
	1,755,993		5.068			05/20/45		312,717
	GNMA REMIC Series 2016-1, Class ST
	779,524		5.668			01/20/46		119,702
	GNMA REMIC Series 2016-4, Class SM
	1,036,256		5.118			01/20/46		165,133
	GNMA REMIC Series 2016-6, Class SB
	843,232		5.118			01/20/46		137,073
								5,267,719
	Planned Amortization Class – 0.2%
	FHLMC REMIC Series 3748
	803,944		4.000			11/15/39		843,611
	Sequential Fixed Rate – 1.6%
	FHLMC Multifamily Structured Pass-Through Certificates Series K005, Class A2
	2,000,000		4.317			11/25/19		2,167,260
	FHLMC REMIC Series 2042, Class N
	87,436		6.500			03/15/28		97,755
	FNMA REMIC Series 2000-16, Class ZG
	227,584		8.500			06/25/30		267,873
	FNMA REMIC Series 2011-52, Class GB
	841,469		5.000			06/25/41		932,002
	FNMA REMIC Series 2011-99, Class DB
	900,061		5.000			10/25/41		995,984
	FNMA REMIC Series 2012-111, Class B
	145,650		7.000			10/25/42		169,035
	FNMA REMIC Series 2012-153, Class B
	534,179		7.000			07/25/42		630,293
								5,260,202
	Sequential Floating Rate(a) – 0.7%
	FHLMC REMIC Series 4103, Class BF
	1,481,416		0.874			12/15/38		1,479,322
	FNMA REMIC Series 2011-63, Class FG
	202,425		0.975			07/25/41		202,766
	Mortgage-Backed Obligations – (continued)
	Sequential Floating Rate(a) – (continued)
	New Residential Mortgage Loan Trust Series 2015-1A, Class A1(c)
$	528,744		3.750	%		05/28/52	$	547,177
								2,229,265
	Support – 0.4%
	FNMA REMIC Series 2005-59, Class KZ
	1,298,049		5.500			07/25/35		1,483,971
	TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS						$	18,616,253
	Commercial Mortgage-Backed Securities – 6.5%
	Sequential Fixed Rate – 3.0%
	FHLMC Multifamily Structured Pass-Through Certificates Series K027, Class A2
$	1,400,000		2.637	%		01/25/23	$	1,472,135
	FHLMC Multifamily Structured Pass-Through Certificates Series K028, Class A2
	3,450,000		3.111			02/25/23		3,722,519
	Bear Stearns Commercial Mortgage Securities Trust Series 2007-PW18, Class A1A
	3,524,667		5.602			06/11/50		3,649,307
	FHLMC Multifamily Structured Pass-Through Certificates Series K044, Class A2
	1,400,000		2.811			01/25/25		1,487,777
								10,331,738
	Sequential Floating Rate(a) – 3.5%
	GS Mortgage Securities Trust Series 2007-GG10, Class A4
	3,479,941		5.988			08/10/45		3,531,716
	LB-UBS Commercial Mortgage Trust Series 2007-C7, Class A3
	720,821		5.866			09/15/45		746,209
	Banc of America Commercial Mortgage, Inc. Series 2007-2, Class AM
	150,000		5.647			04/10/49		152,572
	Morgan Stanley Capital I Trust Series 2007-HQ11, Class AM
	50,000		5.478			02/12/44		50,242
	Morgan Stanley Capital I Trust Series 2007-HQ13, Class AM
	50,000		5.931			12/15/44		48,466
	WF-RBS Commercial Mortgage Trust Series 2011-C2, Class A4(c)
	1,300,000		4.869			02/15/44		1,447,441
	Citigroup Commercial Mortgage Trust Series 2008-C7, Class A1A
	2,084,334		6.247			12/10/49		2,151,056
	Commercial Mortgage Trust Series 2007-C9, Class A1A
	2,254,257		5.813			12/10/49		2,304,484
	Morgan Stanley Capital I Trust Series 2007-T25, Class A1A
	383,194		5.509			11/12/49		383,655
	Wachovia Bank Commercial Mortgage Trust Series 2006-C26, Class A1A
	239,343		6.009			06/15/45		239,442

The accompanying notes are an integral part of these financial statements. 111

GOLDMAN SACHS U.S. MORTGAGES FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Mortgage-Backed Obligations – (continued)
	Sequential Floating Rate(a) – (continued)
	FHLMC Multifamily Structured Pass-Through Certificates Series K714, Class A2
$	700,000		3.034	%		10/25/20	$	740,761
								11,796,044
	TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES						$	22,127,782
	Federal Agencies – 87.4%
	Adjustable Rate FHLMC(a) – 0.1%
$	73,938		2.790	%		04/01/33	$	77,996
	36,609		2.483			09/01/33		38,617
	18,635		2.421			10/01/34		19,591
	28,264		2.623			11/01/34		29,871
	27,518		2.933			02/01/35		29,110
	95,314		2.749			06/01/35		100,717
								295,902
	Adjustable Rate FNMA(a) – 0.3%
	3,267		1.940			07/01/22		3,295
	13,393		1.940			07/01/27		13,568
	13,114		1.940			11/01/27		13,283
	5,934		1.940			01/01/31		6,028
	7,578		1.940			06/01/32		7,702
	7,721		1.940			08/01/32		7,847
	29,748		1.940			05/01/33		30,209
	10,673		2.315			06/01/33		10,978
	159,787		2.773			06/01/33		168,663
	8,943		2.739			07/01/33		9,426
	143,303		1.941			08/01/33		145,393
	474		3.125			09/01/33		503
	71,288		2.533			12/01/33		74,666
	930		2.699			12/01/33		982
	2,569		2.825			04/01/34		2,717
	246,520		3.129			08/01/34		262,683
	35,661		2.550			11/01/34		37,420
	46,573		2.615			02/01/35		49,164
	64,681		2.588			03/01/35		67,687
	39,880		3.039			04/01/35		42,272
	84,991		2.949			05/01/35		89,646
	5,269		1.940			11/01/35		5,349
	40,894		1.940			12/01/37		41,446
	24,897		1.940			01/01/38		25,229
	15,599		1.940			11/01/40		15,844
								1,132,000
	Adjustable Rate GNMA(a) – 0.3%
	21,379		2.125			06/20/23		21,763
	10,509		1.875			07/20/23		10,699
	10,273		1.875			08/20/23		10,461
	28,014		1.875			09/20/23		28,530
	8,859		2.000			03/20/24		9,026
	74,718		2.125			04/20/24		76,180
	8,133		2.125			05/20/24		8,294
	75,530		2.125			06/20/24		77,036
	21,434		1.875			07/20/24		21,864
	22,849		2.000			07/20/24		23,307
	Mortgage-Backed Obligations – (continued)
	Adjustable Rate GNMA(a) – (continued)
$	39,304		1.875	%		08/20/24	$	40,098
	20,127		2.000			08/20/24		20,534
	18,927		1.875			09/20/24		19,312
	23,552		2.000			11/20/24		24,032
	9,119		2.000			12/20/24		9,305
	15,295		2.500			12/20/24		15,777
	16,086		2.000			01/20/25		16,413
	9,050		2.000			02/20/25		9,236
	31,268		2.125			05/20/25		31,941
	25,906		2.000			07/20/25		26,472
	11,768		2.000			02/20/26		12,029
	618		1.875			07/20/26		632
	30,469		2.000			01/20/27		31,201
	11,330		2.000			02/20/27		11,600
	87,806		2.125			04/20/27		89,967
	9,731		2.125			05/20/27		9,980
	10,522		2.125			06/20/27		10,775
	4,214		2.000			11/20/27		4,323
	14,249		2.000			12/20/27		14,621
	28,976		2.000			01/20/28		29,702
	10,824		2.000			02/20/28		11,097
	12,485		2.000			03/20/28		12,800
	48,576		1.875			07/20/29		49,915
	28,211		1.875			08/20/29		28,991
	5,759		1.875			09/20/29		5,919
	26,743		2.000			10/20/29		27,479
	34,250		2.000			11/20/29		35,220
	7,398		2.000			12/20/29		7,609
	10,209		2.000			01/20/30		10,491
	4,435		2.000			02/20/30		4,549
	27,312		2.000			03/20/30		28,040
	30,766		2.125			04/20/30		31,634
	79,579		2.125			05/20/30		81,850
	7,899		2.125			06/20/30		8,134
	71,904		2.000			07/20/30		73,968
	11,886		2.000			09/20/30		12,229
	24,643		2.000			10/20/30		25,378
								1,170,413
	FHLMC – 12.6%
	76		5.000			11/01/16		78
	507		5.000			01/01/17		518
	1,178		5.000			02/01/17		1,208
	1,219		5.000			03/01/17		1,250
	3,052		5.000			04/01/17		3,128
	86		5.000			05/01/17		89
	207		5.000			08/01/17		211
	13,849		5.000			09/01/17		14,228
	18,182		5.000			10/01/17		18,679
	13,770		5.000			11/01/17		14,144
	12,352		5.000			12/01/17		12,690
	16,792		5.000			01/01/18		17,235
	39,444		5.000			02/01/18		40,441
	41,057		5.000			03/01/18		42,125
	42,284		5.000			04/01/18		43,376
	4,309		4.500			05/01/18		4,461

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

GOLDMAN SACHS U.S. MORTGAGES FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Mortgage-Backed Obligations – (continued)
	FHLMC – (continued)
$	30,562		5.000	%		05/01/18	$	31,397
	9,413		5.000			06/01/18		9,671
	9,674		5.000			07/01/18		9,955
	3,933		5.000			08/01/18		4,043
	2,801		5.000			09/01/18		2,878
	14,434		5.000			10/01/18		14,885
	15,370		5.000			11/01/18		15,850
	7,671		5.000			12/01/18		7,881
	947		5.000			01/01/19		979
	335		5.000			02/01/19		348
	61,812		5.500			04/01/20		64,941
	255,130		5.000			11/01/22		282,515
	251,247		4.500			08/01/23		274,970
	43,573		7.000			04/01/31		50,902
	531,271		7.000			09/01/31		603,866
	235,746		7.000			04/01/32		283,422
	414,956		7.000			05/01/32		498,341
	16,722		4.500			07/01/33		18,367
	508,346		4.500			08/01/33		558,376
	984,872		4.500			09/01/33		1,081,799
	95,409		4.500			10/01/33		104,799
	127,940		5.000			10/01/33		142,315
	13,378		5.500			12/01/33		15,630
	239,245		5.500			04/01/35		270,935
	6,112		5.000			07/01/35		6,797
	4,043		4.500			08/01/35		4,425
	16,483		4.500			09/01/35		18,090
	6,697		4.500			10/01/35		7,331
	137,269		5.000			12/01/35		156,492
	93,238		5.500			01/01/36		107,862
	250		5.500			02/01/36		289
	2,206		5.000			02/01/37		2,513
	40,143		6.000			08/01/37		45,993
	43,025		6.000			09/01/37		49,285
	16,779		6.000			10/01/37		19,221
	117,170		6.000			11/01/37		134,220
	122,374		6.000			12/01/37		140,182
	56,261		4.500			01/01/38		61,667
	4,445		5.500			01/01/38		4,987
	127,166		6.000			01/01/38		145,672
	35,022		6.000			02/01/38		40,118
	7,097		6.000			03/01/38		8,132
	39,716		6.000			04/01/38		45,497
	16,258		6.000			05/01/38		18,629
	2,237		4.500			06/01/38		2,449
	29,695		6.000			06/01/38		34,028
	24,327		6.000			07/01/38		27,889
	15,873		6.000			08/01/38		18,200
	88,951		4.500			09/01/38		97,929
	128,178		6.000			09/01/38		146,830
	27,754		6.000			10/01/38		31,792
	2,077		6.000			11/01/38		2,383
	2,170		6.000			12/01/38		2,486
	770		4.500			01/01/39		842
	95,481		6.000			01/01/39		109,372
	47,363		4.500			02/01/39		51,793
	Mortgage-Backed Obligations – (continued)
	FHLMC – (continued)
$	12,106		6.000	%		02/01/39	$	13,885
	516,287		7.000			02/01/39		605,762
	18,477		4.500			03/01/39		20,205
	7,850		6.000			03/01/39		8,993
	4,543		4.500			04/01/39		4,967
	2,843		6.000			04/01/39		3,246
	160,151		4.500			05/01/39		175,128
	464,366		5.000			05/01/39		514,548
	448,343		4.500			06/01/39		490,270
	9,381		4.500			07/01/39		10,258
	840,714		5.000			07/01/39		938,217
	10,766		4.500			08/01/39		11,772
	25,815		4.500			09/01/39		28,229
	5,662		4.500			10/01/39		6,192
	3,848		4.500			11/01/39		4,208
	10,159		4.500			12/01/39		11,109
	14,946		4.500			01/01/40		16,343
	9,556		4.500			04/01/40		10,505
	49,269		6.000			04/01/40		56,438
	16,730		4.500			05/01/40		18,391
	99,577		6.000			05/01/40		114,066
	24,801		4.000			06/01/40		26,583
	23,765		4.500			06/01/40		26,125
	14,415		4.500			07/01/40		15,846
	4,523		4.500			08/01/40		4,972
	36,487		5.000			08/01/40		40,478
	26,833		5.000			10/01/40		29,920
	307,542		4.000			02/01/41		331,213
	99,062		4.500			02/01/41		108,853
	16,363		4.500			03/01/41		17,980
	38,169		4.500			04/01/41		41,941
	38,495		4.500			05/01/41		42,300
	73,460		4.500			06/01/41		80,721
	4,244		5.000			06/01/41		4,729
	192,605		4.500			08/01/41		211,640
	209,150		4.500			09/01/41		229,918
	115,976		4.000			10/01/41		127,139
	24,120		4.000			11/01/41		26,027
	11,721		4.500			12/01/41		12,879
	151,351		4.500			03/01/42		166,310
	67,919		3.000			05/01/42		70,745
	627,447		3.500			06/01/42		670,879
	1,546,586		4.500			06/01/42		1,702,937
	173,895		3.000			08/01/42		181,808
	222,680		3.500			08/01/42		237,355
	73,304		3.000			10/01/42		76,645
	456,004		3.500			10/01/42		486,053
	931,122		3.000			11/01/42		975,713
	349,341		3.500			11/01/42		372,362
	1,623,498		3.000			12/01/42		1,701,405
	2,899,195		3.000			01/01/43		3,038,076
	260,054		3.000			02/01/43		271,407
	3,991,496		3.500			04/01/43		4,225,840
	4,078,479		3.500			08/01/43		4,307,347
	1,796,169		4.000			08/01/43		1,958,386
	807,693		3.500			06/01/44		862,433

The accompanying notes are an integral part of these financial statements. 113

GOLDMAN SACHS U.S. MORTGAGES FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Mortgage-Backed Obligations – (continued)
	FHLMC – (continued)
$	31,256		4.000	%		11/01/44	$	34,313
	128,054		3.500			02/01/45		137,434
	179,700		3.500			03/01/45		192,861
	1,070,396		3.500			06/01/45		1,142,773
	836,640		3.500			10/01/45		893,472
	7,006,612		3.500			03/01/46		7,482,568
	788,918		3.500			05/01/46		840,784
								42,578,223
	FNMA – 43.5%
	79		5.500			11/01/16		79
	90		5.500			12/01/16		90
	304		5.500			01/01/17		305
	76		5.500			05/01/17		77
	305		5.500			07/01/17		306
	59		5.500			09/01/17		60
	1,221		5.500			01/01/18		1,239
	1,120		5.500			02/01/18		1,138
	797,983		2.800			03/01/18		807,385
	43,244		5.000			03/01/18		44,269
	3,355		5.500			04/01/18		3,442
	2,530,000		3.840			05/01/18		2,590,882
	946		5.500			05/01/18		975
	67,580		5.000			06/01/18		69,512
	3,387		5.000			09/01/18		3,485
	1,377		7.000			11/01/18		1,393
	669		5.500			02/01/19		687
	5,314		5.500			04/01/19		5,495
	597		5.500			05/01/19		616
	5,578		5.500			07/01/19		5,818
	18,518		5.500			08/01/19		19,411
	9,407		5.500			09/01/19		9,901
	17,309		5.500			10/01/19		18,165
	6,733		5.500			11/01/19		7,096
	5,095		5.500			12/01/19		5,328
	23,540		5.500			02/01/20		24,637
	79,276		4.500			03/01/20		82,172
	724,165		3.416			10/01/20		769,378
	10,388		5.500			01/01/21		10,986
	15,099		7.000			09/01/21		16,197
	60,594		7.000			06/01/22		67,499
	23,251		7.000			07/01/22		25,207
	2,063		4.500			04/01/23		2,166
	443		7.000			01/01/29		444
	1,717		7.000			09/01/29		1,779
	7,517		7.000			08/01/31		8,213
	555		7.000			03/01/32		661
	1,429		7.000			04/01/32		1,585
	2,781		7.000			06/01/32		2,851
	337		7.000			07/01/32		340
	56,134		6.000			01/01/33		65,094
	1,973		6.000			02/01/33		2,301
	767		5.500			07/01/33		868
	20,352		5.000			08/01/33		22,879
	6,049		5.500			09/01/33		6,905
	21,459		5.500			02/01/34		24,598
	Mortgage-Backed Obligations – (continued)
	FNMA – (continued)
$	5,991		5.500	%		03/01/34	$	6,869
	10,613		5.000			04/01/34		11,834
	9,930		5.500			04/01/34		11,373
	50		5.500			06/01/34		58
	36,041		5.500			07/01/34		41,267
	6,270		5.500			08/01/34		7,235
	23,658		5.500			10/01/34		27,111
	4,295		5.500			11/01/34		4,930
	162,970		5.500			12/01/34		186,854
	167,421		6.000			04/01/35		194,157
	12,451		5.500			05/01/35		14,096
	5,029		5.500			06/01/35		5,786
	6,365		5.000			07/01/35		7,181
	14,666		5.500			07/01/35		16,928
	5,937		5.500			08/01/35		6,835
	9,266		5.500			09/01/35		10,684
	297,087		5.000			10/01/35		330,635
	3,779		5.500			10/01/35		4,265
	87,884		6.000			10/01/35		102,328
	2,845		5.500			12/01/35		3,285
	2,315		6.000			12/01/35		2,680
	481,433		5.000			01/01/36		535,798
	109		5.500			02/01/36		125
	15,850		5.500			04/01/36		17,979
	2,395		6.000			04/01/36		2,768
	420,771		4.500			07/01/36		462,881
	31,301		5.500			07/01/36		35,229
	43,997		4.500			12/01/36		48,400
	3,202		5.500			02/01/37		3,681
	14,628		5.500			04/01/37		16,863
	62,828		6.000			04/01/37		72,573
	309		5.500			05/01/37		355
	60,009		5.000			06/01/37		67,637
	384		5.500			06/01/37		441
	4,897		5.500			07/01/37		5,628
	460,085		5.500			08/01/37		519,355
	101,356		6.500			10/01/37		119,656
	49,377		6.000			11/01/37		57,051
	223		5.500			12/01/37		256
	448		5.500			02/01/38		515
	5,834		5.500			03/01/38		6,693
	77,409		5.000			04/01/38		85,898
	22,895		5.500			04/01/38		26,358
	5,781		5.500			05/01/38		6,652
	2,290		5.500			06/01/38		2,625
	1,256		5.500			07/01/38		1,440
	2,582		5.500			08/01/38		2,959
	2,513		5.500			09/01/38		2,881
	82,387		6.000			09/01/38		95,247
	18,779		5.500			12/01/38		21,262
	629,757		5.000			01/01/39		719,787
	143,443		6.000			01/01/39		166,020
	331,258		6.500			01/01/39		392,068
	410,136		4.500			02/01/39		448,829
	5,326		5.500			02/01/39		6,120
	8,857		4.500			03/01/39		9,837

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

GOLDMAN SACHS U.S. MORTGAGES FUND

Principal Amount		Interest Rate			Maturity Date			Value
	Mortgage-Backed Obligations – (continued)
	FNMA – (continued)
$	345,609		7.000	%		03/01/39		$	407,954
	12,470		4.500			05/01/39			13,852
	9,482		5.500			06/01/39			10,888
	9,657		4.500			07/01/39			10,728
	8,191		4.000			08/01/39			8,789
	20,789		4.500			09/01/39			22,750
	27,669		4.500			10/01/39			30,279
	8,359		5.500			11/01/39			9,583
	69,011		4.500			02/01/40			76,704
	10,381		4.500			03/01/40			11,360
	15,385		3.500			04/01/40			16,291
	150,828		4.500			04/01/40			165,745
	53,000		4.500			06/01/40			58,925
	517,610		5.000			06/01/40			575,338
	37,121		5.000			07/01/40			41,261
	10,168		4.500			09/01/40			11,305
	23,872		3.500			12/01/40			25,277
	9,675		4.500			12/01/40			10,632
	159,804		4.500			01/01/41			175,847
	44,454		4.500			04/01/41			48,889
	71,999		4.500			06/01/41			79,133
	68,092		4.500			07/01/41			74,885
	290,032		4.500			08/01/41			319,124
	299,091		4.500			09/01/41			329,376
	238,608		3.500			10/01/41			254,015
	222,417		4.500			10/01/41			244,537
	136,356		3.500			11/01/41			144,776
	187,521		4.500			11/01/41			206,170
	228,854		3.500			12/01/41			242,186
	83,572		4.500			12/01/41			91,852
	220,095		3.500			01/01/42			234,307
	133,515		4.500			01/01/42			146,760
	460,693		3.500			02/01/42			487,618
	537,408		3.500			03/01/42			568,821
	43,223		4.500			03/01/42			47,576
	103,453		3.500			04/01/42			109,495
	41,507		4.500			04/01/42			45,636
	41,690		3.500			05/01/42			44,127
	721,849		3.500			06/01/42			764,537
	648,374		3.500			07/01/42			687,585
	617,060		3.500			08/01/42			654,759
	140,584		3.000			09/01/42			146,712
	533,730		3.500			09/01/42			566,850
	534,135		3.500			10/01/42			567,734
	38,466		3.500			11/01/42			40,997
	921,044		4.500			11/01/42			1,021,423
	833,465		3.000			12/01/42			870,147
	1,421,661		3.500			12/01/42			1,505,856
	172,425		3.000			01/01/43			180,858
	19,894		3.500			01/01/43			21,210
	70,123		3.000			02/01/43			73,553
	1,093,523		3.500			02/01/43			1,163,311
	1,625,939		3.000			03/01/43			1,705,458
	4,631,370		3.500			03/01/43			4,924,383
	1,789,541		3.000			04/01/43			1,877,059
	2,578,030		3.500			04/01/43			2,722,297
	Mortgage-Backed Obligations – (continued)
	FNMA – (continued)
$	789,159		2.500	%		05/01/43		$	796,741
	2,192,441		3.000			05/01/43			2,299,666
	1,392,545		3.500			05/01/43			1,473,865
	74,590		3.000			06/01/43			78,237
	1,457,796		3.500			06/01/43			1,546,777
	659,719		3.000			07/01/43			691,984
	12,052,041		3.500			07/01/43			12,753,723
	4,301,714		3.500			08/01/43			4,546,163
	80,995		3.500			09/01/43			86,301
	250,349		3.500			11/01/43			264,983
	1,141,147		3.500			01/01/44			1,216,551
	71,354		3.500			08/01/44			75,237
	203,401		3.500			09/01/44			215,267
	199,838		3.500			10/01/44			214,897
	88,500		4.000			10/01/44			95,262
	28,518		3.500			12/01/44			30,449
	103,230		5.000			12/01/44			114,607
	67,816		3.500			01/01/45			72,767
	406,659		3.500			02/01/45			435,078
	870,470		4.000			02/01/45			946,092
	363,926		3.500			03/01/45			389,492
	648,206		4.000			03/01/45			708,367
	530,454		3.500			04/01/45			565,866
	316,870		4.000			04/01/45			346,280
	1,412,212		3.500			05/01/45			1,519,066
	134,508		3.500			06/01/45			143,503
	72,021		3.500			07/01/45			76,852
	57,513		3.500			09/01/45			61,568
	127,349		3.500			10/01/45			135,931
	222,548		3.500			11/01/45			235,923
	46,136		3.500			12/01/45			49,245
	141,491		3.500			01/01/46			151,025
	1,128,422		3.500			03/01/46			1,214,861
	174,898		3.500			04/01/46			188,404
	1,171,131		3.500			05/01/46			1,247,850
	73,000,000		3.000			TBA-30yr	(d)		75,743,045
	1,000,000		4.500			TBA-30yr	(d)		1,095,156
	1,000,000		5.000			TBA-30yr	(d)		1,110,703
									147,527,476
	GNMA – 30.6%
	47,584		5.500			07/15/20			49,632
	233,485		3.950			07/15/25			251,972
	6,668		6.000			04/15/26			7,638
	651		6.500			01/15/32			751
	1,496		6.500			02/15/32			1,726
	624,840		5.500			04/15/33			717,677
	7,397		5.000			11/15/33			8,415
	1,536		6.500			08/15/34			1,858
	1,420		6.500			02/15/36			1,654
	3,483		6.500			03/15/36			4,058
	5,783		6.500			04/15/36			6,704
	16,529		6.500			05/15/36			19,254
	13,021		6.500			06/15/36			15,171
	76,092		6.500			07/15/36			88,395
	69,408		6.500			08/15/36			81,345

The accompanying notes are an integral part of these financial statements. 115

GOLDMAN SACHS U.S. MORTGAGES FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

