N-CSR

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-05349

Goldman Sachs Trust

(Exact name of registrant as specified in charter)

71 South Wacker Drive, Chicago, Illinois 60606

(Address of principal executive offices) (Zip code)

Copies to:

Robert Griffith, Esq.	Stephen H. Bier, Esq.
Goldman Sachs & Co. LLC	Dechert LLP
200 West Street	1095 Avenue of the Americas
New York, New York 10282	New York, NY 10036

(Name and address of agents for service)

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

Date of fiscal year end: December 31

Date of reporting period: December 31, 2023

ITEM 1. REPORTS TO STOCKHOLDERS.

  The Annual Report to Shareholders is filed herewith.

Goldman Sachs Funds Annual Report December 31, 2023 Fund of Funds Portfolios Balanced Strategy Growth and Income Strategy Growth Strategy Satellite Strategies

 

 

 

 

Goldman Sachs Fund of Funds Portfolios

∎ BALANCED STRATEGY

∎ GROWTH AND INCOME STRATEGY

∎ GROWTH STRATEGY

∎ SATELLITE STRATEGIES

TABLE OF CONTENTS
Market Review	1
Portfolio Management Discussions and Performance Summaries	3
Index Definitions	21
Schedules of Investments	22
Financial Statements	37
Financial Highlights	43
Balanced Strategy	43
Growth and Income Strategy	51
Growth Strategy	59
Satellite Strategies	67
Notes to Financial Statements	75
Report of Independent Registered Public Accounting Firm	99
Other Information	100

Effective January 24, 2023, open-end mutual funds and exchange traded funds are required to provide shareholders with streamlined annual and semi-annual shareholder reports (“Tailored Shareholder Reports”). Funds will be required to prepare a separate Tailored Shareholder Report for each share class of a fund that highlights key information to investors. Other information, including financial statements, will no longer appear in a fund’s shareholder report, but will be available online, delivered free of charge upon request, and filed with the SEC on a semi-annual basis on Form N-CSR. The new requirements have a compliance date of July 24, 2024.

NOT  FDIC-INSURED  May Lose Value  No Bank Guarantee 

  

   

MARKET REVIEW

 

 

Goldman Sachs Fund of Funds Portfolios

Market Review

Inflation trends and macroeconomic data, central bank monetary policy, interest rate volatility, geopolitical events, and U.S. and European banking stress had the greatest influence on the capital markets during the 12-month period ended December 31, 2023 (the “Reporting Period”).

During the first quarter of 2023, when the Reporting Period began, investors focused on the evolution of the European energy crisis, the speed of China’s economic reopening and the pace of U.S. disinflation. In the U.S., inflation was not moderating as quickly as U.S. Federal Reserve (“Fed”) policymakers had hoped, and they maintained a hawkish stance, raising the target federal funds (“fed funds”) rate twice during the quarter—by 25 basis points each time. (Hawkish tends to suggest higher interest rates; opposite of dovish. A basis point is 1/100th of a percentage point.) In March 2023, investor sentiment was dominated by worries about the U.S. and European banking sectors. Swift response from U.S. and European policymakers rather quickly calmed nerves, but the turmoil made the Fed’s decisions on interest rates more complex given its objective of mitigating downside risks to economic growth while combating persistent inflation amid a tight labor market. Investor concerns about a potential European energy crisis eased, while China’s economy continued to reopen after the Chinese government had finally lifted its stringent zero-COVID policy in January 2023. For the first quarter overall, global equities generated solidly positive returns, with developed markets equities outperforming emerging markets equities. There was substantial dispersion of returns across broad equity indices, with growth equities materially outperforming value equities. Within developed equity markets, non-U.S. equities outpaced U.S. equities. In the U.S. equity market, information technology equities broadly outperformed financials and energy equities. As for global fixed income, yields broadly declined during the first quarter, leading to positive bond returns.

During the second quarter of 2023, as economic growth remained resilient, many market participants reconsidered their previous expectations of a global economic slowdown. Central banks focused on combating inflation, which decreased but remained elevated. In May, the Fed raised the fed funds rate by 25 basis points to a range between 5.00% and 5.25%. The European Central Bank and Bank of England also raised their policy rates 50 basis points and 75 basis points, respectively. In June, the Fed left the fed funds rate unchanged, but according to the Fed’s median dot plot projection, policymakers increased their estimate for the peak rate to 5.6%, up from 5.1% in March. (The dot plot shows interest rate projections of the members of the Federal Open Market Committee.) For the second quarter overall, global equities recorded positive returns, with developed markets equities outperforming emerging markets equities on the back of better than consensus expected first quarter corporate earnings in the developed markets. European equities, while posting positive returns, underperformed other developed equity markets, such as Japan and the U.S. In the U.S., equity gains were fueled by rallies in the information technology and consumer discretionary sectors. The advance in the information technology sector was driven in part by market expectations of artificial intelligence (“AI”) potential and the growing demand for AI processors. Regarding global fixed income, performance was broadly negative during the second quarter as bond yields increased. Duration-sensitive assets sold off as higher interest rates and expectations for further monetary policy tightening weighed on market sentiment.

During the third quarter of 2023, most asset classes posted losses despite a relatively benign macroeconomic backdrop. Inflation data continued to improve across major developed markets, leading central banks to signal that they were at, or close to, their peak policy rates. In the U.S., economic growth remained resilient, while upward momentum in inflation and the labor market began to weaken—a welcome development for the Fed as it sought to reach its inflation target on a sustainable basis. Policymakers, having raised the fed funds rate by 25 basis points at their July meeting, remained on hold at their September meeting. Elsewhere, Europe and U.K. inflation surprised to the downside; China continued its efforts in support of its economy; and the Bank of Japan began to gradually normalize its monetary policy. In addition, investors had to grapple with some unexpected events during the third quarter. In August, for example, Fitch Ratings downgraded its U.S. credit rating from AAA to AA+, and the markets confronted the possibility of a U.S. government shutdown, which was then narrowly avoided in September. For the third quarter overall, global equities produced negative returns, with developed markets equities performing the worst. U.S. equities and emerging markets equities also declined. In global fixed income, bond yields rose amid significant interest rate volatility. Investors remained wary of inflation, as data indicated it might be stickier, or more persistent, than consensus expected, and markets seemed to expect the Fed and other developed markets central banks to keep interest rates higher for longer.

Most asset classes generated gains during the fourth quarter of 2023, benefiting from a positive backdrop that included strong economic growth, resilient labor markets, subdued inflationary pressures across developed economies, and signals from major central banks regarding the end of their rate hiking cycles. Broadly, the performance of the capital markets was driven by investors’

 

  1

MARKET REVIEW

 

 

 

 

 

 

 

reactions to lower inflation and a dovish Fed. As a result of a significant slowdown in inflation, the potential of an economic “soft landing” increased, leading to a sharp drop in interest rates and a broad-based rally across the capital markets. (A soft landing, in economics, is a cyclical downturn that avoids recession. It typically describes attempts by central banks to raise interest rates just enough to stop an economy from overheating and experiencing high inflation, without causing a significant increase in unemployment, or a hard landing.) At both their November and December meetings, Fed policymakers left the fed funds rate unchanged in a range between 5.25% and 5.50%. The Fed also signaled in December that it may have reached the peak of its monetary policy tightening cycle, with its median dot plot projection indicating there could be 75 basis points of rate cuts in 2024. For the fourth quarter overall, global equities posted significantly positive returns, with U.S. equities outperforming developed markets equities and emerging markets equities. In the U.S. equity market, gains were led by information technology, financials and consumer discretionary stocks, while energy stocks performed the worst due to a drop in oil prices. In global fixed income, yields rose during October and then fell significantly in November and December, leading to positive bond returns for the fourth quarter overall.

Looking Ahead

At the end of the Reporting Period, we believed the U.S. was still in the late stages of the economic cycle. Although our base case was for a soft landing in 2024, we thought the risks of a recession remained above average as long as the Fed maintained its restrictive posture. Because of the Fed’s progress on inflation during the Reporting Period, we expected policymakers to shift their focus to economic growth in the near term, which could lead to a rate cutting cycle. While U.S. wage growth was near levels consistent with the Fed’s long-term targets, the job market remained tight and unemployment was still below 4%.

In our view, bonds continued to look attractive at the end of the Reporting Period, even though their yields had fallen from recent highs. We also believed bonds could provide portfolio diversification benefits in the event of an economic downturn. Overall, we thought the resilience of the U.S. economy and declining inflation would be supportive for U.S. equities, although their high valuations relative to history could remain a headwind. At the end of the Reporting Period, the Portfolios’ equity and fixed income allocations were near our long-term neutral positions. Going forward, we continued to believe a dynamic investment approach and careful risk management should help us identify attractive opportunities, both regionally and across asset classes.

  

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PORTFOLIO RESULTS

 

 

Goldman Sachs Fund of Funds Portfolios – Asset Allocation

Investment Objectives

The Goldman Sachs Balanced Strategy Portfolio seeks current income and long-term capital appreciation. The Goldman Sachs Growth and Income Strategy Portfolio seeks long-term capital appreciation and current income. The Goldman Sachs Growth Strategy Portfolio seeks long-term capital appreciation and, secondarily, current income.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Multi-Asset Solutions (“MAS”) Group discusses the performance and positioning of the Goldman Sachs Fund of Funds Portfolios – Asset Allocation (the “Portfolios”) for the 12-month period ended December 31, 2023 (the “Reporting Period”).

Q How did the Portfolios perform during the Reporting Period?

A Goldman Sachs Balanced Strategy Portfolio — During the Reporting Period, the Balanced Strategy Portfolio’s Class A, Class C, Institutional, Service, Investor, Class R6, Class R and Class P Shares generated average annual total returns of 12.07%, 11.24%, 12.48%, 11.94%, 12.32%, 12.38%, 11.77% and 12.49%, respectively. This compares to the 13.04% average annual total return of the Portfolio’s blended benchmark, which is composed 60% of the Bloomberg Global Aggregate Index (Gross, USD, Hedged) (“Bloomberg Global Index”) and 40% of the MSCI* All Country World Index (Net, USD, Unhedged) (“MSCI ACWI Index”), during the same period.

  The components of the Portfolio’s blended benchmark, the Bloomberg Global Index and the MSCI ACWI Index, generated average annual total returns of 7.15% and 22.20%, respectively, during the Reporting Period.

  Goldman Sachs Growth and Income Strategy Portfolio — During the Reporting Period, the Growth and Income Strategy Portfolio’s Class A, Class C, Institutional, Service, Investor, Class R6, Class R and Class P Shares generated average annual total returns of 14.70%, 13.88%, 15.14%, 14.58%, 15.01%, 15.08%, 14.39% and 15.17%, respectively. This compares to the 16.05% average annual total return of the Portfolio’s blended benchmark, which is composed 40% of the Bloomberg Global Index and 60% of the MSCI ACWI Index, during the same period.

  The components of the Portfolio’s blended benchmark, the Bloomberg Global Index and the MSCI ACWI Index, generated average annual total returns of 7.15% and 22.20%, respectively, during the Reporting Period.

  Goldman Sachs Growth Strategy Portfolio — During the Reporting Period, the Growth Strategy Portfolio’s Class A, Class C, Institutional, Service, Investor, Class R6, Class R and Class P Shares generated average annual total returns of 17.33%, 16.47%, 17.83%, 17.23%, 17.67%, 17.76%, 17.07% and 17.83%, respectively. This compares to the 19.10% average annual total return of the Portfolio’s blended benchmark, which is composed 80% of the MSCI ACWI Index and 20% of the Bloomberg Global Index, during the same period.

  The components of the Portfolio’s blended benchmark, the Bloomberg Global Index and the MSCI ACWI Index, generated average annual total returns of 7.15% and 22.20%, respectively, during the Reporting Period.

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

A The Portfolios seek to achieve their respective investment objectives by investing mainly in a combination of underlying funds and exchange-traded funds (“ETFs”) (collectively, the “Underlying Funds”). Some of the Portfolios’ Underlying Funds invest primarily in fixed income or money market instruments (the “Underlying Fixed Income Funds”); some of the Underlying Funds invest primarily in equity securities (the “Underlying Equity Funds”); and other Underlying Funds invest dynamically across equity, fixed income, commodity and other markets using various strategies including a managed-volatility or trend-following approach (the “Underlying Dynamic Funds”).

  Performance is driven by three sources of return: long-term strategic asset allocation, medium-term and short-term dynamic allocation, and excess returns from investments in Underlying Funds. Long-term strategic asset allocation is the

*Source: MSCI

 

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PORTFOLIO RESULTS

 

 

 

 

 

 

 

  process by which we seek to budget or allocate portfolio risk, as opposed to capital, across a set of asset allocation risk factors, including but not limited to, equity, interest rate, emerging markets, credit, momentum and active risk. The resulting strategic asset allocations are implemented using a range of bottom-up security selection strategies across equity, fixed income and dynamic asset classes, which may utilize fundamental or quantitative investment techniques. Then, as part of our tactical investment process, we incorporate our medium-term and short-term dynamic views into the Portfolios to adapt to changes in the markets, economic cycle and macroeconomic environment. Each Portfolio’s positioning may therefore change over time based on our medium-term and short-term market views on dislocations and attractive investment opportunities. These views may impact relative weightings across asset classes, allocations to geographic regions, sectors and industries, and the Portfolios’ duration and sensitivity to inflation. (Duration is a measure of a portfolio’s sensitivity to changes in interest rates.)

  During the Reporting Period, the Portfolios generated double-digit positive absolute returns. In relative terms, all three Portfolios underperformed their respective benchmark indices.¹

  Long-term strategic asset allocation produced mixed results for the Portfolios. Medium-term dynamic decisions detracted from the Portfolios’ performance, and the contribution of short-term dynamic decisions was rather flat. Security selection within the Underlying Funds was broadly positive.

  Regarding long-term strategic asset allocation, it added to the performance of the Goldman Sachs Balanced Strategy Portfolio and had a neutral impact on the performance of the Goldman Sachs Growth and Income Strategy Portfolio. Long-term strategic asset allocation detracted slightly from the performance of the Goldman Sachs Growth Portfolio, largely because of that Portfolio’s greater exposure to alternative risk premia and its use of an interest rate options strategy.

  Our medium-term dynamic views, which seek to respond to changes in the business or economic cycle, detracted from the performance of all three Portfolios during the Reporting Period overall. During the first half of the Reporting Period, the Portfolios were hurt by our medium-term dynamic view that they have lower exposure to equity beta, or less sensitivity to equity market volatility, which held back their performance as equities rallied. These results were offset somewhat by our medium-term dynamic decision to increase

  equity beta during the second half of the Reporting Period, which contributed positively. Finally, during the Reporting Period overall, our medium-term dynamic view that the Portfolios have increased exposure to 10-year U.S. Treasuries, accomplished through the use of U.S. Treasury futures, detracted from the Portfolios’ returns in the rising interest rate environment.

  Short-term dynamic views, which seek to take advantage of what we consider short-term market mispricings, had a rather neutral impact on the performance of all three Portfolios during the Reporting Period. Overall, the Portfolios benefited from our decision to use S&P 500^® Index options to express our short-term dynamic views on U.S. large-cap equities and to use Eurozone bank futures to gain exposure to Eurozone banks. However, these positive results were offset by our short-term dynamic view that the Portfolios hold small tactical positions in specific U.S. equity sectors, such as energy, which dampened results.

  Security selection within the Underlying Funds contributed positively overall to the performance of all three Portfolios during the Reporting Period.

Q How did the Portfolios’ Underlying Funds perform relative to their respective benchmark indices during the Reporting Period?

A Among the Underlying Equity Funds, the Goldman Sachs Global Real Estate Securities Fund, Goldman Sachs Emerging Markets Equity Insights Fund, Goldman Sachs International Equity Insights Fund, Goldman Sachs International Small Cap Insights Fund and Goldman Sachs Global Infrastructure Fund outperformed their respective benchmark indices during the Reporting Period. The Goldman Sachs Large Cap Growth Insights Fund and Goldman Sachs Large Cap Value Insights Funds underperformed their respective benchmark indices during the Reporting Period.

  Among Underlying Fixed Income Funds, the Goldman Sachs Global Core Fixed Income Fund and Goldman Sachs Emerging Markets Debt Fund outperformed their respective benchmark indices during the Reporting Period. The Goldman Sachs High Yield Fund and Goldman Sachs Inflation Protected Securities Fund underperformed their respective benchmark indices during the Reporting Period. The performance of the Goldman Sachs Local Emerging Markets Debt Fund was rather flat during the Reporting Period.

¹ As measured by Institutional Shares.

  

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PORTFOLIO RESULTS

 

 

 

 

 

 

 

  As for Underlying Dynamic Funds, the Goldman Sachs Managed Futures Strategy Fund underperformed its cash benchmark during the Reporting Period.

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

A During the Reporting Period, all three Portfolios used derivatives for passive replication of asset classes. Specifically, each of the Portfolios held a strategic position in S&P 500^® Index futures (positive impact on performance). For short-term dynamic views, the Portfolios utilized equity index futures to gain exposure to Eurozone banks (positive impact). They employed equity index options on U.S. large-cap equities (positive impact) and equity index options on Brazilian equities (neutral impact). In addition, the Portfolios used total return swaps to gain exposure to stocks in the U.S. commercial and professional services industry (neutral impact).

  Within fixed income, all three Portfolios invested in a strategy that utilized interest rate options to profit if interest rates fall, remain constant, or rise less than anticipated (negative impact). In addition, U.S. Treasury futures were used to express our medium-term dynamic views that the Portfolios have increased exposure to U.S. Treasuries and to adjust the U.S. Treasury yield curve positioning of the Portfolios (negative impact). (Yield curve is a spectrum of interest rates based on maturities of varying lengths.)

  The three Portfolios used forward foreign currency exchange contracts within a foreign currency hedging strategy (slightly positive impact), which seeks to manage the risk associated with investing in non-U.S. currencies.

  During the Reporting Period, some of the Portfolios’ Underlying Funds used derivatives to apply their active investment views with greater versatility and potentially to afford greater risk management precision. As market conditions warranted during the Reporting Period, some of these Underlying Funds engaged in forward foreign currency exchange contracts, financial futures contracts, options, swap contracts and structured securities to attempt to enhance portfolio return and for hedging purposes.

Q What changes did you make during the Reporting Period within the Portfolios?

A During the Reporting Period, we changed the way we implemented the Portfolios’ long-term strategic asset allocations. Specifically, in October and November 2023, we shifted the Portfolios toward passive implementation of their equity exposures. To do so, we reduced their investments in

  the Goldman Sachs International Equity Insights Fund and Goldman Sachs Emerging Markets Equity Insights Fund. We increased their investments in the Goldman Sachs MarketBeta^® U.S. Equity ETF, Goldman Sachs MarketBeta^® International Equity ETF and Goldman Sachs MarketBeta^® Emerging Markets Equity ETF.

  As for medium-term dynamic allocations, in January 2023, we moved the Portfolios’ duration positions closer to our neutral view by increasing their exposures to U.S. dollar-denominated emerging markets debt and by investing in 10-year U.S. Treasury futures. During February, we continued to move the Portfolios’ duration positions closer to our neutral view by increasing their holdings of U.S. dollar-denominated emerging markets debt. In May, we expressed the medium-term dynamic view that the Portfolios have more exposure to interest rates, which we accomplished through investments in 10-year U.S. Treasury futures. During June, we adopted the medium-term dynamic view that the Portfolios have greater exposure to equity beta, which we accomplished by increasing their exposures to U.S. large-cap growth equities and U.S. large-cap equity futures. In August, we expressed the medium-term dynamic view that the Portfolios hold fewer two-year U.S. Treasury futures. In November, we extended the Portfolios’ duration positions. In December, we increased the Portfolios’ equity beta, primarily by adding back allocations to small-cap equities. In addition, we reduced the Portfolios’ exposure to interest rates by reducing their holdings of 10-year U.S. Treasury futures. Finally, we increased the Portfolios’ allocations to high yield corporate bonds.

  During the Reporting Period, we continued to express our short-term dynamic views primarily through the use of ETFs and derivatives. Among notable short-term tactical allocations were investments in two-year Treasury futures, currency swaps on the U.K. pound, Eurozone bank futures, energy master limited partnerships, and crude oil and natural gas options. In October 2023, we expressed the short-term dynamic view that the Portfolios have slightly greater allocations to non-U.S. developed markets equities.

  

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FUND BASICS

 

 

Balanced Strategy

as of December 31, 2023

The Portfolio seeks current STRATEGIC MODELDYNAMIC FUNDWEIGHTINGS‡ income and long-term capital PORTFOLIOWEIGHTINGS† appreciation. Under normal conditions, the Portfolio seeks to achieve its investment objective by investing approximately 50% (which allocation could be increased by 30% or decreased by 25%) of its assets in Underlying Fixed 36.1%GS Global Core Fixed Income36.1%GS Global Core Fixed Income Income Funds, approximately FundFund 15% (which allocation could 9.4%GS Inv Grade Bond ETF9.4%GS Inv Grade Bond ETF be increased by 5% or decreased by 15%) of its 8.9%GS MarketBeta US Equity ETF8.9%GS MarketBeta US Equity ETF assets in the Underlying (GSUS)(GSUS) Dynamic Funds, and 6.3%GS ActiveBeta Large Cap6.3%GS ActiveBeta Large Cap approximately 35% (which allocation could be increased Equity ETFEquity ETF by 25% or decreased by 5.4%GS MarketBeta International5.6%GS MarketBeta International 30%) of its assets in Equity (GSID)Equity (GSID) Underlying Equity Funds. 5.0% Tactical Tilts 4.1% US Large Cap Equity futures 3.6% US Large Cap Equity futures 3.1% GS Large Cap Growth Insights Fund 3.1% GS Large Cap Growth Insights Fund3.1%GS Large Cap Value Insights Fund 3.1% GS Large Cap Value Insights Fund2.7%GS International Equity Insights Fund 2.7% GS International Equity Insights Fund2.6%GS ActiveBeta International Equity ETF 2.6% GS ActiveBeta International Equity ETF2.3%GS MarketBeta Emerging Markets Equity ETF (GSEE) 2.3% GS MarketBeta Emerging Markets Equity ETF (GSEE)2.2%US 10y Treasury Futures 15.5% Other 16.0% Other

† Strategic allocation is the process of determining the areas of the global markets in which to invest, and in what long-term proportion, for each Underlying Fund. Our global approach attempts to generate strong long-term returns across geographies and asset classes, and is determined through a careful review of market opportunities and risk/return tradeoffs. On a monthly basis or as needed, we shift assets around the strategic allocation, over and under-weighting asset classes and countries relative to the neutral starting point, seeking to benefit from changing short-term conditions in global capital markets. This is called tactical asset allocation. The percentage shown for each Underlying Fund reflects the value of that Underlying Fund as a percentage of net assets of the Portfolio. Figures in the above graph may not sum to 100% due to rounding and/or the exclusion of other assets and liabilities.

‡ Generally, dynamic fund weightings are rebalanced approximately monthly, but they may be rebalanced more or less frequently at the discretion of the Investment Adviser based on the market environment and its macro views. The weightings in the chart above reflect the allocations as of December 31, 2023. Actual Underlying Fund weighting in the Portfolio may differ from the figures shown above due to rounding, differences in returns of the Underlying Funds, or both. The above figures are not indicative of future allocations.

  

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FUND BASICS

 

 

 

 

 

 

 

OVERALL UNDERLYING FUND WEIGHTINGS *

  Percentage of Net Assets

* The Portfolio is actively managed and, as such, its composition may differ over time. The percentage shown for each Underlying Fund reflects the value of that Underlying Fund as a percentage of net assets of the Portfolio. Figures in the above graph may not sum to 100% due to rounding and/or the exclusion of other assets and liabilities. The graph depicts the Portfolio’s investments but may not represent the Portfolio’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments.

  For more information about the Portfolio, please refer to www.GSAMFUNDS.com. There, you can learn more about the Portfolio’s investment strategies, holdings, and performance.

  

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GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO

 

 

 Performance Summary

 December 31, 2023

The following graph shows the value, as of December 31, 2023, of a $1,000,000 investment made on January 1, 2014 in Institutional Shares at NAV. For comparative purposes, the performance of the Portfolio’s current benchmarks, the Balanced Strategy Composite Index (the “Balanced Composite”), which is comprised of 60% of the Bloomberg Global Aggregate Bond Index (Gross, USD, Hedged) (the “Bloomberg Global Index”) and 40% of the MSCI^®# All Country World Index (Net, USD, Unhedged) (the “MSCI ACWI Index”), the Bloomberg Global Index and the MSCI ACWI Index (each with distributions reinvested), are shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. The returns set forth below represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.

  Balanced Strategy Portfolio’s 10 Year Performance

  Performance of a $1,000,000 investment, with distributions reinvested, from January 1, 2014 through December 31, 2023.

	Average Annual Total Return through December 31, 2023*	One Year	Five Years	Ten Years	Since Inception
	Class A
	Excluding sales charges	12.07%	5.73%	3.84%	—
	Including sales charges	5.91%	4.54%	3.25%	—
	Class C
	Excluding contingent deferred sales charges	11.24%	4.94%	3.07%	—
	Including contingent deferred sales charges	10.23%	4.94%	3.07%	—
	Institutional	12.48%	6.13%	4.25%	—
	Service	11.94%	5.58%	3.80%	—
	Investor	12.32%	5.99%	4.10%	—
	Class R6 (Commenced July 31, 2015)	12.38%	6.13%	N/A	4.52%
	Class R	11.77%	5.46%	3.60%	—
	Class P (Commenced April 17, 2018)	12.49%	6.13%	N/A	4.09%
	*   These returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.50% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Service, Investor, Class R6, Class R and Class P Shares do not involve a sales charge, such a charge is not applied to their Average Annual Total Return.

For more information about the Portfolio, please refer to www.GSAMFUNDS.com. There, you can learn more about the Portfolio’s investment strategies, holdings, and performance.

^#Source: MSCI

  

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FUND BASICS

 

 

Growth and Income Strategy

as of December 31, 2023

† Strategic allocation is the process of determining the areas of the global markets in which to invest, and in what long-term proportion, for each Underlying Fund. Our global approach attempts to generate strong long-term returns across geographies and asset classes, and is determined through a careful review of market opportunities and risk/return tradeoffs. On a monthly basis or as needed, we shift assets around the strategic allocation, over and under-weighting asset classes and countries relative to the neutral starting point, seeking to benefit from changing short-term conditions in global capital markets. This is called tactical asset allocation. The percentage shown for each Underlying Fund reflects the value of that Underlying Fund as a percentage of net assets of the Portfolio. Figures in the above graph may not sum to 100% due to rounding and/or the exclusion of other assets and liabilities.

‡ Generally, dynamic fund weightings are rebalanced approximately monthly, but they may be rebalanced more or less frequently at the discretion of the Investment Adviser based on the market environment and its macro views. The weightings in the chart above reflect the allocations as of December 31, 2023. Actual Underlying Fund weighting in the Portfolio may differ from the figures shown above due to rounding, differences in returns of the Underlying Funds, or both. The above figures are not indicative of future allocations.

  

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FUND BASICS

 

 

Goldman Sachs Fund of Funds Portfolios – Asset Allocation

as of December 31, 2023

OVERALL UNDERLYING FUND WEIGHTINGS *

  Percentage of Net Assets

* The Portfolio is actively managed and, as such, its composition may differ over time. The percentage shown for each Underlying Fund reflects the value of that Underlying Fund as a percentage of net assets of the Portfolio. Figures in the above graph may not sum to 100% due to rounding and/or the exclusion of other assets and liabilities. The graph depicts the Portfolio’s investments but may not represent the Portfolio’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments.

  For more information about the Portfolio, please refer to www.GSAMFUNDS.com. There, you can learn more about the Portfolio’s investment strategies, holdings, and performance.

  

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GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO

 

 

 Performance Summary

 December 31, 2023

The following graph shows the value, as of December 31, 2023, of a $1,000,000 investment made on January 1, 2014 in Institutional Shares at NAV. For comparative purposes, the performance of the Portfolio’s current benchmarks, the Growth and Income Strategy Composite Index (the “Growth and Income Composite”), which is comprised of 60% of the MSCI^®# All Country World Index (Net, USD, Unhedged) (the “MSCI ACWI Index”) and 40% of the Bloomberg Global Aggregate Bond Index (Gross, USD, Hedged) (the “Bloomberg Global Index”), the Bloomberg Global Index and the MSCI ACWI Index (each with distributions reinvested), are shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. The returns set forth below represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.

 Growth and Income Strategy Portfolio’s 10 Year Performance

 Performance of a $1,000,000 investment, with distributions reinvested, from January 1, 2014 through December 31, 2023.

	Average Annual Total Return through December 31, 2023*	One Year	Five Years	Ten Years	Since Inception
	Class A
	Excluding sales charges	14.70%	7.71%	5.13%	—
	Including sales charges	8.41%	6.50%	4.53%	—
	Class C
	Excluding contingent deferred sales charges	13.88%	6.91%	4.34%	—
	Including contingent deferred sales charges	12.87%	6.91%	4.34%	—
	Institutional	15.14%	8.12%	5.52%	—
	Service	14.58%	7.57%	5.01%	—
	Investor	15.01%	7.98%	5.39%	—
	Class R6 (Commenced July 31, 2015)	15.08%	8.11%	N/A	5.92%
	Class R	14.39%	7.42%	4.86%	—
	Class P (Commenced April 17, 2018)	15.17%	8.12%	N/A	5.26%
	*   These returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.50% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Service, Investor, Class R6, Class R and Class P Shares do not involve a sales charge, such a charge is not applied to their Average Annual Total Return.

  For more information about the Portfolio, please refer to www.GSAMFUNDS.com. There, you can learn more about the Portfolio’s investment strategies, holdings, and performance.

  ^#Source: MSCI

  

  11

FUND BASICS

 

 

Growth Strategy

as of December 31, 2023

† Strategic allocation is the process of determining the areas of the global markets in which to invest, and in what long-term proportion, for each Underlying Fund. Our global approach attempts to generate strong long-term returns across geographies and asset classes, and is determined through a careful review of market opportunities and risk/return tradeoffs. On a monthly basis or as needed, we shift assets around the strategic allocation, over and under-weighting asset classes and countries relative to the neutral starting point, seeking to benefit from changing short-term conditions in global capital markets. This is called tactical asset allocation. The percentage shown for each Underlying Fund reflects the value of that Underlying Fund as a percentage of net assets of the Portfolio. Figures in the above graph may not sum to 100% due to rounding and/or the exclusion of other assets and liabilities.

‡ Generally, dynamic fund weightings are rebalanced approximately monthly, but they may be rebalanced more or less frequently at the discretion of the Investment Adviser based on the market environment and its macro views. The weightings in the chart above reflect the allocations as of December 31, 2023. Actual Underlying Fund weighting in the Portfolio may differ from the figures shown above due to rounding, differences in returns of the Underlying Funds, or both. The above figures are not indicative of future allocations.

  

12  

FUND BASICS

 

 

 

 

 

 

 

OVERALL UNDERLYING FUND WEIGHTINGS *

  Percentage of Net Assets

* The Portfolio is actively managed and, as such, its composition may differ over time. The percentage shown for each Underlying Fund reflects the value of that Underlying Fund as a percentage of net assets of the Portfolio. Figures in the above graph may not sum to 100% due to rounding and/or the exclusion of other assets and liabilities. The graph depicts the Portfolio’s investments but may not represent the Portfolio’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments.

  For more information about the Portfolio, please refer to www.GSAMFUNDS.com. There, you can learn more about the Portfolio’s investment strategies, holdings, and performance.