Principal Amount		Interest Rate			Maturity Date			Value
	Mortgage-Backed Obligations – (continued)
	GNMA – (continued)
$	106,246		6.500	%		09/15/36		$	123,932
	48,951		6.500			10/15/36			56,759
	67,755		6.500			11/15/36			78,780
	29,865		6.500			12/15/36			34,925
	15,155		6.500			01/15/37			17,587
	3,303		6.500			03/15/37			3,850
	7,038		6.500			04/15/37			8,176
	6,895		6.500			05/15/37			8,521
	3,897		6.500			08/15/37			4,526
	20,060		6.500			09/15/37			23,272
	17,484		6.500			10/15/37			20,163
	10,393		6.500			11/15/37			12,049
	5,725		6.500			05/15/38			6,656
	4,336		6.500			11/15/38			5,043
	4,034		6.500			02/15/39			4,699
	167,340		4.500			12/20/39			183,665
	666,055		5.000			01/20/40			735,327
	44,654		4.500			02/20/40			49,175
	801,793		4.500			05/15/40			887,366
	127,090		4.500			05/20/40			139,958
	463,723		5.000			07/15/40			521,087
	254,120		3.500			09/15/42			270,986
	16,403,944		4.000			10/20/43			17,633,137
	504,068		3.500			02/15/45			535,657
	9,965,076		4.000			08/20/45			10,682,095
	1,269,986		4.500			08/20/45			1,375,551
	6,316,216		4.000			09/20/45			6,770,688
	28,552,403		4.000			10/20/45			30,597,914
	4,470,819		4.000			03/20/46			4,791,111
	1,367,813		4.000			04/20/46			1,467,300
	4,006,953		4.000			05/20/46			4,301,526
	7,000,000		3.000			TBA-30yr	(d)		7,334,141
	13,000,000		4.000			TBA-30yr	(d)		13,931,328
									103,873,200
	TOTAL FEDERAL AGENCIES							$	296,577,214
	TOTAL MORTGAGE-BACKED OBLIGATIONS
	(Cost $333,805,000)							$	337,321,249
	Asset-Backed Securities – 8.4%
	Auto(c) – 0.4%
	Ford Credit Auto Owner Trust Series 2015-1, Class A
$	1,200,000		2.120	%		07/15/26		$	1,218,908
	Collateralized Loan Obligations(a)(c) – 3.9%
	Brentwood CLO Corp. Series 2006-1A, Class A1B
	234,081		0.907			02/01/22			232,940
	Cedar Funding V CLO Ltd. Series 2016-5A, Class A1
	2,600,000		2.243			07/17/28			2,602,889
	Duane Street CLO IV Ltd. Series 2007-4A, Class A1R
	785,796		0.886			11/14/21			784,561
	Four Corners CLO II Ltd. Series 2006-2A, Class A
	183,661		0.906			01/26/20			183,571
	Asset-Backed Securities – (continued)
	Collateralized Loan Obligations(a)(c) – (continued)
	Halcyon Loan Advisors Funding Ltd. Series 2015-2A, Class A
$	1,450,000		2.028	%		07/25/27		$	1,444,148
	OFSI Fund VI Ltd. Series 2014-6A, Class A1
	2,100,000		1.658			03/20/25			2,074,949
	Parallel Ltd. Series 2015-1A, Class A
	1,050,000		2.084			07/20/27			1,046,805
	Shackleton CLO Ltd. Series 2014-5A, Class A
	1,600,000		2.132			05/07/26			1,600,134
	Trinitas CLO III Ltd. Series 2015-3A, Class A2
	1,800,000		2.138			07/15/27			1,799,267
	Z Capital Credit Partners CLO Ltd. Series 2015-1A, Class ACOM
	1,550,000		0.000			07/16/27			1,536,205
									13,305,469
	Home Equity(a) – 0.0%
	Countrywide Home Equity Loan Trust Series 2004-O, Class 1A
	80,644		0.804			02/15/34			69,297
	Other(a)(c) – 1.8%
	Mortgage Repurchase Agreement Financing Trust Series 2016-1, Class A
	3,000,000		1.585			09/10/18			3,000,000
	Mortgage Repurchase Agreement Financing Trust Series 2016-2, Class A
	3,000,000		1.785			03/10/19			3,000,000
									6,000,000
	Student Loan(a) – 2.3%
	Education Loan Asset-Backed Trust I Series 2013-1, Class A1(c)
	1,169,099		1.324			06/25/26			1,148,634
	Goal Capital Funding Trust Series 2007-1, Class A3
	340,094		0.947			09/25/28			337,441
	Nelnet Student Loan Trust Series 2006-2, Class A5
	1,959,410		0.738			01/25/30			1,931,621
	PHEAA Student Loan Trust Series 2016-1A, Class A(c)
	1,600,000		1.728			09/25/65			1,599,985
	SLM Student Loan Trust Series 2006-2, Class A5
	1,729,697		0.748			07/25/25			1,720,662
	SLM Student Loan Trust Series 2006-4, Class A5
	498,348		0.738			10/27/25			497,462
	SLM Student Loan Trust Series 2014-2, Class A2
	606,577		0.874			10/25/21			603,704
									7,839,509
	TOTAL ASSET-BACKED SECURITIES
	(Cost $28,383,723)							$	28,433,183
	U.S. Treasury Obligation – 0.3%
	United States Treasury Inflation Protected Securities
$	930,717		0.375	%		07/15/23		$	964,893
	(Cost $955,531)

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

GOLDMAN SACHS U.S. MORTGAGES FUND

Shares		Distribution Rate	Value
	Investment Company(a)(e) – 18.5%
	Goldman Sachs Financial Square Government Fund – Institutional Shares
	62,724,920	0.290%	$	62,724,920
	(Cost $62,724,920)
	TOTAL INVESTMENTS – 126.6%
	(Cost $425,869,174)		$	429,444,245
	LIABILITIES IN EXCESS OF     OTHER ASSETS – (26.6)%			(90,160,538	)
	NET ASSETS – 100.0%		$	339,283,707

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 or distribution rate disclosed is that which is in effect on September 30, 2016.
(b)	Security with a notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate.

(c)	Exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be deemed 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 $25,267,614, which represents approximately 7.5% of net assets as of September 30, 2016.
(d)	TBA (To Be Announced) Securities are purchased 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 $99,214,373, which represents approximately 29.2% of net assets as of September 30, 2016.
(e)	Represents an Affiliated Fund.

Investment Abbreviations:
CLO	—Collateralized Loan Obligation
FHLMC	—Federal Home Loan Mortgage Corp.
FNMA	—Federal National Mortgage Association
GNMA	—Government National Mortgage Association
PLC	—Public Limited Company
REMIC	—Real Estate Mortgage Investment Conduit
STRIPS	—Separate Trading of Registered Interest and Principal of Securities

The accompanying notes are an integral part of these financial statements. 117

GOLDMAN SACHS U.S. MORTGAGES FUND

Schedule of Investments (continued)

September 30, 2016 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION

FORWARD SALES CONTRACTS — At September 30, 2016, the Fund had the following forward sales contracts:

Description	Interest Rate			Maturity Date(a)		Settlement Date		Principal Amount			Value
FNMA (Proceeds Receivable: $(8,415,391))		3.500	%		TBA-30yr		10/13/16	$	(8,000,000	)	$	(8,442,500	)

(a) TBA (To Be Announced) Securities are purchased or 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.

FUTURES CONTRACTS — At September 30, 2016, the Fund had the following futures contracts:

Type	Number of Contracts Long (Short)			Expiration Date	Current Value			Unrealized Gain (Loss)
Ultra Long U.S. Treasury Bonds		(2	)	December 2016	$	(367,750	)	$	(3,258	)
2 Year U.S. Treasury Notes		(44	)	December 2016		(9,612,625	)		(2,067	)
5 Year U.S. Treasury Notes		15		December 2016		1,822,734			(261	)
10 Year U.S. Treasury Notes		30		December 2016		3,933,750			(3,501	)
20 Year U.S. Treasury Bonds		20		December 2016		3,363,125			(14,557	)
TOTAL								$	(23,644	)

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

GOLDMAN SACHS U.S. MORTGAGES FUND

ADDITIONAL INVESTMENT INFORMATION (continued)

SWAP CONTRACTS — At September 30, 2016, the Fund had the following swap contracts:

OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS

												Market Value
Counterparty	Referenced Obligation	Notional Amount (000s)		Rates Received (Paid)			Termination Date		Credit Spread at September 30, 2016(b)			Upfront Payments Made (Received)			Unrealized Gain (Loss)
Protection Sold:
Barclays Bank PLC	Markit CMBX Series 8	$	300		0.500	%		10/17/57		0.822	%	$	(11,841	)	$	4,553
Credit Suisse International (London)	Markit CMBX Series 8		700		0.500			10/17/57		0.822			(27,629	)		10,625
Morgan Stanley & Co. International PLC	Tranches of Commercial Mortgage-Backed Index AAA Series 7		8,350		0.500			01/17/47		0.742			(333,848	)		206,685
TOTAL												$	(373,318	)	$	221,863

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

The accompanying notes are an integral part of these financial statements. 119

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Statements of Assets and Liabilities

September 30, 2016 (Unaudited)

	Dynamic Emerging Markets Debt Fund
Assets:
Investments of unaffiliated issuers, at value (cost $34,597,266, $1,608,848,457, $3,658,413,210, $3,121,577,256, $391,070,375, $543,984,894 and $363,144,254, respectively)	$	35,582,804
Investments of affiliated issuers, at value (cost $793,201, $3,669,180, $136,918,655, $378,990,937, $1,253, $6,323,118 and $62,724,920, respectively)		793,201
Cash		611,925
Foreign currencies, at value (cost $174,294, $114,048, $0, $39,460, $15,890, $2,761,764 and $0, respectively)		175,408
Unrealized gain on swap contracts		104,474
Unrealized gain on forward foreign currency exchange contracts		217,848
Unrealized gain on non-deliverable bond forwards contracts		—
Variation margin on certain derivative contracts		—
Receivables:
Collateral on certain derivative contracts(a)		1,340,971
Investments sold		649,313
Interest		629,065
Investments sold on an extended-settlement basis		27,115
Fund shares sold		44,339
Reimbursement from investment adviser		30,567
Upfront payments made on swap contracts		28,341
Due from broker — upfront payment		—
Foreign tax reclaims		—
Other assets		3,038
Total assets		40,238,409
Liabilities:
Reverse Repurchase Agreement, at value		—
Foreign currency overdraft, at value (identified cost $1,244 for High Yield Fund)		—
Unrealized loss on swap contracts		112,822
Unrealized loss on forward foreign currency exchange contracts		275,397
Variation margin on certain derivative contracts		2,577
Forward sale contracts, at value (proceeds received $8,415,391 for U.S. Mortgages Fund)		—
Payables:
Investments purchased		334,819
Investments purchased on an extended — settlement basis		165,364
Distributions payable		100,554
Upfront payments received on swap contracts		55,254
Management fees		26,913
Fund shares redeemed		13,764
Distribution and Service fees and Transfer Agency fees		1,397
Collateral on certain derivative contracts		—
Due to broker — upfront payment		—
Collateral on Reverse Repurchase agreements		—
Accrued expenses and other liabilities		180,036
Total liabilities		1,268,897
Net Assets:
Paid-in capital		39,251,673
Undistributed (distributions in excess of) net investment income		(781,892	)
Accumulated net realized gain (loss)		(383,113	)
Net unrealized gain (loss)		882,844
NET ASSETS	$	38,969,512
Net Assets:
Class A	$	180,899
Class C		41,829
Institutional		38,616,784
Service		—
Separate Account Institutional		—
Class IR		105,396
Class R		24,604
Class R6		—
Total Net Assets	$	38,969,512
Shares Outstanding $0.001 par value (unlimited number of shares authorized):
Class A		21,107
Class C		4,867
Institutional		4,491,674
Service		—
Separate Account Institutional		—
Class IR		12,284
Class R		2,862
Class R6		—
Net asset value, offering and redemption price per share:(b)
Class A		$8.57
Class C		8.59
Institutional		8.60
Service		—
Separate Account Institutional		—
Class IR		8.58
Class R		8.60
Class R6		—

(a) Includes segregated cash of $25,361, $952,532, $2,113,728, $595,000, $277,008 and $260,000 for the Dynamic Emerging Markets Debt, Emerging Markets Debt, High Yield, Investment Grade Credit, Local Emerging Markets Debt, and U.S. Mortgages Funds, respectively, relating to initial margin requirements and collateral on futures transactions. Also includes amounts segregated for initial margin and/or collateral on swap transactions of $175,610, $8,797,765, $3,433,488, $7,573,500, and $230,000 for the Dynamic Emerging Markets Debt, Emerging Markets Debt, High Yield Floating Rate, Local Emerging Markets Debt, and U.S. Mortgages Funds, respectively. Also includes amounts segregated for initial margin and/or collateral on forwards transactions of $1,140,000, $19,460,000, $320,000, and $17,550,000 for the Dynamic Emerging Markets Debt, Emerging Markets Debt, High Yield Floating Rate and Local Emerging Markets Debt Funds, respectively.

(b) Maximum public offering price per share for Class A Shares of Dynamic Emerging Markets Debt, Emerging Markets Debt, High Yield, High Yield Floating Rate, Investment Grade Credit, Local Emerging Markets Debt and U.S. Mortgages Funds is $8.97, $13.71, $6.75, $9.95, $9.75, $6.82 and $11.15, respectively. At redemption, Class C Shares may be subject to a contingent deferred sales charge, assessed on the amount equal to the lesser of the current net asset value (“NAV”) or the original purchase price of the shares.

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

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Emerging Markets Debt Fund			High Yield Fund			High Yield Floating Rate Fund			Investment Grade Credit Fund			Local Emerging Markets Debt Fund			U.S. Mortgages Fund
$	1,656,375,091		$	3,652,543,543		$	3,053,433,696		$	411,115,511		$	480,442,774		$	366,719,325
	3,669,180			138,434,541			371,406,981			1,253			6,323,118			62,724,920
	37,903,536			59,944,250			55,660,757			5,036,280			7,808,236			5,454,223
	121,560			—			39,095			13,290			2,773,552			—
	2,527,273			—			60,289			125,408			8,448,879			221,863
	5,467,460			—			—			3,712			3,499,102			—
	—			—			—			—			8,726			—
	224,001			945,170			166,426			25,446			215,618			—
	29,210,297			2,113,728			2,286,791			595,000			25,400,507			490,000
	31,879,548			5,403,090			—			215,099			8,940,380			2,178,251
	26,189,780			61,304,931			17,704,172			3,762,783			9,164,903			886,192
	2,873,527			1,652,509			8,198,300			—			3,678,258			115,949,881
	4,339,370			28,233,156			3,455,571			226,874			1,768,252			498,518
	—			—			—			30,639			49,208			26,550
	1,371,019			—			—			—			276,937			—
	—			—			—			—			9,292			—
	—			23,278			—			—			—			—
	2,490			12,121			6,908			1,614			1,111			1,387
	1,802,154,132			3,950,610,317			3,512,418,986			421,152,909			558,808,853			555,151,110
	17,255,175			10,031,188			—			—			—			—
	—			1,248			—			—			—			—
	4,907,566			—			—			—			13,431,548			—
	4,466,026			56,761			77,853			—			4,565,578			—
	1,479,191			—			—			—			6,178			32,710
	—			—			—			—			—			8,442,500
	34,001,402			11,258,142			72,325			1,777,374			2,670,818			13,497
	14,887,561			45,680,596			170,891,547			1,245,538			5,097,196			205,020,007
	1,171,708			1,079,635			70,481			85,517			14,023			83,962
	1,352,423			—			—			253,413			274,720			373,318
	1,093,649			2,080,432			1,444,388			114,356			346,125			86,523
	11,318,190			8,343,542			5,865,674			176,843			2,060,498			1,549,324
	125,331			270,843			112,747			22,017			61,926			25,012
	530,000			1,432,000			—			—			780,000			50,000
	29,003			—			—			—			—			—
	17,000			—			—			—			—			—
	415,910			312,571			365,458			132,441			448,090			190,550
	93,050,135			80,546,958			178,900,473			3,807,499			29,756,700			215,867,403
	1,705,146,953			4,240,374,560			3,508,630,280			402,135,541			955,616,737			336,913,927
	(2,836,138	)		(816,520	)		481,907			792,038			(147,893,593	)		(1,816,018	)
	(37,164,941	)		(364,412,911	)		(99,685,913	)		(5,608,392	)		(208,629,015	)		439,617
	43,958,123			(5,081,770	)		(75,907,761	)		20,026,223			(70,041,976	)		3,746,181
$	1,709,103,997		$	3,870,063,359		$	3,333,518,513		$	417,345,410		$	529,052,153		$	339,283,707
$	149,032,743		$	330,559,942		$	7,692,437		$	30,093,780		$	117,495,797		$	46,159,079
	31,854,310			52,231,552			2,146,102			—			6,528,655			—
	1,494,575,563			3,274,966,193			3,322,440,219			142,139,584			392,353,935			60,627,006
	—			14,207,621			—			—			—			—
	—			—			—			243,495,435			—			216,024,245
	31,826,642			10,180,790			1,228,064			1,605,278			12,673,766			16,462,974
	—			15,286,139			11,691			—			—			—
	1,814,739			172,631,122			—			11,333			—			10,403
$	1,709,103,997		$	3,870,063,359		$	3,333,518,513		$	417,345,410		$	529,052,153		$	339,283,707
	11,388,800			51,282,553			790,727			3,208,205			18,036,795			4,302,189
	2,435,145			8,094,502			220,555			—			1,000,686			—
	114,062,202			506,677,682			341,197,330			15,147,769			60,206,776			5,636,809
	—			2,205,963			—			—			—			—
	—			—			—			25,944,111			—			20,130,733
	2,429,164			1,576,265			126,014			171,019			1,947,118			1,530,609
	—			2,372,488			1,201			—			—			—
	138,489			26,665,199			—			1,207			—			967
	$13.09			$6.45			$9.73			$9.38			$6.51			$10.73
	13.08			6.45			9.73			—			6.52			—
	13.10			6.46			9.74			9.38			6.52			10.76
	—			6.44			—			—			—			—
	—			—			—			9.39			—			10.73
	13.10			6.46			9.75			9.39			6.51			10.76
	—			6.44			9.73			—			—			—
	13.10			6.47			—			9.39			—			10.76

The accompanying notes are an integral part of these financial statements. 121

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Statements of Operations

For the Six Months Ended September 30, 2016 (Unaudited)

	Dynamic Emerging Markets Debt Fund
Investment income:
Interest (net of foreign withholding taxes of $11,568, $1,816 and $0, $0, $0, $107,955 and $0, respectively)	$	1,371,283
Dividends — unaffiliated issuers		—
Dividends — affiliated issuers		174
Total investment income		1,371,457
Expenses:
Management fees		182,863
Custody, accounting and administrative services		92,612
Professional fees		53,353
Registration fees		26,120
Printing and mailing costs		13,849
Trustee fees		8,532
Transfer Agency fees(a)		8,306
Distribution and Service fees(a)		618
Service Share fees — Service Plan		—
Service Share fees — Shareholder Administration Plan		—
Other		2,570
Total expenses		388,823
Less — expense reductions		(205,951	)
Net expenses		182,872
NET INVESTMENT INCOME		1,188,585
Realized and unrealized gain (loss):
Net realized gain (loss) from:
Investments — unaffiliated issuers		403,543
Futures contracts		24,883
Swap contracts		(117,313	)
Non-deliverable bond forward contracts		—
Forward foreign currency exchange contracts		(162,946	)
Foreign currency transactions		(2,709	)
Net change in unrealized gain (loss) on:
Investments (including the effects of the net change in the foreign capital gains tax liability of $6,576 and $7,013 for the Dynamic Emerging Markets Debt and Local Emerging Markets Debt Funds, respectively)		1,581,243
Investments — affiliated issuers		—
Futures contracts		8,680
Non-deliverable bond forward contracts		(7,552	)
Swap contracts		(56,104	)
Forward foreign currency exchange contracts		(199,640	)
Foreign currency translation		(11,599	)
Net realized and unrealized gain		1,460,486
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	2,649,071

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

	Distribution and Service Fees						Transfer Agency Fees
Fund	Class A		Class C		Class R		Class A		Class C		Institutional		Service		Separate Account Institutional		Class IR		Class R		Class R6
Dynamic Emerging Markets Debt	$	354	$	204	$	60	$	184	$	26	$	8,048	$	—	$	—	$	32	$	16	$	—
Emerging Markets Debt		168,264		147,350		—		87,497		19,155		228,640		—		—		15,966		—		135
High Yield		421,508		262,912		37,953		219,184		34,179		640,592		2,871		—		6,510		9,868		16,689
High Yield Floating Rate		9,628		9,378		29		5,007		1,219		638,728		—		—		756		7		—
Investment Grade Credit		36,298		—		—		18,875		—		29,358		—		48,030		909		—		2
Local Emerging Markets Debt		159,835		32,366		—		83,114		4,208		77,526		—		—		7,408		—		—
U.S. Mortgages		56,984		—		—		29,632		—		11,961		—		41,885		6,542		—		2

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

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Emerging Markets Debt Fund			High Yield Fund			High Yield Floating Rate Fund			Investment Grade Credit Fund			Local Emerging Markets Debt Fund			U.S. Mortgages Fund
$	41,374,821		$	121,286,521		$	79,765,767		$	7,676,888		$	17,378,768		$	3,184,061
	—			1,172,003			—			—			—			—
	1,564			167,160			306,251			4,685			17,679			57,485
	41,376,385			122,625,684			80,072,018			7,681,573			17,396,447			3,241,546
	5,332,760			12,669,373			8,772,844			834,782			2,400,145			649,781
	174,566			160,906			416,637			58,416			343,929			131,742
	56,489			71,315			73,315			50,891			56,144			56,128
	68,980			85,636			39,508			42,990			51,453			47,116
	101,851			111,264			41,643			16,965			58,290			16,926
	9,467			12,191			11,700			8,936			9,023			8,833
	351,393			929,893			645,717			97,174			172,256			90,022
	315,614			722,373			19,035			36,298			192,201			56,984
	—			17,944			—			—			—			—
	—			17,944			—			—			—			—
	39,194			55,424			61,197			9,407			33,820			8,811
	6,450,314			14,854,263			10,081,596			1,155,859			3,317,261			1,066,343
	(77,281	)		(132,119	)		(171,063	)		(307,095	)		(625,232	)		(278,674	)
	6,373,033			14,722,144			9,910,533			848,764			2,692,029			787,669
	35,003,352			107,903,540			70,161,485			6,832,809			14,704,418			2,453,877
	5,216,463			(16,210,488	)		(21,180,248	)		1,887,096			(71,746,388	)		1,426,110
	3,365,558			(1,033,278	)		—			(119,562	)		(287,537	)		92,916
	(1,101,593	)		(556,239	)		(1,014,597	)		(56,084	)		362,691			26,385
	—			—			—			—			666,998			—
	(4,411,947	)		(545,751	)		(443,959	)		16,086			(1,217,458	)		—
	67,158			80,019			236,324			(1,828	)		(1,159,630	)		—
	80,922,093			274,241,259			114,710,812			12,083,128			93,491,380			1,493,662
	—			1,515,886			(3,367,194	)		—			—			—
	(797,944	)		285,788			—			(148,983	)		213,665			(51,869	)
	—			—			—			—			(300,509	)		—
	(2,891,472	)		(443,501	)		614,469			111,328			(2,085,724	)		168,840
	1,491,445			701,331			410,931			3,712			(4,736,571	)		—
	(52,944	)		(23,951	)		(2,255	)		(1,518	)		(149,080	)		—
	81,806,817			258,011,075			89,964,283			13,773,375			13,051,837			3,156,044
$	116,810,169		$	365,914,615		$	160,125,768		$	20,606,184		$	27,756,255		$	5,609,921

The accompanying notes are an integral part of these financial statements. 123

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Statements of Changes in Net Assets

	Dynamic Emerging Markets Debt Fund
	For the Six Months Ended September 30, 2016 (Unaudited)			For the Fiscal Year Ended March 31, 2016
From operations:
Net investment income	$	1,188,585		$	1,410,667
Net realized gain (loss)		145,458			(1,329,818	)
Net change in unrealized gain (loss)		1,315,028			810,424
Net increase (decrease) in net assets resulting from operations		2,649,071			891,273
Distributions to shareholders:
From net investment income
Class A Shares		(7,133	)		(882	)
Class C Shares		(860	)		(59	)
Institutional Shares		(1,067,362	)		(46,017	)
Service Shares		—			—
Class IR Shares		(1,290	)		(40	)
Class R Shares		(564	)		(31	)
Class R6 Shares(a)		—			—
Return of capital
Class A Shares		—			(24,846	)
Class C Shares		—			(1,670	)
Institutional Shares		—			(1,297,260	)
Service Shares		—			—
Class IR Shares		—			(1,133	)
Class R Shares		—			(874	)
Class R6 Shares(a)		—			—
Total distributions to shareholders		(1,077,209	)		(1,372,812	)
From share transactions:
Proceeds from sales of shares		6,782,875			27,744,900
Reinvestment of distributions		403,018			936,740
Cost of shares redeemed		(9,383,794	)(b)		(4,948,367	)(b)
Net increase (decrease) in net assets resulting from share transactions		(2,197,901	)		23,733,273
TOTAL INCREASE (DECREASE)		(626,039	)		23,251,734
Net assets:
Beginning of period		39,595,551			16,343,817
End of period	$	38,969,512		$	39,595,551
Distribution in excess of net investment income	$	(781,892	)	$	(893,268	)

(a) Commenced operations on July 31, 2015.

(b) Net of $60 and $1,578, $16,634 and $64,357, and $379,093 and $2,248,223 of redemption fees for Dynamic Emerging Markets Debt, Emerging Markets Debt and High Yield Funds, respectively, for the six months ended September 30, 2016 and the fiscal year ended March 31, 2016, respectively.

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

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Emerging Markets Debt Fund						High Yield Fund						High Yield Floating Rate Fund
For the Six Months Ended September 30, 2016 (Unaudited)			For the Fiscal Year Ended March 31, 2016			For the Six Months Ended September 30, 2016 (Unaudited)			For the Fiscal Year Ended March 31, 2016			For the Six Months Ended September 30, 2016 (Unaudited)			For the Fiscal Year Ended March 31, 2016
$	35,003,352		$	61,053,599		$	107,903,540		$	274,645,787		$	70,161,485		$	158,387,605
	3,135,639			(51,460,669	)		(18,265,737	)		(338,929,240	)		(22,402,480	)		(42,570,565	)
	78,671,178			37,915,701			276,276,812			(254,775,955	)		112,366,763			(149,398,264	)
	116,810,169			47,508,631			365,914,615			(319,059,408	)		160,125,768			(33,581,224	)
	(3,365,575	)		(4,995,168	)		(9,104,054	)		(20,364,862	)		(154,803	)		(413,957	)
	(621,797	)		(1,216,722	)		(1,222,774	)		(2,814,039	)		(30,824	)		(56,931	)
	(29,772,518	)		(53,966,540	)		(91,876,720	)		(237,899,617	)		(69,961,284	)		(157,901,983	)
	—			—			(375,970	)		(851,015	)		—			—
	(631,900	)		(762,559	)		(282,895	)		(634,486	)		(25,108	)		(45,691	)
	—			—			(390,605	)		(832,949	)		(218	)		(401	)
	(35,174	)		(5,212	)		(4,801,364	)		(3,321,271	)		—			—
	—			—			—			(921,258	)		—			—
	—			—			—			(127,301	)		—			—
	—			—			—			(10,762,019	)		—			—
	—			—			—			(38,498	)		—			—
	—			—			—			(28,703	)		—			—
	—			—			—			(37,681	)		—			—
	—			—			—			(150,246	)		—			—
	(34,426,964	)		(60,946,201	)		(108,054,382	)		(278,783,945	)		(70,172,237	)		(158,418,963	)
	742,807,849			569,809,447			389,590,485			1,703,216,450			433,514,967			1,478,261,923
	29,786,228			57,371,986			101,496,143			263,890,802			69,702,634			157,537,834
	(196,041,440	)(b)		(1,270,297,756	)(b)		(695,399,617	)(b)		(3,132,165,143	)(b)		(487,079,992	)		(2,312,339,197	)
	576,552,637			(643,116,323	)		(204,312,989	)		(1,165,057,891	)		16,137,609			(676,539,440	)
	658,935,842			(656,553,893	)		53,547,244			(1,762,901,244	)		106,091,140			(868,539,627	)
	1,050,168,155			1,706,722,048			3,816,516,115			5,579,417,359			3,227,427,373			4,095,967,000
$	1,709,103,997		$	1,050,168,155		$	3,870,063,359		$	3,816,516,115		$	3,333,518,513		$	3,227,427,373
$	(2,836,138	)	$	(3,412,526	)	$	(816,520	)	$	(665,678	)	$	481,907		$	492,659

The accompanying notes are an integral part of these financial statements. 125

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Statements of Changes in Net Assets (continued)

	Investment Grade Credit Fund
	For the Six Months Ended September 30, 2016 (Unaudited)			For the Fiscal Year Ended March 31, 2016
From operations:
Net investment income	$	6,832,809		$	15,699,589
Net realized gain (loss)		1,725,708			(6,776,383	)
Net change in unrealized gain (loss)		12,047,667			(10,826,804	)
Net increase (decrease) in net assets resulting from operations		20,606,184			(1,903,598	)
Distributions to shareholders:
From net investment income
Class A Shares		(431,228	)		(913,402	)
Class C Shares		—			—
Institutional Shares		(2,434,025	)		(5,800,974	)
Separate Account Institutional Shares		(3,975,983	)		(8,951,245	)
Service Shares		—			—
Class IR Shares		(22,332	)		(37,842	)
Class R6 Shares(a)		(173	)		(239	)
From net realized gains
Class A Shares		—			(108,705	)
Institutional Shares		—			(616,284	)
Separate Account Institutional Shares		—			(940,974	)
Class IR Shares		—			(4,123	)
Class R6 Shares(a)		—			(39	)
Return of capital
Class A Shares		—			—
Class C Shares		—			—
Institutional Shares		—			—
Service Shares		—			—
Separate Account Institutional Shares		—			—
Class IR Shares		—			—
Class R6 Shares(a)		—			—
Total distributions to shareholders		(6,863,741	)		(17,373,827	)
From share transactions:
Proceeds from sales of shares		40,263,531			88,484,324
Reinvestment of distributions		6,310,166			16,024,991
Cost of shares redeemed		(68,012,928	)		(127,738,485	)
Net increase (decrease) in net assets resulting from share transactions		(21,439,231	)		(23,229,170	)
TOTAL INCREASE (DECREASE)		(7,696,788	)		(42,506,595	)
Net assets:
Beginning of period		425,042,198			467,548,793
End of period	$	417,345,410		$	425,042,198
Undistributed net investment income	$	792,038		$	822,970

(a) Commenced operations on July 31, 2015.

(b) Net of $31,188 and $86,868 of redemption fees for Local Emerging Markets Debt Fund for the six months ended September 30, 2016 and the fiscal year ended March 31, 2016, respectively.

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

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Local Emerging Markets Debt Fund						U.S. Mortgages Fund
For the Six Months Ended September 30, 2016 (Unaudited)			For the Fiscal Year Ended March 31, 2016			For the Six Months Ended September 30, 2016 (Unaudited)			For the Fiscal Year Ended March 31, 2016
$	14,704,418		$	56,861,580		$	2,453,877		$	5,465,020
	(73,381,324	)		(298,066,246	)		1,545,411			3,425,543
	86,433,161			139,153,471			1,610,633			(2,031,407	)
	27,756,255			(102,051,195	)		5,609,921			6,859,156
	(3,696,367	)		—			(520,821	)		(826,845	)
	(161,852	)		—			—			—
	(11,779,983	)		—			(789,440	)		(1,436,745	)
	—			—			(2,764,884	)		(5,637,774	)
	—			—			—			—
	(340,424	)		—			(127,885	)		(93,312	)
	—			—			(133	)		(185	)
	—			—			—			—
	—			—			—			—
	—			—			—			—
	—			—			—			—
	—			—			—			—
	—			(8,890,665	)		—			(1,864	)
	—			(348,300	)		—			—
	—			(47,959,673	)		—			(3,238	)
	—			—			—			(12,706	)
	—			—			—			—
	—			(318,438	)		—			(210	)
	—			—			—			(1	)
	(15,978,626	)		(57,517,076	)		(4,203,163	)		(8,012,880	)
	95,541,236			473,316,076			69,627,288			99,492,523
	15,829,694			55,907,709			3,658,514			6,935,047
	(154,238,241	)(b)		(1,197,487,224	)(b)		(49,752,285	)		(65,888,854	)
	(42,867,311	)		(668,263,439	)		23,533,517			40,538,716
	(31,089,682	)		(827,831,710	)		24,940,275			39,384,992
	560,141,835			1,387,973,545			314,343,432			274,958,440
$	529,052,153		$	560,141,835		$	339,283,707		$	314,343,432
$	(147,893,593	)	$	(146,619,385	)	$	(1,816,018	)	$	(66,732	)

The accompanying notes are an integral part of these financial statements. 127

GOLDMAN SACHS DYNAMIC EMERGING MARKETS DEBT FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

			From Investment Operations								Distributions to shareholders
Year - Share Class	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 capital			Total distributions
FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED)
2016 - A	$	8.24	$	0.24	$	0.30		$	0.54		$	(0.21	)	$	—		$	(0.21	)
2016 - C		8.26		0.20		0.31			0.51			(0.18	)		—			(0.18	)
2016 - Institutional		8.27		0.25		0.30			0.55			(0.22	)		—			(0.22	)
2016 - IR		8.25		0.24		0.31			0.55			(0.22	)		—			(0.22	)
2016 - R		8.26		0.22		0.32			0.54			(0.20	)		—			(0.20	)
FOR THE FISCAL YEARS ENDED MARCH 31,
2016 - A		8.59		0.36		(0.36	)		—			(0.01	)		(0.34	)		(0.35	)
2016 - C		8.61		0.30		(0.36	)		(0.06	)		(0.01	)		(0.28	)		(0.29	)
2016 - Institutional		8.62		0.40		(0.37	)		0.03			(0.01	)		(0.37	)		(0.38	)
2016 - IR		8.60		0.39		(0.37	)		0.02			(0.01	)		(0.36	)		(0.37	)
2016 - R		8.62		0.34		(0.37	)		(0.03	)		(0.01	)		(0.32	)		(0.33	)
2015 - A		9.45		0.37		(0.86	)		(0.49	)		(0.34	)		(0.03	)		(0.37	)
2015 - C		9.46		0.32		(0.87	)		(0.55	)		(0.27	)		(0.03	)		(0.30	)
2015 - Institutional		9.46		0.42		(0.86	)		(0.44	)		(0.37	)		(0.03	)		(0.40	)
2015 - IR		9.44		0.41		(0.86	)		(0.45	)		(0.36	)		(0.03	)		(0.39	)
2015 - R		9.46		0.36		(0.85	)		(0.49	)		(0.32	)		(0.03	)		(0.35	)
FOR THE PERIOD ENDING MARCH 31,
2014 - A (commenced May 31, 2013)		10.00		0.31		(0.52	)		(0.21	)		(0.23	)		(0.11	)		(0.34	)
2014 - C (commenced May 31, 2013)		10.00		0.25		(0.51	)		(0.26	)		(0.17	)		(0.11	)		(0.28	)
2014 - Institutional (commenced May 31,  2013)		10.00		0.32		(0.50	)		(0.18	)		(0.25	)		(0.11	)		(0.36	)
2014 - IR (commenced May 31, 2013)		10.00		0.31		(0.52	)		(0.21	)		(0.24	)		(0.11	)		(0.35	)
2014 - R (commenced May 31, 2013)		10.00		0.27		(0.49	)		(0.22	)		(0.21	)		(0.11	)		(0.32	)

(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 deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.

(c) The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher.

(d) Annualized.

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

GOLDMAN SACHS DYNAMIC EMERGING MARKETS DEBT FUND

Net asset value, end of period		Total return(b)			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(c)
$	8.57		6.62	%	$	181		1.23	%(d)		2.25	%(d)		5.66	%(d)		81	%
	8.59		6.21			42		1.98	(d)		3.00	(d)		4.77	(d)		81
	8.60		6.91			38,617		0.90	(d)		1.91	(d)		5.85	(d)		81
	8.58		6.88			105		0.98	(d)		1.99	(d)		5.69	(d)		81
	8.60		6.60			25		1.49	(d)		2.50	(d)		5.27	(d)		81
	8.24		0.15			512		1.23			2.98			4.40			98
	8.26		(0.70	)		40		1.99			3.79			3.65			98
	8.27		0.39			38,990		0.89			2.45			4.89			98
	8.25		0.29			31		0.98			2.63			4.75			98
	8.26		(0.20	)		23		1.48			3.18			4.20			98
	8.59		(5.43	)		665		1.24			3.45			4.13			179
	8.61		(5.91	)		62		1.99			3.66			3.37			179
	8.62		(4.87	)		15,571		0.90			2.57			4.47			179
	8.60		(4.98	)		23		1.00			2.77			4.37			179
	8.62		(5.44	)		23		1.49			3.27			3.87			179
	9.45		(2.03	)		99		1.27	(d)		3.67	(d)		3.97	(d)		140
	9.46		(2.52	)		59		2.01	(d)		5.31	(d)		3.27	(d)		140
	9.46		(1.67	)		24,119		0.93	(d)		4.21	(d)		4.17	(d)		140
	9.44		(1.98	)		24		1.03	(d)		4.19	(d)		4.00	(d)		140
	9.46		(2.14	)		24		1.52	(d)		5.22	(d)		3.50	(d)		140

The accompanying notes are an integral part of these financial statements. 129

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

			From Investment Operations								Distributions to shareholders
Year - Share Class	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			From capital			Total distributions
FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED)
2016 - A	$	12.25	$	0.32	$	0.84		$	1.16		$	(0.32	)	$	—		$	—		$	(0.32	)
2016 - C		12.24		0.27		0.84			1.11			(0.27	)		—			—			(0.27	)
2016 - Institutional		12.26		0.34		0.84			1.18			(0.34	)		—			—			(0.34	)
2016 - IR		12.26		0.33		0.84			1.17			(0.33	)		—			—			(0.33	)
2016 - R6		12.26		0.33		0.85			1.18			(0.34	)		—			—			(0.34	)
FOR THE FISCAL YEARS ENDED MARCH 31,
2016 - A		12.33		0.61		(0.09	)		0.52			(0.60	)		—			—			(0.60	)
2016 - C		12.33		0.51		(0.09	)		0.42			(0.51	)		—			—			(0.51	)
2016 - Institutional		12.35		0.64		(0.08	)		0.56			(0.65	)		—			—			(0.65	)
2016 - IR		12.35		0.64		(0.09	)		0.55			(0.64	)		—			—			(0.64	)
2016 - R6 (Commenced July 31, 2015)		12.18		0.46		0.06			0.52			(0.44	)		—			—			(0.44	)
2015 - A		12.40		0.52		(0.07	)		0.45			(0.52	)		—			—			(0.52	)
2015 - C		12.39		0.43		(0.07	)		0.36			(0.42	)		—			—			(0.42	)
2015 - Institutional		12.41		0.57		(0.07	)		0.50			(0.56	)		—			—			(0.56	)
2015 - IR		12.41		0.56		(0.07	)		0.49			(0.55	)		—			—			(0.55	)
2014 - A		13.28		0.55		(0.70	)		(0.15	)		(0.50	)		(0.20	)		(0.03	)		(0.73	)
2014 - C		13.27		0.46		(0.70	)		(0.24	)		(0.41	)		(0.20	)		(0.03	)		(0.64	)
2014 - Institutional		13.29		0.59		(0.69	)		(0.10	)		(0.55	)		(0.20	)		(0.03	)		(0.78	)
2014 - IR		13.29		0.58		(0.69	)		(0.11	)		(0.54	)		(0.20	)		(0.03	)		(0.77	)
2013 - A		12.95		0.61		0.76			1.37			(0.65	)		(0.39	)		—			(1.04	)
2013 - C		12.94		0.50		0.77			1.27			(0.55	)		(0.39	)		—			(0.94	)
2013 - Institutional		12.96		0.65		0.77			1.42			(0.70	)		(0.39	)		—			(1.09	)
2013 - IR		12.96		0.64		0.77			1.41			(0.69	)		(0.39	)		—			(1.08	)
2012 - A		12.28		0.61		0.81			1.42			(0.61	)		(0.14	)		—			(0.75	)
2012 - C		12.27		0.52		0.80			1.32			(0.51	)		(0.14	)		—			(0.65	)
2012 - Institutional		12.29		0.65		0.81			1.46			(0.65	)		(0.14	)		—			(0.79	)
2012 - IR		12.29		0.63		0.82			1.45			(0.64	)		(0.14	)		—			(0.78	)

(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 deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.

(c) The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher.

(d) Annualized.

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

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

Net asset value, end of period		Total return(b)			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(c)
$	13.09		9.56	%	$	149,033		1.23	%(d)		1.25	%(d)		5.09	%(d)		44	%
	13.08		9.15			31,854		1.98	(d)		2.00	(d)		4.31	(d)		44
	13.10		9.74			1,494,576		0.90	(d)		0.91	(d)		5.29	(d)		44
	13.10		9.69			31,827		0.98	(d)		1.00	(d)		5.21	(d)		44
	13.10		9.75			1,815		0.88	(d)		0.89	(d)		5.08	(d)		44
	12.25		4.43			109,830		1.23			1.27			5.02			99
	12.24		3.57			27,645		1.98			2.02			4.26			99
	12.26		4.70			895,309		0.89			0.93			5.30			99
	12.26		4.60			16,927		0.98			1.02			5.26			99
	12.26		4.41			458		0.87	(d)		0.92	(d)		5.84	(d)		99
	12.33		3.60			94,832		1.24			1.25			4.17			113
	12.33		2.92			30,935		1.99			2.00			3.42			113
	12.35		4.04			1,566,532		0.90			0.91			4.52			113
	12.35		3.94			14,423		0.99			1.00			4.41			113
	12.40		(0.88	)		100,723		1.25			1.26			4.38			121
	12.39		(1.63	)		32,020		2.00			2.01			3.65			121
	12.41		(0.54	)		1,296,153		0.91			0.92			4.76			121
	12.41		(0.63	)		16,552		1.00			1.01			4.65			121
	13.28		10.64			211,379		1.23			1.26			4.48			97
	13.27		9.82			49,527		1.98			2.01			3.73			97
	13.29		11.04			1,329,643		0.89			0.92			4.83			97
	13.29		10.91			23,970		0.97			1.01			4.69			97
	12.95		11.87			169,491		1.22			1.27			4.84			86
	12.94		11.05			31,893		1.97			2.02			4.11			86
	12.96		12.24			720,098		0.88			0.93			5.18			86
	12.96		12.14			6,515		0.97			1.02			5.05			86

The accompanying notes are an integral part of these financial statements. 131

GOLDMAN SACHS HIGH YIELD FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

			From Investment Operations								Distributions to shareholders
Year - Share Class	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			From capital			Total distributions
FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED)
2016 - A	$	6.02	$	0.17	$	0.43		$	0.60		$	(0.17	)	$	—		$	—		$	(0.17	)
2016 - C		6.03		0.15		0.42			0.57			(0.15	)		—			—			(0.15	)
2016 - Institutional		6.04		0.18		0.42			0.60			(0.18	)		—			—			(0.18	)
2016 - Service		6.02		0.16		0.42			0.58			(0.16	)		—			—			(0.16	)
2016 - IR		6.03		0.18		0.43			0.61			(0.18	)		—			—			(0.18	)
2016 - R		6.02		0.16		0.42			0.58			(0.16	)		—			—			(0.16	)
2016 - R6		6.05		0.18		0.42			0.60			(0.18	)		—			—			(0.18	)
FOR THE FISCAL YEARS ENDED MARCH 31,
2016 - A		6.80		0.35		(0.77	)		(0.42	)		(0.34	)		—			(0.02	)		(0.36	)
2016 - C		6.81		0.30		(0.77	)		(0.47	)		(0.30	)		—			(0.01	)		(0.31	)
2016 - Institutional		6.82		0.38		(0.78	)		(0.40	)		(0.36	)		—			(0.02	)		(0.38	)
2016 - Service		6.79		0.34		(0.76	)		(0.42	)		(0.33	)		—			(0.02	)		(0.35	)
2016 - IR		6.81		0.37		(0.78	)		(0.41	)		(0.35	)		—			(0.02	)		(0.37	)
2016 - R		6.80		0.34		(0.78	)		(0.44	)		(0.33	)		—			(0.01	)		(0.34	)
2016 - R6 (Commenced July 31, 2015)		6.65		0.24		(0.59	)		(0.35	)		(0.24	)		—			(0.01	)		(0.25	)
2015 - A		7.23		0.37		(0.28	)		0.09			(0.38	)		(0.14	)		—	(e)		(0.52	)
2015 - C		7.24		0.32		(0.29	)		0.03			(0.32	)		(0.14	)		—	(e)		(0.46	)
2015 - Institutional		7.25		0.40		(0.29	)		0.11			(0.40	)		(0.14	)		—	(e)		(0.54	)
2015 - Service		7.23		0.36		(0.30	)		0.06			(0.36	)		(0.14	)		—	(e)		(0.50	)
2015 - IR		7.25		0.39		(0.30	)		0.09			(0.39	)		(0.14	)		—	(e)		(0.53	)
2015 - R		7.23		0.35		(0.28	)		0.07			(0.36	)		(0.14	)		—	(e)		(0.50	)
2014 - A		7.40		0.43		0.09			0.52			(0.43	)		(0.26	)		—			(0.69	)
2014 - C		7.41		0.38		0.08			0.46			(0.37	)		(0.26	)		—			(0.63	)
2014 - Institutional		7.42		0.46		0.08			0.54			(0.45	)		(0.26	)		—			(0.71	)
2014 - Service		7.40		0.42		0.09			0.51			(0.42	)		(0.26	)		—			(0.68	)
2014 - IR		7.41		0.45		0.10			0.55			(0.45	)		(0.26	)		—			(0.71	)
2014 - R		7.40		0.41		0.09			0.50			(0.41	)		(0.26	)		—			(0.67	)
2013 - A		7.12		0.45		0.42			0.87			(0.46	)		(0.13	)		—			(0.59	)
2013 - C		7.13		0.40		0.42			0.82			(0.41	)		(0.13	)		—			(0.54	)
2013 - Institutional		7.14		0.48		0.42			0.90			(0.49	)		(0.13	)		—			(0.62	)
2013 - Service		7.11		0.44		0.43			0.87			(0.45	)		(0.13	)		—			(0.58	)
2013 - IR		7.13		0.47		0.42			0.89			(0.48	)		(0.13	)		—			(0.61	)
2013 - R		7.12		0.44		0.41			0.85			(0.44	)		(0.13	)		—			(0.57	)
2012 - A		7.38		0.49		(0.18	)		0.31			(0.50	)		(0.07	)		—			(0.57	)
2012 - C		7.39		0.44		(0.19	)		0.25			(0.44	)		(0.07	)		—			(0.51	)
2012 - Institutional		7.40		0.51		(0.18	)		0.33			(0.52	)		(0.07	)		—			(0.59	)
2012 - Service		7.38		0.48		(0.19	)		0.29			(0.49	)		(0.07	)		—			(0.56	)
2012 - IR		7.39		0.50		(0.17	)		0.33			(0.52	)		(0.07	)		—			(0.59	)
2012 - R		7.38		0.47		(0.18	)		0.29			(0.48	)		(0.07	)		—			(0.55	)

(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 deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.

(c) The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher.

(d) Annualized.

(e) Amount is less than $0.005 per share.

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

GOLDMAN SACHS HIGH YIELD FUND

Net asset value, end of period		Total return(b)			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(c)
$	6.45		10.06	%	$	330,560		1.07	%(d)		1.07	%(d)		5.39	%(d)		41	%
	6.45		9.47			52,232		1.82	(d)		1.82	(d)		4.64	(d)		41
	6.46		10.05			3,274,966		0.73	(d)		0.73	(d)		5.73	(d)		41
	6.44		9.80			14,208		1.23	(d)		1.23	(d)		5.23	(d)		41
	6.46		10.18			10,181		0.82	(d)		0.82	(d)		5.64	(d)		41
	6.44		9.75			15,286		1.32	(d)		1.32	(d)		5.14	(d)		41
	6.47		10.05			172,631		0.71	(d)		0.71	(d)		5.74	(d)		41
	6.02		(6.33	)		340,534		1.05			1.06			5.49			46
	6.03		(7.01	)		51,973		1.80			1.81			4.76			46
	6.04		(5.98	)		3,221,934		0.71			0.72			5.84			46
	6.02		(6.35	)		14,710		1.21			1.22			5.35			46
	6.03		(6.08	)		9,302		0.80			0.81			5.76			46
	6.02		(6.57	)		15,296		1.30			1.31			5.26			46
	6.05		(5.29	)		162,768		0.70	(d)		0.71	(d)		6.02	(d)		46
	6.80		1.21			483,328		1.06			1.06			5.30			55
	6.81		0.46			71,577		1.81			1.81			4.54			55
	6.82		1.56			4,975,618		0.72			0.72			5.62			55
	6.79		0.90			17,506		1.22			1.22			5.12			55
	6.81		1.32			13,971		0.81			0.81			5.54			55
	6.80		0.95			17,417		1.31			1.31			5.03			55
	7.23		7.41			549,354		1.05			1.05			5.95			48
	7.24		6.61			88,607		1.81			1.81			5.21			48
	7.25		7.77			4,436,484		0.72			0.72			6.30			48
	7.23		7.24			17,066		1.22			1.22			5.79			48
	7.25		7.68			15,142		0.81			0.81			6.22			48
	7.23		7.14			18,075		1.31			1.31			5.70			48
	7.40		12.67			576,060		1.05			1.05			6.27			68
	7.41		11.83			106,063		1.80			1.80			5.52			68
	7.42		13.03			5,167,948		0.71			0.71			6.61			68
	7.40		12.65			17,512		1.21			1.21			6.11			68
	7.41		13.09			19,711		0.80			0.80			6.55			68
	7.40		12.39			18,565		1.30			1.30			6.01			68
	7.12		4.53			630,049		1.06			1.06			6.97			71
	7.13		3.76			108,682		1.81			1.81			6.21			71
	7.14		4.89			4,988,221		0.72			0.72			7.25			71
	7.11		4.22			21,420		1.22			1.22			6.81			71
	7.13		4.79			37,059		0.81			0.81			7.13			71
	7.12		4.28			17,087		1.31			1.31			6.69			71

The accompanying notes are an integral part of these financial statements. 133

GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

			Income (loss) from Investment Operations								Distributions to shareholders
Year - Share Class	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			From capital			Total distributions
FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED)
2016 - A	$	9.46	$	0.19	$	0.28		$	0.47		$	(0.20	)	$	—		$	—		$	(0.20	)
2016 - C		9.46		0.16		0.27			0.43			(0.16	)		—			—			(0.16	)
2016 - Institutional		9.47		0.21		0.27			0.48			(0.21	)		—			—			(0.21	)
2016 - IR		9.48		0.21		0.27			0.48			(0.21	)		—			—			(0.21	)
2016 - R		9.46		0.18		0.27			0.45			(0.18	)		—			—			(0.18	)
FOR THE FISCAL YEARS ENDED MARCH 31,
2016 - A		9.92		0.37		(0.46	)		(0.09	)		(0.37	)		—			—			(0.37	)
2016 - C		9.92		0.30		(0.46	)		(0.16	)		(0.30	)		—			—			(0.30	)
2016 - Institutional		9.93		0.40		(0.46	)		(0.06	)		(0.40	)		—			—			(0.40	)
2016 - IR		9.94		0.39		(0.45	)		(0.06	)		(0.40	)		—			—			(0.40	)
2016 - R		9.92		0.35		(0.46	)		(0.11	)		(0.35	)		—			—			(0.35	)
2015 - A		10.07		0.34		(0.14	)		0.20			(0.35	)		—	(e)		—			(0.35	)
2015 - C		10.08		0.27		(0.15	)		0.12			(0.28	)		—	(e)		—			(0.28	)
2015 - Institutional		10.09		0.38		(0.16	)		0.22			(0.38	)		—	(e)		—			(0.38	)
2015 - IR		10.09		0.37		(0.14	)		0.23			(0.38	)		—	(e)		—			(0.38	)
2015 - R		10.08		0.32		(0.15	)		0.17			(0.33	)		—	(e)		—			(0.33	)
2014 - A		10.11		0.33		(0.02	)		0.31			(0.33	)		(0.02	)		—			(0.35	)
2014 - C		10.12		0.26		(0.03	)		0.23			(0.25	)		(0.02	)		—			(0.27	)
2014 - Institutional		10.13		0.37		(0.03	)		0.34			(0.36	)		(0.02	)		—			(0.38	)
2014 - IR		10.13		0.36		(0.03	)		0.33			(0.35	)		(0.02	)		—			(0.37	)
2014 - R		10.12		0.31		(0.03	)		0.28			(0.30	)		(0.02	)		—			(0.32	)
2013 - A		9.91		0.37		0.20			0.57			(0.36	)		—			(0.01	)		(0.37	)
2013 - C		9.90		0.29		0.23			0.52			(0.29	)		—			(0.01	)		(0.30	)
2013 - Institutional		9.91		0.40		0.23			0.63			(0.40	)		—			(0.01	)		(0.41	)
2013 - IR		9.91		0.40		0.22			0.62			(0.39	)		—			(0.01	)		(0.40	)
2013 - R		9.91		0.35		0.21			0.56			(0.34	)		—			(0.01	)		(0.35	)
2012 - A		10.00		0.33		(0.11	)		0.22			(0.31	)		—			—			(0.31	)
2012 - C		9.99		0.26		(0.12	)		0.14			(0.23	)		—			—			(0.23	)
2012 - Institutional		9.99		0.35		(0.09	)		0.26			(0.34	)		—			—			(0.34	)
2012 - IR		10.00		0.34		(0.10	)		0.24			(0.33	)		—			—			(0.33	)
2012 - R		10.00		0.28		(0.09	)		0.19			(0.28	)		—			—			(0.28	)

(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 deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.