  

  13

GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO

 

 

 Performance Summary

 December 31, 2023

The following graph shows the value, as of December 31, 2023, of a $10,000 investment made on January 1, 2014 in Class A Shares (with the maximum sales charge of 5.50%). For comparative purposes, the performance of the Portfolio’s current benchmarks, the Growth Strategy Composite Index (the “Growth Strategy Composite”), which is comprised of 80% of the MSCI^®# All Country World Index (Net, USD, Unhedged) (the “MSCI ACWI Index”) and 20% of the Bloomberg Global Aggregate Bond Index (Gross, USD, Hedged) (the “Bloomberg Global Index”), the Bloomberg Global Index and the MSCI ACWI Index (each with distributions reinvested), are shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. The returns set forth below represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.

 Growth Strategy Portfolio’s 10 Year Performance

 Performance of a $10,000 investment, with distributions reinvested, from January 1, 2014 through December 31, 2023.

	Average Annual Total Return through December 31, 2023*	One Year	Five Years	Ten Years	Since Inception
	Class A
	Excluding sales charges	17.33%	9.56%	6.35%	—
	Including sales charges	10.87%	8.33%	5.75%	—
	Class C
	Excluding contingent deferred sales charges	16.47%	8.74%	5.56%	—
	Including contingent deferred sales charges	15.47%	8.74%	5.56%	—
	Institutional	17.83%	9.98%	6.76%	—
	Service	17.23%	9.43%	6.24%	—
	Investor	17.67%	9.84%	6.62%	—
	Class R6 (Commenced July 31, 2015)	17.76%	9.97%	N/A	7.21%
	Class R	17.07%	9.29%	6.08%	—
	Class P (Commenced April 17, 2018)	17.83%	9.99%	N/A	6.42%
	*   These returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.50% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Service, Investor, Class R6, Class R and Class P Shares do not involve a sales charge, such a charge is not applied to their Average Annual Total Return.

  For more information about the Portfolio, please refer to www.GSAMFUNDS.com. There, you can learn more about the Portfolio’s investment strategies, holdings, and performance.

  ^#Source: MSCI

  

14  

PORTFOLIO RESULTS

 

 

Goldman Sachs Fund of Funds Portfolios – Satellite Strategies Portfolio

Investment Objective

The Portfolio seeks long-term capital appreciation.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Multi-Asset Solutions (“MAS”) Group discusses the performance and positioning of the Goldman Sachs Fund of Funds Portfolios – Satellite Strategies Portfolio (the “Portfolio”) for the 12-month period ended December 31, 2023 (the “Reporting Period”).

Q How did the Portfolio perform during the Reporting Period?

A During the Reporting Period, the Portfolio’s Class A, Class C, Institutional, Service, Investor, Class R6, Class R and Class P Shares generated average annual total returns of 9.96%, 9.26%, 10.55%, 9.98%, 10.42%, 10.54%, 9.85% and 10.39%, respectively. This compares to the 15.40% average annual total return of the Portfolio’s blended benchmark, which is composed 40% of the Bloomberg U.S. Aggregate Bond Index (the “Bloomberg U.S. Index”), 30% of the Standard & Poor’s 500^® Index (the “S&P 500^® Index”) and 30% of the MSCI* EAFE Net Total Return Index (the “MSCI EAFE Index”), during the same period.

  The components of the blended benchmark, the Bloomberg U.S. Index, the S&P 500^® Index and the MSCI EAFE Index, generated average annual total returns of 5.53%, 26.29% and 18.24%, respectively, during the same period.

Q How did various satellite asset classes perform during the Reporting Period?

A During the Reporting Period, satellite asset classes broadly produced positive returns, but underperformed traditional equity and fixed income asset classes.

  Among equity satellite asset classes, those with comparatively more exposure to beta risk, such as small-cap equities and emerging markets equities, lagged large-cap developed markets equities despite the broad equity rally during the Reporting Period. (Beta risk generally refers to a stock’s sensitivity to equity market volatility.) Among fixed income satellite asset classes, those with lesser interest rate sensitivity and greater exposure to corporate credit held up best. High yield floating rate loans, for example, significantly outperformed core fixed income. High yield corporate bonds, which have less interest rate sensitivity but also carry credit risk, outpaced core fixed income as well. Meanwhile, U.S. dollar-denominated emerging markets debt securities

  outperformed developed markets bonds. Local emerging markets debt outperformed developed markets bonds by an even larger margin. Within real asset classes, U.S. energy master limited partnerships (“MLPs”) generated double-digit gains, slightly outperforming U.S. large-cap equities. On the other hand, global infrastructure securities, though delivering positive returns, was the weakest performing satellite asset class of the Reporting Period.

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

A The Portfolio seeks to achieve its investment objective by investing mainly in a combination of underlying funds and exchange-traded funds (“ETFs”) (collectively, the “Underlying Funds”). Some of the Portfolio’s Underlying Funds invest primarily in fixed income or money market instruments (the “Underlying Fixed Income Funds”), and some of the Underlying Funds invest primarily in equity securities (the “Underlying Equity Funds”).

  The Portfolio’s performance is driven by three sources of return: long-term strategic asset allocation, medium-term dynamic allocation, and excess returns from investments in Underlying Funds. Long-term strategic asset allocation is the process by which we seek to budget or allocate portfolio risk, as opposed to capital, across a set of asset allocation risk factors, including but not limited to, equity, interest rate, emerging markets, credit, momentum and active risk. We apply a factor-based risk budgeting approach to develop a strategic allocation across the satellite asset classes included in the Portfolio. Our strategic asset allocation focuses on broad satellite asset classes, such as emerging markets, high yield credit and real assets. We then incorporate our medium-term dynamic views into the Portfolio to adapt to changes in the markets, economic cycle and macroeconomic environment. The Portfolio’s positioning may therefore change over time based on our medium-term dynamic views

*Source: MSCI

 

  15

PORTFOLIO RESULTS

 

 

 

 

 

 

 

  of dislocations and attractive investment opportunities. These views may impact relative weighting across asset classes, allocations to geographic regions, sectors and industries, and the Portfolio’s duration and sensitivity to inflation. (Duration is a measure of a portfolio’s sensitivity to changes in interest rates.)

  During the Reporting Period, long-term strategic asset allocation generated positive absolute returns but underperformed the Portfolio’s blended benchmark of core asset classes. Medium-term dynamic allocation detracted slightly from the Portfolio’s relative performance. Security selection within the Underlying Funds added to the Portfolio’s returns during the Reporting Period, with outperformance concentrated in Underlying Equity Funds.

  Long-term strategic asset allocation detracted from the Portfolio’s relative performance. The Portfolio was hindered by its strategic allocations to international small-cap equities and global infrastructure securities during the Reporting Period. Although international small-cap stocks broadly produced double-digit gains, they lagged the equity component of the blended benchmark, which is composed of large-cap stocks. Global infrastructure securities recorded positive returns during the Reporting Period but underperformed the broad equity market, which posted strong returns, driven by mega-cap information technology equities. In addition, the Portfolio was hurt by its strategic allocation to emerging markets equities, which underperformed developed markets equities amid declining economic growth expectations in China.

  Medium-term dynamic asset allocation detracted slightly from the Portfolio’s relative performance during the Reporting Period. Specifically, the Fund was hampered by our decision to take profits on holdings in strongly returning satellite asset classes and reallocate the proceeds to those we thought had more forward-looking return potential.

Q How did the Portfolio’s Underlying Funds perform relative to their respective benchmark indices during the Reporting Period?

A During the Reporting Period, security selection within the Underlying Funds overall contributed positively to the Portfolio’s returns. Among Underlying Equity Funds, the Goldman Sachs Real Estate Securities Fund, Goldman Sachs Emerging Markets Equity Insights Fund, Goldman Sachs International Small Cap Insights Fund and Goldman Sachs Global Infrastructure Fund outperformed their respective benchmark indices during the Reporting Period. The Goldman Sachs MLP Energy Infrastructure Fund and

  Goldman Sachs Emerging Markets Equity Fund underperformed their respective benchmark indices during the Reporting Period.

  Among Underlying Fixed Income Funds, the Goldman Sachs Emerging Markets Debt Fund outperformed its benchmark index during the Reporting Period. The Goldman Sachs Local Emerging Markets Debt Fund, Goldman Sachs High Yield Fund, Goldman Sachs High Yield Floating Rate Fund and Goldman Sachs Inflation Protected Securities underperformed their respective benchmark indices during the Reporting Period.

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

A During the Reporting Period, the Portfolio did not directly invest in derivatives. However, some of the Underlying Funds used derivatives, which provide versatility and potentially greater risk management precision, to express active investment views. As market conditions warranted, some of these Underlying Funds may have engaged in forward foreign currency exchange contracts, financial futures contracts, options, swap contracts and structured securities to attempt to enhance portfolio return and for hedging purposes.

Q What changes did you make during the Reporting Period within the Portfolio?

A In July 2023, during our annual review of the Portfolio’s long-term strategic asset allocation, we increased the Portfolio’s exposure to inflation-protected securities and decreased its exposures to high yield floating rate loans, global infrastructure securities and emerging markets equities.

  Within medium-term dynamic allocations, we increased the Portfolio’s exposures to energy MLPs and emerging markets debt during July.

  In November, we changed how the Portfolio gained exposure to local emerging markets debt, shifting it to the iShares^® J.P. Morgan EM Local Currency Bond ETF from the Goldman Sachs Local Emerging Markets Debt Fund, which changed its name, investment objective, principal investment strategy and benchmark index on October 31, 2023. In December 2023, we increased the Portfolio’s medium-term dynamic exposure to high yield corporate bonds by reducing its cash position.

  

16  

PORTFOLIO RESULTS

 

 

 

 

 

 

 

At a meeting held on December 12-13, 2023, upon the recommendation of Goldman Sachs Asset Management, L.P., the Board of Trustees (the “Board”) of the Goldman Sachs Trust approved a proposal to liquidate the Portfolio. After careful consideration of a number of factors, the Board concluded that it was advisable and in the best interest of the Portfolio and its shareholders to liquidate the Portfolio. The Portfolio liquidated on February 13, 2024, pursuant to a Plan of Liquidation approved by the Board.

  

  17

PORTFOLIO RESULTS

 

 

 Satellite Strategies

 as of December 31, 2023

TARGET RISK-CONTRIBUTION INVESTMENT PORTFOLIO ^d AS OF 12/31/23

 Percentage of Investment Portfolio

^d  Generally, dynamic fund weightings are rebalanced approximately monthly, but they may be rebalanced more or less frequently at the discretion of the Investment Adviser based on the market environment and its macro views. The weightings in the chart above reflect the allocations as of December 31, 2023. Actual Underlying Fund weighting in the Portfolio may differ from the figures shown above due to rounding, differences in returns of the Underlying Funds, or both. The above figures are not indicative of future allocations. The percentage shown for each Underlying Fund reflects the value of that Underlying Fund as a percentage of net assets of the Portfolio. Figures in the above graph may not sum to 100% due to rounding and/or the exclusion of other Underlying Fund assets and liabilities.

  

18  

PORTFOLIO RESULTS

 

 

 

 

 

 

 

OVERALL UNDERLYING FUND WEIGHTINGS *

 Percentage of Net Assets

* The Portfolio is actively managed and, as such, its composition may differ over time. The percentage shown for each Underlying Fund reflects the value of that Underlying Fund as a percentage of net assets of the Portfolio. Figures in the above graph may not sum to 100% due to rounding and/or the exclusion of other assets and liabilities. The graph depicts the Portfolio’s investments but may not represent the Portfolio’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments.

  For more information about the Portfolio, please refer to www.GSAMFUNDS.com. There, you can learn more about the Portfolio’s investment strategies, holdings, and performance.

  

  19

GOLDMAN SACHS SATELLITE STRATEGIES PORTFOLIO

 

 

 Performance Summary

 December 31, 2023

The following graph shows the value, as of December 31, 2023, of a $1,000,000 investment made on January 1, 2014 in Institutional Shares at NAV. For comparative purposes, the performance of the Portfolio’s current benchmarks, the Satellite Strategies Composite Index (the “Satellite Composite”), which is comprised of 40% of the Bloomberg U.S. Aggregate Bond Index, 30% of the S&P 500^® Index, and 30% of the MSCI^®# Europe, Australasia and Far East Net Total Return Index (the “MSCI EAFE Index”), the S&P 500^® Index, the Bloomberg U.S. Aggregate Bond Index and the MSCI EAFE Index (all with distributions reinvested), are shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. The returns set forth below represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.

 Satellite Strategies Portfolio’s 10 Year Performance

 Performance of a $1,000,000 investment, with distributions reinvested, from January 1, 2014 through December 31, 2023.

	Average Annual Total Return through December 31, 2023*	One Year	Five Years	Ten Years	Since Inception
	Class A
	Excluding sales charges	9.96%	4.31%	2.60%	—
	Including sales charges	3.86%	3.14%	2.03%	—
	Class C
	Excluding contingent deferred sales charges	9.26%	3.56%	1.84%	—
	Including contingent deferred sales charges	8.24%	3.56%	1.84%	—
	Institutional	10.55%	4.72%	3.01%	—
	Service	9.98%	4.19%	2.50%	—
	Investor	10.42%	4.59%	2.86%	—
	Class R6 (Commenced July 31, 2015)	10.54%	4.74%	N/A	3.38%
	Class R	9.85%	4.07%	2.36%	—
	Class P (Commenced April 17, 2018)	10.39%	4.72%	N/A	2.27%
	*   These returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.50% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Service, Investor, Class R6, Class R and Class P Shares do not involve a sales charge, such a charge is not applied to their Average Annual Total Return.

  For more information about the Portfolio, please refer to www.GSAMFUNDS.com. There, you can learn more about the Portfolio’s investment strategies, holdings, and performance.

  ^#Source: MSCI

  

20  

FUND BASICS

 

 

Index Definitions

Alerian MLP Index is the leading gauge of energy infrastructure master limited partnerships. The capped, float-adjusted, capitalization weighted index, whose constituents earn the majority of their cash flow from midstream activities involving energy commodities, is disseminated real-time on a price-return basis (AMZ) and on a total-return basis (AMZX).

MSCI* All Country World Index is a broad global equity index that represents large and mid-cap equity performance across 23 developed markets countries. It covers approximately 85% of the free float-adjusted market capitalization in each country.

MSCI* EAFE Index is an equity index that captures small-cap representation across developed markets countries around the world, excluding the U.S. and Canada. The index covers approximately 85% of the free float-adjusted market capitalization in each country.

S&P 500^® Index is a U.S. stock market index based on the market capitalizations of 500 large companies having common stock listed on the New York Stock Exchange or NASDAQ. The S&P 500^® Index components and their weightings are determined by S&P Dow Jones Indices.

Russell 2000^® Index is an unmanaged index of common stock prices that measures the performance of the 2000 smallest companies in the Russell 3000^® Index. The Index is constructed to provide a comprehensive and unbiased small-cap barometer and is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true small-cap opportunity set.

Bloomberg U.S. Aggregate Bond Index represents an unmanaged diversified portfolio of fixed income securities, including U.S. Treasuries, investment-grade corporate bonds and mortgage-backed and asset-backed securities.

*Source: MSCI

  

  21

GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO

 

Schedule of Investments

December 31, 2023

 

	Shares		Description	Value
		Underlying Funds – 93.8%
		Dynamic(a) – 1.9%
		1,043,718	Goldman Sachs Managed Futures
			Strategy Fund — Class R6		$ 10,259,750
		Equity(a) – 14.8%
		750,709	Goldman Sachs Large Cap Value Insights Fund — Class R6		16,905,966
		592,071	Goldman Sachs Large Cap Growth Insights Fund — Class R6		16,412,219
		1,076,389	Goldman Sachs International Equity Insights Fund — Class R6		14,907,987
		321,244	Goldman Sachs Small Cap Equity Insights Fund — Class R6		8,426,235
		910,193	Goldman Sachs Emerging Markets Equity Insights Fund — Class R6		7,372,566
		447,374	Goldman Sachs International Small Cap Insights Fund — Class R6		5,457,966
		424,008	Goldman Sachs Global Infrastructure Fund — Class R6		5,283,135
		497,836	Goldman Sachs Global Real Estate Securities Fund — Class R6		4,893,723
					79,659,797
		Exchange Traded Funds – 36.6%
		1,151,350	Goldman Sachs Access Investment Grade Corporate Bond ETF(a)		53,319,249
		745,804	Goldman Sachs MarketBeta U.S. Equity ETF(a)		48,738,292
		357,630	Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF(a)		33,549,270
		562,158	Goldman Sachs MarketBeta International Equity ETF(a)		30,204,749
		444,738	Goldman Sachs ActiveBeta International Equity ETF(a)		14,525,143
		265,217	Goldman Sachs MarketBeta Emerging Markets Equity ETF(a)		11,237,430
		182,801	Goldman Sachs ActiveBeta Emerging Markets Equity ETF(a)		5,610,163
		9,054	iShares 7-10 Year Treasury Bond ETF		872,715
					198,057,011

	Shares		Description	Value
		Underlying Funds – (continued)
		Fixed Income(a) – 40.5%
		16,690,129	Goldman Sachs Global Core Fixed Income Fund — Class R6		$191,268,873
		1,208,197	Goldman Sachs Inflation Protected Securities Fund — Class R6		11,622,857
		586,152	Goldman Sachs Emerging Markets Debt Fund — Class R6		5,568,443
		960,536	Goldman Sachs High Yield Fund — Class R6		5,398,214
		563,873	Goldman Sachs High Yield Floating Rate Fund — Class R6		5,018,472
		19,622	Goldman Sachs Energy Infrastructure Fund — Class R6		216,427
					219,093,286
		TOTAL UNDERLYING FUNDS – 93.8% (Cost $492,471,537)			$507,069,844
	Shares		Dividend Rate	Value
		Investment Company(a) – 3.7%
		Goldman Sachs Financial Square Government Fund — Institutional Shares
		20,126,549	5.248%		$ 20,126,549
		(Cost $20,126,549)
		TOTAL INVESTMENTS – 97.5% (Cost $512,598,086)			$527,196,393
		OTHER ASSETS IN EXCESS OF  LIABILITIES – 2.5%			13,579,092
		NET ASSETS – 100.0%			$540,775,485
		The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
		(a) Represents an affiliated Issuer.

ADDITIONAL INVESTMENT INFORMATION

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At December 31, 2023, the Portfolio had the following forward foreign currency exchange contracts:

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS

Counterparty	Currency Purchased		Currency Sold		Settlement Date		Unrealized Loss
MS & Co. Int. PLC	USD	1,191,525	AUD	1,800,000		03/20/24	$	(38,055	)
	USD	1,580,350	CHF	1,370,000		03/20/24		(62,163	)
	USD	522,137	DKK	3,590,000		03/20/24		(11,707	)
	USD	5,369,392	EUR	4,950,000		03/20/24		(112,875	)
	USD	2,346,702	GBP	1,865,000		03/20/24		(31,454	)

  

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

GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO

 

 

 

 

 

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)

Counterparty	Currency Purchased			Currency Sold			Settlement Date			Unrealized Loss
MS & Co. Int. PLC (continued)	USD	330,687		HKD	2,580,000			03/20/24		$	(329	)
	USD	65,310		ILS	240,000			03/20/24			(1,142	)
	USD	3,590,909		JPY	511,000,000			03/21/24			(79,792	)
	USD	101,296		NOK	1,100,000			03/20/24			(7,165	)
	USD	30,860		NZD	50,000			03/20/24			(754	)
	USD	505,856		SEK	5,250,000			03/20/24			(16,319	)
	USD	195,104		SGD	260,000			03/20/24			(2,636	)
TOTAL										$	(364,391	)

FUTURES CONTRACTS — At December 31, 2023, the Portfolio had the following futures contracts:

Description	Number of Contracts			Expiration Date			Notional Amount			Unrealized Appreciation/ (Depreciation)
Long position contracts:
10 Year U.S. Treasury Notes		129			03/19/24		$	14,562,891		$	459,517
S&P 500 E-Mini Index		93			03/15/24			22,413,000			656,626
TOTAL FUTURES CONTRACTS										$	1,116,143

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS

Payments Made by the Fund(a)	Payments Received by Fund(a)			Termination Date		Notional Amount (000s)		Unrealized Appreciation/ (Depreciation)*
6M GBP		4.403	%		09/12/33		GBP  380	$50,635

(a) Payments made annually.

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

PURCHASED AND WRITTEN OPTIONS CONTRACTS — At December 31, 2023, the Portfolio had the following purchased and written options:

OVER-THE-COUNTER OPTIONS ON EQUITIES

Description	Counterparty		Exercise Price		Expiration Date		Number of Contracts		Notional Amount		Market Value		Premiums Paid (Received) by Fund		Unrealized Appreciation/ (Depreciation)
Purchased option contract
Calls
BVSP Index		MS & Co. Int. PLC	$	130,847.400		02/14/2024		30	$	392,542,200	$	38,236		$18,800		$19,436
TOTAL								30	$	392,542,200	$	38,236		$18,800		$19,436

  

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

GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO

 

Schedule of Investments (continued)

December 31, 2023

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

EXCHANGE TRADED OPTIONS ON EQUITY CONTRACTS

Description	Exercise Price		Expiration Date		Number of Contracts		Notional Amount		Market Value		Premiums Paid (Received) by Portfolio		Unrealized Appreciation/ (Depreciation)
Written option contracts
Calls
S&P 500 Index	$	4,670.000		01/03/2024		(3)	$	(1,401,000)	$	(31,245)		$ (6,667)		$(24,578)
S&P 500 Index		4,750.000		01/10/2024		(3)		(1,425,000)		(14,565)		(5,155)		(9,410)
S&P 500 Index		4,900.000		01/17/2024		(3)		(1,470,000)		(1,875)		(4,767)		2,892
S&P 500 Index		4,900.000		01/24/2024		(3)		(1,470,000)		(3,495)		(5,097)		1,602
S&P 500 Index		4,710.000		01/31/2024		(1)		(471,000)		(11,495)		(3,883)		(7,612)
S&P 500 Index		4,715.000		01/31/2024		(1)		(471,500)		(11,055)		(3,550)		(7,505)
S&P 500 Index		4,725.000		01/31/2024		(1)		(472,500)		(10,395)		(3,399)		(6,996)
S&P 500 Index		4,895.000		01/31/2024		(2)		(979,000)		(3,810)		(4,438)		628
S&P 500 Index		4,900.000		01/31/2024		(2)		(980,000)		(3,580)		(4,198)		618
S&P 500 Index		4,905.000		01/31/2024		(2)		(981,000)		(3,500)		(3,958)		458
S&P 500 Index		4,910.000		01/31/2024		(2)		(982,000)		(3,270)		(3,718)		448
S&P 500 Index		4,915.000		01/31/2024		(2)		(983,000)		(2,920)		(3,498)		578
S&P 500 Index		4,965.000		02/29/2024		(1)		(496,500)		(2,590)		(3,749)		1,159
						(26)	$	(12,582,500)	$	(103,795)		$ (56,077)		$(47,718)
Puts
S&P 500 Index		4,520.000		01/03/2024		(3)		(1,356,000)		(45)		(8,669)		8,624
S&P 500 Index		4,600.000		01/10/2024		(3)		(1,380,000)		(615)		(8,620)		8,005
S&P 500 Index		4,730.000		01/17/2024		(3)		(1,419,000)		(6,885)		(9,387)		2,502
S&P 500 Index		4,730.000		01/24/2024		(3)		(1,419,000)		(9,030)		(9,057)		27
S&P 500 Index		4,465.000		01/31/2024		(1)		(446,500)		(660)		(5,030)		4,370
S&P 500 Index		4,490.000		01/31/2024		(1)		(449,000)		(755)		(5,034)		4,279
S&P 500 Index		4,505.000		01/31/2024		(1)		(450,500)		(825)		(4,905)		4,080
S&P 500 Index		4,730.000		01/31/2024		(2)		(946,000)		(7,600)		(7,958)		358
S&P 500 Index		4,735.000		01/31/2024		(2)		(947,000)		(8,060)		(8,238)		178
S&P 500 Index		4,740.000		01/31/2024		(2)		(948,000)		(8,360)		(8,538)		178
S&P 500 Index		4,745.000		01/31/2024		(2)		(949,000)		(8,680)		(8,858)		178
S&P 500 Index		4,750.000		01/31/2024		(2)		(950,000)		(9,010)		(9,198)		188
S&P 500 Index		4,705.000		02/29/2024		(1)		(470,500)		(5,490)		(6,149)		659
S&P 500 Index		4,715.000		02/29/2024		(1)		(471,500)		(5,740)		(5,659)		(81)
						(27)	$	(12,602,000)	$	(71,755)		$(105,300)		$ 33,545
Total written option contracts						(53)	$	(25,184,500)	$	(175,550)		$(161,377)		$(14,173)

EXCHANGE TRADED OPTIONS ON FUTURES

Description	Exercise Price		Expiration Date		Number of Contracts		Notional Amount		Market Value		Premiums Paid (Received) by Portfolio		Unrealized Appreciation/ (Depreciation)
Purchased option contracts
Calls
3 Month SOFR	$	96.625		06/13/2025		54	$	135,000	$	94,500	$	93,046	$	1,454
3 Month SOFR		97.250		03/14/2025		162		405,000		132,637		296,628		(163,991	)
3 Month SOFR		95.250		09/13/2024		32		80,000		62,800		129,170		(66,370	)
3 Month SOFR		95.125		06/14/2024		35		87,500		41,344		124,200		(82,856	)
3 Month SOFR		97.750		06/14/2024		214		535,000		14,713		324,377		(309,664	)
3 Month SOFR		97.250		12/13/2024		181		452,500		99,550		291,998		(192,448	)
3 Month SOFR		97.250		09/13/2024		99		247,500		27,225		132,569		(105,344	)

  

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

GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO

 

 

 

 

 

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

EXCHANGE TRADED OPTIONS ON FUTURES (continued)

Description	Exercise Price		Expiration Date		Number of Contracts		Notional Amount		Market Value		Premiums Paid (Received) by Portfolio		Unrealized Appreciation/ (Depreciation)
3 Month SOFR	$	97.250		06/14/2024		66	$	165,000	$	6,600		$  63,855		$ (57,255	)
3 Month SOFR		95.000		03/15/2024		64		160,000		21,200		188,846		(167,646	)
3 Month SOFR		97.750		03/15/2024		243		607,500		4,556		337,123		(332,567	)
3 Month SOFR		96.500		03/14/2025		53		132,500		81,487		89,746		(8,259	)
3 Month SOFR		96.250		12/13/2024		50		125,000		66,875		78,717		(11,842	)
3 Month SOFR		96.000		09/13/2024		46		115,000		44,850		65,358		(20,508	)
3 Month SOFR		96.625		09/12/2025		51		127,500		100,406		94,864		5,542
3 Month SOFR		95.375		06/14/2024		12		30,000		9,825		44,101		(34,276	)
3 Month SOFR		95.375		09/13/2024		12		30,000		21,075		48,937		(27,862	)
3 Month SOFR		95.375		03/15/2024		12		30,000		1,725		38,209		(36,484	)
3 Month SOFR		97.250		06/13/2025		126		315,000		136,237		155,988		(19,751	)
3 Month SOFR		97.000		03/14/2025		97		242,500		99,425		128,750		(29,325	)
3 Month SOFR		97.500		09/12/2025		145		362,500		145,000		163,461		(18,461	)
3 Month SOFR		97.500		12/12/2025		134		335,000		141,537		161,111		(19,574	)
3 Month SOFR		98.500		06/14/2024		226		565,000		9,888		33,774		(23,886	)
3 Month SOFR		98.000		12/13/2024		111		277,500		30,525		22,458		8,067
3 Month SOFR		98.000		03/14/2025		73		182,500		30,113		22,982		7,131
3 Month SOFR		96.750		03/13/2026		32		80,000		62,200		52,074		10,126
3 Month SOFR		96.250		06/13/2025		26		65,000		59,150		47,835		11,315
3 Month SOFR		96.500		12/12/2025		27		67,500		60,919		48,725		12,194
3 Month SOFR		96.500		09/12/2025		29		72,500		62,169		49,367		12,802
3 Month SOFR		96.750		06/12/2026		33		82,500		65,175		51,227		13,948
TOTAL						2,445	$	6,112,500	$	1,733,706		$3,379,496		$(1,645,790	)

Currency Abbreviations:

AUD  —Australian Dollar

CHF —Swiss Franc

DKK  —Denmark Krone

EUR  —Euro

GBP —British Pound

HKD  —Hong Kong Dollar

ILS   —Israeli Shekel

JPY   —Japanese Yen

NOK  —Norwegian Krone

NZD  —New Zealand Dollar

SEK  —Swedish Krona

SGD  —Singapore Dollar

USD  —U.S. Dollar

Investment Abbreviations:

ETF  —Exchange Traded Fund

Abbreviation:

MS & Co. Int. PLC —Morgan Stanley & Co. International PLC

  

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

GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO

 

Schedule of Investments

December 31, 2023

 

Shares	Description	Value
Underlying Funds – 93.7%
Dynamic(a) – 1.9%
1,630,144	Goldman Sachs Managed Futures Strategy Fund — Class R6	$	16,024,317
Equity(a) – 19.2%
1,766,066	Goldman Sachs Large Cap Value Insights Fund — Class R6		39,771,810
1,420,390	Goldman Sachs Large Cap Growth Insights Fund — Class R6		39,373,199
2,450,127	Goldman Sachs International Equity Insights Fund — Class R6		33,934,262
1,972,207	Goldman Sachs Emerging Markets Equity Insights Fund — Class R6		15,974,879
506,295	Goldman Sachs Small Cap Equity Insights Fund — Class R6		13,280,113
708,906	Goldman Sachs International Small Cap Insights Fund — Class R6		8,648,651
530,303	Goldman Sachs Global Real Estate Securities Fund — Class R6		5,212,879
418,061	Goldman Sachs Global Infrastructure Fund — Class R6		5,209,040
			161,404,833
Exchange Traded Funds – 52.0%
2,137,149	Goldman Sachs MarketBeta U.S. Equity ETF(a)		139,662,687
835,994	Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF(a)		78,424,597
1,302,556	Goldman Sachs MarketBeta International Equity ETF(a)		69,986,334
1,451,329	Goldman Sachs Access Investment Grade Corporate Bond ETF(a)		67,211,336
1,053,948	Goldman Sachs ActiveBeta International Equity ETF(a)		34,421,942
724,513	Goldman Sachs MarketBeta Emerging Markets Equity ETF(a)		30,698,123
514,700	Goldman Sachs ActiveBeta Emerging Markets Equity ETF(a)		15,796,143
11,781	iShares 7-10 Year Treasury Bond ETF		1,135,571
			437,336,733

Shares	Description	Value
Underlying Funds – (continued)
Fixed Income(a) – 20.6%
12,126,340	Goldman Sachs Global Core Fixed Income Fund — Class R6	$	138,967,857
932,378	Goldman Sachs Emerging Markets Debt Fund — Class R6		8,857,594
907,571	Goldman Sachs Inflation Protected Securities Fund — Class R6		8,730,833
1,494,168	Goldman Sachs High Yield Fund — Class R6		8,397,221
896,758	Goldman Sachs High Yield Floating Rate Fund — Class R6		7,981,147
22,819	Goldman Sachs Energy Infrastructure Fund — Class R6		251,691
			173,186,343
TOTAL UNDERLYING FUNDS – 93.7% (Cost $731,296,176)		$	787,952,226

Shares		Dividend Rate	Value
Investment Company(a) – 3.6%
Goldman Sachs Financial Square Government Fund — Institutional Shares
	30,119,753	5.248%		$30,119,753
(Cost $30,119,753)
TOTAL INVESTMENTS – 97.3% (Cost $761,415,929)			$	818,071,979
OTHER ASSETS IN EXCESS OF  LIABILITIES – 2.7%				23,049,341
NET ASSETS – 100.0%			$	841,121,320

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
(a)	Represents an affiliated Issuer.