(c) The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher.

(d) Annualized.

(e) Amount is less than $0.005 per share.

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

GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND

Net asset value, end of period		Total return(b)			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(c)
$	9.73		4.95	%	$	7,692		0.95	%(d)		0.97	%(d)		4.02	%(d)		27	%
	9.73		4.56			2,146		1.71	(d)		1.72	(d)		3.28	(d)		27
	9.74		5.13			3,322,440		0.62	(d)		0.63	(d)		4.38	(d)		27
	9.75		5.08			1,228		0.71	(d)		0.72	(d)		4.31	(d)		27
	9.73		4.82			12		1.20	(d)		1.21	(d)		3.79	(d)		27
	9.46		(0.89	)		6,668		0.95			0.96			3.80			42
	9.46		(1.63	)		1,760		1.70			1.72			3.09			42
	9.47		(0.55	)		3,217,752		0.61			0.63			4.17			42
	9.48		(0.64	)		1,237		0.70			0.72			4.10			42
	9.46		(1.13	)		11		1.19			1.20			3.60			42
	9.92		2.01			6,193		0.94			0.95			3.38			55
	9.92		1.15			1,936		1.69			1.70			2.71			55
	9.93		2.26			4,087,016		0.60			0.61			3.81			55
	9.94		2.27			811		0.70			0.71			3.72			55
	9.92		1.67			11		1.16			1.17			3.23			55
	10.07		3.09			24,741		0.96			0.97			3.28			44
	10.08		2.33			2,465		1.72			1.73			2.58			44
	10.09		3.45			4,171,873		0.63			0.63			3.65			44
	10.09		3.36			1,631		0.72			0.73			3.59			44
	10.08		2.83			11		1.21			1.22			3.08			44
	10.11		5.89			8,367		1.04			1.04			3.69			72
	10.12		5.31			1,648		1.79			1.79			2.93			72
	10.13		6.47			1,710,411		0.70			0.70			3.99			72
	10.13		6.36			4,116		0.80			0.80			4.00			72
	10.12		5.73			11		1.28			1.29			3.47			72
	9.91		2.24			1,910		1.08			1.13			3.41			73
	9.90		1.40			517		1.83			1.88			2.69			73
	9.91		2.58			644,969		0.74			0.79			3.63			73
	9.91		2.48			116		0.83			0.88			3.51			73
	9.91		1.99			10		1.33			1.38			2.86			73

The accompanying notes are an integral part of these financial statements. 135

GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

			From Investment Operations								Distributions to shareholders
Year - Share Class	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
FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED)
2016 - A	$	9.08	$	0.14	$	0.30		$	0.44		$	(0.14	)	$	—		$	(0.14	)
2016 - Institutional		9.08		0.15		0.30			0.45			(0.15	)		—			(0.15	)
2016 - Separate Account Institutional		9.09		0.15		0.30			0.45			(0.15	)		—			(0.15	)
2016 - IR		9.09		0.15		0.30			0.45			(0.15	)		—			(0.15	)
2016 - R6		9.08		0.15		0.31			0.46			(0.15	)		—			(0.15	)
FOR THE FISCAL YEARS ENDED MARCH 31,
2016 - A		9.47		0.30		(0.36	)		(0.06	)		(0.29	)		(0.04	)		(0.33	)
2016 - Institutional		9.48		0.33		(0.37	)		(0.04	)		(0.32	)		(0.04	)		(0.36	)
2016 - Separate Account Institutional		9.48		0.33		(0.36	)		(0.03	)		(0.32	)		(0.04	)		(0.36	)
2016 - IR		9.48		0.32		(0.35	)		(0.03	)		(0.32	)		(0.04	)		(0.36	)
2016 - R6 (Commenced July 31, 2015)		9.13		0.22		(0.02	)		0.20			(0.21	)		(0.04	)		(0.25	)
2015 - A		9.39		0.29		0.26			0.55			(0.29	)		(0.18	)		(0.47	)
2015 - Institutional		9.39		0.32		0.27			0.59			(0.32	)		(0.18	)		(0.50	)
2015 - Separate Account Institutional		9.39		0.32		0.27			0.59			(0.32	)		(0.18	)		(0.50	)
2015 - IR		9.39		0.31		0.27			0.58			(0.31	)		(0.18	)		(0.49	)
2014 - A		9.71		0.30		(0.18	)		0.12			(0.30	)		(0.14	)		(0.44	)
2014 - Institutional		9.71		0.34		(0.18	)		0.16			(0.34	)		(0.14	)		(0.48	)
2014 - Separate Account Institutional		9.71		0.33		(0.17	)		0.16			(0.34	)		(0.14	)		(0.48	)
2014 - IR		9.71		0.32		(0.17	)		0.15			(0.33	)		(0.14	)		(0.47	)
2013 - A		9.53		0.31		0.51			0.82			(0.31	)		(0.33	)		(0.64	)
2013 - Institutional		9.53		0.34		0.52			0.86			(0.35	)		(0.33	)		(0.68	)
2013 - Separate Account Institutional		9.53		0.34		0.52			0.86			(0.35	)		(0.33	)		(0.68	)
2013 - IR		9.53		0.34		0.51			0.85			(0.34	)		(0.33	)		(0.67	)
2012 - A		9.50		0.37		0.50			0.87			(0.37	)		(0.47	)		(0.84	)
2012 - Institutional		9.51		0.40		0.50			0.90			(0.41	)		(0.47	)		(0.88	)
2012 - Separate Account Institutional		9.51		0.40		0.50			0.90			(0.41	)		(0.47	)		(0.88	)
2012 - IR (Commenced July 29, 2011)		9.86		0.25		0.15			0.40			(0.26	)		(0.47	)		(0.73	)

(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 deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.

(c) The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher.

(d) Annualized.

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

GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND

Net asset value, end of period		Total return(b)			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(c)
$	9.38		4.85	%	$	30,094		0.72	%(d)		0.87	%(d)		2.95	%(d)		31	%
	9.38		5.03			142,140		0.38	(d)		0.53	(d)		3.30	(d)		31
	9.39		5.02			243,495		0.38	(d)		0.53	(d)		3.30	(d)		31
	9.39		4.97			1,605		0.47	(d)		0.62	(d)		3.18	(d)		31
	9.39		5.14			11		0.38	(d)		0.52	(d)		3.31	(d)		31
	9.08		(0.53	)		28,037		0.72			0.86			3.28			79
	9.08		(0.29	)		156,202		0.38			0.52			3.62			79
	9.09		(0.18	)		239,713		0.38			0.52			3.62			79
	9.09		(0.27	)		1,080		0.47			0.61			3.53			79
	9.08		2.28			10		0.38	(d)		0.53	(d)		3.61	(d)		79
	9.47		5.94			29,522		0.72			0.86			3.07			84
	9.48		6.41			177,283		0.38			0.52			3.41			84
	9.48		6.41			259,668		0.38			0.52			3.40			84
	9.48		6.32			1,075		0.47			0.61			3.31			84
	9.39		1.41			24,839		0.72			0.85			3.22			86
	9.39		1.76			165,755		0.38			0.51			3.57			86
	9.39		1.76			286,845		0.38			0.51			3.56			86
	9.39		1.66			552		0.47			0.60			3.37			86
	9.71		8.73			30,216		0.71			0.84			3.17			162
	9.71		9.09			274,095		0.37			0.50			3.51			162
	9.71		9.09			289,032		0.37			0.50			3.51			162
	9.71		8.99			723		0.47			0.59			3.46			162
	9.53		9.34			155,684		0.71			0.85			3.78			120
	9.53		9.71			163,886		0.37			0.51			4.12			120
	9.53		9.71			237,266		0.37			0.51			4.13			120
	9.53		4.26			1,300		0.46	(d)		0.60	(d)		3.91	(d)		120

The accompanying notes are an integral part of these financial statements. 137

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

			From Investment Operations								Distributions to shareholders
Year - Share Class	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			From capital			Total distributions
FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED)
2016 - A	$	6.36	$	0.17	$	0.16		$	0.33		$	(0.18	)	$	—		$	—		$	(0.18	)
2016 - C		6.37		0.15		0.16			0.31			(0.16	)		—			—			(0.16	)
2016 - Institutional		6.36		0.18		0.18			0.36			(0.20	)		—			—			(0.20	)
2016 - IR		6.35		0.18		0.17			0.35			(0.19	)		—			—			(0.19	)
FOR THE FISCAL YEARS ENDED MARCH 31,
2016 - A		6.96		0.34		(0.60	)		(0.26	)		—			—			(0.34	)		(0.34	)
2016 - C		6.98		0.29		(0.61	)		(0.32	)		—			—			(0.29	)		(0.29	)
2016 - Institutional		6.97		0.37		(0.62	)		(0.25	)		—			—			(0.36	)		(0.36	)
2016 - IR		6.96		0.34		(0.59	)		(0.25	)		—			—			(0.36	)		(0.36	)
2015 - A		8.43		0.37		(1.41	)		(1.04	)		—			—			(0.43	)		(0.43	)
2015 - C		8.44		0.33		(1.42	)		(1.09	)		—			—			(0.37	)		(0.37	)
2015 - Institutional		8.43		0.41		(1.41	)		(1.00	)		—			—			(0.46	)		(0.46	)
2015 - IR		8.43		0.41		(1.43	)		(1.02	)		—			—			(0.45	)		(0.45	)
2014 - A		9.71		0.40		(1.27	)		(0.87	)		(0.03	)		(0.13	)		(0.25	)		(0.41	)
2014 - C		9.72		0.34		(1.28	)		(0.94	)		—			(0.13	)		(0.21	)		(0.34	)
2014 - Institutional		9.71		0.43		(1.27	)		(0.84	)		(0.06	)		(0.13	)		(0.25	)		(0.44	)
2014 - IR		9.71		0.42		(1.27	)		(0.85	)		(0.05	)		(0.13	)		(0.25	)		(0.43	)
2013 - A		9.38		0.45		0.38			0.83			(0.46	)		(0.04	)		—			(0.50	)
2013 - C		9.40		0.38		0.37			0.75			(0.39	)		(0.04	)		—			(0.43	)
2013 - Institutional		9.38		0.48		0.38			0.86			(0.49	)		(0.04	)		—			(0.53	)
2013 - IR		9.38		0.47		0.38			0.85			(0.48	)		(0.04	)		—			(0.52	)
2012 - A		9.59		0.42		(0.16	)		0.26			(0.44	)		(0.03	)		—			(0.47	)
2012 - C		9.61		0.37		(0.18	)		0.19			(0.37	)		(0.03	)		—			(0.40	)
2012 - Institutional		9.59		0.48		(0.19	)		0.29			(0.47	)		(0.03	)		—			(0.50	)
2012 - IR		9.59		0.46		(0.18	)		0.28			(0.46	)		(0.03	)		—			(0.49	)

(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 deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.

(c) The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher.

(d) Annualized.

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

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND

Net asset value, end of period		Total return(b)			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(c)
$	6.51		5.34	%	$	117,496		1.24	%(d)		1.49	%(d)		5.32	%(d)		58	%
	6.52		4.94			6,529		1.99	(d)		2.24	(d)		4.52	(d)		58
	6.52		5.67			392,354		0.92	(d)		1.15	(d)		5.60	(d)		58
	6.51		5.64			12,674		0.99	(d)		1.23	(d)		5.48	(d)		58
	6.36		(3.54	)		140,623		1.25			1.40			5.31			100
	6.37		(4.38	)		6,574		2.00			2.15			4.58			100
	6.36		(3.35	)		403,203		0.91			1.06			5.67			100
	6.35		(3.45	)		9,741		0.99			1.14			5.55			100
	6.96		(12.92	)		140,301		1.25			1.36			4.76			145
	6.98		(13.43	)		9,734		2.01			2.14			4.04			145
	6.97		(12.50	)		1,234,553		0.92			1.05			5.11			145
	6.96		(12.70	)		3,386		1.01			1.14			5.06			145
	8.43		(9.01	)		96,925		1.25			1.36			4.55			146
	8.44		(9.68	)		17,641		2.01			2.12			3.80			146
	8.43		(8.70	)		1,797,975		0.92			1.02			4.88			146
	8.43		(8.78	)		7,518		1.01			1.11			4.73			146
	9.71		9.07			190,480		1.26			1.38			4.78			115
	9.72		8.14			32,071		2.00			2.13			3.98			115
	9.71		9.46			3,252,343		0.91			1.04			5.05			115
	9.71		9.34			20,878		1.00			1.12			4.91			115
	9.38		2.71			166,407		1.27			1.38			4.31			183
	9.40		1.96			20,704		2.02			2.13			3.98			183
	9.38		3.06			1,586,055		0.93			1.04			5.18			183
	9.38		2.97			7,393		1.02			1.13			4.91			183

The accompanying notes are an integral part of these financial statements. 139

GOLDMAN SACHS U.S. MORTGAGES FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

			From Investment Operations							Distributions to shareholders
Year - Share Class	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			From capital			Total distributions
FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED)
2016 - A	$	10.68	$	0.07	$	0.10		$	0.17	$	(0.12	)	$	—		$	—		$	(0.12	)
2016 - Institutional		10.71		0.08		0.11			0.19		(0.14	)		—			—			(0.14	)
2016 - Separate Account Institutional		10.69		0.08		0.10			0.18		(0.14	)		—			—			(0.14	)
2016 - IR		10.71		0.08		0.11			0.19		(0.14	)		—			—			(0.14	)
2016 - R6		10.71		0.08		0.11			0.19		(0.14	)		—			—			(0.14	)
FOR THE FISCAL YEAR ENDED MARCH 31,
2016 - A		10.74		0.17		0.03			0.20		(0.26	)		—			—	(e)		(0.26	)
2016 - Institutional		10.77		0.20		0.04			0.24		(0.30	)		—			—	(e)		(0.30	)
2016 - Separate Account Institutional		10.75		0.20		0.04			0.24		(0.30	)		—			—	(e)		(0.30	)
2016 - IR		10.77		0.17		0.06			0.23		(0.29	)		—			—	(e)		(0.29	)
2016 - R6 (Commenced July 31, 2015)		10.67		0.13		0.11			0.24		(0.20	)		—			—	(e)		(0.20	)
2015 - A		10.45		0.17		0.35			0.52		(0.23	)		—			—			(0.23	)
2015 - Institutional		10.47		0.19		0.38			0.57		(0.27	)		—			—			(0.27	)
2015 - Separate Account Institutional		10.45		0.20		0.37			0.57		(0.27	)		—			—			(0.27	)
2015 - IR		10.48		0.18		0.37			0.55		(0.26	)		—			—			(0.26	)
2014 - A		10.60		0.13		(0.06	)		0.07		(0.22	)		—			—			(0.22	)
2014 - Institutional		10.62		0.18		(0.08	)		0.10		(0.25	)		—			—			(0.25	)
2014 - Separate Account Institutional		10.60		0.16		(0.06	)		0.10		(0.25	)		—			—			(0.25	)
2014 - IR		10.63		0.20		(0.11	)		0.09		(0.24	)		—			—			(0.24	)
2013 - A		10.58		0.12		0.31			0.43		(0.22	)		(0.19	)		—			(0.41	)
2013 - Institutional		10.60		0.16		0.30			0.46		(0.25	)		(0.19	)		—			(0.44	)
2013 - Separate Account Institutional		10.58		0.16		0.30			0.46		(0.25	)		(0.19	)		—			(0.44	)
2013 - IR		10.60		0.17		0.31			0.48		(0.26	)		(0.19	)		—			(0.45	)
2012 - A		10.20		0.17		0.42			0.59		(0.21	)		—			—			(0.21	)
2012 - Institutional		10.21		0.20		0.44			0.64		(0.25	)		—			—			(0.25	)
2012 - Separate Account Institutional		10.20		0.21		0.42			0.63		(0.25	)		—			—			(0.25	)
2012 - IR (Commenced July 29, 2011)		10.45		0.14		0.19			0.33		(0.18	)		—			—			(0.18	)

(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 deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.

(c) The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher.

(d) Annualized.

(e) Amount is less than $0.005 per share.

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

GOLDMAN SACHS U.S. MORTGAGES FUND

Net asset value, end of period		Total return(b)			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(c)
$	10.73		1.63	%	$	46,159		0.77	%(d)		0.95	%(d)		1.21	%(d)		431	%
	10.76		1.80			60,627		0.43	(d)		0.61	(d)		1.56	(d)		431
	10.73		1.71			216,024		0.43	(d)		0.61	(d)		1.56	(d)		431
	10.76		1.76			16,463		0.52	(d)		0.70	(d)		1.49	(d)		431
	10.76		1.81			10		0.43	(d)		0.60	(d)		1.57	(d)		431
	10.68		1.89			36,465		0.75			0.96			1.58			956
	10.71		2.23			60,513		0.41			0.62			1.89			956
	10.69		2.23			210,773		0.41			0.62			1.91			956
	10.71		2.14			6,582		0.51			0.71			1.63			956
	10.71		2.24			10		0.44	(d)		0.64	(d)		1.77	(d)		956
	10.74		5.01			31,690		0.71			0.95			1.60			1,367
	10.77		5.46			45,891		0.37			0.62			1.82			1,367
	10.75		5.46			195,609		0.37			0.63			1.86			1,367
	10.77		5.26			1,768		0.46			0.71			1.68			1,367
	10.45		0.64			3,850		0.72			0.96			1.22			1,399
	10.47		0.99			11,692		0.38			0.63			1.71			1,399
	10.45		0.98			211,306		0.38			0.62			1.58			1,399
	10.48		0.88			16		0.49			0.73			1.91			1,399
	10.60		4.07			4,488		0.71			0.91			1.13			1,617
	10.62		4.42			13,664		0.37			0.56			1.47			1,617
	10.60		4.42			295,322		0.37			0.56			1.49			1,617
	10.63		4.61			1		0.30			0.49			1.57			1,617
	10.58		5.82			5,437		0.71			0.91			1.62			1,342
	10.60		6.28			9,984		0.37			0.57			1.89			1,342
	10.58		6.18			375,451		0.37			0.57			1.97			1,342
	10.60		3.20			1		0.46	(d)		0.66	(d)		2.06	(d)		1,342

The accompanying notes are an integral part of these financial statements. 141

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements

September 30, 2016 (Unaudited)

1. ORGANIZATION

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

Fund	Share Classes Offered	Diversified/ Non-diversified
Dynamic Emerging Markets Debt	A, C, Institutional, IR and R	Non-diversified
Emerging Markets Debt	A, C, Institutional, IR and R6	Non-diversified
Local Emerging Markets Debt	A, C, Institutional and IR	Non-diversified
High Yield	A, C, Institutional, Service, IR, R and R6	Diversified
High Yield Floating Rate	A, C, Institutional, IR and R	Diversified
Investment Grade Credit, U.S. Mortgages	A, Institutional, IR, Separate Account Institutional and R6	Diversified

Class A Shares of the Dynamic Emerging Markets Debt, Emerging Markets Debt, High Yield, High Yield Floating Rate, Investment Grade Credit, Local Emerging Markets Debt and U.S. Mortgages Funds are sold with a front-end sales charge of up to 4.50%, 4.50%, 4.50%, 2.25%, 3.75%, 4.50% and 3.75%, respectively. Class C Shares are sold with a contingent deferred sales charge (“CDSC”) of 1.00%, which is imposed on redemptions made within 12 months of purchase. Institutional, Service, Separate Account Institutional, Class IR, 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. (“Goldman Sachs”), serves as investment adviser to the Funds pursuant to a management agreement (the “Agreement”) with the Trust.

2. SIGNIFICANT ACCOUNTING POLICIES

The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions.

A.  Investment Valuation — The Funds’ valuation policy is to value investments at fair value.

B.  Investment Income and Investments — Investment income includes interest income, dividend income, net of any foreign withholding taxes, less any amounts reclaimable, 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. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments. Distributions received from the Funds’ investments in U.S. real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain or a return of capital. A return of capital is recorded by the Funds as a reduction to the cost basis of the REIT.

For derivative contracts, realized gains and losses are recorded upon settlement of the contract. Upfront payments, if any, are made or received upon entering into a swap agreement and are reflected in the Statements of Assets and Liabilities. Upfront payments are recognized over the contract’s term/event as realized gains or losses, with the exception of forward starting interest

142

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

2. SIGNIFICANT ACCOUNTING POLICIES (continued)

rate swaps whose realized gains or losses are recognized from the effective start date. For securities with paydown provisions, principal payments received are treated as a proportionate reduction to the cost basis of the securities, and excess or shortfall amounts are recorded as income. For treasury inflation protected securities (“TIPS”), adjustments to principal due to inflation/deflation are reflected as increases/decreases to interest income with a corresponding adjustment to cost.

C.  Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), and non-class specific expenses of each Fund are allocated daily based upon the proportion of net assets of each class. Non-class specific expenses directly incurred by a Fund are charged to that Fund, while such expenses incurred by the Trust are allocated across the applicable Funds on a straight-line and/or pro-rata basis depending upon the nature of the expenses. Class specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service, Transfer Agency and Service and Shareholder Administration fees.

D.  Redemption Fees — A 2% redemption fee will be imposed on the redemption of shares (including by exchange) held for 60 calendar days or less with respect to the High Yield Fund and 30 calendar days or less with respect to the Dynamic Emerging Markets Debt, Emerging Markets Debt and Local Emerging Markets Debt Funds. For this purpose, the Funds use a first-in first-out method so that shares held longest will be treated as being redeemed first and shares held shortest will be treated as being redeemed last. Redemption fees are reimbursed to a Fund and are reflected as a reduction in share redemptions. Redemption fees are credited to Paid-in Capital and are allocated to each share class of a Fund on a pro-rata basis.

E.  Federal Taxes and Distributions to Shareholders — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies (mutual funds) and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, the Funds are not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Income distributions, if any, are declared daily and paid monthly, and capital gains distributions, if any, are declared and paid annually.

Net capital losses are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.

The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of each Fund’s distributions may be shown in the accompanying financial statements as either from net investment income, net realized gain or capital. Certain components of the Funds’ net assets on the Statements of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.

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

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS

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). GAAP establishes a fair value

143

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

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

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

Equity Securities — Equity securities traded on a United States (“U.S.”) securities exchange or the NASDAQ system, or those located on certain foreign exchanges, including but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If there is no sale or official closing price or such price is believed by GSAM to not represent fair value, equity securities are valued at the last bid price for long positions and at the last ask price for short positions. 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.

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. Securities traded on certain foreign securities exchanges are valued daily at fair value determined by an independent fair value service (if available) under Valuation Procedures approved by the Trustees and consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchange. These investments are generally classified as Level 2 of the fair value hierarchy.

Private Investments — Private investments may include, but are not limited to, investments in private equity or debt instruments. The Investment Manager estimates the fair value of private investments based upon various factors, including, but not limited to, transactions in similar instruments, completed or pending third-party transactions in underlying investments or comparable entities, subsequent rounds of financing, recapitalizations, and other transactions across the capital structure, offerings in equity or debt capital markets, and changes in current and projected financial ratios or cash flows.

144

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

Underlying Funds (including Money Market Funds) — Underlying Funds (“Underlying Funds”) include other investment companies and exchange-traded funds (“ETFs”). Investments in the Underlying Funds (except ETFs) are valued at the NAV per share 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 Funds invest in Underlying Funds that fluctuate in value, the Funds’ shares will correspondingly fluctuate in value. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2. For information regarding an Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.

Debt Securities — Debt securities for which market quotations are readily available are valued daily on the basis of quotations supplied by dealers or an independent pricing service approved by the Trustees. The pricing services may use valuation models or matrix pricing, which consider: (i) yield or price with respect to bonds that are considered comparable in characteristics such as rating, interest rate and maturity date or (ii) quotations from securities dealers to determine current value. As of the date of the financial statements, short-term debt obligations that matured in sixty days or less and did not exhibit signs of credit deterioration were valued at amortized cost, which approximated fair value. Effective October 11, 2016, short-term debt obligations that mature in sixty days or less are valued using available market quotations as provided by a third party pricing vendor or broker. With the exception of treasury securities of G8 countries (not held in money market funds), which are generally classified as Level 1, these investments are generally classified as Level 2 of the fair value hierarchy.

i.  Bank Loans — Bank loans (“Loans”) are interests in amounts owed by corporate, governmental, or other borrowers to lenders or lending syndicates. Loans are arranged through private negotiations between the borrower and one or more financial institutions (“Lenders”). A Fund’s investments in Loans are in the form of either participations in Loans (“Participations”) or assignments of all or a portion of Loans from third parties (“Assignments”). With respect to Participations, a Fund has the right to receive payments of principal, interest and any fees to which it is entitled from the Lender selling the Participations and only upon receipt by the Lender of the payments from the borrower. A Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement with respect to Participations. Conversely, Assignments result in a Fund having a direct contractual relationship with the borrower, and the Fund may be permitted to enforce compliance by the borrower with the terms of the loan agreement.

The High Yield and High Yield Floating Rate Funds may also enter into certain credit arrangements, all or a portion of which may be unfunded. Unfunded loan commitments represent the remaining obligation of a Fund to the borrower. A Fund is obligated to fund these commitments at the borrower’s discretion. A Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit of a Loan. All Loans and unfunded loan commitments involve interest rate risk, liquidity risk and credit risk, including the potential default or insolvency of the borrower. Loans, including unfunded loan commitments, are marked to market daily using pricing vendor quotations and the change in value, if any, is recorded as an unrealized gain or loss.

ii.  Inverse Floaters — The interest rate on inverse floating rate securities (“inverse floaters”) resets in the opposite direction from the market rate of interest to which the inverse floaters are indexed. An inverse floater may be considered to be leveraged to the extent that its interest rate varies by a magnitude that exceeds the magnitude of the change in the index rate of interest. The higher the degree of leverage of an inverse floater, the greater the volatility of its market value.

iii.  Mortgage-Backed and 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 estate property. Asset-backed securities include securities whose principal and interest payments are collateralized by pools of other assets or receivables. 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.

145

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

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.

Stripped mortgage-backed securities are usually structured with two different classes: one that receives substantially all interest payments (interest-only, or “IO” and/or high coupon rate with relatively low principal amount, or “IOette”), and the other that receives substantially all principal payments (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 until maturity. These adjustments are included in interest income.

iv.  Mortgage Dollar Rolls — Mortgage dollar rolls are transactions whereby a Fund sells mortgage-backed-securities and simultaneously contracts with the same counterparty to repurchase similar securities on a specified future date. During the settlement period, a Fund will not be entitled to accrue interest and receive principal payments on the securities sold. The Funds account for mortgage dollar roll transactions as purchases and sales and realize gains and losses on these transactions.

v.  Structured Notes — The values of structured notes are based on the price movements of a reference security or index. Upon termination, a Fund will receive a payment from the issuer based on the value of the referenced instrument (notional amount multiplied by price of the referenced instrument) and record a realized gain or loss.

vi.  Treasury Inflation Protected Securities — TIPS are treasury securities 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 repayment of the original bond principal upon maturity is guaranteed by the full faith and credit of the U.S. Government.

vii.  When-Issued Securities and Forward Commitments — When-issued securities, including TBA (“To Be Announced”) securities, are securities that are authorized but not yet issued in the market and purchased in order to secure what is considered to be an advantageous price or yield to a Fund. 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 a Fund will generally purchase securities on a when-issued or forward commitment basis with the intention of acquiring the securities for its portfolio, the Fund may dispose of when-issued securities or forward commitments prior to settlement, which may result in a realized gain or loss.

Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. The Funds enter into derivative transactions to hedge against changes in interest rates, securities prices, and/or currency exchange rates, to increase total return, or to gain access to certain markets or attain exposure to other underliers.

Exchange-traded derivatives, including futures and options contracts, are valued at the last sale or settlement price and typically fall within Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.

146

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

i.  Forward Contracts — A forward contract is a contract between two parties to buy or sell an asset at a specified price on a future date. A forward contract settlement can occur on a cash or delivery basis. Forward contracts are marked-to-market daily using independent vendor prices, and the change in value, if any, is recorded as an unrealized gain or loss. Cash and certain investments may be used to collateralize forward contracts.

A forward foreign currency contract is a forward contract in which a Fund agrees to receive or deliver a fixed quantity of one currency for another, at a pre-determined price at a future date. All forward foreign currency exchange contracts are marked-to-market daily at the applicable forward rate. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency.

A non-deliverable bond forward is a short term forward contract between two parties to buy or sell a bond denominated in a non-deliverable foreign currency at a specified future time and price. Non-deliverable bond forwards are marked-to-market daily using market quotations. Unrealized gains or losses on non-deliverable bond forwards are recorded by a Fund on a daily basis, and realized gains or losses are recorded on the termination date or sale of a contract.

ii.  Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security and are valued based on exchanged settlement prices or independent market quotes. Futures contracts are valued at the last settlement price, or in the absence of a sale, the last bid price for long positions and at 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, a Fund deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by a Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.

iii.  Option Contracts — When a Fund writes call or put option contracts, an amount equal to the premium received is recorded as a liability and is subsequently marked-to-market to reflect the current value of the option written. Swaptions are options on interest rate swap contracts.

Upon the purchase of a call option or a put option by a Fund, the premium paid is recorded as an investment and subsequently marked-to-market to reflect the current value of the option. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms.

iv.  Swap Contracts — Bilateral swap contracts are agreements in which a Fund and a counterparty agree to exchange periodic payments on a specified notional amount or make a net payment upon termination. Bilateral swap transactions are privately negotiated in the OTC market and payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing. These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”) (“centrally cleared swaps”), in which case all payments are settled with the CCP through the DCM. Swaps are marked-to-market daily using pricing vendor quotations, counterparty or clearinghouse prices or model prices, and the change in value, if any, is recorded as an unrealized gain or loss. Upon entering into a swap contract, a Fund is required to satisfy an initial margin requirement by delivering cash or securities to the counterparty (or in some cases, segregated in a triparty account on behalf of the counterparty), which can be adjusted by any mark-to-market gains or losses pursuant to bilateral or centrally cleared arrangements. For centrally cleared swaps the daily change in valuation, if any, is recorded as a receivable or payable for variation margin.

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

147

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

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

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

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

A cross currency swap is an agreement which a Fund may enter into to gain or mitigate exposure to currency risk. A cross currency swap is an agreement to exchange cash flows on a notional amount of two or more currencies based on the relative value differential among them. Such swaps may involve initial and final exchanges that correspond to the agreed upon notional amount. Cross currency swaps usually involve the delivery of the entire principal value of one designated currency in exchange for another designated currency. Therefore, the entire principal value of a cross currency swap is subject to risk that the other party to the swap will default on its contractual delivery obligations. If there is a default by the counterparty, the Fund may have contractual remedies pursuant to the agreements related to the transactions.

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.

Short Term Investments — As of the date of the financial statements, short-term investments having a maturity of 60 days or less were valued at amortized cost which approximated fair market value. Effective October 11, 2016, such securities are valued using available market quotations as provided by a third party pricing vendor or broker. These investments are classified as Level 2 of the fair value hierarchy.

Secured Borrowings — Secured borrowings are valued at their contractual amounts, which approximates fair value, and are generally classified as Level 2 of the fair value hierarchy.

148

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

i.  Reverse Repurchase Agreements — Reverse repurchase agreements involve the sale of securities held by the Funds subject to the Funds’ agreement to repurchase the securities at a mutually agreed upon date and price (including interest), under the terms of a Master Repurchase Agreement (“MRA”). The gross value of reverse repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

A Fund entering into a reverse repurchase agreement is required to deliver securities as collateral to the counterparty that exceed the value of the reverse repurchase agreement. During the term of a reverse repurchase agreement, the value of the underlying securities pledged as collateral on behalf of a Fund, including accrued interest, is required to exceed the value of the reverse repurchase agreement, including accrued interest. If the value of those securities pledged as collateral, including accrued interest, becomes less than the value of the reverse repurchase agreement, including accrued interest, a Fund will be obligated to deliver additional collateral to the buyer. If the buyer defaults on its commitment to sell back the securities, the Fund could suffer a loss to the extent that the amount borrowed is less than the replacement cost of similar securities and the Fund’s costs associated with delay and enforcement of the reverse repurchase agreement. In addition, in the event of default or insolvency of the buyer, a court could determine that the Fund’s interest in the amount borrowed is not enforceable, resulting in additional losses to the Fund.

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 Funds’ investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining a Fund’s NAV. 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.

To the extent investments are valued using single source broker quotations obtained directly from the broker or passed through from third party pricing vendors, such investments are classified as Level 3 investments. GSAM did not develop the unobservable inputs (examples include but are not limited to single source broker quotations, third party pricing, etc.) for the valuation of Level 3 Assets and Liabilities.

C.  Fair Value Hierarchy — The following is a summary of the Funds’ investments and derivatives classified in the fair value hierarchy as of September 30, 2016:

DYNAMIC EMERGING MARKETS DEBT
Investment Type	Level 1		Level 2		Level 3
Assets
Fixed Income
Sovereign Debt Obligations	$	—	$	20,317,908	$	—
Corporate Obligations		—		12,638,140		—
Structured Notes		—		1,860,846		—
Municipal Debt Obligations		—		467,059		—
U.S. Treasury Obligations		298,851		—		—
Investment Company		793,201		—		—
Total	$	1,092,052	$	35,283,953	$	—

149

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

DYNAMIC EMERGING MARKETS DEBT (continued)
Derivative Type	Level 1			Level 2			Level 3
Assets(a)
Forward Foreign Currency Exchange Contracts	$	—		$	217,848		$	—
Futures Contracts		9,483			—			—
Interest Rate Swap Contracts		—			79,904			—
Credit Default Swap Contracts		—			33,234			—
Total	$	9,483		$	330,986		$	—
Liabilities(a)
Forward Foreign Currency Exchange Contracts	$	—		$	(275,397	)	$	—
Futures Contracts		(6,750	)		—			—
Interest Rate Swap Contracts		—			(91,980	)		—
Credit Default Swap Contracts		—			(63,743	)		—
Total	$	(6,750	)	$	(431,120	)	$	—
EMERGING MARKETS DEBT
Investment Type	Level 1			Level 2			Level 3
Assets
Fixed Income
Sovereign Debt Obligations	$	—		$	1,168,722,466		$	—
Foreign Debt Obligation		—			551,303			—
Corporate Obligations		—			454,825,800			—
Structured Note		—			4,992,048			—
Municipal Debt Obligations		—			17,666,844
U.S. Treasury Obligations		9,616,630			—			—
Investment Company		3,669,180			—			—
Total	$	13,285,810		$	1,646,758,461		$	—
Liabilities
Reverse Repurchase Agreements	$	—		$	(17,255,175	)	$	—

150

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3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

EMERGING MARKETS DEBT (continued)
Derivative Type	Level 1			Level 2			Level 3
Assets(a)
Forward Foreign Currency Exchange Contracts	$	—		$	5,467,460		$	—
Futures Contracts		375,167			—			—
Interest Rate Swap Contracts		—			1,736,177			—
Credit Default Swap Contracts		—			849,483			—
Total	$	375,167		$	8,053,120		$	—
Liabilities(a)
Forward Foreign Currency Exchange Contracts	$	—		$	(4,466,026	)	$	—
Futures Contracts		(1,341,636	)		—			—
Interest Rate Swap Contracts		—			(3,335,653	)		—
Credit Default Swap Contracts		—			(2,858,633	)		—
Total	$	(1,341,636	)	$	(10,660,312	)	$	—
HIGH YIELD
Investment Type	Level 1			Level 2			Level 3
Assets
Fixed Income
Bank Loans	$	—		$	51,177,206		$	33,020,185
Corporate Obligations		—			3,562,979,679			—
Common Stock and/or Other Equity Investments(b)
North America		4,272,699			2,049,520			8,216,025
Investment Company		129,262,770			—			—
Total	$	133,535,469		$	3,616,206,405		$	41,236,210
Liabilities
Reverse Repurchase Agreements	$	—		$	(10,031,188	)	$	—
Derivative Type
Assets(a)
Futures Contracts	$	278,939		$	—		$	—
Liabilities(a)
Forward Foreign Currency Exchange Contracts	$	—		$	(56,761	)	$	—
Futures Contracts		(952,944	)		—			—
Total	$	(952,944	)	$	(56,761	)	$	—

151

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

HIGH YIELD (continued)

The following is a reconciliation of Level 3 investments for the period ended September 30, 2016:

	Bank Loans			Common Stocks
Beginning Balance as of April 1, 2016	$	23,709,490		$	39
Realized gain (loss)		(3,807,522	)		2,763,555
Net change in unrealized gain (loss) relating to instruments still held at reporting date		8,488,243			1,545,444
Purchases		21,730,674			6,670,581
Sales		(7,028,139	)		(2,763,594	)
Amortization		136,775			—
Transfers into Level 3		1,750,664			—
Transfers out of Level 3		(11,960,000	)		—
Ending Balance as of September 30, 2016	$	33,020,185		$	8,216,025

HIGH YIELD FLOATING RATE
Investment Type	Level 1		Level 2			Level 3
Assets
Fixed Income
Bank Loans	$	—	$	2,634,346,072		$	54,798,544
Corporate Obligations		—		376,097,490			—
Common Stock and/or Other Equity Investments(b)
North America		—		—			15,758,939
Investment Company		343,839,632		—			—
Total	$	343,839,632	$	3,010,443,562		$	70,557,483
Derivative Type
Assets(a)
Total Return Swap Contracts	$	—	$	60,289		$	—
Liabilities(a)
Forward Foreign Currency Exchange Contracts	$	—	$	(77,853	)	$	—
Interest Rate Swap Contracts		—		(162,463	)		—
Total	$	—	$	(240,316	)	$	—

152

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

HIGH YIELD FLOATING RATE (continued)

The following is a reconciliation of Level 3 investments for the period ended September 30, 2016:

	Bank Loans			Common Stocks
Beginning Balance as of April 1, 2016	$	100,227,537		$	5,710,009
Realized gain (loss)		(7,988,491	)		—
Net change in unrealized gain (loss) relating to instruments still held at reporting date		16,339,295			(2,745,740	)
Purchases		21,024,503			12,794,670
Sales		(22,214,031	)		—
Amortization		328,428			—
Transfers into Level 3		13,082,139			—
Transfers out of Level 3		(66,000,836	)		—
Ending Balance as of September 30, 2016	$	54,798,544		$	15,758,939

Transfers of the above investments into or out of Level 3 can be attributed to changes in the availability of valid pricing sources or in the observability of significant inputs used to measure the fair value of those investments.

INVESTMENT GRADE CREDIT
Investment Type	Level 1			Level 2		Level 3
Assets
Fixed Income
Corporate Obligations	$	—		$	366,866,498	$	—
Foreign Debt Obligations		—			16,642,861		—
Municipal Debt Obligations		—			14,502,392		—
U.S. Treasury Obligations		13,103,760			—		—
Investment Company		1,253			—		—
Total	$	13,105,013		$	398,011,751	$	—
Derivative Type
Assets(a)
Forward Foreign Currency Exchange Contracts	$	—		$	3,712	$	—
Futures Contracts		63,904			—		—
Credit Default Swap Contracts		—			125,408		—
Total	$	63,904		$	129,120	$	—
Liabilities(a)
Futures Contracts	$	(209,366	)	$	—	$	—

153

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

LOCAL EMERGING MARKETS DEBT
Investment Type	Level 1			Level 2			Level 3
Assets
Fixed Income
Sovereign Debt Obligations	$	—		$	365,666,462		$	—
Corporate Obligations		—			17,399,125			—
Structured Notes		—			70,912,815			—
Municipal Debt Obligations		—			3,497,694			—
U.S. Treasury Obligations		22,966,678			—			—
Investment Company		6,323,118			—			—
Total	$	29,289,796		$	457,476,096		$	—
Derivative Type
Assets(a)
Forward Foreign Currency Exchange Contracts	$	—		$	3,499,102		$	—
Futures Contracts		198,090			—			—
Interest Rate Swap Contracts		—			8,629,071			—
Non-Deliverable Bond Forward Contracts		—			8,726			—
Total	$	198,090		$	12,136,899		$	—
Liabilities(a)
Forward Foreign Currency Exchange Contracts	$	—		$	(4,565,578	)	$	—
Futures Contracts		(39,191	)		—			—
Interest Rate Swap Contracts		—			(10,830,171	)		—
Credit Default Swap Contracts		—			(1,089,842	)		—
Cross Currency Swap Contracts		—			(2,499,881	)		—
Total	$	(39,191	)	$	(18,985,472	)	$	—
U.S. MORTGAGES
Investment Type	Level 1			Level 2			Level 3
Assets
Fixed Income
Mortgage-Backed Obligations	$	—		$	337,321,249		$	—
Asset-Backed Securities		—			22,433,183			6,000,000
U.S. Treasury Obligations		964,893			—			—
Investment Company		62,724,920			—			—
Total	$	63,689,813		$	359,754,432		$	6,000,000
Liabilities
Fixed Income
Mortgage-Backed Obligations — Forward Sales Contracts	$	—		$	(8,442,500	)	$	—

154

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3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

U.S. MORTGAGES (continued)
Derivative Type	Level 1			Level 2		Level 3
Assets(a)
Credit Default Swap Contracts	$	—		$	221,863	$	—
Liabilities(a)
Futures Contracts	$	(23,644	)	$	—	$	—

The following is a reconciliation of Level 3 investments for the period ended September 30, 2016:

	Asset-Backed
Beginning Balance as of April 1, 2016	$	—
Realized gain (loss)		—
Net change in unrealized gain (loss) relating to instruments still held at reporting date		—
Purchases		6,000,000
Sales		—
Amortization		—
Transfers into Level 3		—
Transfers out of Level 3		—
Ending Balance as of September 30, 2016	$	6,000,000

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

(b) Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of net asset value. Security valuations are based on the principle exchange or system on which they are traded, which may differ from country of domicile noted in table. The Funds utilize fair value model prices provided by an independent fair value service for international equities, resulting in a Level 2 classification.

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

155

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

4. INVESTMENTS IN DERIVATIVES

The following tables set forth, by certain risk types, the gross value of derivative contracts as of September 30, 2016. These instruments were used as part of the Funds’ investment strategies and to obtain and/or manage exposure related to the risks below. The values in the tables below exclude the effects of cash collateral received or posted pursuant to these derivative contracts, and therefore are not representative of the Funds’ net exposure.

Dynamic Emerging Markets Debt
Risk	Statements of Assets and Liabilities	Assets		Statements of Assets and Liabilities	Liabilities
Interest rate	Receivable for unrealized gain on swap contracts; Variation margin on certain derivative contracts(a)	$	89,387	Payable for unrealized loss on swap contracts; Variation margin on certain derivative contracts(a)(b)	$	(98,730)
Credit	Receivable for unrealized gain on swap contracts		33,234	Payable for unrealized loss on swap contracts(b)		(63,743)
Currency	Receivable for unrealized gain on forward foreign currency exchange contracts		217,848	Payable for unrealized loss on forward foreign currency exchange contracts		(275,397)
Total		$	340,469		$	(437,870)
Emerging Markets Debt
Risk	Statements of Assets and Liabilities	Assets		Statements of Assets and Liabilities	Liabilities
Interest rate	Receivable for unrealized gain on swap contracts; Unrealized gain on futures variation margin	$	2,111,344	Payable for unrealized loss on swap contracts; Unrealized loss on futures variation margin(b)	$	(4,677,289)
Credit	Receivable for unrealized gain on swap contracts		849,483	Payable for unrealized loss on swap contracts(b)		(2,858,633)
Currency	Receivable for unrealized gain on forward foreign currency exchange contracts		5,467,460	Payable for unrealized loss on forward foreign currency exchange contracts		(4,466,026)
Total		$	8,428,287		$	(12,001,948)
High Yield
Risk	Statements of Assets and Liabilities	Assets		Statements of Assets and Liabilities	Liabilities
Interest rate	Variation margin on certain derivative contracts(a)	$	278,939	Variation margin on certain derivative contracts(a)	$	(952,944)
Currency	Receivable for unrealized gain on forward foreign currency exchange contracts		—	Payable for unrealized loss on forward foreign currency exchange contracts		(56,761)
Total		$	278,939		$	(1,009,705)

156

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4. INVESTMENTS IN DERIVATIVES (continued)

High Yield Floating Rate Fund
Risk	Statements of Assets and Liabilities	Assets		Statements of Assets and Liabilities	Liabilities
Interest rate	Receivable for unrealized gain on swap contracts(a)	$	—	Payable for unrealized loss on swap contracts(a)	$	(162,463)	(a)
Currency	—		—	Payable for unrealized loss on forward foreign currency exchange contracts		(77,853)
Equity	Receivable for unrealized gain on swap contracts		60,289	Payable for unrealized loss on swap contracts		—
Total		$	60,289		$	(240,316)
Investment Grade Credit
Risk	Statements of Assets and Liabilities	Assets		Statements of Assets and Liabilities	Liabilities
Interest rate	Variation margin on certain derivative contracts(a)	$	63,904	Variation margin on certain derivative contracts(a)	$	(209,366)
Credit	Receivable for unrealized gain on swap contracts		125,408	Payable for unrealized loss on swap contracts		—
Currency	Receivable for unrealized gain on forward foreign currency exchange contracts		3,712	Payable for unrealized loss on forward foreign currency exchange contracts		—
Total		$	193,024		$	(209,366)
Local Emerging Markets Debt
Risk	Statements of Assets and Liabilities	Assets		Statements of Assets and Liabilities	Liabilities
Interest rate	Receivable for unrealized gain on swap contracts; Variation margin on certain derivative contracts; non-deliverable bond forward contracts(a)	$	8,835,887	Payable for unrealized loss on swap contracts; Variation margin on certain derivative contracts(a)(b)	$	(10,869,362)
Credit	—		—	Payable for unrealized loss on swap contracts(b)		(1,089,842)
Currency	Receivable for unrealized gain on forward foreign currency exchange contracts		3,499,102	Payable for unrealized loss on swap contracts; Payable for unrealized loss on forward foreign currency exchange contracts(b)		(7,065,459)
Total		$	12,334,989			$(19,024,663)

157

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

4. INVESTMENTS IN DERIVATIVES (continued)

U.S. Mortgages
Risk	Statements of Assets and Liabilities	Assets		Statements of Assets and Liabilities	Liabilities
Interest rate	—	$	—	Variation margin on certain derivative contracts(a)	$	(23,644)
Credit	Receivable for unrealized gain on swap contracts		221,863	Payable for unrealized loss on swap contracts		—
Total		$	221,863		$	(23,644)

(a) Includes unrealized gain (loss) on futures contracts described in the Additional Investment Information sections of the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

(a) Aggregate of amounts include $112,822, $4,907,566 and $13,431,548 for the Dynamic Emerging Markets Debt, Emerging Markets Debt, and Local Emerging Markets Debt Funds, respectively, which represent the payments to be made pursuant to bilateral agreements should counterparties exercise their “right to terminate” provisions based on, among others, the Funds’ performance, their failure to pay on their obligations or failure to pledge collateral. Such amounts do not include incremental charges directly associated with the close-out of the agreements. They also do not reflect the fair value of any assets pledged as collateral which, through the daily margining process, substantially offsets the aforementioned amounts and for which the Funds are entitled to a full return.

The following tables set forth, by certain risk types, the Funds’ gains (losses) related to these derivatives and their indicative volumes for the six months ended September 30, 2016. These gains (losses) should be considered in the context that these derivative contracts may have been executed to create investment opportunities and/or economically hedge certain investments, and accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statements of Operations:

Dynamic Emerging Markets Debt
Risk	Statements of Operations	Net Realized Gain (Loss)			Net Change in Unrealized Gain (Loss)			Average Number of Contracts(a)
Interest rate	Net realized gain (loss) from futures, swap contracts, and non-deliverable bond forward contracts/Net change in unrealized gain (loss) on futures, swap contracts and nondeliverable bond forwards	$	(74,783	)	$	(18,321	)		70
Credit	Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts		(17,647	)		(36,655	)		71
Currency	Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts		(162,946	)		(199,640	)		277
Total		$	(255,376	)	$	(254,616	)		418

158

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

4. INVESTMENTS IN DERIVATIVES (continued)

Emerging Markets Debt
Risk	Statements of Operations	Net Realized Gain (Loss)			Net Change in Unrealized Gain (Loss)			Average Number of Contracts(a)
Interest rate	Net realized gain (loss) from futures contracts and swap contracts/Net change in unrealized gain (loss) on futures contracts and swap contracts	$	2,505,953		$	(1,453,744	)		1,772
Credit	Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts		(241,988	)		(2,235,672	)		77
Currency	Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts		(4,411,947	)		1,491,445			238
Total			$(2,147,982)		$	(2,197,971	)		2,087
High Yield
Risk	Statements of Operations	Net Realized Gain (Loss)			Net Change in Unrealized Gain (Loss)			Average Number of Contracts(a)
Interest rate	Net realized gain (loss) from futures contracts and swap contracts/Net change in unrealized gain (loss) on futures contracts and swap contracts	$	(602,091	)	$	285,788			2,486
Credit	Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts		(556,239	)		(443,501	)		1
Currency	Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts		(545,751	)		701,331			4
Equity	Net realized gain (loss) from futures contracts and swap contracts/Net change in unrealized gain (loss) on futures contracts and swap contracts		(431,187	)		—			83
Total		$	(2,135,268	)	$	543,618			2,574
High Yield Floating Rate
Risk	Statements of Operations	Net Realized Gain (Loss)			Net Change in Unrealized Gain (Loss)			Average Number of Contracts(a)
Interest rate	Net realized gain (loss) from swap contracts /Net change in unrealized gain (loss) on swap contracts	$	(1,165,700	)	$	554,180			2
Credit	Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts		24,647			—			1
Currency	Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts		(443,959	)		410,931			2
Equity	Net realized gain (loss) from swap contracts /Net change in unrealized gain (loss) on swap contracts		126,456			60,289			1
Total		$	(1,458,556	)	$	1,025,400			6

159

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

4. INVESTMENTS IN DERIVATIVES (continued)

Investment Grade Credit
Risk	Statements of Operations	Net Realized Gain (Loss)			Net Change in Unrealized Gain (Loss)			Average Number of Contracts(a)
Interest rate	Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts	$	(119,562	)	$	(148,983	)		580
Credit	Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts		(56,084	)		111,328			29
Currency	Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts	$	16,086		$	3,712			1
Total		$	(159,560	)	$	(33,943	)		610
Local Emerging Markets Debt
Risk	Statements of Operations	Net Realized Gain (Loss)			Net Change in Unrealized Gain (Loss)			Average Number of Contracts(a)
Interest rate	Net realized gain (loss) from futures contracts and swap contracts/Net change in unrealized gain (loss) on futures contracts and swap contracts	$	1,082,355		$	(1,362,735	)		529
Credit	Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts		(495,055	)		(820,442	)		55
Currency	Net realized gain (loss) from swap contracts and forward foreign currency exchange contracts/Net change in unrealized gain (loss) on swap contracts and forward foreign currency exchange contracts		(1,062,606	)	$	(4,725,962	)		296
Total		$	(475,306	)	$	(6,909,139	)		880
U.S. Mortgages
Risk	Statements of Operations	Net Realized Gain (Loss)			Net Change in Unrealized Gain (Loss)			Average Number of Contracts(a)
Interest rate	Net realized gain (loss) from investments, futures contracts, swap contracts and written options/Net change in unrealized gain (loss) on futures contracts and swap contracts	$	92,916		$	(51,869	)		189
Credit	Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts		26,385			168,840			4
Total		$	119,301		$	116,971			193

(a) Average number of contracts is based on the average of month end balances for the six months ended September 30, 2016.

160

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

4. INVESTMENTS IN DERIVATIVES (continued)

In order to better define its contractual rights and to secure rights that will help a Fund mitigate its counterparty risk, a Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivatives counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs OTC derivatives (including forward foreign currency exchange contracts, and certain options and swaps), and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.