ADDITIONAL INVESTMENT INFORMATION

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At December 31, 2023, the Portfolio had the following forward foreign currency exchange contracts:

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS

Counterparty	Currency Purchased		Currency Sold		Settlement Date	Unrealized Loss
MS & Co. Int. PLC	USD	2,110,858	AUD	3,190,000	03/20/24	$	(68,231	)
	USD	2,814,078	CHF	2,440,000	03/20/24		(111,275	)
	USD	926,221	DKK	6,370,000	03/20/24		(21,016	)
	USD	9,499,379	EUR	8,760,000	03/20/24		(202,572	)
	USD	4,158,128	GBP	3,305,000	03/20/24		(56,248	)
	USD	587,026	HKD	4,580,000	03/20/24		(591	)

  

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

GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO

 

 

 

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)

Counterparty	Currency Purchased			Currency Sold		Settlement Date		Unrealized Loss
MS & Co. Int. PLC (continued)	USD	108,744	ILS		400,000		03/20/24	$	(2,010	)
	USD	6,359,207	JPY		905,000,000		03/21/24		(141,741	)
	USD	183,963	NOK		2,000,000		03/20/24		(13,240	)
	USD	55,446	NZD		90,000		03/20/24		(1,459	)
	USD	895,802	SEK		9,300,000		03/20/24		(29,193	)
	USD	345,117	SGD		460,000		03/20/24		(4,731	)
TOTAL								$	(652,307	)

FUTURES CONTRACTS — At December 31, 2023, the Portfolio had the following futures contracts:

Description	Number of Contracts			Expiration Date			Notional Amount			Unrealized Appreciation/ (Depreciation)
Long position contracts:
10 Year U.S. Treasury Notes		201			03/19/24		$	22,691,016		$	715,972
S&P 500 E-Mini Index		92			03/15/24			22,172,000			593,124
TOTAL FUTURES CONTRACTS										$	1,309,096

SWAP CONTRACTS — At December 31, 2023, the Fund had the following swap contracts:

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS

Payments Made by the Fund(a)	Payments Received by Fund(a)	Termination Date	Notional Amount (000s)	Unrealized Appreciation/ (Depreciation)*
12M SONIA	4.403%	09/12/33	GBP 490	$65,292

(a) Payments made annually.

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

PURCHASED AND WRITTEN OPTIONS CONTRACTS — At December 31, 2023, the Portfolio had the following purchased and written options:

OVER-THE-COUNTER OPTIONS ON EQUITIES

Description	Counterparty	Exercise Price		Expiration Date		Number of Contracts		Notional Amount		Market Value		Premiums Paid (Received) by Fund		Unrealized Appreciation/ (Depreciation)
Purchased option contract
Calls
BOVESPA Index MS & Co. Int. PLC		$	130,847.400		02/14/2024		38	$	497,220,120	$	48,431		$23,813		$24,618
TOTAL							38	$	497,220,120	$	48,431		$23,813		$24,618

  

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

GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO

 

Schedule of Investments (continued)

December 31, 2023

 

 

 ADDITIONAL INVESTMENT INFORMATION (continued)

EXCHANGE TRADED OPTIONS ON EQUITY CONTRACTS

Description	Exercise Price		Expiration Date		Number of Contracts		Notional Amount			Market Value			Premiums Paid (Received) by Portfolio		Unrealized Appreciation/ (Depreciation)
Written option contracts
Calls
S&P 500 Index	$	4,670.000		01/03/2024		(7)	$	(3,269,000	)	$	(72,905	)		$(15,557)		$ (57,348)
S&P 500 Index		4,750.000		01/10/2024		(7)		(3,325,000	)		(33,985	)		(12,028)		(21,957)
S&P 500 Index		4,900.000		01/17/2024		(6)		(2,940,000	)		(3,750	)		(9,534)		5,784
S&P 500 Index		4,900.000		01/24/2024		(6)		(2,940,000	)		(6,990	)		(10,194)		3,204
S&P 500 Index		4,565.000		01/31/2024		(1)		(456,500	)		(23,850	)		(4,099)		(19,751)
S&P 500 Index		4,675.000		01/31/2024		(1)		(467,500	)		(14,215	)		(4,479)		(9,736)
S&P 500 Index		4,710.000		01/31/2024		(1)		(471,000	)		(11,495	)		(3,883)		(7,612)
S&P 500 Index		4,715.000		01/31/2024		(2)		(943,000	)		(22,110	)		(7,100)		(15,010)
S&P 500 Index		4,725.000		01/31/2024		(2)		(945,000	)		(20,790	)		(6,798)		(13,992)
S&P 500 Index		4,785.000		01/31/2024		(1)		(478,500	)		(6,465	)		(2,759)		(3,706)
S&P 500 Index		4,895.000		01/31/2024		(5)		(2,447,500	)		(9,525	)		(11,095)		1,570
S&P 500 Index		4,900.000		01/31/2024		(5)		(2,450,000	)		(8,950	)		(10,495)		1,545
S&P 500 Index		4,905.000		01/31/2024		(5)		(2,452,500	)		(8,750	)		(9,895)		1,145
S&P 500 Index		4,910.000		01/31/2024		(6)		(2,946,000	)		(9,810	)		(12,004)		2,194
S&P 500 Index		4,915.000		01/31/2024		(5)		(2,457,500	)		(7,300	)		(8,715)		1,415
S&P 500 Index		4,835.000		02/29/2024		(1)		(483,500	)		(7,465	)		(3,634)		(3,831)
S&P 500 Index		4,965.000		02/29/2024		(3)		(1,489,500	)		(7,770	)		(10,167)		2,397
						(64)	$	(30,962,000	)	$	(276,125	)		$(142,436)		$(133,689)
Puts
S&P 500 Index		4,520.000		01/03/2024		(7)		(3,164,000	)		(105	)		(20,227)		20,122
S&P 500 Index		4,600.000		01/10/2024		(7)		(3,220,000	)		(1,435	)		(20,113)		18,678
S&P 500 Index		4,730.000		01/17/2024		(6)		(2,838,000	)		(13,770	)		(18,774)		5,004
S&P 500 Index		4,730.000		01/24/2024		(6)		(2,838,000	)		(18,060	)		(18,114)		54
S&P 500 Index		4,265.000		01/31/2024		(1)		(426,500	)		(285	)		(6,789)		6,504
S&P 500 Index		4,405.000		01/31/2024		(1)		(440,500	)		(485	)		(5,638)		5,153
S&P 500 Index		4,465.000		01/31/2024		(1)		(446,500	)		(660	)		(5,030)		4,370
S&P 500 Index		4,490.000		01/31/2024		(2)		(898,000	)		(1,510	)		(10,069)		8,559
S&P 500 Index		4,505.000		01/31/2024		(2)		(901,000	)		(1,650	)		(9,810)		8,160
S&P 500 Index		4,595.000		01/31/2024		(1)		(459,500	)		(1,450	)		(4,529)		3,079
S&P 500 Index		4,720.000		01/31/2024		(1)		(472,000	)		(3,540	)		(4,249)		709
S&P 500 Index		4,730.000		01/31/2024		(5)		(2,365,000	)		(19,000	)		(19,895)		895
S&P 500 Index		4,735.000		01/31/2024		(5)		(2,367,500	)		(20,150	)		(20,595)		445
S&P 500 Index		4,740.000		01/31/2024		(5)		(2,370,000	)		(20,900	)		(21,415)		515
S&P 500 Index		4,745.000		01/31/2024		(5)		(2,372,500	)		(21,700	)		(22,145)		445
S&P 500 Index		4,750.000		01/31/2024		(5)		(2,375,000	)		(22,525	)		(22,945)		420
S&P 500 Index		4,580.000		02/29/2024		(1)		(458,000	)		(3,180	)		(6,159)		2,979
S&P 500 Index		4,705.000		02/29/2024		(1)		(470,500	)		(5,490	)		(6,149)		659
S&P 500 Index		4,715.000		02/29/2024		(2)		(943,000	)		(11,480	)		(11,318)		(162)
						(64)	$	(29,825,500	)	$	(167,375	)		$(253,963)		$  86,588
Total written option contracts						(128)	$	(60,787,500	)	$	(443,500	)		$(396,399)		$ (47,101)

  

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

GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO

 

 

 

 

 

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

EXCHANGE TRADED OPTIONS ON FUTURES

Description	Exercise Price		Expiration Date		Number of Contracts		Notional Amount		Market Value		Premiums Paid (Received) by Portfolio		Unrealized Appreciation/ (Depreciation)
Purchased option contracts
Calls
3 Month SOFR	$	96.625		06/13/2025		94	$	235,000	$	164,500		$  161,969		$     2,531
3 Month SOFR		97.250		03/14/2025		222		555,000		181,762		408,508		(226,746	)
3 Month SOFR		95.250		09/13/2024		41		102,500		80,463		166,212		(85,749	)
3 Month SOFR		95.125		06/14/2024		45		112,500		53,156		160,811		(107,655	)
3 Month SOFR		97.750		06/14/2024		376		940,000		25,850		570,422		(544,572	)
3 Month SOFR		97.250		12/13/2024		247		617,500		135,850		401,161		(265,311	)
3 Month SOFR		97.250		09/13/2024		130		325,000		35,750		175,117		(139,367	)
3 Month SOFR		97.250		06/14/2024		87		217,500		8,700		84,799		(76,099	)
3 Month SOFR		95.000		03/15/2024		83		207,500		27,494		246,536		(219,042	)
3 Month SOFR		97.750		03/15/2024		426		1,065,000		7,988		591,405		(583,417	)
3 Month SOFR		96.500		03/14/2025		93		232,500		142,987		157,479		(14,492	)
3 Month SOFR		96.250		12/13/2024		88		220,000		117,700		138,541		(20,841	)
3 Month SOFR		96.000		09/13/2024		77		192,500		75,075		109,403		(34,328	)
3 Month SOFR		96.625		09/12/2025		88		220,000		173,250		163,686		9,564
3 Month SOFR		97.250		06/13/2025		231		577,500		249,769		285,979		(36,210	)
3 Month SOFR		97.000		03/14/2025		177		442,500		181,425		234,936		(53,511	)
3 Month SOFR		97.500		09/12/2025		265		662,500		265,000		298,740		(33,740	)
3 Month SOFR		97.500		12/12/2025		245		612,500		258,781		294,568		(35,787	)
3 Month SOFR		98.500		06/14/2024		399		997,500		17,456		59,588		(42,132	)
3 Month SOFR		98.000		12/13/2024		126		315,000		34,650		25,492		9,158
3 Month SOFR		98.000		03/14/2025		84		210,000		34,650		26,445		8,205
3 Month SOFR		96.750		03/13/2026		37		92,500		71,919		60,211		11,708
3 Month SOFR		96.250		06/13/2025		30		75,000		68,250		55,195		13,055
3 Month SOFR		96.500		12/12/2025		31		77,500		69,944		55,934		14,010
3 Month SOFR		96.500		09/12/2025		33		82,500		70,744		56,176		14,568
3 Month SOFR		96.750		06/12/2026		38		95,000		75,050		58,988		16,062
TOTAL						3,793	$	9,482,500	$	2,628,163		$5,048,301		$(2,420,138	)

Currency Abbreviations:

AUD  —Australian Dollar

CHF —Swiss Franc

DKK  —Denmark Krone

EUR  —Euro

GBP —British Pound

HKD  —Hong Kong Dollar

ILS   —Israeli Shekel

JPY   —Japanese Yen

NOK  —Norwegian Krone

NZD  —New Zealand Dollar

SEK  —Swedish Krona

SGD  —Singapore Dollar

USD  —U.S. Dollar

Investment Abbreviations:

ETF  —Exchange Traded Fund

  

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

GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO

 

Schedule of Investments (continued)

December 31, 2023

 

 

 ADDITIONAL INVESTMENT INFORMATION (continued)

Abbreviations:

MS & Co. Int. PLC —Morgan Stanley & Co. International PLC

SONIA       —Sterling Overnight Index Average

  

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

GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO

 

Schedule of Investments

December 31, 2023

 

 

	Shares		Description	Value
		Underlying Funds – 94.0%
		Dynamic(a) – 1.9%
		1,653,321	Goldman Sachs Managed Futures Strategy Fund — Class R6	$	16,252,144
		Equity(a) – 24.5%
		2,399,289	Goldman Sachs Large Cap Value Insights Fund — Class R6		54,031,992
		1,930,792	Goldman Sachs Large Cap Growth Insights Fund — Class R6		53,521,556
		3,348,235	Goldman Sachs International Equity Insights Fund — Class R6		46,373,054
		2,599,604	Goldman Sachs Emerging Markets Equity Insights Fund — Class R6		21,056,794
		513,431	Goldman Sachs Small Cap Equity Insights Fund — Class R6		13,467,278
		700,722	Goldman Sachs International Small Cap Insights Fund — Class R6		8,548,810
		541,126	Goldman Sachs Global Real Estate Securities Fund — Class R6		5,319,264
		414,784	Goldman Sachs Global Infrastructure Fund — Class R6		5,168,212
					207,486,960
		Exchange Traded Funds – 64.4%
		3,025,710	Goldman Sachs MarketBeta U.S. Equity ETF(a)		197,730,149
		1,134,079	Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF(a)		106,387,951
		1,755,728	Goldman Sachs MarketBeta International Equity ETF(a)		94,335,265
		1,423,621	Goldman Sachs ActiveBeta International Equity ETF(a)		46,495,462
		915,435	Goldman Sachs Access Investment Grade Corporate Bond ETF(a)		42,393,978
		933,780	Goldman Sachs MarketBeta Emerging Markets Equity ETF(a)		39,564,912
		624,018	Goldman Sachs ActiveBeta Emerging Markets Equity ETF(a)		19,151,112
		8,390	iShares 7-10 Year Treasury Bond ETF		808,712
					546,867,541

	Shares		Description	Value
		Underlying Funds – (continued)
		Fixed Income(a) – 3.2%
		1,088,759	Goldman Sachs Emerging Markets Debt Fund — Class R6	$	10,343,207
		1,511,969	Goldman Sachs High Yield Fund — Class R6		8,497,269
		921,314	Goldman Sachs High Yield Floating Rate Fund — Class R6		8,199,694
		19,694	Goldman Sachs Energy Infrastructure Fund — Class R6		217,229
		2,628	Goldman Sachs Short Duration Bond Fund — Class R6		25,255
					27,282,654
		TOTAL UNDERLYING FUNDS – 94.0% (Cost $707,956,368)		$	797,889,299
	Shares		Dividend Rate	Value
		Investment Company(a) – 3.1%
		Goldman Sachs Financial Square Government Fund — Institutional Shares
		26,040,624	5.248%	$	26,040,624
		(Cost $26,040,624)
		TOTAL INVESTMENTS – 97.1% (Cost $733,996,992)		$	823,929,923
		OTHER ASSETS IN EXCESS OF  LIABILITIES – 2.9%			24,966,693
		NET ASSETS – 100.0%		$	848,896,616
		The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
		(a) Represents an affiliated Issuer.

ADDITIONAL INVESTMENT INFORMATION

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At December 31, 2023, the Portfolio had the following forward foreign currency exchange contracts:

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS

Counterparty	Currency Purchased			Currency Sold			Settlement Date			Unrealized Loss
MS & Co. Int. PLC	USD	1,892,830		AUD	2,860,000			03/20/24		$	(60,836	)
	USD	2,526,561		CHF	2,190,000			03/20/24			(99,061	)
	USD	832,212		DKK	5,720,000			03/20/24			(18,369	)
	USD	8,546,733		EUR	7,880,000			03/20/24			(180,594	)
	USD	3,737,284		GBP	2,970,000			03/20/24			(49,915	)
	USD	526,780		HKD	4,110,000			03/20/24			(536	)

  

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

GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO

 

Schedule of Investments (continued)

December 31, 2023

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)

Counterparty	Currency Purchased			Currency    Sold			Settlement Date		Unrealized Loss
MS & Co. Int. PLC (continued)	USD	97,885		ILS	360,000			03/20/24	$	(1,793	)
	USD	5,713,044		JPY	813,000,000			03/21/24		(127,035	)
	USD	161,259		NOK	1,750,000			03/20/24		(11,293	)
	USD	49,300		NZD	80,000			03/20/24		(1,283	)
	USD	809,124		SEK	8,400,000			03/20/24		(26,355	)
	USD	307,658		SGD	410,000			03/20/24		(4,163	)
TOTAL									$	(581,233	)

FUTURES CONTRACTS — At December 31, 2023, the Portfolio had the following futures contracts:

Description	Number of Contracts			Expiration Date			Notional Amount			Unrealized Appreciation/ (Depreciation)
Long position contracts:
10 Year U.S. Treasury Notes		203			03/19/24		$	22,916,797		$	723,095
S&P 500 E-Mini Index		82			03/15/24			19,762,000			594,963
TOTAL FUTURES CONTRACTS										$	1,318,058

SWAP CONTRACTS — At December 31, 2023, the Fund had the following swap contracts:

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS

Payments Made by the Fund	Payments Received by Fund				Termination Date			Notional Amount (000s)(a)			Unrealized Appreciation/ (Depreciation)*
12M GBP(b)		4.404	%(b)			09/12/33			GBP  370		$49,302

(a) Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to December 31, 2023.

(b) Payments made annually.

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

PURCHASED AND WRITTEN OPTIONS CONTRACTS — At December 31, 2023, the Portfolio had the following purchased and written options:

OVER-THE-COUNTER OPTIONS ON EQUITIES

Description	Counterparty	Exercise Price		Expiration Date		Number of Contracts		Notional Amount		Market Value		Premiums Paid (Received) by Fund		Unrealized Appreciation/ (Depreciation)
Purchased option contract
Calls
BOVESPA Index MS & Co. Int. PLC		$	130,847.400		02/14/2024		29	$	379,457,460	$	36,961		$18,173		$18,788
TOTAL							29	$	379,457,460	$	36,961		$18,173		$18,788

  

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

GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO

 

 

 

 

 

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

EXCHANGE TRADED OPTIONS ON EQUITY CONTRACTS

Description	Exercise Price		Expiration Date		Number of Contracts		Notional Amount			Market Value			Premiums Paid (Received) by Portfolio		Unrealized Appreciation/ (Depreciation)
Written option contracts
Calls
S&P 500 Index	$	4,670.000		01/03/2024		(9)	$	(4,203,000	)	$	(93,735	)		$(20,001)		$ (73,734)
S&P 500 Index		4,750.000		01/10/2024		(9)		(4,275,000	)		(43,695	)		(15,465)		(28,230)
S&P 500 Index		4,900.000		01/17/2024		(8)		(3,920,000	)		(5,000	)		(12,712)		7,712
S&P 500 Index		4,900.000		01/24/2024		(8)		(3,920,000	)		(9,320	)		(13,592)		4,272
S&P 500 Index		4,565.000		01/31/2024		(1)		(456,500	)		(23,850	)		(4,099)		(19,751)
S&P 500 Index		4,675.000		01/31/2024		(1)		(467,500	)		(14,215	)		(4,479)		(9,736)
S&P 500 Index		4,710.000		01/31/2024		(2)		(942,000	)		(22,990	)		(7,765)		(15,225)
S&P 500 Index		4,715.000		01/31/2024		(2)		(943,000	)		(22,110	)		(7,100)		(15,010)
S&P 500 Index		4,725.000		01/31/2024		(2)		(945,000	)		(20,790	)		(6,799)		(13,991)
S&P 500 Index		4,785.000		01/31/2024		(1)		(478,500	)		(6,465	)		(2,759)		(3,706)
S&P 500 Index		4,895.000		01/31/2024		(7)		(3,426,500	)		(13,335	)		(15,603)		2,268
S&P 500 Index		4,900.000		01/31/2024		(7)		(3,430,000	)		(12,530	)		(14,693)		2,163
S&P 500 Index		4,905.000		01/31/2024		(7)		(3,433,500	)		(12,250	)		(13,853)		1,603
S&P 500 Index		4,910.000		01/31/2024		(8)		(3,928,000	)		(13,080	)		(15,772)		2,692
S&P 500 Index		4,915.000		01/31/2024		(7)		(3,440,500	)		(10,220	)		(12,243)		2,023
S&P 500 Index		4,775.000		02/29/2024		(1)		(477,500	)		(10,935	)		(4,199)		(6,736)
S&P 500 Index		4,835.000		02/29/2024		(1)		(483,500	)		(7,465	)		(3,634)		(3,831)
S&P 500 Index		4,965.000		02/29/2024		(4)		(1,986,000	)		(10,360	)		(13,916)		3,556
						(85)	$	(41,156,000	)	$	(352,345	)		$(188,684)		$(163,661)
Puts
S&P 500 Index		4,520.000		01/03/2024		(9)		(4,068,000	)		(135	)		(26,006)		25,871
S&P 500 Index		4,600.000		01/10/2024		(9)		(4,140,000	)		(1,845	)		(25,860)		24,015
S&P 500 Index		4,730.000		01/17/2024		(8)		(3,784,000	)		(18,360	)		(25,032)		6,672
S&P 500 Index		4,730.000		01/24/2024		(8)		(3,784,000	)		(24,080	)		(24,152)		72
S&P 500 Index		4,265.000		01/31/2024		(1)		(426,500	)		(285	)		(6,789)		6,504
S&P 500 Index		4,405.000		01/31/2024		(1)		(440,500	)		(485	)		(5,638)		5,153
S&P 500 Index		4,465.000		01/31/2024		(2)		(893,000	)		(1,320	)		(10,060)		8,740
S&P 500 Index		4,490.000		01/31/2024		(2)		(898,000	)		(1,510	)		(10,069)		8,559
S&P 500 Index		4,505.000		01/31/2024		(2)		(901,000	)		(1,650	)		(9,810)		8,160
S&P 500 Index		4,595.000		01/31/2024		(1)		(459,500	)		(1,450	)		(4,529)		3,079
S&P 500 Index		4,720.000		01/31/2024		(1)		(472,000	)		(3,540	)		(4,249)		709
S&P 500 Index		4,730.000		01/31/2024		(7)		(3,311,000	)		(26,600	)		(27,853)		1,253
S&P 500 Index		4,735.000		01/31/2024		(7)		(3,314,500	)		(28,210	)		(28,833)		623
S&P 500 Index		4,740.000		01/31/2024		(7)		(3,318,000	)		(29,260	)		(29,953)		693
S&P 500 Index		4,745.000		01/31/2024		(7)		(3,321,500	)		(30,380	)		(31,003)		623
S&P 500 Index		4,750.000		01/31/2024		(7)		(3,325,000	)		(31,535	)		(32,123)		588
S&P 500 Index		4,490.000		02/29/2024		(1)		(449,000	)		(2,215	)		(6,509)		4,294
S&P 500 Index		4,580.000		02/29/2024		(1)		(458,000	)		(3,180	)		(6,159)		2,979
S&P 500 Index		4,705.000		02/29/2024		(2)		(941,000	)		(10,980	)		(12,298)		1,318
S&P 500 Index		4,715.000		02/29/2024		(2)		(943,000	)		(11,480	)		(11,298)		(182)
						(85)	$	(39,647,500	)	$	(228,500	)		$(338,223)		$ 109,723
Total written option contracts						(170)	$	(80,803,500	)	$	(580,845	)		$(526,907)		$ (53,938)

  

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

GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO

 

Schedule of Investments (continued)

December 31, 2023

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

EXCHANGE TRADED OPTIONS ON FUTURES

Description	Exercise Price		Expiration Date		Number of Contracts		Notional Amount		Market Value		Premiums Paid (Received) by Portfolio		Unrealized Appreciation/ (Depreciation)
Purchased option contracts
Calls
3 Month SOFR	$	96.625		06/13/2025		112	$	280,000	$	196,000		$192,984		$       3,016
3 Month SOFR		97.250		03/14/2025		271		677,500		221,881		496,253		(274,372	)
3 Month SOFR		95.250		09/13/2024		50		125,000		98,125		200,253		(102,128	)
3 Month SOFR		95.125		06/14/2024		55		137,500		64,969		194,271		(129,302	)
3 Month SOFR		97.750		06/14/2024		428		1,070,000		29,425		645,054		(615,629	)
3 Month SOFR		97.250		12/13/2024		301		752,500		165,550		485,571		(320,021	)
3 Month SOFR		97.250		09/13/2024		156		390,000		42,900		207,725		(164,825	)
3 Month SOFR		97.250		06/14/2024		105		262,500		10,500		100,930		(90,430	)
3 Month SOFR		95.000		03/15/2024		100		250,000		33,125		292,804		(259,679	)
3 Month SOFR		97.750		03/15/2024		484		1,210,000		9,075		666,821		(657,746	)
3 Month SOFR		96.500		03/14/2025		110		275,000		169,125		186,265		(17,140	)
3 Month SOFR		96.250		12/13/2024		104		260,000		139,100		163,731		(24,631	)
3 Month SOFR		96.000		09/13/2024		90		225,000		87,750		127,874		(40,124	)
3 Month SOFR		96.625		09/12/2025		105		262,500		206,719		195,307		11,412
3 Month SOFR		95.375		06/14/2024		12		30,000		9,825		44,101		(34,276	)
3 Month SOFR		95.375		09/13/2024		12		30,000		21,075		48,937		(27,862	)
3 Month SOFR		95.375		03/15/2024		12		30,000		1,725		38,209		(36,484	)
3 Month SOFR		97.250		06/13/2025		232		580,000		250,850		287,217		(36,367	)
3 Month SOFR		97.000		03/14/2025		178		445,000		182,450		236,263		(53,813	)
3 Month SOFR		97.500		09/12/2025		266		665,000		266,000		299,867		(33,867	)
3 Month SOFR		97.500		12/12/2025		246		615,000		259,837		295,771		(35,934	)
3 Month SOFR		98.500		06/14/2024		394		985,000		17,238		58,827		(41,589	)
3 Month SOFR		98.000		12/13/2024		198		495,000		54,450		40,059		14,391
3 Month SOFR		98.000		03/14/2025		131		327,500		54,038		41,241		12,797
3 Month SOFR		96.750		03/13/2026		58		145,000		112,737		94,385		18,352
3 Month SOFR		96.250		06/13/2025		47		117,500		106,925		86,471		20,454
3 Month SOFR		96.500		12/12/2025		49		122,500		110,556		88,414		22,142
3 Month SOFR		96.500		09/12/2025		52		130,000		111,475		88,521		22,954
3 Month SOFR		96.750		06/12/2026		60		150,000		118,500		93,139		25,361
TOTAL						4,418	$	11,045,000	$	3,151,925		$5,997,265		$(2,845,340	)

Currency Abbreviations:

AUD  —Australian Dollar

CHF —Swiss Franc

DKK  —Denmark Krone

EUR  —Euro

GBP —British Pound

HKD  —Hong Kong Dollar

ILS   —Israeli Shekel

JPY   —Japanese Yen

NOK  —Norwegian Krone

NZD  —New Zealand Dollar

SEK  —Swedish Krona

SGD  —Singapore Dollar

USD  —U.S. Dollar

Investment Abbreviations:

ETF  —Exchange Traded Fund

  

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

GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO

 

 

 

 

 

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

Abbreviation:

MS & Co. Int. PLC —Morgan Stanley & Co. International PLC

  

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

GOLDMAN SACHS SATELLITE STRATEGIES PORTFOLIO

 

Schedule of Investments

December 31, 2023

 

 

	Shares		Description	Value
		Underlying Funds – 99.8%
		Equity(a) – 59.5%
		1,132,232	Goldman Sachs International Small Cap Insights Fund — Class R6	$	13,813,223
		954,672	Goldman Sachs Global Infrastructure Fund — Class R6		11,895,211
		506,321	Goldman Sachs Emerging Markets Equity Insights Fund — Class R6		4,101,202
		392,560	Goldman Sachs Global Real Estate Securities Fund — Class R6		3,858,868
		99,554	Goldman Sachs MLP Energy Infrastructure Fund — Class R6		3,221,575
		102,148	Goldman Sachs Emerging Markets Equity Fund — Class R6		2,198,225
					39,088,304
		Exchange Traded Funds – 7.0%
		79,015	iShares J.P. Morgan EM Local Currency Bond ETF		2,901,431
		54,413	Goldman Sachs ActiveBeta Emerging Markets Equity ETF(a)		1,669,935
					4,571,366
		Fixed Income(a) – 33.3%
		844,918	Goldman Sachs Emerging Markets Debt Fund — Class R6		8,026,721
		825,912	Goldman Sachs Inflation Protected Securities Fund — Class R6		7,945,276
		699,848	Goldman Sachs High Yield Fund — Class R6		3,933,145

	Shares		Description	Value
		Underlying Funds – (continued)
		Fixed Income(a) – (continued)
		218,499	Goldman Sachs High Yield Floating Rate Fund — Class R6	$	1,944,636
					21,849,778
		TOTAL UNDERLYING FUNDS – 99.8% (Cost $54,053,513)		$	65,509,448
		TOTAL INVESTMENTS – 99.8% (Cost $54,053,513)		$	65,509,448
		OTHER ASSETS IN EXCESS OF LIABILITIES   – 0.2%			161,534
		NET ASSETS – 100.0%		$	65,670,982
		The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
		(a) Represents an affiliated Issuer.

Investment Abbreviations:
ETF  —Exchange Traded Fund
MLP  —Master Limited Partnership

  

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

GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS

 

Statements of Assets and Liabilities

December 31, 2023

 

	Balanced Strategy Portfolio		Growth and Income Strategy Portfolio
Assets:
Investments in affiliated issuers, at value (cost $511,698,426 and $760,288,442, respectively)		$526,323,678		$816,936,408
Investments in unaffiliated issuers, at value (cost $899,660 and $1,127,487, respectively)		872,715		1,135,571
Purchased options, at value (premium paid $3,398,296 and $5,072,114, respectively)		1,771,942		2,676,594
Cash		8,432,523		12,270,506
Foreign currencies, at value (cost $0 and $12,318, respectively)		9,678		14,767
Variation margin on swaps contracts		5,080		6,551
Receivables:
Collateral on certain derivative contracts(a)		4,083,604		8,343,305
Interest and dividends		1,368,215		2,323,670
Portfolio shares sold		220,384		351,121
Investments sold		62,600		156,440
Reimbursement from investment adviser		33,810		35,105
Other assets		63,382		67,456
Total assets		543,247,611		844,317,494
Liabilities:
Unrealized loss on forward foreign currency exchange contracts		364,391		652,307
Written option contracts, at value (premium received $161,377 and $396,399, respectively)		175,550		443,500
Variation margin on futures contracts		25,728		9,419
Payables:
Portfolio shares redeemed		798,968		500,549
Investments purchased		562,192		574,389
Due to broker		288,872		663,351
Management fees		67,082		104,866
Distribution and Service fees and Transfer Agency fees		52,347		107,885
Accrued expenses		136,996		139,908
Total liabilities		2,472,126		3,196,174
Net Assets:
Paid-in capital		541,624,799		768,968,482
Total distributable earnings (loss)		(849,314)		72,152,838
NET ASSETS		$540,775,485		$841,121,320
Net Assets:
Class A		$ 88,066,077		$242,238,949
Class C		2,801,248		5,856,945
Institutional		381,220,427		333,697,262
Service		350,672		1,723,065
Investor		2,966,555		13,017,139
Class R6		2,216,795		2,201,315
Class R		10,544,360		4,229,761
Class P		52,609,351		238,156,884
Total Net Assets		$540,775,485		$841,121,320
Shares Outstanding $0.001 par value (unlimited number of shares authorized):
Class A		7,630,567		16,403,592
Class C		242,091		409,107
Institutional		33,046,852		22,519,947
Service		29,949		116,985
Investor		258,346		886,815
Class R6		192,059		148,632
Class R		918,352		289,221
Class P		4,558,743		16,083,509
Net asset value, offering and redemption price per share:(b)
Class A		$11.54		$14.77
Class C		11.57		14.32
Institutional		11.54		14.82
Service		11.71		14.73
Investor		11.48		14.68
Class R6		11.54		14.81
Class R		11.48		14.62
Class P		11.54		14.81

(a)	Segregated for initial margin and/or collateral as follows:
	Portfolio	Futures		Swaps		Forwards		Options
	Balanced Strategy		$936,567		$41,590		$480,000		$2,625,447
	Growth and Income Strategy		812,809		53,631		1,200,000		6,276,865
(b)	Maximum public offering price per share for Class A Shares of the Balanced Strategy and Growth and Income Strategy Portfolios is $12.21 and $15.63, respectively. At redemption, Class C Shares may be subject to a contingent deferred sales charge, assessed on the amount equal to the lesser of the current net asset value (“NAV”) or the original purchase price of the shares.

  

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

GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS

 

Statements of Assets and Liabilities (continued)

December 31, 2023

 

	Growth Strategy Portfolio		Satellite Strategies Portfolio
Assets:
Investments in affiliated issuers, at value (cost $733,183,529 and $51,137,696, respectively)		$823,121,211		$ 62,608,017
Investments in unaffiliated issuers, at value (cost $813,463 and $2,915,817, respectively)		808,712		2,901,431
Purchased options, at value (premium paid $6,015,438 and $0, respectively)		3,188,886		—
Cash		11,974,038		176,466
Foreign currencies, at value (cost $28,903 and $0, respectively)		30,564		—
Variation margin on futures contracts		5,440		—
Variation margin on swaps contracts		4,975		—
Receivables:
Collateral on certain derivative contracts(a)		10,202,306		—
Interest and dividends		2,471,346		76,378
Portfolio shares sold		248,691		2,082
Investments sold		219,170		150,000
Reimbursement from investment adviser		36,559		30,830
Other assets		65,139		42,198
Total assets		852,377,037		65,987,402
Liabilities:
Unrealized loss on forward foreign currency exchange contracts		581,233		—
Written option contracts, at value (premium received $526,907 and $0, respectively)		580,845		—
Payables:
Due to broker		918,531		—
Portfolio shares redeemed		700,612		112,094
Investments purchased		297,672		66,855
Distribution and Service fees and Transfer Agency fees		139,726		12,221
Management fees		106,282		6,920
Accrued expenses		155,520		118,330
Total liabilities		3,480,421		316,420
Net Assets:
Paid-in capital		723,796,847		75,873,253
Total distributable earnings (loss)		125,099,769		(10,202,271)
NET ASSETS		$848,896,616		$ 65,670,982
Net Assets:
Class A		$325,375,858		$ 27,810,663
Class C		12,068,176		515,283
Institutional		211,831,163		26,626,521
Service		2,276,912		123,140
Investor		12,555,627		8,014,361
Class R6		8,210,928		606,276
Class R		6,350,468		469,140
Class P		270,227,484		1,505,598
Total Net Assets		$848,896,616		$ 65,670,982
Shares Outstanding $0.001 par value (unlimited number of shares authorized):
Class A		18,205,280		3,577,099
Class C		656,565		66,068
Institutional		11,859,967		3,436,927
Service		127,797		15,849
Investor		714,301		1,034,330
Class R6		459,591		78,158
Class R		367,674		60,537
Class P		15,122,749		193,958
Net asset value, offering and redemption price per share:(b)
Class A		$17.87		$7.77
Class C		18.38		7.80
Institutional		17.86		7.75
Service		17.82		7.77
Investor		17.58		7.75
Class R6		17.87		7.76
Class R		17.27		7.75
Class P		17.87		7.76

(a)	Segregated for initial margin and/or collateral as follows:
	Portfolio	Futures		Swaps		Forwards		Options
	Growth Strategy		$487,907		$40,490		$1,080,000		$8,593,909
(b)	Maximum public offering price per share for Class A Shares of the Growth Strategy and Satellite Strategies Portfolios is $18.91 and $8.22, respectively. At redemption, Class C Shares may be subject to a contingent deferred sales charge, assessed on the amount equal to the lesser of the current net asset value (“NAV”) or the original purchase price of the shares.

  

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

GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS

 

Statements of Operations

For the Fiscal Year Ended December 31, 2023

 

		Balanced Strategy Portfolio		Growth and Income Strategy Portfolio
	Investment Income:
	Dividends — affiliated issuers		$13,709,849		$ 19,441,424
	Interest		93,526		162,691
	Dividends — unaffiliated issuers		9,358		12,252
	Total investment income		13,812,733		19,616,367
	Expenses:
	Management fees		771,563		1,223,477
	Transfer Agency fees(a)		319,928		594,368
	Distribution and Service (12b-1) fees(a)		292,587		659,167
	Registration fees		126,151		126,488
	Professional fees		102,542		102,125
	Custody, accounting and administrative services		67,989		69,238
	Printing and mailing costs		67,432		87,096
	Trustee fees		22,092		22,502
	Service fees — Class C		8,115		15,944
	Shareholder meeting expense		3,785		9,740
	Shareholder Administration fees — Service Class		829		4,538
	Other		20,425		23,723
	Total expenses		1,803,438		2,938,406
	Less — expense reductions		(385,574)		(397,913)
	Net expenses		1,417,864		2,540,493
	NET INVESTMENT INCOME		12,394,869		17,075,874
	Realized and unrealized gain (loss):
	Capital Gains Distributions		1,470,940		3,495,556
	Net realized gain (loss) from:
	Investments — unaffiliated issuers		417,419		412,350
	Investments — affiliated issuers		(7,966,879)		25,721,613
	Purchased options		(1,873,438)		(3,230,296)
	Futures contracts		2,489,290		4,034,942
	Written options		(576,090)		(1,286,587)
	Swap contracts		25,704		28,074
	Forward foreign currency exchange contracts		(20,413)		251,858
	Foreign currency transactions		1,320		1,998
	Net change in unrealized gain (loss) on:
	Investments — affiliated issuers		50,655,631		61,841,135
	Investments — unaffiliated issuers		(26,945)		8,084
	Purchased options		696,486		1,541,844
	Futures contracts		2,361,986		3,532,807
	Written options		9,034		(16,135)
	Swap contracts		50,635		65,292
	Forward foreign currency exchange contracts		262,028		368,448
	Foreign currency translation		(5,022)		(6,004)
	Net realized and unrealized gain		47,971,686		96,764,979
	NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		$60,366,555		$113,840,853

(a) Class specific Distribution and/or Service (12b-1) and Transfer Agency fees were as follows:

	Distribution and/or Service (12b-1) Fees								Transfer Agency Fees
Portfolio	Class A		Class C		Service		Class R		Class A		Class C		Institutional		Service		Investor		Class R6		Class R		Class P
Balanced Strategy	$	219,285	$	24,344	$	829	$	48,129	$	136,006	$	5,033	$	144,242	$	133	$	4,659	$	650	$	14,901	$	14,304
Growth and Income Strategy		585,453		47,832		4,538		21,344		362,911		9,899		131,948		726		13,049		647		6,626		68,562

  

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

GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS

 

Statements of Operations (continued)

For the Fiscal Year Ended December 31, 2023

 

		Growth Strategy Portfolio		Satellite Strategies Portfolio
	Investment Income:
	Dividends — affiliated issuers		$ 16,766,931		$2,673,347
	Interest		186,370		—
	Dividends — unaffiliated issuers		8,841		38,841
	Total investment income		16,962,142		2,712,188
	Expenses:
	Management fees		1,209,427		92,685
	Distribution and Service (12b-1) fees		908,543		83,148
	Transfer Agency fees		692,066		75,624
	Registration fees		122,113		108,759
	Professional fees		102,240		94,509
	Printing and mailing costs		101,403		54,940
	Custody, accounting and administrative services		65,491		64,540
	Service fees — Class C		33,270		1,975
	Trustee fees		22,491		21,502
	Shareholder meeting expense		15,916		2,831
	Shareholder Administration fees — Service Class		5,522		293
	Other		23,214		4,361
	Total expenses		3,301,696		605,167
	Less — expense reductions		(404,831)		(341,309)
	Net expenses		2,896,865		263,858
	NET INVESTMENT INCOME		14,065,277		2,448,330
	Realized and unrealized gain (loss):
	Capital Gains Distributions		4,743,788		—
	Net realized gain (loss) from:
	Investments — unaffiliated issuers		395,175		151,452
	Investments — affiliated issuers		40,744,824		1,378,787
	Purchased options		(3,593,222)		—
	Futures contracts		3,122,578		—
	Written options		(1,764,818)		—
	Swap contracts		19,898		—
	Forward foreign currency exchange contracts		810,119		—
	Foreign currency transactions		1,227		—
	Net change in unrealized gain (loss) on:
	Investments — affiliated issuers		66,582,609		3,114,190
	Investments — unaffiliated issuers		(4,751)		(14,386)
	Purchased options		1,581,466		—
	Futures contracts		3,875,623		—
	Written options		(32,485)		—
	Swap contracts		49,302		—
	Forward foreign currency exchange contracts		288,068		—
	Foreign currency translation		(3,845)		—
	Net realized and unrealized gain		116,815,556		4,630,043
	NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		$130,880,833		$7,078,373

	Distribution and/or Service (12b-1) Fees								Transfer Agency Fees
Portfolio	Class A		Class C		Service		Class R		Class A		Class C		Institutional		Service		Investor		Class R6		Class R		Class P
Growth Strategy	$	773,624	$	99,809	$	5,522	$	29,588	$	479,418	$	20,642	$	81,316	$	884	$	23,558	$	2,295	$	9,169	$	74,784
Satellite Strategies		74,762		5,924		293		2,169		46,424		1,231		12,758		47		13,646		420		673		425

  

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

GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS

 

Statements of Changes in Net Assets

 

 

		Balanced Strategy Portfolio						Growth and Income Strategy Portfolio
		For the Fiscal Year Ended December 31, 2023			For the Fiscal Year Ended December 31, 2022			For the Fiscal Year Ended December 31, 2023			For the Fiscal Year Ended December 31, 2022
	From operations:
	Net investment income		$  12,394,869			$  12,153,046			$  17,075,874			$   19,216,372
	Net realized gain (loss)		(6,032,147	)		(862,926	)		29,429,508			4,163,684
	Net change in unrealized gain (loss)		54,003,833			(95,337,735	)		67,335,471			(178,489,949	)
	Net increase (decrease) in net assets resulting from operations		60,366,555			(84,047,615	)		113,840,853			(155,109,893	)
	Distributions to shareholders:
	From distributable earnings:
	Class A Shares		(1,613,472	)		(4,400,604	)		(4,013,808	)		(12,343,223	)
	Class C Shares		(32,788	)		(158,372	)		(60,972	)		(324,426	)
	Institutional Shares		(8,025,319	)		(18,338,640	)		(6,792,467	)		(18,820,149	)
	Service Shares		(5,646	)		(15,352	)		(28,117	)		(100,257	)
	Investor Shares		(63,769	)		(167,144	)		(177,199	)		(418,773	)
	Class R6 Shares		(48,212	)		(88,959	)		(44,882	)		(103,053	)
	Class R Shares		(159,345	)		(410,355	)		(61,789	)		(246,281	)
	Class P Shares		(1,056,728	)		(2,835,170	)		(4,779,236	)		(12,522,135	)
	Total distributions to shareholders		(11,005,279	)		(26,414,596	)		(15,958,470	)		(44,878,297	)
	From share transactions:
	Proceeds from sales of shares		97,664,775			170,273,887			76,142,659			95,930,879
	Reinvestment of distributions		10,906,522			26,137,542			15,672,675			43,940,192
	Cost of shares redeemed		(138,801,761	)		(181,426,260	)		(150,223,039	)		(167,867,951	)
	Net increase (decrease) in net assets resulting from share transactions		(30,230,464	)		14,985,169			(58,407,705	)		(27,996,880	)
	TOTAL INCREASE (DECREASE)		19,130,812			(95,477,042	)		39,474,678			(227,985,070	)
	Net assets:
	Beginning of year		521,644,673			617,121,715			801,646,642			1,029,631,712
	End of year		$ 540,775,485			$ 521,644,673			$ 841,121,320			$  801,646,642

  

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

GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS

 

Statements of Changes in Net Assets (continued)

 

		Growth Strategy Portfolio						Satellite Strategies Portfolio
		For the Fiscal Year Ended December 31, 2023			For the Fiscal Year Ended December 31, 2022			For the Fiscal Year Ended December 31, 2023			For the Fiscal Year Ended December 31, 2022
	From operations:
	Net investment income		$ 14,065,277			$ 17,272,450			$  2,448,330			$  3,217,506
	Net realized gain (loss)		44,479,569			7,690,984			1,530,239			(752,455	)
	Net change in unrealized gain (loss)		72,335,987			(188,907,020	)		3,099,804			(20,810,185	)
	Net increase (decrease) in net assets resulting from operations		130,880,833			(163,943,586	)		7,078,373			(18,345,134	)
	Distributions to shareholders:
	From distributable earnings:
	Class A Shares		(4,434,221	)		(15,373,283	)		(971,796	)		(1,170,343	)
	Class C Shares		(53,034	)		(567,562	)		(16,043	)		(29,229	)
	Institutional Shares		(3,637,458	)		(10,734,735	)		(1,093,310	)		(1,582,785	)
	Service Shares		(28,354	)		(91,284	)		(3,908	)		(3,832	)
	Investor Shares		(198,980	)		(615,276	)		(307,274	)		(391,446	)
	Class R6 Shares		(139,776	)		(401,167	)		(37,745	)		(70,564	)
	Class R Shares		(76,107	)		(286,460	)		(13,505	)		(14,936	)
	Class P Shares		(4,636,157	)		(12,785,087	)		(54,349	)		(52,508	)
	Return of capital:
	Class A Shares		—			—			(35,076	)		(67,092	)
	Class C Shares		—			—			(579	)		(1,676	)
	Institutional Shares		—			—			(39,463	)		(90,736	)
	Service Shares		—			—			(141	)		(220	)
	Investor Shares		—			—			(11,091	)		(22,440	)
	Class R6 Shares		—			—			(1,362	)		(4,045	)
	Class R Shares		—			—			(487	)		(856	)
	Class P Shares		—			—			(1,962	)		(3,010	)
	Total distributions to shareholders		(13,204,087	)		(40,854,854	)		(2,588,091	)		(3,505,718	)
	From share transactions:
	Proceeds from sales of shares		76,297,975			114,987,141			2,733,084			6,516,757
	Reinvestment of distributions		12,846,013			39,590,085			2,397,886			3,230,183
	Cost of shares redeemed		(120,204,973	)		(151,112,511	)		(28,351,552	)		(30,497,924	)
	Net increase (decrease) in net assets resulting from share transactions		(31,060,985	)		3,464,715			(23,220,582	)		(20,750,984	)
	TOTAL INCREASE (DECREASE)		86,615,761			(201,333,725	)		(18,730,300	)		(42,601,836	)
	Net assets:
	Beginning of year		762,280,855			963,614,580			84,401,282			127,003,118
	End of year		$ 848,896,616			$ 762,280,855			$ 65,670,982			$ 84,401,282

  

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

GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO

 

Financial Highlights

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

	Goldman Sachs Balanced Strategy Portfolio
	Class A Shares
	Year Ended December 31,
	2023				2022				2021				2020				2019
Per Share Data
Net asset value, beginning of year		$	10.49			$	12.82			$	12.64			$	11.64			$	10.32
Net investment income(a)(b)			0.23				0.22				0.24				0.20				0.20
Net realized and unrealized gain (loss)			1.02				(2.02	)			0.71				1.04				1.37
Total from investment operations			1.25				(1.80	)			0.95				1.24				1.57
Distributions to shareholders from net investment income			(0.20	)			(0.39	)			(0.34	)			(0.24	)			(0.25	)
Distributions to shareholders from net realized gains			—				(0.14	)			(0.43	)			—				—
Total distributions			(0.20	)			(0.53	)			(0.77	)			(0.24	)			(0.25	)
Net asset value, end of year		$	11.54			$	10.49			$	12.82			$	12.64			$	11.64
Total return(c)			12.07	%			(14.09	)%			7.53	%			10.71	%			15.24	%
Net assets, end of year (in 000s)		$	88,066			$	88,939			$	113,820			$	110,057			$	106,285
Ratio of net expenses to average net assets(d)			0.56	%			0.56	%			0.56	%			0.57	%			0.58	%
Ratio of total expenses to average net assets(d)			0.63	%			0.63	%			0.61	%			0.64	%			0.67	%
Ratio of net investment income to average net assets(b)			2.12	%			1.91	%			1.84	%			1.71	%			1.76	%
Portfolio turnover rate(e)			40	%			30	%			9	%			19	%			55	%

(a) Calculated based on the average shares outstanding methodology.

(b) Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests.

(c) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares.

(d) Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests.

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

  

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

GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO

 

Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Balanced Strategy Portfolio
		Class C Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	10.51			$	12.83			$	12.67			$	11.66			$	10.34
	Net investment income(a)(b)			0.14				0.11				0.12				0.10				0.10
	Net realized and unrealized gain (loss)			1.03				(1.99	)			0.73				1.06				1.38
	Total from investment operations			1.17				(1.88	)			0.85				1.16				1.48
	Distributions to shareholders from net investment income			(0.11	)			(0.30	)			(0.26	)			(0.15	)			(0.16	)
	Distributions to shareholders from net realized gains			—				(0.14	)			(0.43	)			—				—
	Total distributions			(0.11	)			(0.44	)			(0.69	)			(0.15	)			(0.16	)
	Net asset value, end of year		$	11.57			$	10.51			$	12.83			$	12.67			$	11.66
	Total return(c)			11.24	%			(14.70	)%			6.73	%			9.90	%			14.30	%
	Net assets, end of year (in 000s)		$	2,801			$	3,740			$	6,678			$	9,575			$	10,978
	Ratio of net expenses to average net assets(d)			1.31	%			1.31	%			1.31	%			1.32	%			1.33	%
	Ratio of total expenses to average net assets(d)			1.38	%			1.38	%			1.36	%			1.39	%			1.42	%
	Ratio of net investment income to average net assets(b)			1.31	%			0.98	%			0.91	%			0.86	%			0.93	%
	Portfolio turnover rate(e)			40	%			30	%			9	%			19	%			55	%

(a) Calculated based on the average shares outstanding methodology.

(b) Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests.

(c) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares.

(d) Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests.

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

  

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

GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO

 

Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Balanced Strategy Portfolio
		Institutional Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	10.49			$	12.81			$	12.63			$	11.64			$	10.32
	Net investment income(a)(b)			0.27				0.27				0.29				0.25				0.25
	Net realized and unrealized gain (loss)			1.02				(2.02	)			0.71				1.02				1.36
	Total from investment operations			1.29				(1.75	)			1.00				1.27				1.61
	Distributions to shareholders from net investment income			(0.24	)			(0.43	)			(0.39	)			(0.28	)			(0.29	)
	Distributions to shareholders from net realized gains			—				(0.14	)			(0.43	)			—				—
	Total distributions			(0.24	)			(0.57	)			(0.82	)			(0.28	)			(0.29	)
	Net asset value, end of year		$	11.54			$	10.49			$	12.81			$	12.63			$	11.64
	Total return(c)			12.48	%			(13.69	)%			7.93	%			11.05	%			15.68	%
	Net assets, end of year (in 000s)		$	381,220			$	355,310			$	426,392			$	388,941			$	351,189
	Ratio of net expenses to average net assets(d)			0.19	%			0.19	%			0.19	%			0.19	%			0.20	%
	Ratio of total expenses to average net assets(d)			0.27	%			0.27	%			0.25	%			0.26	%			0.28	%
	Ratio of net investment income to average net assets(b)			2.49	%			2.31	%			2.23	%			2.12	%			2.19	%
	Portfolio turnover rate(e)			40	%			30	%			9	%			19	%			55	%

(a) Calculated based on the average shares outstanding methodology.

(b) Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests.

(c) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares.

(d) Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests.

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

  

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

GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO

 

Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Balanced Strategy Portfolio
		Service Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	10.64			$	12.99			$	12.79			$	11.78			$	10.45
	Net investment income(a)(b)			0.22				0.21				0.22				0.16				0.17
	Net realized and unrealized gain (loss)			1.04				(2.05	)			0.73				1.07				1.39
	Total from investment operations			1.26				(1.84	)			0.95				1.23				1.56
	Distributions to shareholders from net investment income			(0.19	)			(0.37	)			(0.32	)			(0.22	)			(0.23	)
	Distributions to shareholders from net realized gains			—				(0.14	)			(0.43	)			—				—
	Total distributions			(0.19	)			(0.51	)			(0.75	)			(0.22	)			(0.23	)
	Net asset value, end of year		$	11.71			$	10.64			$	12.99			$	12.79			$	11.78
	Total return(c)			11.94	%			(14.18	)%			7.44	%			10.52	%			14.99	%
	Net assets, end of year (in 000s)		$	351			$	319			$	388			$	421			$	532
	Ratio of net expenses to average net assets(d)			0.69	%			0.69	%			0.69	%			0.69	%			0.70	%
	Ratio of total expenses to average net assets(d)			0.77	%			0.77	%			0.75	%			0.77	%			0.78	%
	Ratio of net investment income to average net assets(b)			2.00	%			1.82	%			1.67	%			1.38	%			1.47	%
	Portfolio turnover rate(e)			40	%			30	%			9	%			19	%			55	%

(a) Calculated based on the average shares outstanding methodology.

(b) Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests.

(c) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares.

(d) Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests.

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

  

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

GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO

 

Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Balanced Strategy Portfolio
		Investor Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	10.44			$	12.76			$	12.58			$	11.59			$	10.28
	Net investment income(a)(b)			0.26				0.23				0.28				0.33				0.23
	Net realized and unrealized gain (loss)			1.01				(1.99	)			0.70				0.93				1.36
	Total from investment operations			1.27				(1.76	)			0.98				1.26				1.59
	Distributions to shareholders from net investment income			(0.23	)			(0.42	)			(0.37	)			(0.27	)			(0.28	)
	Distributions to shareholders from net realized gains			—				(0.14	)			(0.43	)			—				—
	Total distributions			(0.23	)			(0.56	)			(0.80	)			(0.27	)			(0.28	)
	Net asset value, end of year		$	11.48			$	10.44			$	12.76			$	12.58			$	11.59
	Total return(c)			12.32	%			(13.79	)%			7.75	%			10.97	%			15.49	%
	Net assets, end of year (in 000s)		$	2,967			$	3,110			$	5,430			$	7,594			$	3,663
	Ratio of net expenses to average net assets(d)			0.31	%			0.31	%			0.31	%			0.32	%			0.33	%
	Ratio of total expenses to average net assets(d)			0.38	%			0.38	%			0.36	%			0.39	%			0.42	%
	Ratio of net investment income to average net assets(b)			2.36	%			2.01	%			2.13	%			2.78	%			2.07	%
	Portfolio turnover rate(e)			40	%			30	%			9	%			19	%			55	%

(a) Calculated based on the average shares outstanding methodology.

(b) Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests.

(c) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares.

(d) Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests.

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

  

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

GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO

 

Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Balanced Strategy Portfolio
		Class R6 Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	10.50			$	12.82			$	12.63			$	11.64			$	10.32
	Net investment income(a)(b)			0.27				0.37				0.21				0.23				0.23
	Net realized and unrealized gain (loss)			1.02				(2.12	)			0.79				1.05				1.38
	Total from investment operations			1.29				(1.75	)			1.00				1.28				1.61
	Distributions to shareholders from net investment income			(0.25	)			(0.43	)			(0.38	)			(0.29	)			(0.29	)
	Distributions to shareholders from net realized gains			—				(0.14	)			(0.43	)			—				—
	Total distributions			(0.25	)			(0.57	)			(0.81	)			(0.29	)			(0.29	)
	Net asset value, end of year		$	11.54			$	10.50			$	12.82			$	12.63			$	11.64
	Total return(c)			12.38	%			(13.66	)%			8.00	%			11.06	%			15.70	%
	Net assets, end of year (in 000s)		$	2,217			$	2,061			$	277			$	1,449			$	1,766
	Ratio of net expenses to average net assets(d)			0.18	%			0.18	%			0.18	%			0.18	%			0.19	%
	Ratio of total expenses to average net assets(d)			0.26	%			0.26	%			0.24	%			0.26	%			0.27	%
	Ratio of net investment income to average net assets(b)			2.50	%			3.28	%			1.64	%			1.89	%			2.04	%
	Portfolio turnover rate(e)			40	%			30	%			9	%			19	%			55	%

(a) Calculated based on the average shares outstanding methodology.

(b) Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests.

(c) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares.

(d) Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests.

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

  

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

GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO

 

Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Balanced Strategy Portfolio
		Class R Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	10.44			$	12.76			$	12.58			$	11.59			$	10.28
	Net investment income(a)(b)			0.21				0.19				0.22				0.16				0.18
	Net realized and unrealized gain (loss)			1.01				(2.01	)			0.70				1.04				1.35
	Total from investment operations			1.22				(1.82	)			0.92				1.20				1.53
	Distributions to shareholders from net investment income			(0.18	)			(0.36	)			(0.31	)			(0.21	)			(0.22	)
	Distributions to shareholders from net realized gains			—				(0.14	)			(0.43	)			—				—
	Total distributions			(0.18	)			(0.50	)			(0.74	)			(0.21	)			(0.22	)
	Net asset value, end of year		$	11.48			$	10.44			$	12.76			$	12.58			$	11.59
	Total return(c)			11.77	%			(14.30	)%			7.32	%			10.39	%			14.94	%
	Net assets, end of year (in 000s)		$	10,544			$	8,693			$	10,837			$	9,435			$	10,241
	Ratio of net expenses to average net assets(d)			0.81	%			0.81	%			0.81	%			0.82	%			0.83	%
	Ratio of total expenses to average net assets(d)			0.88	%			0.88	%			0.86	%			0.90	%			0.92	%
	Ratio of net investment income to average net assets(b)			1.90	%			1.67	%			1.65	%			1.40	%			1.61	%
	Portfolio turnover rate(e)			40	%			30	%			9	%			19	%			55	%

(a) Calculated based on the average shares outstanding methodology.

(b) Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests.

(c) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares.

(d) Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests.

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

  

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

GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO

 

Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Balanced Strategy Portfolio
		Class P Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of period		$	10.49			$	12.82			$	12.64			$	11.64			$	10.32
	Net investment income(a)(b)			0.27				0.28				0.29				0.25				0.24
	Net realized and unrealized gain (loss)			1.03				(2.04	)			0.71				1.04				1.37
	Total from investment operations			1.30				(1.76	)			1.00				1.29				1.61
	Distributions to shareholders from net investment income			(0.25	)			(0.43	)			(0.39	)			(0.29	)			(0.29	)
	Distributions to shareholders from net realized gains			—				(0.14	)			(0.43	)			—				—
	Total distributions			(0.25	)			(0.57	)			(0.82	)			(0.29	)			(0.29	)
	Net asset value, end of period		$	11.54			$	10.49			$	12.82			$	12.64			$	11.64
	Total return(c)			12.49	%			(13.75	)%			7.94	%			11.15	%			15.69	%
	Net assets, end of period (in 000s)		$	52,609			$	59,472			$	53,299			$	41,545			$	42,118
	Ratio of net expenses to average net assets(d)			0.18	%			0.18	%			0.18	%			0.18	%			0.19	%
	Ratio of total expenses to average net assets(d)			0.26	%			0.26	%			0.24	%			0.25	%			0.27	%
	Ratio of net investment income to average net assets(b)			2.50	%			2.46	%			2.24	%			2.10	%			2.17	%
	Portfolio turnover rate(e)			40	%			30	%			9	%			19	%			55	%

(a) Calculated based on the average shares outstanding methodology.

(b) Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests.

(c) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares.

(d) Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests.

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

  

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

GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO

 

Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Growth and Income Strategy Portfolio
		Class A Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	13.10			$	16.35			$	15.51			$	14.26			$	12.26
	Net investment income(a)(b)			0.26				0.28				0.36				0.20				0.22
	Net realized and unrealized gain (loss)			1.65				(2.80	)			1.53				1.54				2.06
	Total from investment operations			1.91				(2.52	)			1.89				1.74				2.28
	Distributions to shareholders from net investment income			(0.24	)			(0.50	)			(0.53	)			(0.23	)			(0.28	)
	Distributions to shareholders from net realized gains			—				(0.23	)			(0.52	)			(0.26	)			—
	Total distributions			(0.24	)			(0.73	)			(1.05	)			(0.49	)			(0.28	)
	Net asset value, end of year		$	14.77			$	13.10			$	16.35			$	15.51			$	14.26
	Total return(c)			14.70	%			(15.50	)%			12.27	%			12.29	%			18.60	%
	Net assets, end of year (in 000s)		$	242,239			$	228,850			$	297,996			$	293,868			$	286,721
	Ratio of net expenses to average net assets(d)			0.56	%			0.56	%			0.56	%			0.57	%			0.58	%
	Ratio of total expenses to average net assets(d)			0.61	%			0.61	%			0.59	%			0.62	%			0.64	%
	Ratio of net investment income to average net assets(b)			1.85	%			1.94	%			2.15	%			1.38	%			1.65	%
	Portfolio turnover rate(e)			48	%			29	%			8	%			13	%			61	%

(a) Calculated based on the average shares outstanding methodology.

(b) Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests.

(c) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares.

(d) Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests.

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

  

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

GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO

 

Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Growth and Income Strategy Portfolio
		Class C Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	12.70			$	15.88			$	15.12			$	13.92			$	11.98
	Net investment income(a)(b)			0.14				0.15				0.20				0.06				0.09
	Net realized and unrealized gain (loss)			1.61				(2.71	)			1.53				1.53				2.04
	Total from investment operations			1.75				(2.56	)			1.73				1.59				2.13
	Distributions to shareholders from net investment income			(0.13	)			(0.39	)			(0.45	)			(0.13	)			(0.19	)
	Distributions to shareholders from net realized gains			—				(0.23	)			(0.52	)			(0.26	)			—
	Total distributions			(0.13	)			(0.62	)			(0.97	)			(0.39	)			(0.19	)
	Net asset value, end of year		$	14.32			$	12.70			$	15.88			$	15.12			$	13.92
	Total return(c)			13.88	%			(16.16	)%			11.44	%			11.44	%			17.78	%
	Net assets, end of year (in 000s)		$	5,857			$	6,766			$	10,130			$	13,454			$	19,069
	Ratio of net expenses to average net assets(d)			1.31	%			1.31	%			1.31	%			1.32	%			1.33	%
	Ratio of total expenses to average net assets(d)			1.36	%			1.36	%			1.34	%			1.37	%			1.39	%
	Ratio of net investment income to average net assets(b)			1.04	%			1.08	%			1.23	%			0.45	%			0.66	%
	Portfolio turnover rate(e)			48	%			29	%			8	%			13	%			61	%

(a) Calculated based on the average shares outstanding methodology.

(b) Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests.

(c) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares.

(d) Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests.