Collateral and margin requirements differ between exchange traded derivatives and OTC derivatives. Margin requirements are established by the broker or clearing house for exchange-traded and centrally cleared derivatives (financial futures contracts, options and centrally cleared swaps) pursuant to governing agreements for those instrument types. Brokers can ask for margin in excess of the minimum in certain circumstances. Collateral terms are contract-specific for OTC derivatives. For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by a Fund and the counterparty. Additionally, a Fund may be required to post initial margin to the counterparty, the terms of which would be outlined in the confirmation of the OTC transaction.

For financial reporting purposes, cash collateral that has been pledged to cover obligations of a Fund and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as receivables/payables for collateral on certain derivative contracts. Non-cash collateral pledged by a Fund, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold before a transfer is required to be made. To the extent amounts due to a Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. A Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that the Investment Adviser believes to be of good standing and by monitoring the financial stability of those counterparties.

Additionally, the netting of assets and liabilities and the offsetting of collateral pledged or received are based on contractual netting/set-off provisions in the ISDA Master Agreement or similar agreements. However, in the event of a default or insolvency of a counterparty, a court could determine that such rights are not enforceable due to the restrictions or prohibitions against the right of setoff that may be imposed in accordance with a particular jurisdiction’s bankruptcy or insolvency laws.

161

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

4. INVESTMENTS IN DERIVATIVES (continued)

The following tables set forth the Funds’ net exposure for derivative instruments that are subject to enforceable master netting arrangements or similar agreements as of September 30, 2016:

Dynamic Emerging Markets Debt Fund
	Derivative Assets(1)						Derivative Liabilities(1)									Net Derivative Asset (Liabilities)			Collateral (Received) Pledged(1)		Net Amount(2)
Counterparty	Swaps		Forward Currency Contracts		Total		Swaps			Forward Currency Contracts			Total
Bank of America Securities LLC	$	7,148	$	2,080	$	9,228	$	(4,803	)	$	(8,128	)	$	(12,931	)	$	(3,703	)	$	—	$	(3,703	)
Barclays Bank PLC		16,327		—		16,327		(4,129	)		—			(4,129	)		12,198			—		12,198
BNP Paribas SA		—		10,596		10,596		—			(33,685	)		(33,685	)		(23,089	)		—		(23,089	)
Citibank NA		8,762		43,946		52,708		(54,600	)		(31,485	)		(86,085	)		(33,377	)		—		(33,377	)
Credit Suisse International (London)		1,251		16,378		17,629		(4,794	)		(5,231	)		(10,025	)		7,604			—		7,604
Deutsche Bank AG		47,263		—		47,263		(31,810	)		—			(31,810	)		15,453			—		15,453
Deutsche Bank AG (London)		—		17,360		17,360		—			(9,102	)		(9,102	)		8,258			—		8,258
HSBC Bank PLC		—		3,863		3,863		—			(12,713	)		(12,713	)		(8,850	)		—		(8,850	)
JPMorgan Chase Bank (London)		—		3,378		3,378		—			(24,140	)		(24,140	)		(20,762	)		—		(20,762	)
JPMorgan Securities, Inc.		12,163		—		12,163		(11,769	)		—			(11,769	)		394			—		394
Morgan Stanley & Co.		—		41,987		41,987		—			(34,563	)		(34,563	)		7,424			—		7,424
Morgan Stanley & Co. International PLC		11,560		—		11,560		(917	)		—			(917	)		10,643			—		10,643
Royal Bank of Canada		—		1,687		1,687		—			—			—			1,687			—		1,687
Royal Bank of Scotland PLC		—		23,791		23,791		—			(66,524	)		(66,524	)		(42,733	)		—		(42,733	)
Standard Chartered Bank		—		9,975		9,975		—			(13,829	)		(13,829	)		(3,854	)		—		(3,854	)
State Street Bank (London)		—		120		120		—			(170	)		(170	)		(50	)		—		(50	)
UBS AG (London)		—		26,036		26,036		—			(34,788	)		(34,788	)		(8,752	)		—		(8,752	)
Westpac Banking Corp.		—		16,651		16,651		—			(1,039	)		(1,039	)		15,612			—		15,612
Total	$	104,474	$	217,848	$	322,322	$	(112,822	)	$	(275,397	)	$	(388,219	)	$	(65,897	)	$	—	$	(65,897	)

(1) Gross amounts available for offset but not netted in the Statement of Assets and Liabilities.

(2) Net amount represents the net amount due (to) from counterparty in the event of a default based on the contractual set-off rights under the agreement. Net amount excludes any over-collateralized amounts.

162

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

4. INVESTMENTS IN DERIVATIVES (continued)

Emerging Markets Debt Fund
	Derivative Assets(1)						Derivative Liabilities(1)									Net Derivative Asset (Liabilities)			Collateral (Received) Pledged(1)			Net Amount(2)
Counterparty	Swaps		Forward Currency Contracts		Total		Swaps			Forward Currency Contracts			Total
Bank of America Securities LLC	$	100,962	$	54,577	$	155,539	$	(458,385	)	$	(207,256	)	$	(665,641	)	$	(510,102	)	$	180,000		$	(330,102	)
Barclays Bank PLC		237,863		272,571		510,434		(168,239	)		(335,770	)		(504,009	)		6,425			—			6,425
BNP Paribas SA		—		410,615		410,615		—			(574,482	)		(574,482	)		(163,867	)		—			(163,867	)
Citibank NA		868,782		—		868,782		(2,178,130	)		—			(2,178,130	)		(1,309,348	)		1,309,348			—
Citibank NA (London)		—		1,473,112		1,473,112		—			(681,701	)		(681,701	)		791,411			—			791,411
Credit Suisse International (London)		—		296,475		296,475		—			(45,152	)		(45,152	)		251,323			—			251,323
Deutsche Bank AG		815,569		—		815,569		(426,040	)		—			(426,040	)		389,529			(389,529	)		—
Deutsche Bank AG (London)		—		316,557		316,557		—			(237,412	)		(237,412	)		79,145			—			79,145
HSBC Bank PLC		—		92,790		92,790		—			(277,193	)		(277,193	)		(184,403	)		—			(184,403	)
JPMorgan Chase Bank (London)		—		831,659		831,659		—			(399,456	)		(399,456	)		432,203			—			432,203
JPMorgan Securities, Inc.		273,833		—		273,833		(1,377,882	)		—			(1,377,882	)		(1,104,049	)		880,000			(224,049	)
Morgan Stanley & Co. International PLC		230,264		1,010,225		1,240,489		(178,115	)		(244,376	)		(422,491	)		817,998			—			817,998
Royal Bank of Canada		—		50,283		50,283		—			—			—			50,283			—			50,283
Royal Bank of Scotland PLC		—		150,365		150,365		—			(1,034,833	)		(1,034,833	)		(884,468	)		—			(884,468	)
Standard Chartered Bank		—		108,688		108,688		—			(2,522	)		(2,522	)		106,166			—			106,166
State Street Bank and Trust (London)		—		2,816		2,816		—			(3,968	)		(3,968	)		(1,152	)		—			(1,152	)
UBS AG (London)		—		153,225		153,225		(120,775	)		(369,297	)		(490,072	)		(336,847	)		—			(336,847	)
Westpac Banking Corp.		—		243,502		243,502		—			(52,608	)		(52,608	)		190,894			—			190,894
Total	$	2,527,273	$	5,467,460	$	7,994,733	$	(4,907,566	)	$	(4,466,026	)	$	(9,373,592	)	$	(1,378,859	)	$	1,979,819		$	600,960

(1) Gross amounts available for offset but not netted in the Statement of Assets and Liabilities.

(2) Net amount represents the net amount due (to) from counterparty in the event of a default based on the contractual set-off rights under the agreement. Net amount excludes any over-collateralized amounts.

163

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

4. INVESTMENTS IN DERIVATIVES (continued)

Local Emerging Markets Debt Fund
	Derivative Assets(1)							Derivative Liabilities(1)									Net Derivative Asset (Liabilities)			Collateral (Received) Pledged(1)			Net Amount(2)
Counterparty	Swaps		Forward Currency Contracts			Total		Swaps			Forward Currency Contracts			Total
Bank of America Securities LLC	$	163,129	$	41,249		$	204,378	$	(134,574	)	$	(189,040	)	$	(323,614	)	$	(119,236	)	$	—		$	(119,236	)
Barclays Bank PLC		688,276		352,666			1,040,942		(4,260,964	)		(243,594	)		(4,504,558	)		(3,463,616	)		3,420,199			(43,417	)
BNP Paribas SA		—		228,988			228,988		—			(1,636,017	)		(1,636,017	)		(1,407,029	)		—			(1,407,029	)
Citibank NA		3,392,944		—			3,392,944		(2,529,897	)		—			(2,529,897	)		863,047			(530,000	)		333,047
Citibank NA (London)		—		23,811			23,811		—			(226,124	)		(226,124	)		(202,313	)		—			(202,313	)
Credit Suisse International (London)		197,625		828,818			1,026,443		(710,090	)		(29,690	)		(739,780	)		286,663			—			286,663
Deutsche Bank AG		3,124,149		8,726	*		3,132,875		(3,323,143	)		—			(3,323,143	)		(190,268	)		190,268			—
Deutsche Bank AG (London)		—		318,608			318,608		—			(205,589	)		(205,589	)		113,019			—			113,019
HSBC Bank PLC		—		184,910			184,910		—			(250,755	)		(250,755	)		(65,845	)		—			(65,845	)
JPMorgan Chase Bank (London)		—		54,572			54,572		—			(318,441	)		(318,441	)		(263,869	)		—			(263,869	)
JPMorgan Securities, Inc.		168,923		—			168,923		(734,872	)		—			(734,872	)		(565,949	)		320,000			(245,949	)
Morgan Stanley & Co. International PLC		713,833		925,315			1,639,148		(1,713,591	)		(466,145	)		(2,179,736	)		(540,588	)		540,588			—
Royal Bank of Canada		—		30,314			30,314		—			—			—			30,314			—			30,314
Royal Bank of Scotland PLC		—		103,819			103,819		—			(464,753	)		(464,753	)		(360,934	)		—			(360,934	)
Standard Chartered Bank		—		91,678			91,678		—			(66,518	)		(66,518	)		25,160			—			25,160
State Street Bank (London)		—		1,964			1,964		—			(2,764	)		(2,764	)		(800	)		—			(800	)
UBS AG (London)		—		312,390			312,390		(24,417	)		(444,667	)		(469,084	)		(156,694	)		—			(156,694	)
Westpac Banking Corp.		—		—			—		—			(21,481	)		(21,481	)		(21,481	)		—			(21,481	)
Total	$	8,448,879	$	3,507,828		$	11,956,707	$	(13,431,548	)	$	(4,565,578	)	$	(17,997,126	)	$	(6,040,419	)	$	3,941,055		$	(2,099,364	)

* Includes Non-Deliverable Bond Forward Contracts assets of $8,726 and liabilities of $0.

(1) Gross amounts available for offset but not netted in the Statement of Assets and Liabilities.

(2) Net amount represents the net amount due (to) from counterparty in the event of a default based on the contractual set-off rights under the agreement. Net amount excludes any over-collateralized amounts.

5. AGREEMENTS AND AFFILIATED TRANSACTIONS

A.  Management Agreement — Under the Agreement, GSAM manages the Funds, subject to the general supervision of the Trustees.

As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Funds’ business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of each Fund’s average daily net assets.

164

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

For the six months ended September 30, 2016, contractual and effective net management fees with GSAM were at the following rates:

	Contractual Management Rate																		Effective Net Management Rate^
Fund	First $1 billion			Next $1 billion			Next $3 billion			Next $3 billion			Over $8 billion			Effective Rate
Dynamic Emerging Markets Debt		0.90	%		0.90	%		0.81	%		0.77	%		0.75	%		0.90	%		0.80	%#
Emerging Markets Debt		0.80			0.80			0.72			0.68			0.67			0.80			0.80
High Yield		0.70			0.70			0.63			0.60			0.59			0.67			0.67
High Yield Floating Rate		0.60			0.54			0.51			0.50			0.49			0.55			0.54	#
Investment Grade Credit		0.40			0.36			0.34			0.33			0.32			0.40			0.34	#
Local Emerging Markets Debt		0.90			0.90			0.81			0.77			0.75			0.90			0.80	#
U.S. Mortgages		0.40			0.36			0.34			0.33			0.32			0.40			0.32	#

^ Effective Net Management Rate includes the impact of management fee waivers of affiliated underlying funds, if any.

# GSAM has agreed to waive a portion of its management fee in order to achieve the effective net management fee rates shown above through at least July 29, 2017 for the Dynamic Emerging Markets Debt, High Yield Floating Rate, Investment Grade Credit, Local Emerging Markets Debt and U.S. Mortgages Funds. Prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. Where the application of the above contractual management fee breakpoint schedule of a Fund would result in a lower management fee rate, the breakpoint schedule will be applied to the Fund’s assets.

The Funds invest in the Institutional Shares of the Goldman Sachs Financial Square Government Fund, which is an affiliated Underlying Fund. GSAM has agreed to waive a portion of its management fee payable by the Funds in an amount equal to the management fee it earns as an investment adviser to any of the affiliated Underlying Funds in which the Funds invest. For the six months ended September 30, 2016, GSAM waived $84, $839, $92,795, $171,063, $2,620, $9,484 and $32,069, of the Fund’s management fees for the Dynamic Emerging Markets Debt, Emerging Markets Debt, High Yield, High Yield Floating Rate, Investment Grade Credit, Local Emerging Markets Debt and U.S. Mortgages Funds, respectively.

B.  Distribution and Service Plans — The Trust, on behalf of each Fund, has adopted Distribution and Service Plans (the “Plans”). Under the 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, at the following annual rates calculated on a Fund’s average daily net assets of each respective share class:

	Distribution and Service Plan Rates
	Class A*			Class C			Class R*
Distribution Plan		0.25	%		0.75	%		0.50	%
Service Plan		—			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.

165

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

C.  Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Funds pursuant to a Distribution Agreement, may retain a portion of the Class A Shares’ front end sales charge and Class C Shares’ CDSC. During the six months ended September 30, 2016, Goldman Sachs advised that it retained the following amounts:

	Front End Sales Charge		Contingent Deferred Sales Charge
Fund	Class A		Class C
Dynamic Emerging Markets Debt	$	70	$	—
Emerging Markets Debt		6,422		—
High Yield		7,199		—
High Yield Floating Rate		1,291		—
Investment Grade Credit		3,179		N/A
Local Emerging Markets Debt		452		—
U.S. Mortgages		723		N/A

D.  Service Plan and Shareholder Administration Plan — The Trust, on behalf of each Fund that offers Service Shares, has adopted a Service Plan and a Shareholder Administration Plan. These plans allow for service organizations to provide varying levels of personal and account maintenance and shareholder administration services to their customers who are beneficial owners of such shares. The Service Plan and Shareholder Administration Plan each provide for compensation to the service organizations which is accrued daily and paid monthly at an annual rate of 0.25% (0.50% in aggregate) of the average daily net assets of the Service Shares.

E.  Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Funds for a fee pursuant to the Transfer Agency Agreement. The fees charged for such transfer agency services are accrued daily and paid monthly at annual rates as follows: 0.13% of the average daily net assets of Class A, Class C, Class IR and Class R Shares; 0.02% of the average daily net assets of Class R6 Shares; and 0.04% of the average daily net assets of Institutional, Separate Account Institutional and Service Shares.

Effective as of July 29, 2016, Goldman Sachs waived a portion of the transfer agency fees to 0.04% of Class A, Class C and Class IR Shares of the Local Emerging Markets Debt Fund.

F.  Other Expense Agreements and Affiliated Transactions — GSAM has agreed to limit certain “Other Expenses” of the Funds (excluding acquired fund fees and expenses, transfer agency fees and expenses, service fees and shareholder administration fees (as applicable), taxes, interest, brokerage fees, shareholder meeting, litigation, indemnification, and extraordinary expenses) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of each Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Funds are not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. The Other Expense limitations as an annual percentage rate of average daily net assets for the Dynamic Emerging Markets Debt, Emerging Markets Debt, High Yield, High Yield Floating Rate, Investment Grade Credit, Local Emerging Markets Debt and U.S. Mortgages Funds, are 0.054%, 0.054%, 0.024%, 0.104%, 0.004%, 0.074% and 0.074%, respectively. These Other Expense limitations will remain in place through at least July 29, 2017, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. In addition, the Funds have entered into certain offset arrangements with the custodian and the transfer agent, which may result in a reduction of the Funds’ expenses and are received irrespective of the application of the “Other Expense” limitations described above.

166

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

For the six months ended September 30, 2016, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:

Fund	Management Fee Waiver		Transfer Agency Fee Waiver		Other Expense Reimbursements		Total Expense Reductions
Dynamic Emerging Markets Debt	$	20,402	$	—	$	185,549	$	205,951
Emerging Markets Debt		839		—		76,442		77,281
High Yield		92,796		—		39,323		132,119
High Yield Floating Rate		171,063		—		—		171,063
Investment Grade Credit		127,837		—		179,258		307,095
Local Emerging Markets Debt		276,167		9,698		339,367		625,232
U.S. Mortgages		129,537		—		149,137		278,674

G.  Line of Credit Facility — As of September 30, 2016, the Funds 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 (“Other Borrowers”). This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. For the six months ended September 30, 2016, the Funds did not have any borrowings under the facility.

H.  Other Transactions with Affiliates — For the six months ended September 30, 2016, Goldman Sachs earned $653, $33,676, $8,447, $8,764, and $6,050 in brokerage commissions from portfolio transactions, including futures transactions executed with Goldman Sachs as the Futures Commission Merchant on behalf of the Dynamic Emerging Markets Debt, Emerging Markets Debt, Investment Grade Credit, Local Emerging Markets Debt and U.S. Mortgages Funds, respectively.

As of September 30, 2016, the following Fund of Funds Portfolios were the beneficial owners of 5% or more of total outstanding shares of the following Funds:

Fund	Goldman Sachs Growth and Income Strategy Portfolio			Goldman Sachs Satellite Strategies Portfolio
Emerging Markets Debt		—	%		6	%
Local Emerging Markets Debt		7			8

167

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

As of September 30, 2016, The Goldman Sachs Group, Inc. was the beneficial owner of 5% or more of outstanding Class A, Class C, Institutional, Class IR, Class R and Class R6 Shares of the following Funds:

Fund	Class A			Class C			Institutional			Class IR			Class R			Class R6
Dynamic Emerging Markets Debt		5	%		23	%		7	%		24	%		100	%		—	%
High Yield Floating Rate		—			—			—			—			100			N/A
Investment Grade Credit		—			—			—			—			—			95
U.S. Mortgages		—			—			—			—			—			100

The table below shows the transactions in and earnings from investments by the Funds in the Underlying Fund for the six months ended September 30, 2016:

Fund	Underlying Fund	Market Value 3/31/16		Purchases at Cost		Proceeds from Sales			Market Value 09/30/2016		Dividend Income
Dynamic Emerging Markets Debt	Goldman Sachs Financial Square Government Fund	$	—	$	2,101,378	$	(1,308,177	)	$	793,201	$	174
Emerging Markets Debt	Goldman Sachs Financial Square Government Fund		—		44,889,360		(41,220,180	)		3,669,180		1,564
High Yield	Goldman Sachs Financial Square Government Fund		135,148,758		859,467,319		(865,353,307	)		129,262,770		167,160
High Yield Floating Rate	Goldman Sachs Financial Square Government Fund		280,623,494		815,559,770		(752,343,632	)		343,839,632		306,251
Investment Grade Credit	Goldman Sachs Financial Square Government Fund		75		72,919,497		(72,918,319	)		1,253		4,685
Local Emerging Markets Debt	Goldman Sachs Financial Square Government Fund		2,148,011		190,795,493		(186,620,386	)		6,323,118		17,679
U.S Mortgages	Goldman Sachs Financial Square Government Fund		48,424,630		139,051,586		(124,751,296	)		62,724,920		57,485

168

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

The following table provides information about the investments in the shares of issuers deemed to be affiliates of the High Yield and High Yield Floating Rate Funds for the six months ended September 30, 2016:

Fund	Name of Affiliated Issuer	Market Value 3/31/2016		Purchases at Cost		Net Change in Unrealized Gain (loss)			Market Value 9/30/2016
High Yield	Magnum Hunter Resources, Inc. — Bank Loan	$	—	$	985,305	$	(29,559	)	$	955,746
	Magnum Hunter Resources Corp. PI — Common Stock		—		6,670,580		1,545,445			8,216,025
High Yield Floating Rate	American Apparel Private Equity — Common Stock		5,710,009		—		(5,710,009	)		—
	American Apparel (USA) LLC (NR/NR) — Bank Loan		—		4,671,455		22,095			4,693,550
	American Apparel (USA) LLC (NR/WR) — Bank Loan		5,547,428		321,093		(586,852	)		5,281,669
	Magnum Hunter Resources, Inc. — Bank Loan		—		1,889,888		(56,697	)		1,833,191
	Magnum Hunter Resources Corp. PI — Common Stock		—		12,794,670		2,964,269			15,758,939

6. PORTFOLIO SECURITIES TRANSACTIONS

The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended September 30, 2016, were as follows:

Fund	Purchases of U.S. Government and Agency Obligations		Purchases (Excluding U.S. Government and Agency Obligations)		Sales and Maturities of U.S. Government and Agency Obligations		Sales and Maturities (Excluding U.S. Government and Agency Obligations)
Dynamic Emerging Markets Debt	$	6,600,744	$	23,953,424	$	8,012,401	$	25,039,922
Emerging Markets Debt		223,330,491		973,879,296		178,566,926		368,705,651
High Yield		—		1,487,661,602		—		1,679,057,175
High Yield Floating Rate		—		806,303,254		—		810,747,754
Investment Grade Credit		95,425,860		32,904,074		92,569,973		58,417,359
Local Emerging Markets Debt		79,712,782		190,868,984		62,579,230		260,980,717
U.S. Mortgages		1,872,397,604		10,258,500		1,852,657,595		7,063,059

The table below summarizes the reverse repurchase agreement activity for the six months ended September 30, 2016:

Fund	Average amount of borrowings		Weighted average interest rate (Paid) Received			Number of days outstanding during the period
Emerging Markets Debt	$	9,891,683		(0.453	)%		183
High Yield		10,738,343		(0.799	)		183

169

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

6. PORTFOLIO SECURITIES TRANSACTIONS (continued)

The following tables set forth the Funds’ different types of investments pledged as collateral and the remaining contractual maturities of the reverse repurchase agreements as of September 30, 2016:

Emerging Markets Debt
	Remaining Contractual Maturity of the Agreements As of September 30, 2016
	Overnight and Continuous		<30 days		Between 30 & 90 days		>90 days		Total
Reverse Repurchase Agreements
Sovereign Debt Obligations	$	—	$	4,676,400	$	—	$	7,902,375	$	12,578,775
Gross amount of recognized liabilities for reverse repurchase agreements									$	12,578,775
High Yield
	Remaining Contractual Maturity of the Agreements As of September 30, 2016
	Overnight and Continuous		<30 days		Between 30 & 90 days		>90 days		Total
Reverse Repurchase Agreements
Corporate Obligations	$	—	$	—	$	—	$	10,031,188	$	10,031,188
Gross amount of recognized liabilities for reverse repurchase agreements									$	10,031,188

7. TAX INFORMATION

As of the Funds’ most recent fiscal year end, March 31, 2016, the Funds’ capital loss carryfowards and certain timing differences, on a tax basis were as follows:

	Dynamic Emerging Markets Debt			Emerging Markets Debt			High Yield			High Yield Floating Rate			Investment Grade Credit			Local Emerging Markets Debt			U.S. Mortgages
Capital loss carryforwards:
Perpetual Short-term		(149,416	)		(18,203,616	)		(43,577,136	)		(25,790,798	)		(854,320	)		(85,840,344	)		(911,572	)
Perpetual Long-term		(202,764	)		(10,692,559	)		(57,606,642	)		(18,096,396	)		—			(23,730,467	)
Total capital loss carryforwards	$	(352,180	)	$	(28,896,175	)	$	(101,183,778	)		(43,887,194	)	$	(854,320	)	$	(109,570,811	)	$	(911,572	)
Timing differences (Straddle Loss Deferral, Post-October Loss Deferral, Defaulted Bonds, Distribution Payable, Post-October Specified Loss Deferral)	$	(842,161	)	$	(25,312,178	)	$	(246,293,157	)	$	(31,680,755	)	$	(6,548,296	)	$	(166,829,398	)	$	(220,292	)

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GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

7. TAX INFORMATION (continued)

As of September 30, 2016, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:

	Dynamic Emerging Markets Debt			Emerging Markets Debt			High Yield			High Yield Floating Rate			Investment Grade Credit			Local Emerging Markets Debt			U.S. Mortgages
Tax Cost	$	35,502,388		$	1,617,322,711		$	3,796,769,125		$	3,502,611,113		$	391,115,157		$	552,773,947		$	425,923,591
Gross unrealized gain		1,796,633			72,362,051			146,536,332			30,351,390			21,826,384			9,359,584			5,219,166
Gross unrealized loss		(923,016	)		(29,640,491	)		(152,327,373	)		(108,121,826	)		(1,824,777	)		(75,367,639	)		(1,698,512	)
Net unrealized security gain/(loss)	$	873,617		$	42,721,560		$	(5,791,041	)	$	(77,770,436	)	$	20,001,607		$	(66,008,055	)	$	3,520,654

The difference between GAAP-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales, net mark-to-market gains (losses) on regulated futures contracts and foreign currency contracts, differences related to the tax treatment of inflation protected securities, underlying fund investments, the recognition of income and gains/losses of certain bonds, bank loans, certain debt securities, swap transactions, and material modification of debt securities.

GSAM has reviewed the Funds’ tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Funds’ financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.

8. OTHER RISKS

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

Derivatives Risk — Loss may result from the Funds’ investments in derivative 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 Funds. Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. Losses from investments in derivatives can also result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.