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

  

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

GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO

 

Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Growth and Income Strategy Portfolio
		Institutional Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	13.14			$	16.40			$	15.56			$	14.31			$	12.29
	Net investment income(a)(b)			0.31				0.33				0.44				0.25				0.27
	Net realized and unrealized gain (loss)			1.66				(2.81	)			1.52				1.54				2.08
	Total from investment operations			1.97				(2.48	)			1.96				1.79				2.35
	Distributions to shareholders from net investment income			(0.29	)			(0.55	)			(0.60	)			(0.28	)			(0.33	)
	Distributions to shareholders from net realized gains			—				(0.23	)			(0.52	)			(0.26	)			—
	Total distributions			(0.29	)			(0.78	)			(1.12	)			(0.54	)			(0.33	)
	Net asset value, end of year		$	14.82			$	13.14			$	16.40			$	15.56			$	14.31
	Total return(c)			15.14	%			(15.19	)%			12.64	%			12.68	%			19.17	%
	Net assets, end of year (in 000s)		$	333,697			$	331,731			$	443,099			$	364,206			$	371,610
	Ratio of net expenses to average net assets(d)			0.20	%			0.19	%			0.19	%			0.19	%			0.20	%
	Ratio of total expenses to average net assets(d)			0.24	%			0.24	%			0.23	%			0.24	%			0.25	%
	Ratio of net investment income to average net assets(b)			2.20	%			2.29	%			2.65	%			1.77	%			2.01	%
	Portfolio turnover rate(e)			48	%			29	%			8	%			13	%			61	%

(a) Calculated based on the average shares outstanding methodology.

(b) Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests.

(c) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares.

(d) Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests.

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

  

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

GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO

 

Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Growth and Income Strategy Portfolio
		Service Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	13.06			$	16.30			$	15.48			$	14.23			$	12.23
	Net investment income(a)(b)			0.23				0.25				0.34				0.16				0.21
	Net realized and unrealized gain (loss)			1.66				(2.78	)			1.51				1.56				2.05
	Total from investment operations			1.89				(2.53	)			1.85				1.72				2.26
	Distributions to shareholders from net investment income			(0.22	)			(0.48	)			(0.51	)			(0.21	)			(0.26	)
	Distributions to shareholders from net realized gains			—				(0.23	)			(0.52	)			(0.26	)			—
	Total distributions			(0.22	)			(0.71	)			(1.03	)			(0.47	)			(0.26	)
	Net asset value, end of year		$	14.73			$	13.06			$	16.30			$	15.48			$	14.23
	Total return(c)			14.58	%			(15.61	)%			12.03	%			12.18	%			18.51	%
	Net assets, end of year (in 000s)		$	1,723			$	1,851			$	2,755			$	2,669			$	2,920
	Ratio of net expenses to average net assets(d)			0.70	%			0.69	%			0.69	%			0.69	%			0.70	%
	Ratio of total expenses to average net assets(d)			0.74	%			0.74	%			0.73	%			0.74	%			0.75	%
	Ratio of net investment income to average net assets(b)			1.69	%			1.75	%			2.07	%			1.17	%			1.53	%
	Portfolio turnover rate(e)			48	%			29	%			8	%			13	%			61	%

(a) Calculated based on the average shares outstanding methodology.

(b) Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests.

(c) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares.

(d) Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests.

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

  

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

GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO

 

Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Growth and Income Strategy Portfolio
		Investor Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	13.02			$	16.26			$	15.44			$	14.19			$	12.20
	Net investment income(a)(b)			0.32				0.32				0.41				0.23				0.26
	Net realized and unrealized gain (loss)			1.62				(2.80	)			1.51				1.54				2.04
	Total from investment operations			1.94				(2.48	)			1.92				1.77				2.30
	Distributions to shareholders from net investment income			(0.28	)			(0.53	)			(0.58	)			(0.26	)			(0.31	)
	Distributions to shareholders from net realized gains			—				(0.23	)			(0.52	)			(0.26	)			—
	Total distributions			(0.28	)			(0.76	)			(1.10	)			(0.52	)			(0.31	)
	Net asset value, end of year		$	14.68			$	13.02			$	16.26			$	15.44			$	14.19
	Total return(c)			15.01	%			(15.30	)%			12.48	%			12.64	%			18.91	%
	Net assets, end of year (in 000s)		$	13,017			$	7,459			$	8,948			$	7,997			$	7,670
	Ratio of net expenses to average net assets(d)			0.31	%			0.31	%			0.31	%			0.32	%			0.33	%
	Ratio of total expenses to average net assets(d)			0.36	%			0.36	%			0.34	%			0.37	%			0.39	%
	Ratio of net investment income to average net assets(b)			2.28	%			2.24	%			2.50	%			1.64	%			1.92	%
	Portfolio turnover rate(e)			48	%			29	%			8	%			13	%			61	%

(a) Calculated based on the average shares outstanding methodology.

(b) Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests.

(c) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares.

(d) Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests.

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

  

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

GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO

 

Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Growth and Income Strategy Portfolio
		Class R6 Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	13.14			$	16.40			$	15.55			$	14.30			$	12.29
	Net investment income(a)(b)			0.31				0.43				0.32				0.22				0.26
	Net realized and unrealized gain (loss)			1.65				(2.91	)			1.64				1.57				2.08
	Total from investment operations			1.96				(2.48	)			1.96				1.79				2.34
	Distributions to shareholders from net investment income			(0.29	)			(0.55	)			(0.59	)			(0.28	)			(0.33	)
	Distributions to shareholders from net realized gains			—				(0.23	)			(0.52	)			(0.26	)			—
	Total distributions			(0.29	)			(0.78	)			(1.11	)			(0.54	)			(0.33	)
	Net asset value, end of year		$	14.81			$	13.14			$	16.40			$	15.55			$	14.30
	Total return(c)			15.08	%			(15.17	)%			12.69	%			12.70	%			19.10	%
	Net assets, end of year (in 000s)		$	2,201			$	2,162			$	923			$	4,694			$	6,300
	Ratio of net expenses to average net assets(d)			0.19	%			0.18	%			0.18	%			0.18	%			0.19	%
	Ratio of total expenses to average net assets(d)			0.23	%			0.23	%			0.22	%			0.23	%			0.24	%
	Ratio of net investment income to average net assets(b)			2.23	%			3.02	%			1.94	%			1.59	%			1.92	%
	Portfolio turnover rate(e)			48	%			29	%			8	%			13	%			61	%

(a) Calculated based on the average shares outstanding methodology.

(b) Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests.

(c) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares.

(d) Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests.

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

  

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

GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO

 

Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Growth and Income Strategy Portfolio
		Class R Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	12.97			$	16.20			$	15.39			$	14.15			$	12.17
	Net investment income(a)(b)			0.21				0.25				0.31				0.16				0.20
	Net realized and unrealized gain (loss)			1.64				(2.79	)			1.52				1.53				2.02
	Total from investment operations			1.85				(2.54	)			1.83				1.69				2.22
	Distributions to shareholders from net investment income			(0.20	)			(0.46	)			(0.50	)			(0.19	)			(0.24	)
	Distributions to shareholders from net realized gains			—				(0.23	)			(0.52	)			(0.26	)			—
	Total distributions			(0.20	)			(0.69	)			(1.02	)			(0.45	)			(0.24	)
	Net asset value, end of year		$	14.62			$	12.97			$	16.20			$	15.39			$	14.15
	Total return(c)			14.39	%			(15.73	)%			11.94	%			12.05	%			18.30	%
	Net assets, end of year (in 000s)		$	4,230			$	4,346			$	5,579			$	5,270			$	4,991
	Ratio of net expenses to average net assets(d)			0.81	%			0.81	%			0.81	%			0.82	%			0.83	%
	Ratio of total expenses to average net assets(d)			0.86	%			0.86	%			0.84	%			0.87	%			0.89	%
	Ratio of net investment income to average net assets(b)			1.57	%			1.75	%			1.87	%			1.15	%			1.46	%
	Portfolio turnover rate(e)			48	%			29	%			8	%			13	%			61	%

(a) Calculated based on the average shares outstanding methodology.

(b) Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests.

(c) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares.

(d) Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests.

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

  

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

GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO

 

Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Growth and Income Strategy Portfolio
		Class P Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	13.13			$	16.39			$	15.55			$	14.30			$	12.29
	Net investment income(a)(b)			0.31				0.34				0.44				0.26				0.29
	Net realized and unrealized gain (loss)			1.66				(2.82	)			1.52				1.53				2.05
	Total from investment operations			1.97				(2.48	)			1.96				1.79				2.34
	Distributions to shareholders from net investment income			(0.29	)			(0.55	)			(0.60	)			(0.28	)			(0.33	)
	Distributions to shareholders from net realized gains			—				(0.23	)			(0.52	)			(0.26	)			—
	Total distributions			(0.29	)			(0.78	)			(1.12	)			(0.54	)			(0.33	)
	Net asset value, end of year		$	14.81			$	13.13			$	16.39			$	15.55			$	14.30
	Total return(c)			15.17	%			(15.19	)%			12.66	%			12.70	%			19.10	%
	Net assets, end of year (in 000s)		$	238,157			$	218,480			$	260,202			$	228,953			$	212,702
	Ratio of net expenses to average net assets(d)			0.19	%			0.18	%			0.18	%			0.18	%			0.19	%
	Ratio of total expenses to average net assets(d)			0.23	%			0.23	%			0.22	%			0.23	%			0.24	%
	Ratio of net investment income to average net assets(b)			2.23	%			2.38	%			2.62	%			1.80	%			2.12	%
	Portfolio turnover rate(e)			48	%			29	%			8	%			13	%			61	%

(a) Calculated based on the average shares outstanding methodology.

(b) Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests.

(c) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares.

(d) Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests.

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

  

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

GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO

 

Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Growth Strategy Portfolio
		Class A Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	15.44			$	19.62			$	17.88			$	16.18			$	13.73
	Net investment income(a)(b)			0.26				0.32				0.47				0.19				0.25
	Net realized and unrealized gain (loss)			2.42				(3.68	)			2.49				2.07				2.80
	Total from investment operations			2.68				(3.36	)			2.96				2.26				3.05
	Distributions to shareholders from net investment income			(0.25	)			(0.56	)			(0.70	)			(0.21	)			(0.32	)
	Distributions to shareholders from net realized gains			—				(0.26	)			(0.52	)			(0.35	)			(0.28	)
	Total distributions			(0.25	)			(0.82	)			(1.22	)			(0.56	)			(0.60	)
	Net asset value, end of year		$	17.87			$	15.44			$	19.62			$	17.88			$	16.18
	Total return(c)			17.33	%			(17.14	)%			16.54	%			13.96	%			22.24	%
	Net assets, end of year (in 000s)		$	325,376			$	297,896			$	387,436			$	353,363			$	338,384
	Ratio of net expenses to average net assets(d)			0.56	%			0.56	%			0.56	%			0.57	%			0.58	%
	Ratio of total expenses to average net assets(d)			0.61	%			0.61	%			0.60	%			0.64	%			0.65	%
	Ratio of net investment income to average net assets(b)			1.54	%			1.87	%			2.40	%			1.18	%			1.61	%
	Portfolio turnover rate(e)			67	%			27	%			5	%			8	%			69	%

(a) Calculated based on the average shares outstanding methodology.

(b) Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests.

(c) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares.

(d) Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests.

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

  

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

GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO

 

Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Growth Strategy Portfolio
		Class C Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	15.85			$	20.09			$	18.27			$	16.51			$	13.98
	Net investment income(a)(b)			0.12				0.18				0.29				0.05				0.10
	Net realized and unrealized gain (loss)			2.49				(3.74	)			2.57				2.11				2.87
	Total from investment operations			2.61				(3.56	)			2.86				2.16				2.97
	Distributions to shareholders from net investment income			(0.08	)			(0.42	)			(0.52	)			(0.05	)			(0.16	)
	Distributions to shareholders from net realized gains			—				(0.26	)			(0.52	)			(0.35	)			(0.28	)
	Total distributions			(0.08	)			(0.68	)			(1.04	)			(0.40	)			(0.44	)
	Net asset value, end of year		$	18.38			$	15.85			$	20.09			$	18.27			$	16.51
	Total return(c)			16.47	%			(17.76	)%			15.67	%			13.10	%			21.31	%
	Net assets, end of year (in 000s)		$	12,068			$	13,496			$	19,334			$	22,590			$	29,424
	Ratio of net expenses to average net assets(d)			1.31	%			1.31	%			1.31	%			1.32	%			1.33	%
	Ratio of total expenses to average net assets(d)			1.36	%			1.36	%			1.35	%			1.39	%			1.40	%
	Ratio of net investment income to average net assets(b)			0.71	%			1.03	%			1.44	%			0.28	%			0.64	%
	Portfolio turnover rate(e)			67	%			27	%			5	%			8	%			69	%

(a) Calculated based on the average shares outstanding methodology.

(b) Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests.

(c) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares.

(d) Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests.

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

  

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

GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO

 

Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Growth Strategy Portfolio
		Institutional Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	15.42			$	19.61			$	17.86			$	16.17			$	13.72
	Net investment income(a)(b)			0.32				0.38				0.57				0.25				0.24
	Net realized and unrealized gain (loss)			2.43				(3.68	)			2.47				2.06				2.87
	Total from investment operations			2.75				(3.30	)			3.04				2.31				3.11
	Distributions to shareholders from net investment income			(0.31	)			(0.63	)			(0.77	)			(0.27	)			(0.38	)
	Distributions to shareholders from net realized gains			—				(0.26	)			(0.52	)			(0.35	)			(0.28	)
	Total distributions			(0.31	)			(0.89	)			(1.29	)			(0.62	)			(0.66	)
	Net asset value, end of year		$	17.86			$	15.42			$	19.61			$	17.86			$	16.17
	Total return(c)			17.83	%			(16.87	)%			17.03	%			14.29	%			22.77	%
	Net assets, end of year (in 000s)		$	211,831			$	195,963			$	249,377			$	169,166			$	147,389
	Ratio of net expenses to average net assets(d)			0.20	%			0.19	%			0.19	%			0.19	%			0.20	%
	Ratio of total expenses to average net assets(d)			0.25	%			0.24	%			0.23	%			0.26	%			0.26	%
	Ratio of net investment income to average net assets(b)			1.91	%			2.24	%			2.88	%			1.58	%			1.59	%
	Portfolio turnover rate(e)			67	%			27	%			5	%			8	%			69	%

(a) Calculated based on the average shares outstanding methodology.

(b) Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests.

(c) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares.

(d) Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests.

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

  

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

GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO

 

Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Growth Strategy Portfolio
		Service Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	15.39			$	19.56			$	17.83			$	16.13			$	13.69
	Net investment income(a)(b)			0.23				0.29				0.46				0.15				0.22
	Net realized and unrealized gain (loss)			2.42				(3.66	)			2.46				2.08				2.80
	Total from investment operations			2.65				(3.37	)			2.92				2.23				3.02
	Distributions to shareholders from net investment income			(0.22	)			(0.54	)			(0.67	)			(0.18	)			(0.30	)
	Distributions to shareholders from net realized gains			—				(0.26	)			(0.52	)			(0.35	)			(0.28	)
	Total distributions			(0.22	)			(0.80	)			(1.19	)			(0.53	)			(0.58	)
	Net asset value, end of year		$	17.82			$	15.39			$	19.56			$	17.83			$	16.13
	Total return(c)			17.23	%			(17.27	)%			16.41	%			13.81	%			22.10	%
	Net assets, end of year (in 000s)		$	2,277			$	1,764			$	2,413			$	2,120			$	2,266
	Ratio of net expenses to average net assets(d)			0.70	%			0.69	%			0.69	%			0.69	%			0.70	%
	Ratio of total expenses to average net assets(d)			0.75	%			0.74	%			0.73	%			0.76	%			0.77	%
	Ratio of net investment income to average net assets(b)			1.41	%			1.70	%			2.36	%			0.94	%			1.47	%
	Portfolio turnover rate(e)			67	%			27	%			5	%			8	%			69	%

(a) Calculated based on the average shares outstanding methodology.

(b) Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests.

(c) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares.

(d) Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests.

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

  

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

GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO

 

Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Growth Strategy Portfolio
		Investor Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	15.18			$	19.29			$	17.60			$	15.93			$	13.53
	Net investment income(a)(b)			0.28				0.34				0.75				0.22				0.28
	Net realized and unrealized gain (loss)			2.40				(3.60	)			2.21				2.05				2.76
	Total from investment operations			2.68				(3.26	)			2.96				2.27				3.04
	Distributions to shareholders from net investment income			(0.28	)			(0.59	)			(0.75	)			(0.25	)			(0.36	)
	Distributions to shareholders from net realized gains			—				(0.26	)			(0.52	)			(0.35	)			(0.28	)
	Total distributions			(0.28	)			(0.85	)			(1.27	)			(0.60	)			(0.64	)
	Net asset value, end of year		$	17.58			$	15.18			$	19.29			$	17.60			$	15.93
	Total return(c)			17.67	%			(16.92	)%			16.86	%			14.24	%			22.50	%
	Net assets, end of year (in 000s)		$	12,556			$	10,006			$	13,836			$	7,004			$	7,204
	Ratio of net expenses to average net assets(d)			0.31	%			0.31	%			0.31	%			0.32	%			0.33	%
	Ratio of total expenses to average net assets(d)			0.36	%			0.36	%			0.35	%			0.39	%			0.40	%
	Ratio of net investment income to average net assets(b)			1.73	%			2.02	%			3.83	%			1.38	%			1.85	%
	Portfolio turnover rate(e)			67	%			27	%			5	%			8	%			69	%

(a) Calculated based on the average shares outstanding methodology.

(b) Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests.

(c) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares.

(d) Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests.

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

  

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

GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO

 

Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Growth Strategy Portfolio
		Class R6 Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	15.43			$	19.62			$	17.87			$	16.17			$	13.72
	Net investment income(a)(b)			0.32				0.42				0.55				0.21				0.31
	Net realized and unrealized gain (loss)			2.43				(3.72	)			2.49				2.11				2.80
	Total from investment operations			2.75				(3.30	)			3.04				2.32				3.11
	Distributions to shareholders from net investment income			(0.31	)			(0.63	)			(0.77	)			(0.27	)			(0.38	)
	Distributions to shareholders from net realized gains			—				(0.26	)			(0.52	)			(0.35	)			(0.28	)
	Total distributions			(0.31	)			(0.89	)			(1.29	)			(0.62	)			(0.66	)
	Net asset value, end of year		$	17.87			$	15.43			$	19.62			$	17.87			$	16.17
	Total return(c)			17.76	%			(16.85	)%			17.02	%			14.35	%			22.72	%
	Net assets, end of year (in 000s)		$	8,211			$	7,255			$	6,263			$	6,792			$	7,554
	Ratio of net expenses to average net assets(d)			0.19	%			0.18	%			0.18	%			0.18	%			0.19	%
	Ratio of total expenses to average net assets(d)			0.24	%			0.24	%			0.22	%			0.25	%			0.26	%
	Ratio of net investment income to average net assets(b)			1.92	%			2.48	%			2.79	%			1.31	%			2.00	%
	Portfolio turnover rate(e)			67	%			27	%			5	%			8	%			69	%

(a) Calculated based on the average shares outstanding methodology.

(b) Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests.

(c) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares.

(d) Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests.

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

  

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

GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO

 

Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Growth Strategy Portfolio
		Class R Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	14.93			$	19.01			$	17.36			$	15.74			$	13.37
	Net investment income(a)(b)			0.21				0.26				0.44				0.15				0.20
	Net realized and unrealized gain (loss)			2.34				(3.56	)			2.39				1.99				2.73
	Total from investment operations			2.55				(3.30	)			2.83				2.14				2.93
	Distributions to shareholders from net investment income			(0.21	)			(0.52	)			(0.66	)			(0.17	)			(0.28	)
	Distributions to shareholders from net realized gains			—				(0.26	)			(0.52	)			(0.35	)			(0.28	)
	Total distributions			(0.21	)			(0.78	)			(1.18	)			(0.52	)			(0.56	)
	Net asset value, end of year		$	17.27			$	14.93			$	19.01			$	17.36			$	15.74
	Total return(c)			17.07	%			(17.38	)%			16.31	%			13.61	%			21.98	%
	Net assets, end of year (in 000s)		$	6,350			$	5,492			$	7,788			$	6,353			$	6,400
	Ratio of net expenses to average net assets(d)			0.81	%			0.81	%			0.81	%			0.82	%			0.83	%
	Ratio of total expenses to average net assets(d)			0.86	%			0.86	%			0.85	%			0.89	%			0.90	%
	Ratio of net investment income to average net assets(b)			1.31	%			1.58	%			2.31	%			0.94	%			1.36	%
	Portfolio turnover rate(e)			67	%			27	%			5	%			8	%			69	%

(a) Calculated based on the average shares outstanding methodology.

(b) Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests.

(c) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares.

(d) Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests.

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

  

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

GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO

 

Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Growth Strategy Portfolio
		Class P Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	15.43			$	19.62			$	17.87			$	16.17			$	13.72
	Net investment income(a)(b)			0.32				0.39				0.59				0.26				0.32
	Net realized and unrealized gain (loss)			2.43				(3.69	)			2.45				2.06				2.79
	Total from investment operations			2.75				(3.30	)			3.04				2.32				3.11
	Distributions to shareholders from net investment income			(0.31	)			(0.63	)			(0.77	)			(0.27	)			(0.38	)
	Distributions to shareholders from net realized gains			—				(0.26	)			(0.52	)			(0.35	)			(0.28	)
	Total distributions			(0.31	)			(0.89	)			(1.29	)			(0.62	)			(0.66	)
	Net asset value, end of year		$	17.87			$	15.43			$	19.62			$	17.87			$	16.17
	Total return(c)			17.83	%			(16.85	)%			17.03	%			14.36	%			22.72	%
	Net assets, end of year (in 000s)		$	270,227			$	230,411			$	277,169			$	207,786			$	183,763
	Ratio of net expenses to average net assets(d)			0.19	%			0.18	%			0.18	%			0.18	%			0.19	%
	Ratio of total expenses to average net assets(d)			0.24	%			0.23	%			0.22	%			0.25	%			0.26	%
	Ratio of net investment income to average net assets(b)			1.93	%			2.26	%			2.98	%			1.62	%			2.08	%
	Portfolio turnover rate(e)			67	%			27	%			5	%			8	%			69	%

(a) Calculated based on the average shares outstanding methodology.

(b) Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests.

(c) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares.

(d) Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests.

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

  

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

GOLDMAN SACHS SATELLITE STRATEGIES PORTFOLIO

 

Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Satellite Strategies Portfolio
		Class A Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	7.32			$	8.95			$	8.56			$	8.45			$	7.38
	Net investment income(a)(b)			0.24				0.23				0.22				0.15				0.27
	Net realized and unrealized gain (loss)			0.48				(1.59	)			0.48				0.11				1.08
	Total from investment operations			0.72				(1.36	)			0.70				0.26				1.35
	Distributions to shareholders from net investment income			(0.26	)			(0.26	)			(0.31	)			(0.15	)			(0.28	)
	Distributions to shareholders from return of capital			(0.01	)			(0.01	)			—	(c)			—				—
	Total distributions			(0.27	)			(0.27	)			(0.31	)			(0.15	)			(0.28	)
	Net asset value, end of year		$	7.77			$	7.32			$	8.95			$	8.56			$	8.45
	Total return(d)			9.96	%			(15.19	)%			8.20	%			3.40	%			18.38	%
	Net assets, end of year (in 000s)		$	27,811			$	32,203			$	46,066			$	46,265			$	46,921
	Ratio of net expenses to average net assets(e)			0.54	%			0.54	%			0.54	%			0.55	%			0.56	%
	Ratio of total expenses to average net assets(e)			1.00	%			0.88	%			0.75	%			0.75	%			0.66	%
	Ratio of net investment income to average net assets(b)			3.15	%			2.95	%			2.42	%			1.90	%			3.30	%
	Portfolio turnover rate(f)			18	%			25	%			33	%			5	%			6	%

(a) Calculated based on the average shares outstanding methodology.

(b) Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests.

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

(d) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares.

(e) Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests.

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

  

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

GOLDMAN SACHS SATELLITE STRATEGIES PORTFOLIO

 

Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

	Goldman Sachs Satellite Strategies Portfolio
	Class C Shares
	Year Ended December 31,
	2023				2022				2021				2020				2019
Per Share Data
Net asset value, beginning of year		$	7.33			$	8.95			$	8.54			$	8.42			$	7.34
Net investment income(a)(b)			0.15				0.15				0.12				0.07				0.16
Net realized and unrealized gain (loss)			0.52				(1.57	)			0.51				0.13				1.12
Total from investment operations			0.67				(1.42	)			0.63				0.20				1.28
Distributions to shareholders from net investment income			(0.19	)			(0.19	)			(0.22	)			(0.08	)			(0.20	)
Distributions to shareholders from return of capital			(0.01	)			(0.01	)			—	(c)			—				—
Total distributions			(0.20	)			(0.20	)			(0.22	)			(0.08	)			(0.20	)
Net asset value, end of year		$	7.80			$	7.33			$	8.95			$	8.54			$	8.42
Total return(d)			9.26	%			(15.83	)%			7.39	%			2.59	%			17.55	%
Net assets, end of year (in 000s)		$	515			$	1,014			$	2,209			$	5,772			$	16,235
Ratio of net expenses to average net assets(e)			1.29	%			1.29	%			1.28	%			1.30	%			1.31	%
Ratio of total expenses to average net assets(e)			1.74	%			1.62	%			1.49	%			1.49	%			1.40	%
Ratio of net investment income to average net assets(b)			2.02	%			1.87	%			1.33	%			0.95	%			2.01	%
Portfolio turnover rate(f)			18	%			25	%			33	%			5	%			6	%

(a) Calculated based on the average shares outstanding methodology.

(b) Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests.

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

(d) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares.

(e) Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests.

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

  

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

GOLDMAN SACHS SATELLITE STRATEGIES PORTFOLIO

 

Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Satellite Strategies Portfolio
		Institutional Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	7.29			$	8.92			$	8.54			$	8.43			$	7.36
	Net investment income(a)(b)			0.25				0.26				0.23				0.17				0.27
	Net realized and unrealized gain (loss)			0.51				(1.59	)			0.49				0.12				1.11
	Total from investment operations			0.76				(1.33	)			0.72				0.29				1.38
	Distributions to shareholders from net investment income			(0.29	)			(0.28	)			(0.34	)			(0.18	)			(0.31	)
	Distributions to shareholders from return of capital			(0.01	)			(0.02	)			—	(c)			—				—
	Total distributions			(0.30	)			(0.30	)			(0.34	)			(0.18	)			(0.31	)
	Net asset value, end of year		$	7.75			$	7.29			$	8.92			$	8.54			$	8.43
	Total return(d)			10.55	%			(14.92	)%			8.49	%			3.81	%			18.86	%
	Net assets, end of year (in 000s)		$	26,627			$	37,888			$	58,742			$	99,006			$	194,783
	Ratio of net expenses to average net assets(e)			0.18	%			0.17	%			0.17	%			0.17	%			0.18	%
	Ratio of total expenses to average net assets(e)			0.63	%			0.51	%			0.38	%			0.36	%			0.27	%
	Ratio of net investment income to average net assets(b)			3.39	%			3.24	%			2.62	%			2.19	%			3.38	%
	Portfolio turnover rate(f)			18	%			25	%			33	%			5	%			6	%

(a) Calculated based on the average shares outstanding methodology.

(b) Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests.

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

(d) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares.

(e) Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests.

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

  

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

GOLDMAN SACHS SATELLITE STRATEGIES PORTFOLIO

 

Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Satellite Strategies Portfolio
		Service Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	7.31			$	8.94			$	8.56			$	8.44			$	7.37
	Net investment income(a)(b)			0.24				0.23				0.21				0.13				0.25
	Net realized and unrealized gain (loss)			0.48				(1.60	)			0.47				0.13				1.09
	Total from investment operations			0.72				(1.37	)			0.68				0.26				1.34
	Distributions to shareholders from net investment income			(0.25	)			(0.25	)			(0.30	)			(0.14	)			(0.27	)
	Distributions to shareholders from return of capital			(0.01	)			(0.01	)			—	(c)			—				—
	Total distributions			(0.26	)			(0.26	)			(0.30	)			(0.14	)			(0.27	)
	Net asset value, end of year		$	7.77			$	7.31			$	8.94			$	8.56			$	8.44
	Total return(d)			9.98	%			(15.32	)%			7.94	%			3.32	%			18.25	%
	Net assets, end of year (in 000s)		$	123			$	116			$	137			$	128			$	258
	Ratio of net expenses to average net assets(e)			0.68	%			0.67	%			0.67	%			0.67	%			0.68	%
	Ratio of total expenses to average net assets(e)			1.14	%			1.01	%			0.88	%			0.86	%			0.78	%
	Ratio of net investment income to average net assets(b)			3.17	%			2.96	%			2.34	%			1.62	%			3.13	%
	Portfolio turnover rate(f)			18	%			25	%			33	%			5	%			6	%

(a) Calculated based on the average shares outstanding methodology.

(b) Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests.

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

(d) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares.

(e) Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests.

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

  

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

GOLDMAN SACHS SATELLITE STRATEGIES PORTFOLIO

 

Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Satellite Strategies Portfolio
		Investor Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	7.29			$	8.92			$	8.53			$	8.43			$	7.36
	Net investment income(a)(b)			0.25				0.24				0.23				0.16				0.27
	Net realized and unrealized gain (loss)			0.50				(1.58	)			0.49				0.11				1.10
	Total from investment operations			0.75				(1.34	)			0.72				0.27				1.37
	Distributions to shareholders from net investment income			(0.28	)			(0.27	)			(0.33	)			(0.17	)			(0.30	)
	Distributions to shareholders from return of capital			(0.01	)			(0.02	)			—	(c)			—				—
	Total distributions			(0.29	)			(0.29	)			(0.33	)			(0.17	)			(0.30	)
	Net asset value, end of year		$	7.75			$	7.29			$	8.92			$	8.53			$	8.43
	Total return(d)			10.42	%			(15.03	)%			8.50	%			3.55	%			18.71	%
	Net assets, end of year (in 000s)		$	8,014			$	9,424			$	15,372			$	18,816			$	22,706
	Ratio of net expenses to average net assets(e)			0.29	%			0.29	%			0.29	%			0.30	%			0.32	%
	Ratio of total expenses to average net assets(e)			0.75	%			0.63	%			0.50	%			0.50	%			0.41	%
	Ratio of net investment income to average net assets(b)			3.39	%			3.08	%			2.62	%			2.12	%			3.39	%
	Portfolio turnover rate(f)			18	%			25	%			33	%			5	%			6	%

(a) Calculated based on the average shares outstanding methodology.

(b) Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests.

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

(d) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares.

(e) Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests.

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

  

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

GOLDMAN SACHS SATELLITE STRATEGIES PORTFOLIO

 

Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Satellite Strategies Portfolio
		Class R6 Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	7.30			$	8.93			$	8.55			$	8.44			$	7.36
	Net investment income(a)(b)			0.22				0.30				0.25				0.14				0.29
	Net realized and unrealized gain (loss)			0.54				(1.63	)			0.47				0.15				1.10
	Total from investment operations			0.76				(1.33	)			0.72				0.29				1.39
	Distributions to shareholders from net investment income			(0.29	)			(0.28	)			(0.34	)			(0.18	)			(0.31	)
	Distributions to shareholders from return of capital			(0.01	)			(0.02	)			—	(c)			—				—
	Total distributions			(0.30	)			(0.30	)			(0.34	)			(0.18	)			(0.31	)
	Net asset value, end of year		$	7.76			$	7.30			$	8.93			$	8.55			$	8.44
	Total return(d)			10.54	%			(14.89	)%			8.50	%			3.79	%			19.02	%
	Net assets, end of year (in 000s)		$	606			$	1,900			$	812			$	815			$	45,956
	Ratio of net expenses to average net assets(e)			0.17	%			0.16	%			0.16	%			0.16	%			0.17	%
	Ratio of total expenses to average net assets(e)			0.61	%			0.51	%			0.37	%			0.33	%			0.26	%
	Ratio of net investment income to average net assets(b)			2.92	%			3.93	%			2.76	%			1.79	%			3.59	%
	Portfolio turnover rate(f)			18	%			25	%			33	%			5	%			6	%

(a) Calculated based on the average shares outstanding methodology.

(b) Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests.

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

(d) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares.

(e) Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests.

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

  

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

GOLDMAN SACHS SATELLITE STRATEGIES PORTFOLIO

 

Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Satellite Strategies Portfolio
		Class R Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	7.29			$	8.92			$	8.53			$	8.42			$	7.35
	Net investment income(a)(b)			0.23				0.23				0.19				0.12				0.23
	Net realized and unrealized gain (loss)			0.48				(1.61	)			0.48				0.12				1.09
	Total from investment operations			0.71				(1.38	)			0.67				0.24				1.32
	Distributions to shareholders from net investment income			(0.24	)			(0.24	)			(0.28	)			(0.13	)			(0.25	)
	Distributions to shareholders from return of capital			(0.01	)			(0.01	)			—	(c)			—				—
	Total distributions			(0.25	)			(0.25	)			(0.28	)			(0.13	)			(0.25	)
	Net asset value, end of year		$	7.75			$	7.29			$	8.92			$	8.53			$	8.42
	Total return(d)			9.85	%			(15.46	)%			7.93	%			3.09	%			18.12	%
	Net assets, end of year (in 000s)		$	469			$	476			$	554			$	724			$	1,140
	Ratio of net expenses to average net assets(e)			0.79	%			0.79	%			0.79	%			0.80	%			0.81	%
	Ratio of total expenses to average net assets(e)			1.25	%			1.13	%			1.00	%			0.99	%			0.91	%
	Ratio of net investment income to average net assets(b)			3.05	%			2.87	%			2.08	%			1.56	%			2.88	%
	Portfolio turnover rate(f)			18	%			25	%			33	%			5	%			6	%

(a) Calculated based on the average shares outstanding methodology.

(b) Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests.

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

(d) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares.

(e) Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests.

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

  

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

GOLDMAN SACHS SATELLITE STRATEGIES PORTFOLIO

 

Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Satellite Strategies Portfolio
		Class P Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of period		$	7.31			$	8.93			$	8.55			$	8.44			$	7.37
	Net investment income(a)(b)			0.28				0.25				0.25				0.18				0.30
	Net realized and unrealized gain (loss)			0.47				(1.57	)			0.47				0.11				1.08
	Total from investment operations			0.75				(1.32	)			0.72				0.29				1.38
	Distributions to shareholders from net investment income			(0.29	)			(0.29	)			(0.34	)			(0.18	)			(0.31	)
	Distributions to shareholders from return of capital			(0.01	)			(0.01	)			—	(c)			—				—
	Total distributions			(0.30	)			(0.30	)			(0.34	)			(0.18	)			(0.31	)
	Net asset value, end of period		$	7.76			$	7.31			$	8.93			$	8.55			$	8.44
	Total return(d)			10.39	%			(14.78	)%			8.49	%			3.82	%			18.85	%
	Net assets, end of period (in 000s)		$	1,506			$	1,380			$	3,111			$	3,743			$	3,722
	Ratio of net expenses to average net assets(e)			0.17	%			0.16	%			0.16	%			0.16	%			0.17	%
	Ratio of total expenses to average net assets(e)			0.63	%			0.50	%			0.37	%			0.36	%			0.27	%
	Ratio of net investment income to average net assets(b)			3.69	%			3.17	%			2.80	%			2.31	%			3.70	%
	Portfolio turnover rate(f)			18	%			25	%			33	%			5	%			6	%

(a) Calculated based on the average shares outstanding methodology.

(b) Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests.

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

(d) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares.

(e) Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests.

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

  

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

GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS

 

 

Notes to Financial Statements

December 31, 2023

 

 

  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 “Portfolios” or individually a “Portfolio”), along with their corresponding share classes and respective diversification status under the Act:

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

Class A Shares are sold with a front-end sales charge of up to 5.50%. Class C Shares are sold with a contingent deferred sales charge (“CDSC”) of 1.00%, which is imposed on redemptions made within 12 months of purchase. Institutional, Service, Investor, Class R6, Class R and Class P Shares are not subject to a sales charge.

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

The Portfolios are expected to invest primarily in a combination of domestic and international equity and fixed income underlying funds that currently exist or that may become available for investment in the future for which GSAM or an affiliate now or in the future acts as investment adviser or principal underwriter without considering or canvassing the universe of unaffiliated funds available, and may also invest in unaffiliated exchange-traded funds (“ETFs”) (collectively, the “Underlying Funds”).

  2. SIGNIFICANT ACCOUNTING POLICIES

The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions. Each Fund is an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies.

A. Investment Valuation — The valuation policy of the Portfolios and Underlying Funds is to value investments at fair value.

B. Investment Income and Investments — Investment income includes interest income, dividend income and securities lending income, if any. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the securities received. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Income distributions are recognized as capital gains or income in the financial statements in accordance with the character that is distributed.

For derivative contracts, unrealized gains and losses are recorded daily and become realized gains and losses upon disposition or termination of the contract.

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

Expenses included in the accompanying financial statements reflect the expenses of each Portfolio and do not include any expenses associated with the Underlying Funds. Because the Underlying Funds have varied expense and fee levels and the Portfolios may own different proportions of the Underlying Funds at different times, the amount of fees and expenses incurred indirectly by each Portfolio will vary.

  

75

GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS

 

 

Notes to Financial Statements (continued)

December 31, 2023

 

 

 

  2. SIGNIFICANT ACCOUNTING POLICIES (continued)

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

Portfolio	Income Distributions Declared/Paid	Capital Gains Distributions Declared/Paid
Balanced Strategy, Growth and Income Strategy, and Satellite Strategies	Quarterly	Annually
Growth Strategy	Annually	Annually

Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.

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

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

  3. INVESTMENTS AND FAIR VALUE MEASUREMENTS

U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the Portfolios’ policy is to use the market approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:

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

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

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

  

76

GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS

 

 

 

 

 

 

  3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Portfolios, including investments for which market quotations are not readily available. With respect to the Portfolios’ investments that do not have readily available market quotations, the Trustees have designated GSAM as the valuation designee to perform fair valuations pursuant to Rule 2a-5 under the Investment Company Act of 1940 (the “Valuation Designee”). GSAM has day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Portfolios’ investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.

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

Underlying Funds (including Money Market Funds) — Investments in the Underlying Funds (except ETFs) are valued at the NAV per share on the day of valuation. Because the Portfolios invest primarily in other mutual funds that fluctuate in value, the Portfolios’ shares will correspondingly fluctuate in value. These investments are generally classified as Level 1 of the fair value hierarchy. For information regarding an Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.

Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. A Portfolio enters into derivative transactions to hedge against changes in interest rates, securities prices, and/or currency exchange rates, to increase total return, or to gain access to certain markets or attain exposure to other underliers. For financial reporting purposes, cash collateral that has been pledged to cover obligations of a Portfolio and cash collateral received, if any, is reported separately on the Statements of Assets and Liabilities as either due to broker/receivable for collateral on certain derivative contracts. Non-cash collateral pledged by a Portfolio, if any, is noted in the Schedules of Investments.

Exchange-traded derivatives, including futures and options contracts, are generally valued at the last sale or settlement price on the exchange where they are principally traded. Exchange-traded options without settlement prices are generally valued at the midpoint of the bid and ask prices on the exchange where they are principally traded (or, in the absence of two-way trading, at the last bid price for long positions and the last ask price for short positions). Exchange-traded derivatives typically fall within Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.

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

A forward foreign currency exchange contract is a forward contract in which the Portfolio agrees to receive or deliver a fixed quantity of one currency for another, at a pre-determined price at a future date. All forward foreign currency exchange contracts are marked to market daily by using the outright forward rates or interpolating based upon maturity dates, where available. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency.

  

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Notes to Financial Statements (continued)

December 31, 2023

 

 

 

  3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

ii. Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security. Upon entering into a futures contract, a Portfolio deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by a Portfolio equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.

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

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

iv. Swap Contracts — Bilateral swap contracts are agreements in which a Portfolio and a counterparty agree to exchange periodic payments on a specified notional amount or make a net payment upon termination. Bilateral swap transactions are privately negotiated in the OTC market and payments are settled through direct payments between a Portfolio and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing. These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”) (“centrally cleared swaps”), in which case all payments are settled with the CCP through the DCM. Swaps are marked-to-market daily using pricing vendor quotations, counterparty or clearinghouse prices or model prices, and the change in value, if any, is recorded as an unrealized gain or loss. Upon entering into a swap contract, a Portfolio is required to satisfy an initial margin requirement by delivering cash or securities to the counterparty (or in some cases, segregated in a triparty account on behalf of the counterparty), which can be adjusted by any mark-to-market gains or losses pursuant to bilateral or centrally cleared arrangements. For centrally cleared swaps the daily change in valuation, if any, is recorded as a receivable or payable for variation margin.

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

B. Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Portfolio’s investments may be determined under the Valuation Procedures. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining the Portfolio’s NAV. To the extent investments are valued using single source broker quotations obtained directly from the broker or passed through from third party pricing vendors, such investments are classified as Level 3 investments.

  

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  3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

C. Fair Value Hierarchy — The following is a summary of the Portfolios’ investments and derivatives classified in the fair value hierarchy as of December 31, 2023:

BALANCED STRATEGY

Investment Type	Level 1				Level 2				Level 3
Assets
Underlying Funds
Dynamic	$	10,259,750			$	—			$	—
Equity		79,659,797				—				—
Exchange Traded Funds		198,057,011				—				—
Fixed Income		219,093,286				—				—
Investment Company		20,126,549				—				—
Total	$	527,196,393			$	—			$	—
Derivative Type
Assets
Centrally Cleared Interest Rate Swap Contracts(a)	$	—			$	50,635			$	—
Futures Contracts(a)		1,116,143				—				—
Purchased option contracts		1,733,706				38,236				—
Total	$	2,849,849			$	88,871			$	—
Liabilities
Forward Foreign Currency Exchange Contracts(a)	$	—			$	(364,391	)		$	—
Written option contracts		(175,550	)			—				—
Total	$	(175,550	)		$	(364,391	)		$	—
(a)   Amount shown represents unrealized gain (loss) at period end.
GROWTH AND INCOME STRATEGY
Investment Type	Level 1				Level 2				Level 3
Assets
Underlying Funds
Dynamic	$	16,024,317			$	—			$	—
Equity		161,404,833				—				—
Exchange Traded Funds		437,336,733				—				—
Fixed Income		173,186,343				—				—
Investment Company		30,119,753				—				—
Total	$	818,071,979			$	—			$	—

  

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Notes to Financial Statements (continued)

December 31, 2023

 

 

 

  3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

GROWTH AND INCOME STRATEGY (continued)

Derivative Type	Level 1				Level 2				Level 3
Assets
Centrally Cleared Interest Rate Swap Contracts(a)	$	—			$	65,292			$	—
Futures Contracts(a)		1,309,096				—				—
Purchased option contracts		2,628,163				48,431				—
Total	$	3,937,259			$	113,723			$	—
Liabilities
Forward Foreign Currency Exchange Contracts(a)	$	—			$	(652,307	)		$	—
Written option contracts		(443,500	)			—				—
Total	$	(443,500	)		$	(652,307	)		$	—
(a)   Amount shown represents unrealized gain (loss) at period end.
GROWTH STRATEGY
Investment Type	Level 1				Level 2				Level 3
Assets
Underlying Funds
Dynamic	$	16,252,144			$	—			$	—
Equity		207,486,960				—				—
Exchange Traded Funds		546,867,541				—				—
Fixed Income		27,282,654				—				—
Investment Company		26,040,624				—				—
Total	$	823,929,923			$	—			$	—
Derivative Type
Assets
Centrally Cleared Interest Rate Swap Contracts(a)	$	—			$	49,302			$	—
Futures Contracts(a)		1,318,058				—				—
Purchased option contracts		3,151,925				36,961				—
Total	$	4,469,983			$	86,263			$	—
Liabilities
Forward Foreign Currency Exchange Contracts(a)	$	—			$	(581,233	)		$	—
Written option contracts		(580,845	)			—				—
Total	$	(580,845	)		$	(581,233	)		$	—
(a) Amount shown represents unrealized gain (loss) at period end.

  

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  3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

SATELLITE STRATEGIES

Investment Type	Level 1		Level 2		Level 3
Assets
Underlying Funds
Equity		$39,088,304		$  —		$  —
Exchange Traded Funds		4,571,366		—		—
Fixed Income		21,849,778		—		—
Total		$65,509,448		$  —		$  —

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

  4. INVESTMENTS IN DERIVATIVES

The following tables set forth, by certain risk types, the gross value of derivative contracts (not considered to be hedging instruments for accounting disclosure purposes) as of December 31, 2023. These instruments were used as part of the Portfolios’ investment strategies and to obtain and/or manage exposure related to the risks below. The values in the tables below exclude the effects of cash collateral received or posted pursuant to these derivative contracts, and therefore are not representative of the Portfolios’ net exposure.

Balanced Strategy

Risk	Statements of Assets and Liabilities	Assets	Statements of Assets and Liabilities	Liabilities
Currency	—	$  —	Payable for unrealized loss on forward foreign currency exchange contracts		$  (364,391	)
Equity	Variation margin on futures contracts; Purchased options, at value	694,862(a)	Payable for unrealized loss on swap contracts; Written options, at value		(175,550	)
Interest rate	Variation margin on futures contracts; Variation margin on swap contracts; Purchased options, at value	2,243,858(a)	—		—
Total		$2,938,720			$(539,941	)
Growth and Income Strategy
Risk	Statements of Assets and Liabilities	Assets	Statements of Assets and Liabilities	Liabilities
Currency	—	$   —	Payable for unrealized loss on forward foreign currency exchange contracts		$ (652,307	)
Equity	Variation margin on futures contracts; Purchased options, at value	641,555(a)	Written options, at value		(443,500	)
Interest rate	Variation margin on futures contracts; Variation margin on swap contracts; Purchased options, at value	3,409,427(a)	—		—
Total		$4,050,982			$(1,095,807	)

  

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Notes to Financial Statements (continued)

December 31, 2023

 

 

 

 4. INVESTMENTS IN DERIVATIVES (continued)

Growth Strategy

Risk	Statements of Assets and Liabilities	Assets	Statements of Assets and Liabilities	Liabilities
Currency	—	$   —	Payable for unrealized loss on forward foreign currency exchange contracts		$ (581,233	)
Equity	Variation margin on futures contracts; Purchased options, at value	631,924(a)	Written options, at value		(580,845	)
Interest rate	Receivable for unrealized gain on swap contracts; Variation margin on futures contracts	3,924,322(a)	—		—
Total		$4,556,246			$(1,162,078	)

(a) Includes unrealized gain (loss) on futures contracts described in the Additional Investment Information sections of the Schedules of Investments. Only the variation margin as of December 31, 2023 is reported within the Statements of Assets and Liabilities.

The following tables set forth, by certain risk types, the Portfolios’ gains (losses) related to these derivatives and their indicative volumes for the fiscal year ended December 31, 2023. These gains (losses) should be considered in the context that these derivative contracts may have been executed to create investment opportunities and/or economically hedge certain investments, and accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statements of Operations:

Balanced Strategy

Risk	Statements of Operations	Net Realized Gain (Loss)			Net Change in Unrealized Gain (Loss)
Currency	Net realized gain from forward foreign currency exchange contracts /Net change in unrealized gain on forward foreign currency exchange contracts		$  (23,188	)		$ 264,803
Equity	Net realized gain (loss) from futures contracts, purchased option and written option contracts/Net change in unrealized gain on swap contracts, futures contracts purchased option and written option contracts		3,246,851			1,910,471
Interest rate	Net realized gain from futures contracts and purchased options /Net change in unrealized gain on futures contracts and purchased options		(3,178,610	)		1,204,895
Total			$  45,053			$3,380,169

  

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  4. INVESTMENTS IN DERIVATIVES (continued)

Growth and Income Strategy

Risk	Statements of Operations	Net Realized Gain (Loss)			Net Change in Unrealized Gain (Loss)
Currency	Net realized gain from forward foreign currency exchange contracts and purchased options /Net change in unrealized gain on forward foreign currency exchange contracts, purchased options and written options		$  248,155			$  372,152
Equity	Net realized gain (loss) from futures contracts, purchased options and written options/Net change in unrealized gain (loss) on futures contracts, Purchased options and written options		4,807,933			2,798,092
Interest rate	Net realized gain (loss) from futures contracts, purchased options and swap contracts /Net change in unrealized gain (loss) on futures contracts, purchased options and swap contracts		(5,258,097	)		2,322,012
Total			$  (202,009	)		$5,492,256
Growth Strategy
Risk	Statements of Operations	Net Realized Gain (Loss)			Net Change in Unrealized Gain (Loss)
Currency	Net realized gain from forward foreign currency exchange contracts; purchased options /Net change in unrealized gain on forward foreign currency exchange contracts; purchased options and written options		$ 808,770			$  290,634
Equity	Net realized gain (loss) from swap contracts; futures contracts; purchased options and written options/Net change in unrealized gain on futures contracts; written options		4,436,543			2,861,897
Interest rate	Net realized gain (loss) from swap contracts; futures contracts and purchased options, at value/Net change in unrealized gain on swap contracts; futures contracts; Purchased options, at value		(6,644,620	)		2,609,443
Total			$(1,399,307	)		$5,761,974

For the fiscal year ended December 31, 2023, the relevant values for each derivative type were as follows:

	Average Number of Contracts, Notional Amounts, or Shares/Units(a)
Portfolio	Futures Contracts	Forward Contracts		Swap Agreements		Purchased Options		Written Options
Balanced Strategy	385		$30,331,265		$1,146,572		5,600,943		98,095
Growth and Income Strategy	622		49,905,751		1,478,699		8,949,990		134,087
Growth Strategy	811		51,082,177		1,108,589		10,237,508		98,288

(a) Amounts disclosed represent the average number of contracts for futures contracts, notional amounts for forward contracts, swap agreements, or shares/units outstanding for purchased options and written options, based on absolute values, which is indicative of the volume for this derivative type, for the months that each Portfolio held such derivatives during the fiscal year ended December 31, 2023.

  5. AGREEMENTS AND AFFILIATED TRANSACTIONS

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

  

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Notes to Financial Statements (continued)

December 31, 2023

 

 

 

  5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Portfolios’ business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of average daily net assets of 0.124% for the Satellite Strategies Portfolio and 0.15% for each of the other Portfolios.

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

The Trust, on behalf of Class C Shares of each applicable Portfolio, has adopted a Distribution Plan subject to Rule 12b-1 under the Act. Under the Distribution Plan, Goldman Sachs as Distributor is entitled to a fee accrued daily and paid monthly for distribution services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class C Shares of the Portfolios, as set forth below.

The Trust, on behalf of Service Shares of each applicable Portfolio, has adopted a Service Plan subject to Rule 12b-1 under the Act to allow Service Shares to compensate service organizations (including Goldman Sachs) for providing personal and account maintenance services to their customers who are beneficial owners of such shares. The Service Plan provides for compensation to the service organizations equal to an annual percentage rate of the average daily net assets attributable to Service Shares of the Portfolios, as set forth below.

	Distribution and/or Service Plan Rates
	Class A*			Class C			Service			Class R*
Distribution and/or Service Plan		0.25	%		0.75	%		0.25	%		0.50	%

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

C. Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Portfolios pursuant to a Distribution Agreement, may retain a portion of the Class A Shares’ front end sales charge and Class C Shares’ CDSC. During the fiscal year ended December 31, 2023, Goldman Sachs retained the following amounts:

	Front End Sales Charge			Contingent Deferred Sales Charge
Fund	Class A			Class C
Balanced Strategy		$ 2,735			$208
Growth and Income Strategy		8,836			647
Growth Strategy		10,977			601
Satellite Strategies		101			—

D. Service and Shareholder Administration Plans — The Trust, on behalf of each applicable Portfolio, has adopted Service Plans to allow Class C Shares and Shareholder Administration Plans to allow Service Shares, respectively, to compensate service organizations (including Goldman Sachs) for providing varying levels of personal and account maintenance or shareholder administration services to their customers who are beneficial owners of such shares. The Service and Shareholder Administration Plans each provide for compensation to the service organizations equal to an annual percentage rate of 0.25% of the average daily net assets attributable to Class C and Service Shares of the Portfolios, respectively.

  

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  5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

E. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Portfolios for a fee pursuant to the Transfer Agency Agreement. The fees charged for such transfer agency services are accrued daily and paid monthly at annual rates as follows: 0.15% of the average daily net assets of Class A, Class C, Investor and Class R Shares; 0.03% of the average daily net assets of Class R6 and Class P Shares; and 0.04% of the average daily net assets of Institutional and Service Shares. Prior to July 1, 2023, fees charged for such transfer agency services were 0.16% of the average daily net assets of Class A, Class C, Investor and Class R Shares.

F. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to reduce or limit certain “Other Expenses” of the Portfolios (excluding acquired fund fees and expenses, transfer agency fees and expenses, service fees and shareholder administration fees (as applicable), taxes, interest, brokerage fees, expenses of shareholder meetings, litigation and indemnification, and extraordinary expenses) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of each Portfolio. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Portfolios are not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. The Other Expense limitations as an annual percentage rate of average daily net assets are 0.01% for the Satellite Strategies Portfolio and 0.004% for each other Portfolio. These Other Expense limitations will remain in place through at least April 28, 2024 and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. In addition, the Portfolios have entered into certain offset arrangements with the transfer agent, which may result in a reduction of the Portfolios’ expenses and are received irrespective of the application of the “Other Expense” limitations described above.

  For the fiscal year ended December 31, 2023, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:

Fund	Transfer Agency Waivers/Credits		Other Expense Reimbursements	Total Expense Reductions
Balanced Strategy		$  547	$385,027		$385,574
Growth and Income Strategy		1,080	396,833		397,913
Growth Strategy		1,783	403,048		404,831
Satellite Strategies		172	341,137		341,309

G. Line of Credit Facility — As of December 31, 2023, the Portfolios participated in a $1,110,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Portfolios based on the amount of the commitment that has not been utilized. For the fiscal year ended December 31, 2023, the Portfolios did not have any borrowings under the facility. Prior to April 19, 2023, the facility was $1,250,000,000.

  

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Notes to Financial Statements (continued)

December 31, 2023

 

 

 

  5. AGREEMENTS AND AFFILIATED TRANSACTIONS ( continued)

H. Other Transactions with Affiliates — The Portfolios invest primarily in Class R6 Shares of the Underlying Funds (except certain Underlying Funds that are ETFs). These Underlying Funds are considered to be affiliated with the Portfolios. The tables below show the transactions in and earnings from investments in these Underlying Funds for the fiscal year ended December 31, 2023 (in thousands):

  Balanced Strategy Portfolio

Underlying Fund	Market Value as of 12/31/22			Purchases at Cost			Proceeds from Sales				Net Realized Gain (Loss)				Change In Unrealized Gain (Loss)				Market Value as of 12/31/23			Shares as of 12/31/23		Dividend Income			Capital Gain Distributions
Goldman Sachs Access Investment Grade Corporate Bond ETF		$	50,861		$	6,255		$	(5,958	)		$	(1,137	)		$	3,298			$	53,319		1,151		$	1,922		$	—
Goldman Sachs Access Treasury 0-1 Year ETF			31,387			—			(31,492	)			80				25				—		—			1,095			—
Goldman Sachs ActiveBeta Emerging Markets Equity ETF			7,847			—			(2,908	)			(628	)			1,299				5,610		183			176			—
Goldman Sachs ActiveBeta International Equity ETF			12,800			—			—				—				1,725				14,525		445			417			—
Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF			72,026			—			(48,399	)			5,118				4,804				33,549		358			911			—
Goldman Sachs Core Fixed Income Fund — Class R6			16,630			598			(17,247	)			(3,828	)			3,847				—		—			499			—
Goldman Sachs Emerging Markets Debt Fund — Class R6			7,904			9,582			(12,100	)			(478	)			660				5,568		586			758			—
Goldman Sachs Emerging Markets Equity Insights Fund — Class R6			19,318			2,240			(15,500	)			(2,517	)			3,832				7,373		910			240			—
Goldman Sachs Energy Infrastructure Fund — Class R6			571			29			(420	)			44				(7	)			217		20			16			13
Goldman Sachs Financial Square Government Fund — Institutional Shares			24,883			161,845			(166,601	)			—				—				20,127		20,127			701			—
Goldman Sachs Global Core Fixed Income Fund — Class R6			153,641			39,583			(11,000	)			(2,208	)			11,253				191,269		16,690			4,283			—
Goldman Sachs Global Infrastructure Fund — Class R6			10,215			159			(5,200	)			543				(434	)			5,283		424			128			—
Goldman Sachs Global Real Estate Securities Fund — Class R6			—			4,600			—				—				294				4,894		498			—			—
Goldman Sachs High Yield Floating Rate Fund — Class R6			4,475			415			—				—				129				5,019		564			415			—
Goldman Sachs High Yield Fund — Class R6			—			5,403			—				—				(5	)			5,398		961			18			—
Goldman Sachs Inflation Protected Securities Fund — Class R6			—			11,207			—				—				416				11,623		1,208			107			—
Goldman Sachs International Equity Insights Fund — Class R6			31,685			2,407			(22,600	)			(1,273	)			4,689				14,908		1,076			407			—
Goldman Sachs International Small Cap Insights Fund — Class R6			7,233			161			(2,500	)			(211	)			775				5,458		447			161			—

  

86

GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS

 

 

 

 

 

 

  5. AGREEMENTS AND AFFILIATED TRANSACTIONS ( continued)

  Balanced Strategy Portfolio (continued)

Underlying Fund	Market Value as of 12/31/22			Purchases at Cost			Proceeds from Sales				Net Realized Gain (Loss)				Change In Unrealized Gain (Loss)				Market Value as of 12/31/23			Shares as of 12/31/23		Dividend Income			Capital Gain Distributions
Goldman Sachs Large Cap Growth Insights Fund — Class R6		$	984		$	15,005		$	(1,017	)		$	(49	)		$	1,489			$	16,412		592		$	16		$	1,072
Goldman Sachs Large Cap Value Insights Fund — Class R6			5,740			10,536			(700	)			(83	)			1,413				16,906		751			149			386
Goldman Sachs Local Emerging Markets Debt Fund — Class R6			5,512			319			(5,878	)			(202	)			249				—		—			325			—
Goldman Sachs Managed Futures Strategy Fund — Class R6			15,416			1,015			(5,800	)			(418	)			47				10,260		1,044			15			—
Goldman Sachs MarketBeta Emerging Markets Equity ETF			2,304			8,461			—				—				472				11,237		265			108			—
Goldman Sachs MarketBeta International Equity ETF			5,161			23,268			(1,982	)			(209	)			3,967				30,205		562			243			—
Goldman Sachs MarketBeta U.S. Equity ETF			—			43,837			—				—				4,901				48,738		746			188			—
Goldman Sachs Short Duration Bond Fund — Class R6			19,125			523			(19,892	)			(511	)			755				—		—			347			—
Goldman Sachs Small Cap Equity Insights Fund — Class R6			1,598			6,065			—				—				763				8,426		321			65			—
Total		$	507,316		$	353,513		$	(377,194	)		$	(7,967	)		$	50,656			$	526,324				$	13,710		$	1,471
Growth and Income Strategy Portfolio
Underlying Fund	Market Value as of 12/31/22			Purchases at Cost			Proceeds from Sales				Net Realized Gain (Loss)				Change In Unrealized Gain (Loss)				Market Value as of 12/31/23			Shares as of 12/31/23		Dividend Income			Capital Gain Distributions
Goldman Sachs Access Investment Grade Corporate Bond ETF		$	75,699		$	8,623		$	(19,207	)		$	(5,878	)		$	7,974			$	67,211		1,451		$	2,839		$	—
Goldman Sachs Access Treasury 0-1 Year ETF			49,447			399			(49,991	)			109				36				—		—			1,756			—
Goldman Sachs ActiveBeta Emerging Markets Equity ETF			10,835			5,125			(1,261	)			(243	)			1,340				15,796		515			377			—
Goldman Sachs ActiveBeta International Equity ETF			29,288			4,079			(3,278	)			(432	)			4,765				34,422		1,054			893			—
Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF			198,942			—			(149,568	)			40,576				(11,526	)			78,424		836			2,552			—
Goldman Sachs Emerging Markets Debt Fund— Class R6			14,326			17,029			(22,800	)			(839	)			1,142				8,858		932			1,382			—
Goldman Sachs Emerging Markets Equity Insights Fund — Class R6			43,593			2,702			(33,900	)			(5,514	)			9,094				15,975		1,972			602			—
Goldman Sachs Energy Infrastructure Fund — Class R6			720			36			(550	)			57				(11	)			252		23			21			14

  

87

GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS

 

 

Notes to Financial Statements (continued)

December 31, 2023

 

 

 

  5. AGREEMENTS AND AFFILIATED TRANSACTIONS ( continued)

  Growth and Income Strategy Portfolio (continued)

Underlying Fund	Market Value as of 12/31/22			Purchases at Cost			Proceeds from Sales				Net Realized Gain (Loss)				Change In Unrealized Gain (Loss)				Market Value as of 12/31/23			Shares as of 12/31/23		Dividend Income			Capital Gain Distributions
Goldman Sachs Financial Square Government Fund — Institutional Shares		$	23,894		$	250,790		$	(244,564	)		$	—			$	—			$	30,120		30,120		$	690		$	—
Goldman Sachs Global Core Fixed Income Fund — Class R6			115,501			27,172			(10,801	)			(1,929	)			9,025				138,968		12,126			3,272			—
Goldman Sachs Global Infrastructure Fund — Class R6			16,071			228			(10,900	)			1,083				(1,273	)			5,209		418			176			—
Goldman Sachs Global Real Estate Securities Fund — Class R6			—			4,900			—				—				313				5,213		530			—			—
Goldman Sachs High Yield Floating Rate Fund — Class R6			7,058			1,713			(1,000	)			(59	)			269				7,981		897			714			—
Goldman Sachs High Yield Fund — Class R6			—			8,404			—				—				(7	)			8,397		1,494			29			—
Goldman Sachs Inflation Protected Securities Fund — Class R6			—			8,380			—				—				351				8,731		908			80			—
Goldman Sachs International Equity Insights Fund — Class R6			84,478			1,925			(62,100	)			1,731				7,900				33,934		2,450			925			—
Goldman Sachs International Small Cap Insights Fund — Class R6			17,575			255			(10,000	)			(931	)			1,750				8,649		709			254			—
Goldman Sachs Large Cap Growth Insights Fund — Class R6			2,230			35,911			(2,000	)			(96	)			3,328				39,373		1,420			39			2,573
Goldman Sachs Large Cap Value Insights Fund — Class R6			11,391			26,251			(1,000	)			(54	)			3,184				39,772		1,766			342			909
Goldman Sachs Local Emerging- Markets Debt Fund — Class R6			8,619			496			(9,192	)			(312	)			389				—		—			506			—
Goldman Sachs Managed Futures Strategy Fund — Class R6			20,386			1,623			(5,400	)			(279	)			(306	)			16,024		1,630			23			—
Goldman Sachs MarketBeta Emerging Markets Equity ETF			5,271			24,176			—				—				1,251				30,698		725			265			—
Goldman Sachs MarketBeta International Equity ETF			11,809			53,565			(3,172	)			(334	)			8,118				69,986		1,303			560			—
Goldman Sachs MarketBeta U.S. Equity ETF			—			127,368			—				—				12,295				139,663		2,137			538			—
Goldman Sachs Short Duration Bond Fund — Class R6			29,178			778			(30,141	)			(934	)			1,119				—		—			504			—
Goldman Sachs Small Cap Equity Insights Fund — Class R6			3,657			8,302			—				—				1,321				13,280		506			102			—
Total		$	779,968		$	620,230		$	(670,825	)		$	25,722			$	61,841			$	816,936				$	19,441		$	3,496