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

Foreign Custody Risk — A Fund that invests in foreign securities may hold such securities and cash with foreign banks, agents, and securities depositories appointed by the Fund’s custodian (each a “Foreign Custodian”). Some foreign custodians may be recently organized or new to the foreign custody business. In some countries, Foreign Custodians may be subject to little or no regulatory oversight over, or independent evaluation of, their operations. Further, the laws of certain countries may place

171

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

8. OTHER RISKS (continued)

limitations on a Fund’s ability to recover its assets if a Foreign Custodian enters bankruptcy. Investments in emerging markets may be subject to even greater custody risks than investments in more developed markets. Custody services in emerging market countries are very often undeveloped and may be considerably less well regulated than in more developed countries, and thus may not afford the same level of investor protection as would apply in developed countries.

Interest Rate Risk — When interest rates increase, fixed income securities or instruments held by a Fund will generally decline in value. Long-term fixed income securities or instruments will normally have more price volatility because of this risk than short-term fixed income securities or instruments. The risks associated with increasing rates are heightened given that interest rates are near historic lows, but may be expected to increase in the future with unpredictable effects on the markets and the Funds’ investments.

Investments in Other Investment Companies — As a shareholder of another investment company, including an exchange-traded fund (“ETF”), a Fund will indirectly bear its proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Fund. ETFs are subject to risks that do not apply to conventional mutual funds, including but not limited to the following: (i) the market price of the ETF’s shares may trade at a premium or a discount to their NAV; and (ii) an active trading market for an ETF’s shares may not develop or be maintained.

Large Shareholder Transactions Risk — A Fund may experience adverse effects when certain large shareholders, such as other funds, institutional investors (including those trading by use of non-discretionary mathematical formulas), financial intermediaries (who may make investment decisions on behalf of underlying clients and/or include a Fund in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of a Fund. Such large shareholder redemptions may cause a Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact the Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in a Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio. Similarly, large Fund share purchases may adversely affect a Fund’s performance to the extent that the Fund is delayed in investing new cash and is required to maintain a larger cash position than it ordinarily would.

Leverage Risk — Leverage creates exposure to potential gains and losses in excess of the initial amount invested. Borrowing and the use of derivatives may result in leverage and may make the Funds more volatile. When the Funds use leverage, the sum of each Fund’s investment exposure may significantly exceed the amount of assets invested in each Fund, although these exposures may vary over time. Relatively small market movements may result in large changes in the value of a leveraged investment. Each Fund will identify liquid assets on its books or otherwise cover transactions that may give rise to such risk, to the extent required by applicable law. The use of leverage may cause the Funds to liquidate portfolio positions to satisfy their obligations or to meet segregation requirements when it may not be advantageous to do so. The use of leverage by each Fund can substantially increase the adverse impact to which each Fund’s investment portfolio may be subject.

Liquidity Risk — The Funds may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that a Fund will not be able to pay redemption proceeds within the allowable time period 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. Liquidity risk may be the result of, among other things, the reduced number and capacity of traditional market participants to make a market in fixed income securities or the lack of an active market. The potential for liquidity risk may be magnified by a rising interest rate environment or other circumstances where investor redemptions from fixed income mutual funds may be higher than normal, potentially causing increased supply in the market due to selling activity.

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GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

8. OTHER RISKS (continued)

Loan-Related Investments Risk — In addition to risks generally associated with debt investments, loan-related investments such as loan participations and assignments are subject to other risks. Although a loan obligation may be fully collateralized at the time of acquisition, the collateral may decline in value, be relatively illiquid, or lose all or substantially all of its value subsequent to investment. Many loan investments are subject to legal or contractual restrictions on resale and may be relatively illiquid and difficult to value. There is less readily available, reliable information about most loan investments than is the case for many other types of securities. Substantial increases in interest rates may cause an increase in loan obligation defaults. With respect to loan participations, a Fund may not always have direct recourse against a borrower if the borrower fails to pay scheduled principal and/or interest; may be subject to greater delays, expenses and risks than if the Fund had purchased a direct obligation of the borrower; and may be regarded as the creditor of the agent lender (rather than the borrower), subjecting the Fund to the creditworthiness of that lender as well. Investors in loans, such as the Funds, may not be entitled to rely on the anti-fraud protections of the federal securities laws, although they may be entitled to certain contractual remedies. The market for loan obligations may be subject to irregular trading activity, wide bid/ask spreads and extended trade settlement periods. Because transactions in many loans are subject to extended trade settlement periods, a Fund may not receive the proceeds from the sale of a loan for a period after the sale. As a result, sale proceeds related to the sale of loans may not be available to make additional investments or to meet the Fund’s redemption obligations for a period after the sale of the loans, and, as a result, the Fund may have to sell other investments or engage in borrowing transactions, such as borrowing from its credit facility, if necessary to raise cash to meet its obligations.

Senior Loans hold the most senior position in the capital structure of a business entity, and are typically secured with specific collateral, but are nevertheless usually rated below investment grade. Because Second Lien Loans are subordinated or unsecured and thus lower in priority of payment to Senior Loans, they are subject to the additional risk that the cash flow of the borrower and property securing the loan or debt, if any, may be insufficient to meet scheduled payments after giving effect to the senior secured obligations of the borrower. Second Lien Loans generally have greater price volatility than Senior Loans and may be less liquid.

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 or guarantor fails to perform or that an institution or entity with which the Funds have unsettled or open transactions defaults.

Non-Diversification Risk — Each of the Dynamic Emerging Markets Debt Fund, Emerging Markets Debt Fund and Local Emerging Markets Debt Fund are non-diversified, meaning that they are permitted to invest a larger percentage of their assets in fewer issuers than diversified mutual funds. Thus, a Fund may be more susceptible to adverse developments affecting any single issuer held in its portfolio, and may be more susceptible to greater losses because of these developments.

Geographic and Sector Risk — As a result of the Dynamic Emerging Markets Debt, Emerging Markets Debt, Local Emerging Markets Debt and U.S. Mortgages Funds’ ability to invest a large percentage of their assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business, political, environmental or other development may affect the value of the Funds’ investments more than if their investments were not so focused.

Redemption Proceeds Risk — The High Yield Floating Rate Fund may at times purchase securities with settlement periods that are longer than the time period required to pay redemption proceeds. In unusual circumstances, the High Yield Floating Rate Fund may pay redemption proceeds up to seven calendar days following receipt of a properly executed redemption request.

173

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

9. 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 Funds. Additionally, in the course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.

10. 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.

174

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

11. SUMMARY OF SHARE TRANSACTIONS

Share activity is as follows:

	Dynamic Emerging Markets Debt Fund
	For the Six Months Ended September 30, 2016 (Unaudited)						For the Fiscal Year Ended March 31, 2016
	Shares			Dollars			Shares			Dollars
Class A Shares
Shares sold		7,744		$	65,060			13,900		$	114,060
Reinvestment of distributions		828			6,927			3,161			25,717
Shares redeemed		(49,621	)		(411,459	)		(32,372	)		(253,968	)
		(41,049	)		(339,472	)		(15,311	)		(114,191	)
Class C Shares
Reinvestment of distributions		103			860			210			1,720
Shares redeemed		(37	)		(306	)		(2,571	)		(20,859	)
		66			554			(2,361	)		(19,139	)
Institutional Shares
Shares sold		783,721			6,638,792			3,390,796			27,623,840
Reinvestment of distributions		46,514			393,377			111,683			907,279
Shares redeemed		(1,055,909	)		(8,964,078	)		(592,259	)		(4,673,540	)
		(225,674	)		(1,931,909	)		2,910,220			23,857,579
Class IR Shares
Shares sold		9,371			79,023			863			7,000
Reinvestment of distributions		156			1,290			142			1,144
Shares redeemed		(955	)		(7,951	)		—			—
		8,572			72,362			1,005			8,144
Class R Shares
Reinvestment of distributions		70			564			108			880
		70			564			108			880
NET INCREASE (DECREASE)		(258,015	)	$	(2,197,901	)		2,893,661		$	23,733,273

175

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

11. SUMMARY OF SHARE TRANSACTIONS (continued)

Share activity is as follows:

	Emerging Markets Debt Fund
	For the Six Months Ended September 30, 2016 (Unaudited)						For the Fiscal Year Ended March 31, 2016
	Shares			Dollars			Shares			Dollars
Class A Shares
Shares sold		4,748,199		$	59,908,254			4,665,161		$	56,375,727
Reinvestment of distributions		259,887			3,304,570			404,652			4,880,615
Shares redeemed		(2,588,409	)		(32,862,381	)		(3,788,830	)		(45,371,323	)
		2,419,677			30,350,443			1,280,983			15,885,019
Class C Shares
Shares sold		412,587			5,302,361			423,422			5,111,604
Reinvestment of distributions		42,761			543,480			87,245			1,052,806
Shares redeemed		(278,723	)		(3,559,679	)		(761,168	)		(9,166,757	)
		176,625			2,286,162			(250,501	)		(3,002,347	)
Institutional Shares
Shares sold		51,347,592			659,646,009			41,503,508			501,021,562
Reinvestment of distributions		1,980,563			25,276,170			4,176,383			50,670,957
Shares redeemed		(12,284,758	)		(155,583,573	)		(99,497,646	)		(1,210,709,072	)
		41,043,397			529,338,606			(53,817,755	)		(659,016,553	)
Class IR Shares
Shares sold		1,307,988			16,633,015			571,647			6,869,523
Reinvestment of distributions		49,083			626,834			63,083			762,403
Shares redeemed		(308,388	)		(3,936,272	)		(422,066	)		(5,043,642	)
		1,048,683			13,323,577			212,664			2,588,284
Class R6 Shares(a)
Shares sold		106,255			1,318,210			37,482			431,031
Reinvestment of distributions		2,742			35,174			434			5,205
Shares redeemed		(7,853	)		(99,535	)		(571	)		(6,962	)
		101,144			1,253,849			37,345			429,274
NET INCREASE (DECREASE)		44,789,526		$	576,552,637			(52,537,264	)	$	(643,116,323	)

(a) Commenced operations on July 31, 2015.

176

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

11. SUMMARY OF SHARE TRANSACTIONS (continued)

Share activity is as follows:

	High Yield Fund
	For the Six Months Ended September 30, 2016 (Unaudited)						For the Fiscal Year Ended March 31, 2016
	Shares			Dollars			Shares			Dollars
Class A Shares
Shares sold		2,363,944		$	14,781,999			33,525,228		$	209,770,367
Reinvestment of distributions		1,404,736			8,840,427			3,239,087			20,610,259
Shares redeemed		(9,043,313	)		(56,529,345	)		(51,291,956	)		(322,285,814	)
		(5,274,633	)		(32,906,919	)		(14,527,641	)		(91,905,188	)
Class C Shares
Shares sold		319,581			1,998,855			608,378			3,828,902
Reinvestment of distributions		158,962			1,001,287			372,179			2,367,490
Shares redeemed		(1,006,871	)		(6,305,908	)		(2,872,428	)		(18,301,746	)
		(528,328	)		(3,305,766	)		(1,891,871	)		(12,105,354	)
Institutional Shares
Shares sold		57,194,235			358,534,950			205,189,144			1,303,287,827
Reinvestment of distributions		13,614,805			85,902,521			36,789,982			235,269,548
Shares redeemed		(97,778,465	)		(608,757,961	)		(437,980,962	)		(2,763,912,787	)
		(26,969,425	)		(164,320,490	)		(196,001,836	)		(1,225,355,412	)
Service Shares
Shares sold		141,516			886,850			441,299			2,833,687
Reinvestment of distributions		45,122			283,854			101,790			645,493
Shares redeemed		(425,823	)		(2,652,011	)		(674,406	)		(4,252,353	)
		(239,185	)		(1,481,307	)		(131,317	)		(773,173	)
Class IR Shares
Shares sold		305,723			1,912,201			275,748			1,761,052
Reinvestment of distributions		44,820			282,850			103,875			662,275
Shares redeemed		(316,059	)		(1,996,211	)		(888,279	)		(5,709,368	)
		34,484			198,840			(508,656	)		(3,286,041	)
Class R Shares
Shares sold		165,223			1,032,212			487,916			3,061,348
Reinvestment of distributions		61,126			384,413			136,322			863,648
Shares redeemed		(395,340	)		(2,463,879	)		(645,111	)		(4,076,039	)
		(168,991	)		(1,047,254	)		(20,873	)		(151,043	)
Class R6 Shares(a)
Shares sold		1,650,909			10,443,418			28,612,859			178,673,267
Reinvestment of distributions		759,568			4,800,791			578,904			3,472,089
Shares redeemed		(2,660,524	)		(16,694,302	)		(2,276,517	)		(13,627,036	)
		(250,047	)		(1,450,093	)		26,915,246			168,518,320
NET DECREASE		(33,396,125	)	$	(204,312,989	)		(186,166,948	)	$	(1,165,057,891	)

(a) Commenced operations on July 31, 2015.

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GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

11. SUMMARY OF SHARE TRANSACTIONS (continued)

Share activity is as follows:

	High Yield Floating Rate Fund
	For the Six Months Ended September 30, 2016 (Unaudited)						For the Fiscal Year Ended March 31, 2016
	Shares			Dollars			Shares			Dollars
Class A Shares
Shares sold		198,652		$	1,908,779			1,807,090		$	17,903,306
Reinvestment of distributions		14,685			141,852			40,879			397,875
Shares redeemed		(127,550	)		(1,236,590	)		(1,767,513	)		(17,298,273	)
		85,787			814,041			80,456			1,002,908
Class C Shares
Shares sold		40,869			395,956			27,814			268,289
Reinvestment of distributions		3,180			30,723			5,894			56,730
Shares redeemed		(9,506	)		(91,435	)		(42,839	)		(410,894	)
		34,543			335,244			(9,131	)		(85,875	)
Institutional Shares
Shares sold		44,610,574			430,896,202			150,739,619			1,459,525,317
Reinvestment of distributions		7,190,410			69,504,723			16,273,648			157,037,143
Shares redeemed		(50,469,080	)		(485,371,344	)		(238,798,504	)		(2,294,504,035	)
		1,331,904			15,029,581			(71,785,237	)		(677,941,575	)
Class IR Shares
Shares sold		32,319			314,030			57,233			565,011
Reinvestment of distributions		2,597			25,107			4,760			45,696
Shares redeemed		(39,455	)		(380,623	)		(13,001	)		(125,995	)
		(4,539	)		(41,486	)		48,992			484,712
Class R Shares
Reinvestment of distributions		24			229			40			390
		24			229			40			390
NET INCREASE (DECREASE)		1,447,719		$	16,137,609			(71,664,880	)	$	(676,539,440	)

178

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

11. SUMMARY OF SHARE TRANSACTIONS (continued)

Share activity is as follows:

	Investment Grade Credit Fund
	For the Six Months Ended September 30, 2016 (Unaudited)						For the Fiscal Year Ended March 31, 2016
	Shares			Dollars			Shares			Dollars
Class A Shares
Shares sold		491,218		$	4,559,253			944,601		$	8,538,173
Reinvestment of distributions		45,425			422,601			110,624			999,869
Shares redeemed		(415,998	)		(3,852,618	)		(1,083,853	)		(9,806,825	)
		120,645			1,129,236			(28,628	)		(268,783	)
Institutional Shares
Shares sold		2,162,945			20,063,729			4,952,815			44,182,193
Reinvestment of distributions		261,705			2,433,156			708,414			6,409,234
Shares redeemed		(4,473,625	)		(41,427,703	)		(7,172,863	)		(64,438,781	)
		(2,048,975	)		(18,930,818	)		(1,511,634	)		(13,847,354	)
Class IR Shares
Shares sold		59,729			554,041			49,416			446,525
Reinvestment of distributions		2,394			22,332			4,640			41,964
Shares redeemed		(9,951	)		(92,873	)		(48,635	)		(440,515	)
		52,172			483,500			5,421			47,974
Separate Account Institutional Shares
Shares sold		1,619,315			15,085,919			3,907,875			35,307,428
Reinvestment of distributions		368,757			3,431,904			947,806			8,573,650
Shares redeemed		(2,429,322	)		(22,639,734	)		(5,864,947	)		(53,052,359	)
		(441,250	)		(4,121,911	)		(1,009,266	)		(9,171,281	)
Class R6 Shares(a)
Shares sold		62			589			1,096			10,005
Reinvestment of distributions		19			173			31			274
Shares redeemed		—			—			(1	)		(5	)
		81			762			1,126			10,274
NET DECREASE		(2,317,327	)	$	(21,439,231	)		(2,542,981	)	$	(23,229,170	)

(a) Commenced operations on July 31, 2015.

179

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2016 (Unaudited)

11. SUMMARY OF SHARE TRANSACTIONS (continued)

Share activity is as follows:

	Local Emerging Markets Debt Fund
	For the Six Months Ended September 30, 2016 (Unaudited)						For the Fiscal Year Ended March 31, 2016
	Shares			Dollars			Shares			Dollars
Class A Shares
Shares sold		2,061,404		$	13,238,139			16,188,007		$	108,203,140
Reinvestment of distributions		575,147			3,691,511			1,413,380			8,876,842
Shares redeemed		(6,720,122	)		(43,055,138	)		(15,628,190	)		(94,942,849	)
		(4,083,571	)		(26,125,488	)		1,973,197			22,137,133
Class C Shares
Shares sold		74,467			479,854			154,250			999,714
Reinvestment of distributions		23,202			149,208			48,962			310,761
Shares redeemed		(129,622	)		(827,268	)		(565,871	)		(3,645,519	)
		(31,953	)		(198,206	)		(362,659	)		(2,335,044	)
Institutional Shares
Shares sold		11,848,807			76,538,387			56,849,733			355,705,584
Reinvestment of distributions		1,817,102			11,674,429			7,276,668			46,447,287
Shares redeemed		(16,859,683	)		(107,391,391	)		(177,953,649	)		(1,096,683,583	)
		(3,193,774	)		(19,178,575	)		(113,827,248	)		(694,530,712	)
Class IR Shares
Shares sold		824,835			5,284,856			1,358,482			8,407,638
Reinvestment of distributions		49,006			314,546			44,357			272,819
Shares redeemed		(460,803	)		(2,964,444	)		(355,067	)		(2,215,273	)
		413,038			2,634,958			1,047,772			6,465,184
NET DECREASE		(6,896,260	)	$	(42,867,311	)		(111,168,938	)	$	(668,263,439	)

180

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

11. SUMMARY OF SHARE TRANSACTIONS (continued)

Share activity is as follows:

	U.S. Mortgages Fund
	For the Six Months Ended September 30, 2016 (Unaudited)						For the Fiscal Year Ended March 31, 2016
	Shares			Dollars			Shares			Dollars
Class A Shares
Shares sold		2,245,234		$	24,033,837			1,314,665		$	13,993,389
Reinvestment of distributions		48,495			519,511			77,837			828,563
Shares redeemed		(1,404,440	)		(15,068,225	)		(929,079	)		(9,875,870	)
		889,289			9,485,123			463,423			4,946,082
Institutional Shares
Shares sold		1,499,645			16,100,082			2,788,512			29,691,367
Reinvestment of distributions		69,079			741,735			127,680			1,362,411
Shares redeemed		(1,582,096	)		(16,984,716	)		(1,526,865	)		(16,270,553	)
		(13,372	)		(142,899	)		1,389,327			14,783,225
Separate Account Institutional Shares
Shares sold		1,636,811			17,523,742			4,759,318			50,456,284
Reinvestment of distributions		211,865			2,269,246			436,710			4,650,369
Shares redeemed		(1,443,124	)		(15,458,110	)		(3,674,293	)		(39,106,986	)
		405,552			4,334,878			1,521,735			15,999,667
Class IR Shares
Shares sold		1,112,819			11,969,627			500,930			5,341,478
Reinvestment of distributions		11,902			127,885			8,764			93,522
Shares redeemed		(208,454	)		(2,241,234	)		(59,487	)		(635,440	)
		916,267			9,856,278			450,207			4,799,560
Class R6 Shares(a)
Shares sold		—			—			938			10,005
Reinvestment of distributions		13			137			17			182
Shares redeemed		—			—			(1	)		(5	)
		13			137			954			10,182
NET INCREASE		2,197,749		$	23,533,517			3,825,646		$	40,538,716

(a) Commenced operations on July 31, 2015.

181

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Fund Expenses — Six Month Period Ended September 30, 2016 (Unaudited)

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from April 1, 2016 through September 30, 2016, which represents a period of 183 out of 365 days.

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

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

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

	Dynamic Emerging Markets Debt Fund							Emerging Markets Debt Fund							High Yield Fund							High Yield Floating Rate Fund
Share Class	Beginning Account Value 4/1/16		Ending Account Value 9/30/16			Expenses Paid for the 6 months ended 9/30/16*		Beginning Account Value 4/1/16		Ending Account Value 9/30/16			Expenses Paid for the 6 months ended 9/30/16*		Beginning Account Value 4/1/16		Ending Account Value 9/30/16			Expenses Paid for the 6 months ended 9/30/16*		Beginning Account Value 4/1/16		Ending Account Value 9/30/16			Expenses Paid for the 6 months ended 9/30/16*
Class A
Actual	$	1,000.00	$	1,066.20		$	6.37	$	1,000.00	$	1,095.60		$	6.46	$	1,000.00	$	1,100.60		$	5.63	$	1,000.00	$	1,049.50		$	4.88
Hypothetical 5% return		1,000.00		1,018.90	+		6.23		1,000.00		1,018.90	+		6.23		1,000.00		1,019.70	+		5.42		1,000.00		1,020.31	+		4.81
Class C
Actual		1,000.00		1,062.10			10.24		1,000.00		1,091.50			10.38		1,000.00		1,094.70			9.56		1,000.00		1,045.60			8.77
Hypothetical 5% return		1,000.00		1,015.14	+		10.00		1,000.00		1,015.14	+		10.00		1,000.00		1,015.94	+		9.20		1,000.00		1,016.49	+		8.64
Institutional
Actual		1,000.00		1,069.10			4.67		1,000.00		1,097.40			4.73		1,000.00		1,100.50			3.84		1,000.00		1,051.30			3.19
Hypothetical 5% return		1,000.00		1,020.56	+		4.56		1,000.00		1,020.56	+		4.56		1,000.00		1,021.41	+		3.70		1,000.00		1,021.96	+		3.14
Service
Actual		N/A		N/A			N/A		N/A		N/A			N/A		1,000.00		1,098.00			6.47		N/A		N/A			N/A
Hypothetical 5% return		N/A		N/A			N/A		N/A		N/A			N/A		1,000.00		1,018.90	+		6.23		N/A		N/A			N/A
Class IR
Actual		1,000.00		1,068.80			5.08		1,000.00		1,096.90			5.15		1,000.00		1,101.80			4.32		1,000.00		1,050.80			3.65
Hypothetical 5% return		1,000.00		1,020.15	+		4.96		1,000.00		1,020.15	+		4.96		1,000.00		1,020.96	+		4.15		1,000.00		1,021.51	+		3.60
Class R
Actual		1,000.00		1,066.00			7.72		N/A		N/A			N/A		1,000.00		1,097.50			6.94		1,000.00		1,048.20			6.16
Hypothetical 5% return		1,000.00		1,017.60	+		7.54		N/A		N/A			N/A		1,000.00		1,018.45	+		6.68		1,000.00		1,019.05	+		6.07
Class R6
Actual		N/A		N/A			N/A		1,000.00		1,097.50			4.63		1,000.00		1,100.50			3.74		N/A		N/A			N/A
Hypothetical 5% return		N/A		N/A			N/A		1,000.00		1,020.66	+		4.46		1,000.00		1,021.51	+		3.60		N/A		N/A			N/A

182

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

	Investment Grade Credit Fund							Local Emerging Markets Debt Fund							U.S. Mortgages Fund
Share Class	Beginning Account Value 4/1/16		Ending Account Value 9/30/16			Expenses Paid for the 6 months ended 9/30/16*		Beginning Account Value 4/1/16		Ending Account Value 9/30/16			Expenses Paid for the 6 months ended 9/30/16*		Beginning Account Value 4/1/16		Ending Account Value 9/30/16			Expenses Paid for the 6 months ended 9/30/16*
Class A
Actual	$	1,000.00	$	1,048.50		$	3.70	$	1,000.00	$	1,053.40		$	6.38	$	1,000.00	$	1,016.30		$	3.89
Hypothetical 5% return		1,000.00		1,021.46	+		3.65		1,000.00		1,018.85	+		6.28		1,000.00		1,021.21	+		3.90
Class C
Actual		N/A		N/A			N/A		1,000.00		1,049.40			10.22		N/A		N/A			N/A
Hypothetical 5% return		N/A		N/A			N/A		1,000.00		1,015.09	+		10.05		N/A		N/A	+		N/A
Institutional
Actual		1,000.00		1,050.30			1.95		1,000.00		1,056.70			4.74		1,000.00		1,018.00			2.18
Hypothetical 5% return		1,000.00		1,023.16	+		1.93		1,000.00		1,020.46	+		4.66		1,000.00		1,022.91	+		2.18
Class IR
Actual		1,000.00		1,049.70			2.41		1,000.00		1,056.40			5.10		1,000.00		1,017.60			2.63
Hypothetical 5% return		1,000.00		1,022.71	+		2.38		1,000.00		1,020.10	+		5.01		1,000.00		1,022.46	+		2.64
Separate Account Institutional
Actual		1,000.00		1,050.20			1.95		N/A		N/A			N/A		1,000.00		1,017.10			2.17
Hypothetical 5% return		1,000.00		1,023.16	+		1.93		N/A		N/A			N/A		1,000.00		1,022.91	+		2.18
Class R6
Actual		1,000.00		1,051.40			1.95		N/A		N/A			N/A		1,000.00		1,018.10			2.18
Hypothetical 5% return		1,000.00		1,023.16	+		1.93		N/A		N/A			N/A		1,000.00		1,022.91			2.18

* Expenses for each share class are calculated using each Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended September 30, 2016. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows:

Fund	Class A			Class C			Institutional			Service			Class IR			Separate Account Institutional			Class R			Class R6
Dynamic Emerging Markets Debt		1.23	%		1.98	%		0.90	%		N/A			0.98	%		N/A			1.49	%		N/A
Emerging Markets Debt		1.23			1.98			0.90			N/A			0.98			N/A			N/A			0.88	%
High Yield		1.07			1.82			0.73			1.23	%		0.82			N/A			1.32			0.71
High Yield Floating Rate		0.95			1.71			0.62			N/A			0.71			N/A			1.20			N/A
Investment Grade Credit		0.72			N/A			0.38			N/A			0.47			0.38	%		N/A			0.38
Local Emerging Markets Debt		1.24			1.99			0.92			N/A			0.99			N/A			N/A			N/A
U.S. Mortgages		0.77			N/A			0.43			N/A			0.52			0.43			N/A			0.43

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

183

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Statement Regarding Basis for Approval of Management Agreement (Unaudited)

Background

The Goldman Sachs Dynamic Emerging Markets Debt Fund, Goldman Sachs Emerging Markets Debt Fund, Goldman Sachs High Yield Fund, Goldman Sachs High Yield Floating Rate Fund, Goldman Sachs Investment Grade Credit Fund, Goldman Sachs Local Emerging Markets Debt Fund, and Goldman Sachs U.S. Mortgages Fund (the “Funds”) are investment portfolios of Goldman Sachs Trust (the “Trust”). The Board of Trustees oversees the management of the Trust and reviews the investment performance and expenses of the Funds at regularly scheduled meetings held throughout the year. In addition, the Board of Trustees determines annually whether to approve the continuance of the Trust’s investment management agreement (the “Management Agreement”) with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) on behalf of the Funds.