  

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GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS

 

 

 

 

 

 

  5. AGREEMENTS AND AFFILIATED TRANSACTIONS ( continued)

  Growth Strategy Portfolio

Underlying Fund	Market Value as of 12/31/22			Purchases at Cost			Proceeds from Sales				Net Realized Gain (Loss)				Change In Unrealized Gain (Loss)				Market Value as of 12/31/23			Shares as of 12/31/23		Dividend Income			Capital Gain Distributions
Goldman Sachs Access Investment Grade Corporate Bond ETF		$	9,128		$	30,190		$	—			$	—			$	3,076			$	42,394		915		$	685		$	—
Goldman Sachs Access Treasury 0-1 Year ETF			47,924			—			(48,068	)			109				35				—		—			1,691			—
Goldman Sachs ActiveBeta Emerging Markets Equity ETF			11,835			7,691			(1,709	)			(326	)			1,660				19,151		624			456			—
Goldman Sachs ActiveBeta International Equity ETF			31,990			8,961			—				—				5,545				46,496		1,424			1,088			—
Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF			267,497			3,975			(206,007	)			54,663				(13,740	)			106,388		1,134			3,493			—
Goldman Sachs Emerging Markets Debt Fund — Class R6			15,808			19,614			(25,400	)			(994	)			1,315				10,343		1,089			1,560			—
Goldman Sachs Emerging Markets Equity Insights Fund — Class R6			61,969			4,448			(49,900	)			(11,890	)			16,430				21,057		2,600			748			—
Goldman Sachs Energy Infrastructure Fund — Class R6			599			30			(450	)			47				(9	)			217		20			17			12
Goldman Sachs Financial Square Government Fund — Institutional Shares			46,853			236,577			(257,389	)			—				—				26,041		26,041			1,832			—
Goldman Sachs Global Infrastructure Fund — Class R6			14,722			2,227			(11,600	)			1,047				(1,228	)			5,168		415			178			—
Goldman Sachs Global Real Estate Securities Fund — Class R6			—			5,000			—				—				319				5,319		541			—			—
Goldman Sachs High Yield Floating Rate Fund — Class R6			—			8,105			—				—				95				8,200		921			105			—
Goldman Sachs High Yield Fund — Class R6			—			8,504			—				—				(7	)			8,497		1,512			28			—
Goldman Sachs International Equity Insights Fund — Class R6			113,540			4,265			(84,600	)			1,292				11,876				46,373		3,348			1,265			—
Goldman Sachs International Small Cap Insights Fund — Class R6			28,009			2,252			(23,000	)			(1,334	)			2,622				8,549		701			251			—
Goldman Sachs Large Cap Growth Insights Fund — Class R6			3,890			47,550			(2,500	)			(170	)			4,752				53,522		1,931			53			3,497
Goldman Sachs Large Cap Value Insights Fund — Class R6			14,346			37,667			(2,300	)			(178	)			4,497				54,032		2,399			432			1,235
Goldman Sachs Local Emerging- Markets Debt Fund — Class R6			8,519			491			(9,085	)			(310	)			385				—		—			501			—
Goldman Sachs Managed Futures Strategy Fund — Class R6			15,216			1,623			—				—				(587	)			16,252		1,653			23			—

  

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Notes to Financial Statements (continued)

December 31, 2023

 

 

 

  5. AGREEMENTS AND AFFILIATED TRANSACTIONS ( continued)

  Growth Strategy Portfolio (continued)

Underlying Fund	Market Value as of 12/31/22			Purchases at Cost			Proceeds from Sales				Net Realized Gain (Loss)				Change In Unrealized Gain (Loss)			Market Value as of 12/31/23			Shares as of 12/31/23		Dividend Income			Capital Gain Distributions
Goldman Sachs MarketBeta Emerging Markets Equity ETF		$	5,757		$	32,236		$	—			$	—			$	1,572		$	39,565		934		$	312		$	—
Goldman Sachs MarketBeta International Equity ETF			12,899			74,462			(2,973	)			(314	)			10,261			94,335		1,756			679			—
Goldman Sachs MarketBeta U.S. Equity ETF			—			182,464			—				—				15,266			197,730		3,026			762			—
Goldman Sachs Short Duration Bond Fund — Class R6			27,948			793			(28,898	)			(897	)			1,079			25		3			504			—
Goldman Sachs Small Cap Equity Insights Fund — Class R6			3,995			8,103			—				—				1,369			13,467		513			104			—
Total		$	742,444		$	727,228		$	(753,879	)		$	40,745			$	66,583		$	823,121				$	16,767		$	4,744

Satellite Strategies Portfolio

Underlying Fund	Market Value as of 12/31/22			Purchases at Cost			Proceeds from Sales				Net Realized Gain (Loss)				Change In Unrealized Gain (Loss)				Market Value as of 12/31/23			Shares as of 12/31/23		Dividend Income
Goldman Sachs ActiveBeta Emerging Markets Equity ETF		$	2,999		$	—		$	(1,550	)		$	(24	)		$	245			$	1,670		54		$	73
Goldman Sachs Emerging Markets Debt Fund — Class R6			10,212			509			(3,220	)			(266	)			792				8,027		845			509
Goldman Sachs Emerging Markets Equity Fund — Class R6			3,524			29			(1,550	)			932				(736	)			2,198		102			29
Goldman Sachs Emerging Markets Equity Insights Fund — Class R6			5,302			155			(1,790	)			36				398				4,101		506			154
Goldman Sachs Financial Square Government Fund — Institutional Shares			1,540			13,371			(14,911	)			—				—				—		—			28
Goldman Sachs Global Infrastructure Fund — Class R6			16,906			781			(6,080	)			723				(435	)			11,895		955			320
Goldman Sachs Global Real Estate Securities Fund — Class R6			5,038			385			(2,050	)			(206	)			692				3,859		393			78
Goldman Sachs High Yield Floating Rate Fund — Class R6			3,412			235			(1,780	)			(112	)			189				1,945		218			235
Goldman Sachs High Yield Fund — Class R6			4,255			936			(1,450	)			54				139				3,933		700			215
Goldman Sachs Inflation Protected Securities Fund — Class R6			7,689			2,982			(2,700	)			(427	)			401				7,945		826			282
Goldman Sachs International Small Cap Insights Fund — Class R6			18,418			923			(7,430	)			918				984				13,813		1,132			423
Goldman Sachs Local Emerging- Markets Debt Fund — Class R6			1,737			1,915			(3,506	)			(346	)			201				—		—			126
Goldman Sachs MLP Energy Infrastructure Fund — Class R6			2,480			1,601			(1,200	)			97				244				3,222		100			201
Total		$	83,512		$	23,822		$	(49,217	)		$	1,379			$	3,114			$	62,608				$	2,673

  

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GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS

 

 

 

 

 

 

  6. PORTFOLIO SECURITIES TRANSACTIONS

The cost of purchases and proceeds from sales and maturities of long-term securities for the fiscal year ended December 31, 2023, were as follows:

Portfolio	Purchases		Sales
Balanced Strategy	$	196,800,884	$	213,858,102
Growth and Income Strategy		377,132,950		431,053,808
Growth Strategy		499,174,919		502,218,201
Satellite Strategies		13,303,970		34,305,888

  7. TAX INFORMATION

The tax character of distributions paid during the fiscal year ended December 31, 2023 was as follows:

	Balanced Strategy			Growth and Income Strategy		Growth Strategy			Satellite Strategies
Distributions paid from:
Ordinary income		$11,005,279			$15,958,470		$13,204,087			$2,497,929
Total taxable distributions		$11,005,279			$15,958,470		$13,204,087			$2,497,929
Tax return of capital		$    —			$    —		$    —			$ 90,162

The tax character of distributions paid during the fiscal year ended December 31, 2022 was as follows:

	Balanced Strategy		Growth and Income Strategy		Growth Strategy			Satellite Strategies
Distributions paid from:
Ordinary income		$20,064,071		$31,708,913		$28,267,274			$3,315,643
Net long-term capital gains		6,350,525		13,169,384		12,587,580			—
Total taxable distributions		$26,414,596		$44,878,297		$40,854,854			$3,315,643
Tax return of capital		$    —		$    —		$    —			$ 190,075

  

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Notes to Financial Statements (continued)

December 31, 2023

 

 

 

 7. TAX INFORMATION (continued)

As of December 31, 2023, the components of accumulated earnings (losses) on a tax basis were as follows:

	Balanced Strategy				Growth and Income Strategy				Growth Strategy				Satellite Strategies
Undistributed ordinary income — net		$    325,384				$    371,028				$ 2,018,999				$        —
Undistributed long-term capital gains		—				20,983,930				37,529,694				—
Total Undistributed Earnings		$ 325,384				$21,354,958				$ 39,548,693				$        —
Capital loss carryforwards(1) :
Perpetual Short-Term		(8,463,071	)			—				—				(403,601	)
Perpetual Long-Term		(2,635,033	)			—				—				(18,565,510	)
Total capital loss carryforwards		(11,098,104	)			—				—				(18,969,111	)
Timing differences (Qualified Late Year Loss Deferral and Post October Capital Loss Deferral)		$ (1,292,414	)			$ (1,555,657	)			$ (1,680,318	)			$   (78,808	)
Unrealized gains (loss) — net		11,215,820				52,353,537				87,231,394				8,845,648
Total accumulated earnings (loss) net		$ (849,314	)			$72,152,838				$125,099,769				$(10,202,271	)

(1) The Growth and Income Strategy, Growth Strategy and Satellite Strategies Portfolios utilized $8,255,847, $2,373,665 and 148,377, respectively, of capital losses in the current fiscal year.

As of December 31, 2023, the Portfolios’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:

	Balanced Strategy				Growth and Income Strategy				Growth Strategy				Satellite Strategies
Tax Cost	$	518,544,625			$	769,064,437			$	740,615,202			$	56,663,800
Gross unrealized gain		26,828,672				66,379,912				92,693,840				9,240,312
Gross unrealized loss		(15,612,852	)			(14,026,375	)			(5,462,446	)			(394,664	)
Net unrealized gain	$	11,215,820			$	52,353,537			$	87,231,394			$	8,845,648

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

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

 8. OTHER RISKS

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

Asset Allocation Risk — The Funds’ allocations to the various asset classes and to the Underlying Managers may cause the Funds to underperform other funds with a similar investment objective.

Derivatives Risk — The Portfolios’ use of derivatives and other similar instruments (collectively, referred to in this paragraph as (“derivatives”) may result in loss, including due to adverse market movements. Derivatives, which may pose risks in addition to and greater than those associated with investing directly in securities, currencies or other assets and instruments, may increase market exposure and be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in the value of the

  

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  8.  OTHER RISKS (continued)

underlying assets or instruments may produce disproportionate losses to the Portfolios. Certain derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not, or lacks the capacity or authority to, fulfill its contractual obligations, liquidity risk, which includes the risk that the Portfolios will not be able to exit the derivative when it is advantageous to do so, and risks arising from margin requirements, which include the risk that the Portfolios will be required to pay additional margin or set aside additional collateral to maintain open derivative positions. The use of derivatives is a highly specialized activity that involves investment techniques and risks different from those associated with investments in more traditional securities and instruments. Losses from derivatives can also result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.

Expenses Risk — By investing in the Underlying Funds indirectly through the Fund, the investor will incur not only a proportionate share of the expenses of the Underlying Funds held by the Fund (including operating costs and investment management fees), but also the expenses of the Fund.

Investments in the Underlying Funds Risk — The investments of a Portfolio may be concentrated in one or more Underlying Funds (including ETFs and other registered investment companies) subject to statutory limitations prescribed by the Act or exemptive relief or regulations thereunder. The Portfolios’ investment performance is directly related to the investment performance of the Underlying Funds it holds. The Portfolios are subject to the risk factors associated with the investments of the Underlying Funds and will be affected by the investment policies and practices of the Underlying Funds in direct proportion to the amount of assets allocated to each. If a Portfolio has a relative concentration of its portfolio in a single Underlying Fund, it may be more susceptible to adverse developments affecting that Underlying Fund, and may be more susceptible to losses because of these developments. A strategy used by the Underlying Funds may fail to produce the intended results.

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

Market and Credit Risks — In the normal course of business, a Portfolio and an Underlying Fund trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). The value of securities in which a Portfolio and/or an Underlying Fund invests may go up or down in response to the prospects of individual companies, particular sectors or governments and/or general economic conditions throughout the world due to increasingly interconnected global economies and financial markets. Events such as war, military conflict, acts of terrorism, social unrest, natural disasters, recessions, inflation, rapid interest rate changes, supply chain disruptions, sanctions, the spread of infectious illness or other public health threats could also significantly impact a Portfolio and/or an Underlying Fund and their investments. Additionally, a Portfolio and/or an Underlying Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolio and the Underlying Fund have unsettled or open transactions defaults.

  

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Notes to Financial Statements (continued)

December 31, 2023

 

 

 

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

  10.  OTHER MATTERS

Pursuant to an effort to consolidate the membership of the Board of Trustees of the Trust (the “Board”) with the Board of Trustees of each of Goldman Sachs ETF Trust, Goldman Sachs ETF Trust II, Goldman Sachs Real Estate Diversified Income Fund, Goldman Sachs Trust II and Goldman Sachs Variable Insurance Trust, in July 2023, the Board voted to nominate Cheryl K. Beebe, John G. Chou, Eileen H. Dowling, Lawrence Hughes, John F. Killian, Steven D. Krichmar, Michael Latham, Lawrence W. Stranghoener and Paul C. Wirth (the “Nominees”) for election as Trustees of the Trust. Messrs. Chou and Wirth and Ms. Dowling were serving as Trustees of the Trust at the time of their nominations. At a virtual special joint meeting of shareholders held on November 16, 2023, each of the Nominees (except Messrs. Chou and Wirth and Ms. Dowling) was elected to serve as Trustees alongside the then current Trustees of the Trust, effective January 1, 2024. Each of Messrs. Chou and Wirth and Ms. Dowling was also elected at the meeting and continue to serve as Trustees of the Trust.

  11.  SUBSEQUENT EVENTS

At a meeting held on December 12-13, 2023, upon the recommendation of Goldman Sachs Asset Management, L.P., the Board of Trustees of the Goldman Sachs Trust (the “Trust”) approved a proposal to liquidate the Goldman Sachs Satellite Strategies Portfolio (the “Portfolio”), a series of the Trust. After careful consideration of a number of factors, the Board concluded that it is advisable and in the best interest of the Portfolio and its shareholders to liquidate the Portfolio. The Portfolio liquidated on February 13, 2024, pursuant to a Plan of Liquidation approved by the Board.

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

  

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GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS

 

 12. SUMMARY OF SHARE TRANSACTIONS

Share activity is as follows:

	Balanced Strategy Portfolio
	For the Fiscal Year Ended December 31, 2023						For the Fiscal Year Ended December 31, 2022
	Shares			Dollars			Shares			Dollars
Class A Shares
Shares sold		356,122		$	3,907,507			603,462		$	6,961,258
Reinvestment of distributions		139,497			1,525,575			386,303			4,156,467
Shares redeemed		(1,340,030	)		(14,609,063	)		(1,395,598	)		(15,916,652	)
		(844,411	)		(9,175,981	)		(405,833	)		(4,798,927	)
Class C Shares
Shares sold		44,501			494,172			59,973			674,933
Reinvestment of distributions		3,013			32,764			14,742			158,221
Shares redeemed		(161,312	)		(1,771,942	)		(239,430	)		(2,702,276	)
		(113,798	)		(1,245,006	)		(164,715	)		(1,869,122	)
Institutional Shares
Shares sold		6,792,225			75,019,718			8,369,679			95,772,780
Reinvestment of distributions		732,619			8,020,129			1,699,997			18,321,277
Shares redeemed		(8,350,282	)		(91,229,602	)		(9,476,217	)		(109,352,179	)
		(825,438	)		(8,189,755	)		593,459			4,741,878
Service Shares
Shares sold		20			223			53			584
		20			223			53			584
Investor Shares
Shares sold		68,665			744,741			56,404			665,590
Reinvestment of distributions		5,857			63,769			15,547			167,144
Shares redeemed		(113,991	)		(1,233,012	)		(199,826	)		(2,290,183	)
		(39,469	)		(424,502	)		(127,875	)		(1,457,449	)
Class R6 Shares
Shares sold		10,490			114,657			252,983			2,854,714
Reinvestment of distributions		4,402			48,212			8,321			88,908
Shares redeemed		(19,185	)		(210,340	)		(86,588	)		(967,661	)
		(4,293	)		(47,471	)		174,716			1,975,961
Class R Shares
Shares sold		99,662			1,084,852			84,335			963,832
Reinvestment of distributions		14,654			159,345			38,381			410,355
Shares redeemed		(28,384	)		(312,262	)		(139,867	)		(1,546,266	)
		85,932			931,935			(17,151	)		(172,079	)
Class P Shares
Shares sold		1,493,382			16,298,905			5,647,267			62,380,196
Reinvestment of distributions		96,380			1,056,728			263,834			2,835,170
Shares redeemed		(2,698,580	)		(29,435,540	)		(4,401,940	)		(48,651,043	)
		(1,108,818	)		(12,079,907	)		1,509,161			16,564,323
NET INCREASE (DECREASE)		(2,850,275	)	$	(30,230,464	)		1,561,815		$	14,985,169

  

95

GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS

 

 

Notes to Financial Statements (continued)

December 31, 2023

 

 

 

 12. SUMMARY OF SHARE TRANSACTIONS (continued)

	Growth and Income Strategy Portfolio
	For the Fiscal Year Ended December 31, 2023						For the Fiscal Year Ended December 31, 2022
	Shares			Dollars			Shares			Dollars
Class A Shares
Shares sold		427,446		$	5,946,082			529,274		$	7,590,807
Reinvestment of distributions		269,158			3,758,983			860,604			11,559,230
Shares redeemed		(1,764,651	)		(24,469,937	)		(2,146,090	)		(30,818,322	)
		(1,068,047	)		(14,764,872	)		(756,212	)		(11,668,285	)
Class C Shares
Shares sold		49,506			660,902			59,443			838,699
Reinvestment of distributions		4,518			60,954			24,983			324,307
Shares redeemed		(177,570	)		(2,403,096	)		(189,823	)		(2,601,929	)
		(123,546	)		(1,681,240	)		(105,397	)		(1,438,923	)
Institutional Shares
Shares sold		3,334,538			46,992,629			4,530,330			64,093,167
Reinvestment of distributions		483,975			6,785,524			1,387,276			18,750,924
Shares redeemed		(6,540,479	)		(91,418,397	)		(7,691,416	)		(109,164,056	)
		(2,721,966	)		(37,640,244	)		(1,773,810	)		(26,319,965	)
Service Shares
Shares sold		148			2,097			3,980			58,963
Reinvestment of distributions		307			4,260			1,197			16,013
Shares redeemed		(25,182	)		(350,957	)		(32,452	)		(482,190	)
		(24,727	)		(344,600	)		(27,275	)		(407,214	)
Investor Shares
Shares sold		397,514			5,465,964			111,579			1,611,680
Reinvestment of distributions		12,673			177,199			31,316			418,773
Shares redeemed		(96,201	)		(1,329,769	)		(120,429	)		(1,752,360	)
		313,986			4,313,394			22,466			278,093
Class R6 Shares
Shares sold		34,925			479,838			121,774			1,774,210
Reinvestment of distributions		3,192			44,730			7,630			102,529
Shares redeemed		(54,084	)		(747,946	)		(21,065	)		(306,208	)
		(15,967	)		(223,378	)		108,339			1,570,531
Class R Shares
Shares sold		33,747			460,626			58,434			840,946
Reinvestment of distributions		4,473			61,789			18,536			246,281
Shares redeemed		(84,001	)		(1,149,299	)		(86,348	)		(1,173,317	)
		(45,781	)		(626,884	)		(9,378	)		(86,090	)
Class P Shares
Shares sold		1,151,308			16,134,521			1,334,321			19,122,407
Reinvestment of distributions		341,057			4,779,236			927,933			12,522,135
Shares redeemed		(2,044,701	)		(28,353,638	)		(1,500,417	)		(21,569,569	)
		(552,336	)		(7,439,881	)		761,837			10,074,973
NET DECREASE		(4,238,384	)	$	(58,407,705	)		(1,779,430	)	$	(27,996,880	)

  

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  12. SUMMARY OF SHARE TRANSACTIONS (continued)

	Growth Strategy Portfolio
	For the Fiscal Year Ended December 31, 2023						For the Fiscal Year Ended December 31, 2022
	Shares			Dollars			Shares			Dollars
Class A Shares
Shares sold		733,776		$	12,308,989			810,119		$	13,831,137
Reinvestment of distributions		229,304			4,104,540			904,539			14,222,585
Shares redeemed		(2,055,329	)		(34,159,101	)		(2,161,725	)		(37,084,791	)
		(1,092,249	)		(17,745,572	)		(447,067	)		(9,031,069	)
Class C Shares
Shares sold		61,465			1,060,400			93,441			1,661,622
Reinvestment of distributions		2,860			52,650			34,957			564,337
Shares redeemed		(259,357	)		(4,497,705	)		(239,017	)		(4,173,692	)
		(195,032	)		(3,384,655	)		(110,619	)		(1,947,733	)
Institutional Shares
Shares sold		1,844,983			31,275,809			2,827,688			49,296,522
Reinvestment of distributions		202,885			3,627,575			681,659			10,702,609
Shares redeemed		(2,892,648	)		(48,808,246	)		(3,519,805	)		(60,945,263	)
		(844,780	)		(13,904,862	)		(10,458	)		(946,132	)
Service Shares
Shares sold		28,872			477,880			10,730			181,558
Reinvestment of distributions		656			11,700			1,649			25,848
Shares redeemed		(16,339	)		(270,811	)		(21,131	)		(361,942	)
		13,189			218,769			(8,752	)		(154,536	)
Investor Shares
Shares sold		663,722			10,572,179			749,886			13,133,835
Reinvestment of distributions		11,306			198,980			39,626			615,276
Shares redeemed		(619,975	)		(10,232,600	)		(847,416	)		(13,747,674	)
		55,053			538,559			(57,904	)		1,437
Class R6 Shares
Shares sold		62,561			1,050,120			196,844			3,396,109
Reinvestment of distributions		7,731			138,304			24,685			387,883
Shares redeemed		(80,947	)		(1,355,181	)		(70,569	)		(1,209,906	)
		(10,655	)		(166,757	)		150,960			2,574,086
Class R Shares
Shares sold		55,207			893,163			47,287			791,398
Reinvestment of distributions		4,402			76,107			18,830			286,460
Shares redeemed		(59,748	)		(974,553	)		(107,987	)		(1,803,697	)
		(139	)		(5,283	)		(41,870	)		(725,839	)
Class P Shares
Shares sold		1,134,314			18,659,435			1,899,566			32,694,960
Reinvestment of distributions		259,148			4,636,157			813,657			12,785,087
Shares redeemed		(1,202,254	)		(19,906,776	)		(1,908,252	)		(31,785,546	)
		191,208			3,388,816			804,971			13,694,501
NET INCREASE (DECREASE)		(1,883,405	)	$	(31,060,985	)		279,261		$	3,464,715

  

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Notes to Financial Statements (continued)

December 31, 2023

 

 

 

  12. SUMMARY OF SHARE TRANSACTIONS (continued)

	Satellite Strategies Portfolio
	For the Fiscal Year Ended December 31, 2023						For the Fiscal Year Ended December 31, 2022
	Shares			Dollars			Shares			Dollars
Class A Shares
Shares sold		108,418		$	816,504			159,453		$	1,262,505
Reinvestment of distributions		120,086			909,098			149,264			1,105,954
Shares redeemed		(1,052,411	)		(7,910,878	)		(1,057,436	)		(8,243,511	)
		(823,907	)		(6,185,276	)		(748,719	)		(5,875,052	)
Class C Shares
Shares sold		3,361			25,433			2,830			22,625
Reinvestment of distributions		2,029			15,418			3,725			27,596
Shares redeemed		(77,568	)		(586,453	)		(115,122	)		(910,290	)
		(72,178	)		(545,602	)		(108,567	)		(860,069	)
Institutional Shares
Shares sold		158,600			1,200,573			401,094			3,260,212
Reinvestment of distributions		138,652			1,044,039			207,146			1,535,182
Shares redeemed		(2,055,558	)		(15,449,511	)		(1,999,412	)		(15,535,466	)
		(1,758,306	)		(13,204,899	)		(1,391,172	)		(10,740,072	)
Service Shares
Shares sold		537			4,019			383			2,987
Reinvestment of distributions		321			2,433			329			2,431
Shares redeemed		(825	)		(6,297	)		(261	)		(2,005	)
		33			155			451			3,413
Investor Shares
Shares sold		59,331			444,027			38,320			303,462
Reinvestment of distributions		42,249			318,365			55,891			413,886
Shares redeemed		(359,347	)		(2,682,411	)		(525,757	)		(4,061,447	)
		(257,767	)		(1,920,019	)		(431,546	)		(3,344,099	)
Class R6 Shares
Shares sold		16,680			125,688			194,814			1,620,055
Reinvestment of distributions		5,086			38,230			9,970			73,824
Shares redeemed		(203,808	)		(1,528,498	)		(35,511	)		(276,434	)
		(182,042	)		(1,364,580	)		169,273			1,417,445
Class R Shares
Shares sold		15,981			116,840			5,310			40,411
Reinvestment of distributions		1,849			13,992			2,145			15,792
Shares redeemed		(22,588	)		(169,613	)		(4,244	)		(34,830	)
		(4,758	)		(38,781	)		3,211			21,373
Class P Shares
Shares sold		—			—			612			4,500
Reinvestment of distributions		7,447			56,311			7,491			55,518
Shares redeemed		(2,319	)		(17,891	)		(167,428	)		(1,433,941	)
		5,128			38,420			(159,325	)		(1,373,923	)
NET DECREASE		(3,093,797	)	$	(23,220,582	)		(2,666,394	)	$	(20,750,984	)

  

98

Report of Independent Registered Public

Accounting Firm

To the Board of Trustees of Goldman Sachs Trust and Shareholders of Goldman Sachs Balanced Strategy Portfolio, Goldman Sachs Growth and Income Strategy Portfolio, Goldman Sachs Growth Strategy Portfolio, and Goldman Sachs Satellite Strategies Portfolio

Opinions on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Goldman Sachs Balanced Strategy Portfolio, Goldman Sachs Growth and Income Strategy Portfolio, Goldman Sachs Growth Strategy Portfolio, and Goldman Sachs Satellite Strategies Portfolio (four of the Portfolios constituting Goldman Sachs Trust, hereafter collectively referred to as the “Portfolios”) as of December 31, 2023, the related statements of operations for the year ended December 31, 2023, the statements of changes in net assets for each of the two years in the period ended December 31, 2023, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2023 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Portfolios as of December 31, 2023, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended December 31, 2023 and each of the financial highlights for each of the five years in the period ended December 31, 2023 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinions

These financial statements are the responsibility of the Portfolios’ management. Our responsibility is to express an opinion on the Portfolios’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Portfolios in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2023 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/ PricewaterhouseCoopers LLP

Boston, Massachusetts

February 23, 2024

We have served as the auditor of one or more investment companies in the Goldman Sachs fund complex since 2000.

  

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GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS

Fund Expenses — Six Month Period Ended December 31, 2023 (Unaudited)

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

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 01, 2023 through December 31, 2023, which represents a period of 184 days of a 365-day year. This projection assumes that annualized expense ratios were in effect during the period.