The Management Agreement was most recently approved for continuation until June 30, 2017 by the Board of Trustees, including those Trustees who are not parties to the Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), at a meeting held on June 15-16, 2016 (the “Annual Meeting”).

The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held three meetings over the course of the year since the Management Agreement was last approved. At those Committee meetings, regularly scheduled Board or other committee meetings, and/or the Annual Meeting, matters relevant to the renewal of the Management Agreement were considered by the Board, or the Independent Trustees, as applicable. With respect to each Fund, such matters included:

(a) the nature and quality of the advisory, administrative, and other services provided to the Fund by the Investment Adviser and its affiliates, including information about:

(i) the structure, staff, and capabilities of the Investment Adviser and its portfolio management teams;

(ii) the groups within the Investment Adviser and its affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services, and operations); controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, compliance testing, market risk analysis, finance, and central funding); sales and distribution support groups, and others (e.g., information technology and training);

(iii) trends in employee headcount;

(iv) the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and

(v) the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management;

(b) information on the investment performance of the Fund, including comparisons to the performance of similar mutual funds, as provided by a third-party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”), a benchmark performance index, and a composite of accounts with comparable investment strategies managed by the Investment Adviser (in the case of the Dynamic Emerging Markets Debt, Emerging Markets Debt, High Yield, Local Emerging Markets Debt, and U.S. Mortgages Funds); and general investment outlooks in the markets in which the Fund invests;

(c) information provided by the Investment Adviser indicating the Investment Adviser’s views on whether the Fund’s peer group and/or benchmark index had high, medium, or low relevance given the Fund’s particular investment strategy;

(d) the terms of the Management Agreement and other agreements with affiliated service providers entered into by the Trust on behalf of the Fund;

(e) fee and expense information for the Fund, including:

(i) the relative management fee and expense level of the Fund as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider;

(ii) the Fund’s expense trends over time; and

(iii) to the extent the Investment Adviser manages other types of accounts (such as bank collective trusts, private wealth management accounts, institutional separate accounts, sub-advised mutual funds, and non-U.S. funds) having investment objectives and policies similar to those of the Fund, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser;

(f) with respect to the extensive investment performance and expense comparison data provided by the Outside Data Provider, its processes in producing that data for the Fund;

(g) the undertakings of the Investment Adviser and its affiliates to implement fee waivers and/or expense limitations;

184

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)

(h) information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of the Fund and the Trust as a whole to the Investment Adviser and its affiliates;

(i) whether the Fund’s existing management fee schedule adequately addressed any economies of scale;

(j) a summary of the “fall-out” benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund, including the fees received by the Investment Adviser’s affiliates from the Fund for transfer agency, portfolio trading, distribution and other services;

(k) a summary of potential benefits derived by the Fund as a result of its relationship with the Investment Adviser;

(l) information regarding portfolio trading and how the Investment Adviser carries out its duty to seek best execution;

(m) portfolio manager ownership of Fund shares; the manner in which portfolio manager compensation is determined; and the number and types of accounts managed by the portfolio managers;

(n) the nature and quality of the services provided to the Fund by its unaffiliated service providers, and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administrative services provided under the Management Agreement; and

(o) the Investment Adviser’s processes and policies addressing various types of potential conflicts of interest; its approach to risk management; the annual review of the effectiveness of the Fund’s compliance program; and periodic compliance reports.

The Trustees also received an overview of the Funds’ distribution arrangements. They received information regarding the Funds’ assets, share purchase and redemption activity, and payment of distribution, service, and shareholder administration fees, as applicable. Information was also provided to the Trustees relating to revenue sharing payments made by and services provided by the Investment Adviser and its affiliates to intermediaries that promote the sale, distribution, and/or servicing of Fund shares. The Independent Trustees also discussed the broad range of other investment choices that are available to Fund investors, including the availability of comparable funds managed by other advisers.

The presentations made at the Board and Committee meetings and at the Annual Meeting encompassed the Funds and other mutual funds for which the Board of Trustees has responsibility. In evaluating the Management Agreement at the Annual Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Adviser and its affiliates, their services, and the Funds. In conjunction with these meetings, the Trustees received written materials and oral presentations on the topics covered, and the Investment Adviser addressed the questions and concerns of the Trustees, including concerns regarding the investment performance of certain of the funds they oversee. The Independent Trustees were advised by their independent legal counsel regarding their responsibilities and other regulatory requirements related to the approval and continuation of mutual fund investment management agreements under applicable law. In addition, the Investment Adviser and its affiliates provided the Independent Trustees with a written response to a formal request for information sent on behalf of the Independent Trustees by their independent legal counsel. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent legal counsel, without representatives of the Investment Adviser or its affiliates present.

Nature, Extent, and Quality of the Services Provided Under the Management Agreement

As part of their review, the Trustees considered the nature, extent, and quality of the services provided to the Funds by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services and non-advisory services that are provided by the Investment Adviser and its affiliates. The Trustees noted the transition in the leadership and changes in personnel of various of the Investment Adviser’s portfolio management teams that had occurred in recent periods, and the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Adviser. They also noted the Investment Adviser’s commitment to maintaining high quality systems and expending substantial resources to respond to ongoing changes to the regulatory and control environment in which the Funds and their service providers operate, as well as the efforts of the Investment Adviser and its affiliates to combat cyber security risks. The Trustees concluded that the Investment Adviser continued to commit substantial financial and operational resources to the Funds and expressed confidence that the Investment Adviser would continue to do so in the future. The Trustees also recognized that the Investment Adviser had made significant commitments to address regulatory compliance requirements applicable to the Funds and the Investment Adviser and its affiliates.

Investment Performance

The Trustees also considered the investment performance of the Funds. In this regard, they compared the investment performance of each Fund to its peers using rankings and (except with respect to the Dynamic Emerging Markets Debt Fund) ratings compiled by the Outside Data Provider as of December 31, 2015, and updated performance information prepared by the Investment Adviser using the peer group identified by the Outside Data Provider as of March 31, 2016. The information on each

185

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)

Fund’s investment performance was provided for the one-, three-, five-, and ten-year periods ending on the applicable dates, to the extent that each Fund had been in existence for those periods. The Trustees also reviewed each Fund’s investment performance relative to its performance benchmark. As part of this review, they considered the investment performance trends of the Funds over time, and reviewed the investment performance of each Fund in light of its investment objective and policies and market conditions. The Trustees also received information comparing the Funds’ performance (in the case of the Dynamic Emerging Markets Debt, Emerging Markets Debt, High Yield, Local Emerging Markets Debt, and U.S. Mortgages Funds) to that of composites of accounts with comparable investment strategies managed by the Investment Adviser.

In addition, the Trustees considered materials prepared and presentations made by the Investment Adviser’s senior management and portfolio management personnel in which Fund performance was assessed. The Trustees also considered the Investment Adviser’s periodic reports with respect to the Funds’ risk profiles, and how the Investment Adviser’s approach to risk monitoring and management influences portfolio management.

The Trustees observed that the Dynamic Emerging Markets Debt Fund’s Institutional Shares had placed in the second quartile of the Fund’s peer group and had underperformed the Fund’s benchmark index for the one-year period ended March 31, 2016. The Trustees noted that the Emerging Markets Debt Fund’s Institutional Shares had placed in the first quartile of the Fund’s peer group for the one-, three-, five-, and ten-year periods, and had outperformed the Fund’s benchmark index for the one- and ten-year periods and underperformed for the three- and five-year periods ended March 31, 2016. The Trustees observed that the High Yield Fund’s Institutional Shares had placed in the second quartile of the Fund’s peer group for the five- and ten-year periods, in the third quartile for the three-year period, and in the fourth quartile for the one-year period, and had underperformed the Fund’s benchmark index for the one-, three-, five-, and ten-year periods ended March 31, 2016. They observed that the High Yield Floating Rate Fund’s Institutional Shares had placed in the top half of the Fund’s peer group for the one-, three-, and five-year periods, and had outperformed the Fund’s benchmark index for the one-year period and underperformed for the three- and five-year periods ended March 31, 2016. The Trustees noted that the Investment Grade Credit Fund’s Institutional Shares had placed in the second quartile of the Fund’s peer group for the three- and five-year periods and in the third quartile for the one- and ten-year periods, and had outperformed the Fund’s benchmark index for the five-year period and underperformed for the one-, three-, and ten-year periods ended March 31, 2016. The Trustees noted that the Local Emerging Markets Debt Fund’s Institutional Shares had placed in the fourth quartile of the Fund’s peer group and had underperformed the Fund’s benchmark index for the one-, three-, and five-year periods ended March 31, 2016. They noted that the U.S. Mortgages Fund’s Institutional Shares had placed in the first quartile of the Fund’s peer group for the one-, three-, five-, and ten-year periods, and had outperformed the Fund’s benchmark index for the three- and five-year periods and underperformed for the one- and ten-year periods ended March 31, 2016. They also noted that the Investment Grade Credit Fund and U.S. Mortgages Fund had experienced certain portfolio management changes in 2015.

Costs of Services Provided and Competitive Information

The Trustees considered the contractual terms of the Management Agreement and the fee rates payable by each Fund thereunder. In this regard, the Trustees considered information on the services rendered by the Investment Adviser to the Funds, which included both advisory and administrative services that were directed to the needs and operations of the Funds as registered mutual funds.

In particular, the Trustees reviewed analyses prepared by the Outside Data Provider regarding the expense rankings of the Funds. The analyses provided a comparison of each Fund’s management fee and breakpoints to those of a relevant peer group and category universe; an expense analysis which compared each Fund’s overall net and gross expenses to a peer group and a category universe; and data comparing each Fund’s net expenses to the peer and category medians. The analyses also compared each Fund’s transfer agency, custody, and distribution fees, other expenses and fee waivers/reimbursements to those of the peer group and category medians. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Funds.

In addition, the Trustees considered the Investment Adviser’s undertakings to implement fee waivers and/or expense limitations. The Trustees also noted that certain changes were being made to existing fee waiver or expense limitation arrangements of the Local Emerging Markets Debt Fund that would have the effect of decreasing total Fund expenses, with such changes taking effect in connection with the Fund’s next annual registration statement update. They also considered, to the extent that the Investment Adviser manages other types of accounts having investment objectives and policies similar to those of the Funds, comparative fee information for services provided by the Investment Adviser to those accounts, and information that indicated that services provided to the Funds differed in various significant respects from the services provided to other types of accounts which, in many cases, operated under less stringent legal and regulatory structures, required fewer services from the Investment Adviser to a smaller number of client contact points, and were less time-intensive.

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GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)

In addition, the Trustees noted that shareholders are able to redeem their Fund shares at any time if shareholders believe that the Fund fees and expenses are too high or if they are dissatisfied with the performance of the Fund.

Profitability

The Trustees reviewed the Investment Adviser’s revenues and pre-tax profit margins with respect to the Trust and each of the Funds. In this regard the Trustees noted that they had received, among other things, profitability analyses and summaries, revenue and expense schedules by Fund and by function (i.e., investment management, transfer agency and distribution and service), and information on the Investment Adviser’s expense allocation methodology. They observed that the profitability and expense figures are substantially similar to those used by the Investment Adviser for many internal purposes, including compensation decisions among various business groups, and are thus subject to a vigorous internal debate about how certain revenue and expenses should be allocated. The Trustees also noted that the internal audit group within the Goldman Sachs organization had audited the expense allocation methodology and was satisfied with the reasonableness, consistency, and accuracy of the Investment Adviser’s expense allocation methodology and profitability analysis calculations. Profitability data for the Trust and each Fund were provided for 2015 and 2014, and the Trustees considered this information in relation to the Investment Adviser’s overall profitability. The Trustees considered the Investment Adviser’s revenues and pre-tax profit margins both in absolute terms and in comparison to information on the reported pre-tax profit margins earned by certain other asset management firms.

Economies of Scale

The Trustees considered the information that had been provided regarding the Investment Adviser’s profitability. The Trustees also considered the breakpoints in the fee rate payable under the Management Agreement for each of the Funds at the following annual percentage rates of the average daily net assets of the Funds:

	Dynamic Emerging Markets Debt Fund			Emerging Markets Debt Fund			High Yield Fund			Local Emerging Markets Debt Fund
First $2 billion		0.90	%		0.80	%		0.70	%		0.90	%
Next $3 billion		0.81			0.72			0.63			0.81
Next $3 billion		0.77			0.68			0.60			0.77
Over $8 billion		0.75			0.67			0.59			0.75
	High Yield Floating Rate Fund			Investment Grade Credit Fund			U.S. Mortgages Fund
First $1 billion		0.60	%		0.40	%		0.40	%
Next $1 billion		0.54			0.36			0.36
Next $3 billion		0.51			0.34			0.34
Next $3 billion		0.50			0.33			0.33
Over $8 billion		0.49			0.32			0.32

The Trustees noted that the breakpoints were designed to share potential economies of scale, if any, with the Funds and their shareholders as assets under management reach those asset levels. The Trustees considered the amounts of assets in the Funds; the Funds’ recent share purchase and redemption activity; the information provided by the Investment Adviser relating to the costs of the services provided by the Investment Adviser and its affiliates and their realized profits; information comparing fee rates charged by the Investment Adviser with fee rates charged to other funds in the peer groups; and the Investment Adviser’s undertaking to waive a portion of its management fee (with respect to the Dynamic Emerging Markets Debt, Investment Grade Credit, Local Emerging Markets Debt, and U.S. Mortgages Funds) and to limit certain expenses of the Funds that exceed specified levels. Upon reviewing these matters at the Annual Meeting, the Trustees concluded that the fee breakpoints represented a means of assuring that benefits of scalability, if any, would be passed along to shareholders at the specified asset levels. They also noted that the Investment Adviser had passed along savings to shareholders of the High Yield and High Yield Floating Rate Funds, which each had asset levels above at least the first breakpoint during the prior fiscal year.

Other Benefits to the Investment Adviser and Its Affiliates

The Trustees also considered the other benefits derived by the Investment Adviser and its affiliates from their relationships with the Funds as stated above, including: (a) transfer agency fees received by Goldman, Sachs & Co. (“Goldman Sachs”);

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GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)

(b) futures commissions earned by Goldman Sachs for executing futures transactions on behalf of the Funds; (c) trading efficiencies resulting from aggregation of orders of the Funds with those for other funds or accounts managed by the Investment Adviser; (d) the Investment Adviser’s ability to leverage the infrastructure designed to service the Funds on behalf of its other clients; (e) the Investment Adviser’s ability to cross-market other products and services to Fund shareholders; (f) Goldman Sachs’ retention of certain fees as Fund Distributor; (g) the Investment Adviser’s ability to negotiate better pricing with custodians on behalf of its other clients, as a result of the relationship with the Funds; and (h) the possibility that the working relationship between the Investment Adviser and the Funds’ third-party service providers may cause those service providers to be more likely to do business with other areas of Goldman Sachs. In the course of considering the foregoing, the Independent Trustees requested and received further information quantifying certain of these fall-out benefits.

Other Benefits to the Funds and Their Shareholders

The Trustees also noted that the Funds receive certain potential benefits as a result of their relationship with the Investment Adviser, including: (a) trading efficiencies resulting from aggregation of orders of the Funds with those of other funds or accounts managed by the Investment Adviser; (b) enhanced servicing from vendors because of the volume of business generated by the Investment Adviser and its affiliates; (c) enhanced servicing from broker-dealers because of the volume of business generated by the Investment Adviser and its affiliates; (d) the Investment Adviser’s ability to negotiate favorable terms with derivatives counterparties on behalf of the Funds as a result of the size and reputation of the Goldman Sachs organization; (e) the Investment Adviser’s knowledge and experience gained from managing other accounts and products; (f) the Investment Adviser’s ability to hire and retain qualified personnel to provide services to the Funds because of the reputation of the Goldman Sachs organization; (g) the Funds’ access, through the Investment Adviser, to certain firmwide resources (e.g., proprietary risk management systems and databases), subject to certain restrictions; and (h) the Funds’ access to certain affiliated distribution channels. In addition, the Trustees noted the competitive nature of the mutual fund marketplace, and considered that many of the Funds’ shareholders invested in the Funds in part because of the Funds’ relationship with the Investment Adviser and that those shareholders have a general expectation that the relationship will continue.

Conclusion

In connection with their consideration of the Management Agreement, the Trustees gave weight to each of the factors described above, but did not identify any particular factor as controlling their decision. After deliberation and consideration of all of the information provided, including the factors described above, the Trustees concluded, in the exercise of their business judgment, that the management fees paid by each of the Funds were reasonable in light of the services provided to it by the Investment Adviser, the Investment Adviser’s costs and each Fund’s current and reasonably foreseeable asset levels. The Trustees unanimously concluded that the Investment Adviser’s continued management likely would benefit each Fund and its shareholders and that the Management Agreement should be approved and continued with respect to each Fund until June 30, 2017.

188

FUNDS PROFILE

Goldman Sachs Funds

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

Today, the Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $1.15 trillion in assets under supervision as of September 30, 2016, 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. subject to legal, internal and regulatory restrictions.

Money Market

Financial Square Funds^SM

n Financial Square Treasury Solutions Fund¹

n Financial Square Government Fund¹

n Financial Square Money Market Fund²

n Financial Square Prime Obligations Fund²

n Financial Square Treasury Instruments Fund¹

n Financial Square Treasury Obligations Fund¹

n Financial Square Federal Instruments Fund¹

n Financial Square Tax-Exempt Money Market Fund²

Investor Funds^SM

n Investor Money Market Fund³

n Investor Tax-Exempt Money Market Fund^{3, 4}

Fixed Income

Short Duration and Government

n Enhanced Income Fund

n High Quality Floating Rate Fund

n Short-Term Conservative Income Fund⁵

n Short Duration Government Fund

n Short Duration Income Fund

n Government Income Fund

n Inflation Protected Securities Fund

Multi-Sector

n Bond Fund

n Core Fixed Income Fund

n Global Income Fund

n Strategic Income Fund

Municipal and Tax-Free

n High Yield Municipal Fund

n Dynamic Municipal Income Fund

n Short Duration Tax-Free Fund

Single Sector

n Investment Grade Credit Fund

n U.S. Mortgages Fund

n High Yield Fund

n High Yield Floating Rate Fund

n Emerging Markets Debt Fund

n Local Emerging Markets Debt Fund

n Dynamic Emerging Markets Debt Fund

Fixed Income Alternatives

n Long Short Credit Strategies Fund

n Fixed Income Macro Strategies Fund

Fundamental Equity

n Growth and Income Fund

n Small Cap Value Fund

n Small/Mid Cap Value Fund

n Mid Cap Value Fund

n Large Cap Value Fund

n Focused Value Fund

n Capital Growth Fund

n Strategic Growth Fund

n Focused Growth Fund

n Small/Mid Cap Growth Fund

n Flexible Cap Growth Fund

n Concentrated Growth Fund

n Technology Opportunities Fund

n Growth Opportunities Fund

n Rising Dividend Growth Fund

n Dynamic U.S. Equity Fund

n Income Builder Fund

Tax-Advantaged Equity

n U.S. Tax-Managed Equity Fund

n International Tax-Managed Equity Fund

n U.S. Equity Dividend and Premium Fund

n International Equity Dividend and Premium Fund

Equity Insights

n Small Cap Equity Insights Fund

n U.S. Equity Insights Fund

n Small Cap Growth Insights Fund

n Large Cap Growth Insights Fund

n Large Cap Value Insights Fund

n Small Cap Value Insights Fund

n International Small Cap Insights Fund⁶

n International Equity Insights Fund

n Emerging Markets Equity Insights Fund

Fundamental Equity International

n Strategic International Equity Fund

n Focused International Equity Fund

n Asia Equity Fund

n Emerging Markets Equity Fund

n N-11 Equity Fund

Select Satellite

n Real Estate Securities Fund

n International Real Estate Securities Fund

n Commodity Strategy Fund

n Global Real Estate Securities Fund

n Dynamic Commodity Strategy Fund

n Dynamic Allocation Fund

n Absolute Return Tracker Fund

n Long Short Fund

n Managed Futures Strategy Fund

n MLP Energy Infrastructure Fund

n Multi-Manager Alternatives Fund

n Multi-Asset Real Return Fund

n Absolute Return Multi-Asset Fund

n Global Infrastructure Fund

Total Portfolio Solutions

n Global Managed Beta Fund

n Multi-Manager Non-Core Fixed Income Fund

n Multi-Manager U.S. Dynamic Equity Fund

n Multi-Manager Global Equity Fund

n Multi-Manager International Equity Fund

n Tactical Tilt Overlay Fund⁷

n Balanced Strategy Portfolio

n Multi-Manager U.S. Small Cap Equity Fund

n Multi-Manager Real Assets Strategy Fund

n Growth and Income Strategy Portfolio

n Growth Strategy Portfolio

n Equity Growth Strategy Portfolio

n Satellite Strategies Portfolio

n Enhanced Dividend Global Equity Portfolio

n Tax-Advantaged Global Equity Portfolio

n Strategic Factor Allocation Fund

n Target Date 2020 Portfolio

n Target Date 2025 Portfolio

n Target Date 2030 Portfolio

n Target Date 2035 Portfolio

n Target Date 2040 Portfolio

n Target Date 2045 Portfolio

n Target Date 2050 Portfolio

n Target Date 2055 Portfolio

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 on March 31, 2016, the Goldman Sachs Financial Square Tax-Free Money Market Fund was renamed the Goldman Sachs Investor Tax-Exempt Money Market Fund.

⁵  Effective on July 29, 2016, the Goldman Sachs Limited Maturity Obligations Fund was renamed the Goldman Sachs Short-Term Conservative Income Fund.

⁶  Effective at the close of business on February 5, 2016, the Goldman Sachs International Small Cap Fund was reorganized with and into the Goldman Sachs International Small Cap Insights Fund.

⁷  Effective on June 1, 2016, the Goldman Sachs Tactical Tilt Implementation Fund was renamed the Goldman Sachs Tactical Tilt Overlay Fund. Financial Square Funds^SM and Investor Funds^SM are registered service marks of Goldman, Sachs & Co.

* 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 Ashok N. Bakhru, Chairman Kathryn A. Cassidy Diana M. Daniels Herbert J. Markley James A. McNamara Jessica Palmer Alan A. Shuch Roy W. Templin Gregory G. Weaver	OFFICERS James A. McNamara, President Scott M. McHugh, Principal Financial Officer, Senior Vice President and Treasurer Caroline L. Kraus, Secretary
GOLDMAN, SACHS & CO. Distributor and Transfer Agent	GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser

Visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.

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

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

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

The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s web site at http://www.sec.gov within 60 days after the Funds’ first and third fiscal quarters. The Funds’ Forms N-Q 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. Forms N-Q may be obtained upon request and without charge by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders).

Goldman, Sachs & Co. (‘‘Goldman Sachs’’) does not provide legal, tax or accounting advice. Any statement contained in this communication (including any attachments) concerning U.S. tax matters was not intended or written to be used, and cannot be used, for the purpose of avoiding penalties under the Internal Revenue Code, and was written to support the promotion or marketing of the transaction(s) or matter(s) addressed. Clients of Goldman Sachs should obtain their own independent tax advice based on their particular circumstances.

Fund holdings and allocations shown are as of September 30, 2016 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.

The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of Morgan Stanley Capital International Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P) and is licensed for use by Goldman Sachs. Neither MSCI, S&P nor any other party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.

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

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

© 2016 Goldman Sachs. All rights reserved. 72149-TMPL-11/2016 SSFISAR-16/67.1K

ITEM 2. CODE OF ETHICS.

(a) As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party (the “Code of Ethics”).

(b) During the period covered by this report, no amendments were made to the provisions of the Code of Ethics.

(c) During the period covered by this report, the registrant did not grant any waivers, including an implicit waiver, from any provision of the Code of Ethics.

(d) A copy of the Code of Ethics is available as provided in Item 12(a)(1) of this report.

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

The registrant’s board of trustees has determined that the registrant has at least one “audit committee financial expert” (as defined in Item 3 of Form N-CSR) serving on its audit committee. Gregory G. Weaver is the “audit committee financial expert” and is “independent” (as each term is defined in Item 3 of Form N-CSR).

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

The information required by this Item is only required in an annual report on this Form N-CSR.

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

Not applicable.

ITEM 6. SCHEDULE OF INVESTMENTS.

Schedule of Investments is included as part of the Report to Shareholders filed under Item 1.

ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

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.

There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees.

ITEM 11. CONTROLS AND PROCEDURES.

(a) The registrant’s principal executive and principal financial officers, or persons performing similar functions have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934, as amended.

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

ITEM 12. EXHIBITS.

(a)(1)	Goldman Sachs Trust’s Code of Ethics for Principal Executive and Senior Financial Officers is incorporated by reference to Exhibit 12(a)(1) of the registrant’s Form N-CSR filed on July 8, 2015 for its International Equity Insights Funds.
(a)(2)	Exhibit 99.CERT	Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 filed herewith.
(b)	Exhibit 99.906CERT	Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 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.

	Goldman Sachs Trust
By:	/s/ James A. McNamara
	James A. McNamara
	President/Chief Executive Officer
	Goldman Sachs Trust
Date:	November 29, 2016

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

By:	/s/ James A. McNamara
	James A. McNamara
	President/Chief Executive Officer
	Goldman Sachs Trust
Date:	November 29, 2016
By:	/s/ Scott McHugh
	Scott McHugh
	Principal Financial Officer
	Goldman Sachs Trust
Date:	November 29, 2016