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

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

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

	Balanced Strategy Portfolio							Growth and Income Strategy Portfolio							Growth Strategy Portfolio							Satellite Strategies Portfolio
Share Class	Beginning Account Value 7/1/23		Ending Account Value 12/31/23			Expenses Paid for the 6 months ended 12/31/23*		Beginning Account Value 7/1/23		Ending Account Value 12/31/23			Expenses Paid for the 6 months ended 12/31/23		Beginning Account Value 7/1/23		Ending Account Value 12/31/23			Expenses Paid for the 6 months ended 12/31/23		Beginning Account Value 7/1/23		Ending Account Value 12/31/23			Expenses Paid for the 6 months ended 12/31/23
Class A
Actual	$	1,000.00	$	1,052.60		$	2.87	$	1,000.00	$	1,056.10			$2.87	$	1,000.00	$	1,061.90			$2.89	$	1,000.00	$	1,056.40			$2.79
Hypothetical 5% return		1,000.00		1,022.40	+		2.83		1,000.00		1,022.40	+		2.82		1,000.00		1,022.40	+		2.83		1,000.00		1,022.50	+		2.74
Class C
Actual		1,000.00		1,048.90			6.74		1,000.00		1,052.10			6.74		1,000.00		1,057.90			6.77		1,000.00		1,052.50			6.66
Hypothetical 5% return		1,000.00		1,018.60	+		6.64		1,000.00		1,018.60	+		6.63		1,000.00		1,018.60	+		6.65		1,000.00		1,018.70	+		6.56
Institutional
Actual		1,000.00		1,054.60			1.01		1,000.00		1,057.90			1.01		1,000.00		1,063.80			1.02		1,000.00		1,058.60			0.92
Hypothetical 5% return		1,000.00		1,024.20	+		0.99		1,000.00		1,024.20	+		0.99		1,000.00		1,024.20	+		1.00		1,000.00		1,024.30	+		0.91
Service
Actual		1,000.00		1,052.00			3.60		1,000.00		1,054.70			3.59		1,000.00		1,061.30			3.62		1,000.00		1,055.70			3.53
Hypothetical 5% return		1,000.00		1,021.70	+		3.54		1,000.00		1,021.70	+		3.54		1,000.00		1,021.70	+		3.55		1,000.00		1,021.70	+		3.47
Investor
Actual		1,000.00		1,053.30			1.58		1,000.00		1,057.20			1.58		1,000.00		1,063.90			1.59		1,000.00		1,058.00			1.49
Hypothetical 5% return		1,000.00		1,023.70	+		1.55		1,000.00		1,023.70	+		1.55		1,000.00		1,023.60	+		1.56		1,000.00		1,023.70	+		1.47
Class R6
Actual		1,000.00		1,054.70			0.96		1,000.00		1,057.30			0.95		1,000.00		1,063.80			0.97		1,000.00		1,058.40			0.88
Hypothetical 5% return		1,000.00		1,024.30	+		0.94		1,000.00		1,024.30	+		0.94		1,000.00		1,024.30	+		0.95		1,000.00		1,024.30	+		0.87
Class R
Actual		1,000.00		1,051.60			4.16		1,000.00		1,053.90			4.16		1,000.00		1,060.60			4.19		1,000.00		1,055.30			4.08
Hypothetical 5% return		1,000.00		1,021.10	+		4.10		1,000.00		1,021.10	+		4.10		1,000.00		1,021.10	+		4.11		1,000.00		1,021.20	+		4.01
Class P
Actual		1,000.00		1,054.70			0.96		1,000.00		1,058.00			0.95		1,000.00		1,064.40			0.97		1,000.00		1,058.50			0.87
Hypothetical 5% return		1,000.00		1,024.30	+		0.94		1,000.00		1,024.30	+		0.94		1,000.00		1,024.30	+		0.95		1,000.00		1,024.30	+		0.86

* Expenses for each share class are calculated using the Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended December 31, 2023. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows:

Portfolio	Class A			Class C			Institutional			Service			Investor			Class R6			Class R			Class P
Balanced Strategy		0.56	%		1.31	%		0.20	%		0.70	%		0.31	%		0.19	%		0.81	%		0.19	%
Growth and Income Strategy		0.56			1.31			0.20			0.70			0.31			0.19			0.81			0.19
Growth Strategy		0.56			1.31			0.20			0.70			0.31			0.19			0.81			0.19
Satellite Strategies		0.54			1.29			0.18			0.69			0.29			0.18			0.79			0.17

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

100

GOLDMAN SACHS FUND OF FUNDS

 

 

 

Voting Results of Special Meeting of Shareholders (Unaudited)

A Special Meeting of Shareholders (the “Meeting”) of the Goldman Sachs Trust (the “Trust”) was held on November 16, 2023 to consider and elect nominees to the Trust’s Board of Trustees. At the Meeting, Cheryl K. Beebe, Lawrence Hughes, John F. Killian, Steven D. Krichmar, Michael Latham and Lawrence W. Stranghoener were elected to the Trust’s Board of Trustees. In addition, at the Meeting, John G. Chou, Eileen H. Dowling and Paul C. Wirth, each of whom was previously appointed to the Trust’s Board of Trustees rather than elected by shareholders, were elected. In electing the nominees, the Trust’s shareholders voted as follows:

Proposal Election of Trustees	For	Withheld
Cheryl K. Beebe	169,452,067,796	5,900,273,020
John G. Chou	173,279,757,273	2,072,583,543
Eileen H. Dowling	173,287,456,218	2,064,884,598
Lawrence Hughes	173,486,691,901	1,865,648,915
John F. Killian	173,511,167,174	1,841,173,642
Steven D. Kirchmar	173,484,256,228	1,868,084,588
Michael Latham	173,498,020,286	1,854,320,530
Lawrence W. Stranghoener	173,455,949,165	1,896,391,651
Paul C. Wirth	173,324,070,424	2,028,270,391

  

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GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS

 

 

 

 

 

Trustees and Officers (Unaudited)

Independent Trustees

Name, Address and Age1	Position(s) Held with the Trust	Term of Office and Length of Time Served2	Principal Occupations During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee3	Other Directorships Held by Trustee4
Gregory G. Weaver Age: 72	Chair of the Board of Trustees	Since 2023 (Trustee since 2015)	Mr. Weaver is retired. He is Director, Verizon Communications Inc. (2015-Present); and was formerly Chairman and Chief Executive Officer, Deloitte & Touche LLP (a professional services firm) (2001-2005 and 2012-2014); and Member of the Board of Directors, Deloitte & Touche LLP (2006-2012). Chair of the Board of Trustees — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	102	Verizon Communications Inc.
Dwight L. Bush Age: 66	Trustee	Since 2020	The Honorable Dwight Bush is President and CEO of D.L. Bush & Associates (a financial advisory and private investment firm) (2002-2014 and 2017-Present); Director of MoneyLion, Inc. (an operator of a data-driven, digital financial platform) (2021-Present); and was formerly U.S. Ambassador to the Kingdom of Morocco (2014-2017) and a Member of the Board of Directors of Santander Bank, N.A. (2018-2019). Previously, he served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (October 2019-January 2020). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	102	MoneyLion, Inc. (an operator of a data-driven, digital financial platform)
Kathryn A. Cassidy Age: 69	Trustee	Since 2015	Ms. Cassidy is retired. She is Director, Vertical Aerospace Ltd. (an aerospace and technology company) (2021-Present). Formerly, Ms. Cassidy was Advisor to the Chairman (May 2014-December 2014); and Senior Vice President and Treasurer (2008-2014), General Electric Company & General Electric Capital Corporation (technology and financial services companies). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	102	Vertical Aerospace Ltd. (an aerospace and technology company)
John G. Chou Age: 67	Trustee	Since 2022	Mr. Chou is retired. Formerly, he was Executive Vice President and Special Advisor to the Chairman and CEO (2021-2022); Executive Vice President and Chief Legal Officer (2019-2021); Executive Vice President and Chief Legal & Business Officer (2017-2019); and Executive Vice President and General Counsel (2011-2017) of Cencora, Inc. (a pharmaceutical and healthcare company). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	102	None
Joaquin Delgado Age: 63	Trustee	Since 2020	Dr. Delgado is retired. He is Director, Stepan Company (a specialty chemical manufacturer) (2011–Present); and was formerly Director, Hexion Inc. (a specialty chemical manufacturer) (2019–2022); Executive Vice President, Consumer Business Group of 3M Company (July 2016–July 2019); and Executive Vice President, Health Care Business Group of 3M Company (October 2012–July 2016). Previously, Dr. Delgado served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (October 2019– January 2020). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	102	Stepan Company (a specialty chemical manufacturer)
Eileen H. Dowling Age: 61	Trustee	Since 2021	Ms. Dowling is retired. Formerly, she was Senior Advisor (April 2021-September 2021); and Managing Director (2013-2021), BlackRock, Inc. (a financial services firm). As Managing Director, she held senior management positions, including Global Head of Global Consultant Relations (2017–2021), Multinational Corporations (2019–2021), the Institutional Product Group (2015–2019) and Institutional Marketing (2013–2016). Ms. Dowling was a member of the Global Operating Committee and Product Executive Committee of BlackRock. Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	102	None

  

102  

GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS

 

 

 

Trustees and Officers (Unaudited) (continued)

Independent Trustees

Name, Address and Age1	Position(s) Held with the Trust	Term of Office and Length of Time Served2	Principal Occupations During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee3	Other Directorships Held by Trustee4
Paul C. Wirth Age: 66	Trustee	Since 2022	Mr. Wirth is retired. He is Executive Advisor, My Next Season LLC (a career transition advisory firm) (2023-Present). Formerly, he was Deputy Chief Financial Officer and Principal Accounting Officer (2011-2020); Finance Director and Principal Accounting Officer (2010-2011); and Managing Director, Global Controller, and Chief Accounting Officer (2005-2010) of Morgan Stanley. Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	102	None

Interested Trustee*

Name, Address and Age1	Position(s) Held with the Trust	Term of Office and Length of Time Served2	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee3	Other Directorships Held by Trustee4
James A. McNamara Age: 61	President and Trustee	Since 2007	Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998- December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998). President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs ETF Trust; Goldman Sachs ETF Trust II; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund.	192	None

* Mr. McNamara is considered to be an “Interested Trustee” because he holds positions with Goldman Sachs and owns securities issued by The Goldman Sachs Group, Inc. Mr. McNamara holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor.

¹  Each Trustee may be contacted by writing to the Trustee, c/o Goldman Sachs, 200 West Street, New York, New York, 10282, Attn: Robert Griffith. Information is provided as of December 31, 2023.

²  Subject to such policies as may be adopted by the Board from time-to-time, each Trustee holds office for an indefinite term, until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board or shareholders, in accordance with the Trust’s Declaration of Trust; or (c)the termination of the Trust. The Board has adopted policies which provide that each Independent Trustee shall retire as of December 31st of the calendar year in which he or she reaches (a) his or her 75th birthday or (b) the 15th anniversary of the date he or she became a Trustee, whichever is earlier, unless a waiver of such requirements shall have been adopted by a majority of the other Trustees. These policies may be changed by the Trustees without shareholder vote.

³  The Goldman Sachs Fund Complex includes certain other companies listed above for each respective Trustee. As of December 31, 2023, Goldman Sachs Trust consisted of 87 portfolios; Goldman Sachs Variable Insurance Trust consisted of 15 portfolios (11 of which offered shares to the public); Goldman Sachs Trust II consisted of 18 portfolios (7 of which offered shares to the public); Goldman Sachs ETF Trust consisted of 68 portfolios (37 of which offered shares to the public); Goldman Sachs ETF Trust II consisted of 2 portfolios; and Goldman Sachs Credit Income Fund and Goldman Sachs Real Estate Diversified Income Fund each consisted of one portfolio. Goldman Sachs Credit Income Fund did not offer shares to the public.

⁴  This column includes only directorships of companies required to report to the Securities and Exchange Commission under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act.

Information as of the date of this shareholder report. Additional information about the Trustees is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384.

  

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GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS

 

 

 

Trustees and Officers (Unaudited) (continued)

Officers of the Trust*

Name, Address and Age1	Position(s) Held with the Trust	Term of Office and Length of Time Served2	Principal Occupations During Past 5 Years
James A. McNamara 200 West Street New York, NY 10282 Age: 61	President and Trustee	Since 2007	Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998). President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs ETF Trust; Goldman Sachs ETF Trust II; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund.
Joseph F. DiMaria 30 Hudson Street Jersey City, NJ 07302 Age: 55	Treasurer, Principal Financial Officer and Principal Accounting Officer	Since 2017 (Treasurer and Principal Financial Officer since 2019)	Managing Director, Goldman Sachs (November 2015-Present) and Vice President — Mutual Fund Administration, Columbia Management Investment Advisers, LLC (May 2010-October 2015). Treasurer, Principal Financial Officer and Principal Accounting Officer — Goldman Sachs Trust (previously Assistant Treasurer (2016)); Goldman Sachs Variable Insurance Trust (previously Assistant Treasurer (2016)); Goldman Sachs Trust II (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust II; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund.
Robert Griffith 200 West Street New York, NY 10282 Age: 49	Secretary	Since 2023	Managing Director, Goldman Sachs (September 2022 – Present); General Counsel, Exchange Traded Concepts, LLC (October 2021 – September 2022); Vice President, Goldman Sachs (August 2011 – October 2021); Associate General Counsel, Goldman Sachs (December 2014 – Present); Assistant General Counsel, Goldman Sachs (August 2011 – December 2014); Vice President and Counsel, Nomura Holding America, Inc. (2010 – 2011); and Associate, Simpson Thacher & Bartlett LLP (2005 – 2010). Secretary — Goldman Sachs Trust (previously Assistant Secretary (2022)); Goldman Sachs Variable Insurance Trust (previously Assistant Secretary (2022)); Goldman Sachs Trust II (previously Assistant Secretary (2022)); Goldman Sachs ETF Trust (previously Assistant Secretary (2022)); Goldman Sachs ETF Trust II (previously Assistant Secretary (2022)); and Goldman Sachs Real Estate Diversified Income Fund (previously Assistant Secretary (2022)).

* Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-526-7384.

¹  Information is provided as of December 31, 2023.

²  Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor.

Goldman Sachs Fund of Funds Portfolios – Tax Information (unaudited)

For the year ended December 31, 2023, 13.08%, 20.28%, 29.20% and 6.68% of the dividends paid from net investment company taxable income by the Balanced Strategy, Growth and Income Strategy, Growth Strategy and Satellite Strategies Portfolios, respectively, qualify for the dividends received deduction available to corporations.

For the year ended December 31, 2023 tax year, each Portfolio has elected to pass through a credit for taxes paid to foreign jurisdictions. The total amount of income received by the Balanced Strategy, Growth and Income Strategy, Growth Strategy, and Satellite Strategies Portfolios from sources within foreign countries and possessions of the United States was $0.0341, $0.0628, $0.0940, and $0.0776 per share, respectively, all of which is attributable to qualified passive income. The percentage of net investment income dividends paid by the Balanced Strategy, Growth and Income Strategy, Growth Strategy, and Satellite Strategies Portfolios during the year from foreign sources was 10.78%, 16.38%, 22.35%, and 22.69%, respectively. The total amount of taxes paid by the Balanced Strategy, Growth and Income Strategy, Growth Strategy, and Satellite Strategies Portfolios to such countries was $0.0039, $0.0079, $0.0121, and $0.0093 per share, respectively.

For the year ended December 31, 2023, 25.92%, 40.80%, 62.36%, and 43.54% of the dividends paid from net investment company taxable income by the Balanced Strategy, Growth and Income Strategy, Growth Strategy, and Satellite Strategies Portfolios, respectively, qualify for the reduced tax rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003.

  

104  

FUNDS PROFILE

 

 

Goldman Sachs Funds

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

Today, the Asset Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $2.54 trillion in assets under supervision as of December 31, 2023, Goldman Sachs Asset Management has portfolio management teams located around the world and our investment professionals bring firsthand knowledge of local markets to every investment decision. Assets under supervision includes assets under management and other client assets for which Goldman Sachs does not have full discretion. Goldman Sachs Asset Management leverages the resources of Goldman Sachs & Co. LLC subject to legal, internal and regulatory restrictions.

Money Market

Financial Square FundsSM

∎ Financial Square Treasury Solutions Fund¹

∎ Financial Square Government Fund¹

∎ Financial Square Money Market Fund²

∎ Financial Square Prime Obligations Fund²

∎ Financial Square Treasury Instruments Fund¹

∎ Financial Square Treasury Obligations Fund¹

∎ Financial Square Federa^l Instruments Fund¹

Investor Funds^SM

∎ Investor Money Market Fund³

∎ Investor Tax-Exempt Money Market Fund³

Fixed Income

Short Duration and Government

∎ Enhanced Income Fund

∎ Short-Term Conservative Income Fund

∎ Short Duration Government Fund

∎ Short Duration Bond Fund

∎ Government Income Fund

∎ Inflation Protected Securities Fund

∎ U.S. Mortgages Fund Multi-Sector

∎ Bond Fund

∎ Core Fixed Income Fund

∎ Global Core Fixed Income Fund

∎ Strategic Income Fund

∎ Income Fund

Municipal and Tax-Free

∎ High Yield Municipal Fund

∎ Dynamic Municipal Income Fund

∎ Short Duration Tax-Free Fund

∎ Municipal Income Completion Fund

Single Sector

∎ Investment Grade Credit Fund

∎ High Yield Fund

∎ High Yield Floating Rate Fund

∎ Emerging Markets Debt Fund

∎ Emerging Markets Credit Fund⁴

Fixed Income Alternatives

∎ Long Short Credit Strategies Fund

Fundamental Equity

∎ Equity Income Fund

∎ Small Cap Growth Fund

∎ Small Cap Value Fund

∎ Small/Mid Cap Value Fund

∎ Mid Cap Value Fund

∎ Large Cap Value Fund

∎ Focused Value Fund

∎ Large Cap Core Fund

∎ Strategic Growth Fund

∎ Small/Mid Cap Growth Fund

∎ Enhanced Core Equity Fund⁶

∎ Concentrated Growth Fund

∎ Technology Opportunities Fund

∎ Mid Cap Growth Fund

∎ Rising Dividend Growth Fund

∎ U.S. Equity ESG Fund

∎ Income Builder Fund

Tax-Advantaged Equity

∎ U.S. Tax-Managed Equity Fund

∎ International Tax-Managed Equity Fund

∎ U.S. Equity Dividend and Premium Fund

∎ International Equity Dividend and Premium Fund

Equity Insights

∎ Small Cap Equity Insights Fund

∎ U.S. Equity Insights Fund

∎ Small Cap Growth Insights Fund

∎ Large Cap Growth Insights Fund

∎ Large Cap Value Insights Fund

∎ Small Cap Value Insights Fund

∎ International Small Cap Insights Fund

∎ International Equity Insights Fund

∎ Emerging Markets Equity Insights Fund

Fundamental Equity International

∎ International Equity Income Fund

∎ International Equity ESG Fund

∎ China Equity Fund

∎ Emerging Markets Equity Fund

∎ Emerging Markets Equity ex. China Fund

∎ ESG Emerging Markets Equity Fund

Alternative

∎ Clean Energy Income Fund

∎ Real Estate Securities Fund

∎ Commodity Strategy Fund

∎ Global Real Estate Securities Fund

∎ Absolute Return Tracker Fund

∎ Managed Futures Strategy Fund

∎ MLP Energy Infrastructure Fund

∎ Energy Infrastructure Fund

∎ Multi-Strategy Alternatives Fund⁵

∎ Global Infrastructure Fund

Total Portfolio Solutions

∎ Global Managed Beta Fund

∎ Multi-Manager Non-Core Fixed Income Fund

∎ Multi-Manager Global Equity Fund

∎ Multi-Manager International Equity Fund

∎ Tactical Tilt Overlay Fund

∎ Balanced Strategy Portfolio

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

∎ Multi-Manager Real Assets Strategy Fund

∎ Growth and Income Strategy Portfolio

∎ Growth Strategy Portfolio

∎ Dynamic Global Equity Fund

∎ Enhanced Dividend Global Equity Portfolio

∎ Tax-Advantaged Global Equity Portfolio

∎ Strategic Factor Allocation Fund

∎ Strategic Volatility Premium Fund

∎ GQG Partners International Opportunities Fund

¹  You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a bank account or deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor is not required to reimburse the Fund for losses, and you should not expect that the sponsor will provide financial support to the Fund at any time, including during periods of market stress.

²  You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares. Effective October 2, 2024, the Fund generally must impose a fee when net sales of Fund shares exceed certain levels. An investment in the Fund is not a bank account or a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor is not required to reimburse the Fund for losses, and you should not expect that the sponsor will provide financial support to the Fund at any time, including during periods of market stress.

³  You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares. An investment in the Fund is not a bank account or a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor is not required to reimburse the Fund for losses, and you should not expect that the sponsor will provide financial support to the Fund at any time, including during periods of market stress.

⁴  Effective after the close of business on October 31, 2023, the Goldman Sachs Local Emerging Markets Debt Fund was renamed the Goldman Sachs Emerging Markets Credit Fund.

⁵  Effective after the close of business on September 22, 2023, the Goldman Sachs Multi-Manager Alternatives Fund was renamed the Goldman Sachs Multi-Strategy Alternatives Fund.

⁶  Effective after the close of business on February 13, 2024, the Goldman Sachs Flexible Cap Fund was renamed the Goldman Sachs Enhanced Core Equity Fund.

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

*This list covers open-end funds only. Please visit our website at www.GSAMFUNDS.com to learn about our closed-end funds and exchange-traded funds.

  

 

 

 

 

Goldman Sachs Alternative Funds I

∎   MANAGED FUTURES STRATEGY

TABLE OF CONTENTS

Portfolio Management Discussions and Performance Summary	1
Consolidated Schedule of Investments	6
Consolidated Financial Statements	10
Consolidated Financial Highlights	13
Notes to Financial Statements	20
Report of Independent Registered Public Accounting Firm	33
Other Information	34

Effective January 24, 2023, open-end mutual funds and exchange traded funds will be required to provide shareholders with streamlined annual and semi-annual shareholder reports (“Tailored Shareholder Reports”). Funds will be required to prepare a separate Tailored Shareholder Report for each share class of a fund that highlights key information to investors. Other information, including financial statements, will no longer appear in a fund’s shareholder report, but will be available online, delivered free of charge upon request, and filed with the SEC on a semi-annual basis on Form N-CSR. The new requirements have a compliance date of July 24, 2024.

NOT  FDIC-INSURED  May Lose Value  No Bank Guarantee 

  

   

PORTFOLIO RESULTS

 

 

Goldman Sachs Managed Futures Strategy Fund

Investment Objective

The Fund seeks to generate long-term absolute return.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Goldman Sachs Managed Futures Strategy Fund’s (the “Fund”) performance and positioning for the 12-month period ended December 31, 2023 (the “Reporting Period”).

Q How did the Fund perform during the Reporting Period?

A During the Reporting Period, the Fund’s Class A, Class C, Institutional, Investor, Class R6, Class R and Class P Shares generated average annual total returns, without sales charges, of -4.18%, -4.77%, -3.80%, -3.87%, -3.68%, -4.30% and -3.78%, respectively. These returns compare to the 5.01% average annual total return of the Fund’s benchmark, the ICE BofA Merrill Lynch Three-Month U.S. Treasury Bill Index (“the Index”), during the same time period.

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

Q What were the primary contributors to and detractors from the Fund’s performance during the Reporting Period?

A The Fund implements a trend-following strategy that takes long and/or short positions in a wide range of asset classes, including equities, fixed income and currencies, among others, to seek long-term absolute return. The Fund seeks to achieve its investment objective by investing primarily in a portfolio of equities, equity index futures, bonds, bond futures, equity swaps, interest rate swaps, currency forwards and non-deliverable forwards, options, exchange-traded funds (“ETFs”) and structured securities. As a result of the Fund’s use of derivatives, the Fund may also hold significant amounts of U.S. Treasuries or short-term investments. The Fund’s investments are made without restriction as to issuer capitalization, country, currency, maturity or credit rating.

  During the Reporting Period, the Fund generated negative performance. Exposures to developed markets equities contributed positively to performance. Conversely, short exposures to short-term fixed income and mixed exposure

to commodities detracted the most from the Fund’s performance, attributable primarily to the last quarter of the Reporting Period.

  More specifically, developed markets equity trend signals overall remained long during the Reporting Period, despite varying magnitude. Positions in developed market equities contributed most positively to performance during the Reporting Period, especially equity spreads or differentials, such as large-cap/small-cap spreads and developed market/ emerging market spreads. Exposure to equity volatility also added significantly to Fund Performance.

  Trend signals for emerging market equities switched from long to short during the Reporting Period. Mixed positions across countries detracted from Fund performance during the Reporting Period. Trend signals for fixed income flipped from short to long as of the end of 2023, adapting to market movements. Short exposures to short-term fixed income in developed markets was the largest positive contributor to Fund returns in 2022 but was challenged in 2023, as trends were in the transitory phase from one market regime to another. Mixed exposure to commodities was challenged significantly during the Reporting Period, especially in agriculture and industrial metals. Various positions in both developed and emerging markets currencies ended the Reporting Period relatively flat.

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

A The Fund used derivatives, including futures, swaps and forwards, to implement long and short positions. The Fund invested in equity index futures, forward foreign currency exchange contracts and currency forwards to achieve exposure to equities (both in U.S. and non-U.S. companies) and currencies (U.S. and non-U.S. currencies), respectively. The Fund used interest rate swaps, Treasury futures and currency forwards to achieve exposure to fixed income. We used commodity futures as a means of expressing momentum/trend views on various commodity assets. The

 

  1

PORTFOLIO RESULTS

 

 

 

 

 

 

 

  use of these instruments is integral to the Fund’s investment strategy, which, overall, realized negative absolute returns during the Reporting Period.

Q What positioning changes did you make within the Fund during the Reporting Period?

A Relative to the Fund’s positioning at the start of the Reporting Period, the Fund increased its long positioning in developed market equities and shifted from long positioning to short positioning in emerging market equities. We increased the Fund’s long positioning in long-term and medium-term fixed income and reduced its short positioning in short-term fixed income. Among currencies, the Fund started the Reporting Period with a long position in developed markets as well as emerging market currencies. During the Reporting Period, the Fund’s long positioning in developed market currencies was shifted to short positioning. The Fund’s long positioning in emerging market currencies was changed to short positioning during the second half of the Reporting Period and then back again to end the Reporting Period with long positioning overall. The Fund’s long positioning in commodities was shifted to short positioning during the Reporting Period.

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

A At the end of the Reporting Period, the Fund was positioned long developed market equities, long-term fixed income, medium-term fixed income and emerging market currencies. The Fund was positioned short emerging market equities, short-term fixed income, developed market currencies and commodities at the end of the Reporting Period.

Q Were there any changes to the Fund’s portfolio management team during the Reporting Period?

A There were no changes to the Fund’s portfolio management team during the Reporting Period.

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

A Going into 2024, we intend to continue to seek to identify price trends in various asset classes over short-, medium-and long-term horizons via a proprietary investment model. Upon identifying a trend in a given instrument or asset, the Fund will take a long or short position in the instrument

or asset. Long positions benefit from an increase in price of the underlying instrument or asset, while short positions benefit from a decrease in price of the underlying instrument or asset. The size of the Fund’s position in an instrument or asset is primarily related to the strength of the overall trend identified by the investment model.

  Going forward, the Fund seeks to maintain economic exposure to commodities markets by investing in a wholly owned subsidiary of the Fund organized as a company under the laws of the Cayman Islands (the “Subsidiary”) and in commodity index-linked notes. The Subsidiary primarily obtains its commodity exposure investing in futures and swaps instruments. The Subsidiary may also hold bonds or other instruments, including fixed income securities, either as investments or to serve as margin or collateral for its swap positions.

  In our view, the financial markets may witness an elevated level of uncertainty going forward, driven by changing expectations around inflation and monetary policies as well as by geopolitical overhangs. While potential sharp reversals and range-bound markets could pose a challenge, we continue to believe there are ample opportunities for trends to emerge and to persist across multitudes of assets and investment windows, allowing the Fund’s strategy to gain advantage. Given the diversified nature of the Fund’s strategy as well as its ability to adapt to market conditions and benefit from both upward and downward market trajectories, we believe the strategy is well-suited to navigate future market environments. Indeed, we continue to believe that the Fund’s trend-following strategy is important because it attempts to adapt to changing markets, seeking what we believe are the best opportunities for investment and attempting to manage risk when the markets become unstable. There is no guarantee that the Fund’s trend-following strategy will cause it to achieve its investment objective.

  

2  

GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND

 

 

Performance Summary

December 31, 2023

  The following graph shows the value as of December 31, 2023, of a $10,000 investment made on January 1, 2014 in Investor Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the ICE BofA 3 Month U.S. Treasury Bill Index (“3 Month T-Bill Index”), is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.

Managed Futures Strategy Fund’s 10 Year Performance

  Performance of a $10,000 investment, with distributions reinvested, from January 1, 2014 through December 31, 2023.

Average Annual Total Returns through December 31, 2023*	One Year	Five Years	Ten Years	Since Inception
Class A
Excluding sales charges	(4.18)%	5.60%	3.32%	—
Including sales charges	(9.43)%	4.42%	2.74%	—
Class C
Excluding contingent deferred sales charges	(4.77)%	4.83%	2.56%	—
Including contingent deferred sales charges	(5.72)%	4.83%	2.56%	—
Institutional	(3.80)%	6.02%	3.72%	—
Investor	(3.87)%	5.89%	3.58%	—
Class R6 (Commenced on April 30, 2018)	(3.68)%	6.03%	—	5.19%
Class R	(4.30)%	5.36%	3.07%	—
Class P (Commenced on April 17, 2018)	(3.78)%	6.00%	—	4.77%

* These returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.50% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Investor, Class R6, Class R and Class P Shares do not involve sales charge, such a charge is not applied to their Average Annual Total Returns.

 

  3

FUND BASICS

 

 

Managed Futures Strategy Fund

as of December 31, 2023

¹  The Fund is actively managed and, as such, its composition may differ over time. The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities. Certain of the Fund’s investments reflected in the table above may be held for the purpose of covering derivative positions as required under the Investment Company Act of 1940, as amended, or for satisfying certain margin requirements related to such positions. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments.

  For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.

  

4  

FUND BASICS

 

 

Index Definitions

  ICE BofA Three-Month U.S. Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a full month. At the end of the month that issue is sold and rolled into a newly selected issue. The issue selected at each month-end rebalancing is the outstanding Treasury Bill that matures closest to, but not beyond, three months from the rebalancing date. To qualify for selection, an issue must have settled on or before the month-end rebalancing date. While the index will often hold the Treasury Bill issued at the most recent 3-month auction, it is also possible for a seasoned 6-month Bill to be selected.

 

  5

GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND

 

 

Consolidated Schedule of Investments

December 31, 2023

 

Shares		Dividend Rate	Value
Investment Company – 67.3%(a)
Goldman Sachs Financial Square Government Fund - Institutional Shares
	193,710,943	5.248%	$	193,710,943
(Cost $193,710,943)
TOTAL INVESTMENTS – 67.3% (Cost $193,710,943)			$	193,710,943
OTHER ASSETS IN EXCESS OF LIABILITIES – 32.7%				94,155,672
NET ASSETS – 100.0%			$	287,866,615

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
(a)	Represents an affiliated issuer.

   

ADDITIONAL INVESTMENT INFORMATION

FUTURES CONTRACTS — At December 31, 2023, the Fund had the following futures contracts:

Description	Number of Contracts	Expiration Date	Notional Amount		Unrealized  Appreciation/  (Depreciation)
Long position contracts:
100 oz Gold	25	02/27/24	$	5,182,000	$	154,361
CAC 40 10 Euro Index	122	01/19/24		10,175,219		(44,691)
Corn	30	03/14/24		706,125		(9,086)
E-Mini Dow	33	03/15/24		6,271,980		245,799
Euro-BTP	61	03/07/24		8,029,736		158,506
Euro-OAT	33	03/07/24		4,787,677		39,354
FTSE Taiwan Index Equity Index	104	01/30/24		6,450,080		122,405
FTSE/MIB Index	119	03/15/24		20,047,729		(29,103)
German Stock Index	2	03/15/24		933,555		2,094
Hang Seng Index	45	01/30/24		4,936,544		97,428
Hard Red Winter Wheat	4	03/14/24		128,750		(563)
IBEX 35 Index	155	01/19/24		17,258,726		(47,398)
KOSPI 200 Index	95	03/14/24		6,688,505		476,611
LME Copper Base Metal	28	01/15/24		5,941,950		119,364
LME Copper Base Metal	8	02/19/24		1,705,700		8,250
LME Lead Base Metal	109	02/19/24		5,620,312		129,102
LME Lead Base Metal	137	01/15/24		7,001,556		(485,316)
LME Nickel Base Metal	31	01/15/24		3,056,910		(127,535)
LME Nickel Base Metal	10	02/19/24		991,230		(13,561)
LME Primary Aluminium	7	02/19/24		414,575		18,178
LME Primary Aluminium	206	01/15/24		12,110,225		772,791
LME Zinc Base Metal	8	02/19/24		531,900		20,075
LME Zinc Base Metal	147	01/15/24		9,713,025		358,797
Mini VSTOXX®Index	724	01/17/24		1,186,901		(18,661)
NASDAQ 100 E-Mini Index	15	03/15/24		5,107,050		232,816
Nikkei 225 Index	24	03/07/24		5,693,617		18,000
OMXS30 Index	500	01/19/24		11,903,818		257,509
RBOB Gasoline	7	01/31/24		620,105		17,854
S&P 400 E-Mini MidCap Index	9	03/15/24		2,528,550		17,352
S&P 500 E-Mini Index	307	03/15/24		73,987,000		2,051,017
S&P/TSX 60 Index	78	03/14/24		14,956,598		169,836
Silver	27	03/26/24		3,244,725		(76,825)
Soybean	10	03/14/24		648,750		(12,713)
Soybean Meal	27	03/14/24		1,042,470		(37,749)
SPI 200 Index	70	03/21/24		9,045,398		166,066

  

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

GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND

 

 

 

 

 

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

FUTURES CONTRACTS (continued)

Description	Number of Contracts		Expiration Date		Notional Amount			Unrealized  Appreciation/  (Depreciation)
Long position contracts: (continued)
Sugar No. 11		43		02/29/24	$	991,133		$	(231,367)
TurkDEX ISE 30		1,261		02/29/24		3,647,192			52,136
WTI Crude Oil		3		01/22/24		214,140			(4,568)
Total								$	4,566,565
Short position contracts:
Australian 10 year Bond		(122)		03/15/24		(9,699,227	)		(279,900)
Brent Crude Oil		(13)		01/31/24		(1,002,040	)		14,404
CBOE Volatality Index		(554)		01/17/24		(7,784,365	)		225,867
Cocoa		(19)		03/13/24		(798,000	)		16,098
Cotton No. 2		(73)		03/06/24		(2,956,500	)		(31,744)
EURO STOXX 50 Index		(91)		03/15/24		(4,563,874	)		37,244
Feeder Cattle		(18)		03/28/24		(2,008,125	)		(89,391)
FTSE 100 Index		(26)		03/15/24		(2,570,576	)		(59,197)
FTSE China A50 Index		(809)		01/30/24		(9,299,455	)		(264,285)
FTSE/JSE Top 40 Index		(177)		03/20/24		(6,907,765	)		(205,595)
HSCEI		(176)		01/30/24		(6,531,959	)		(129,897)
Lean Hogs		(157)		02/14/24		(4,287,670	)		8,421
Live Cattle		(32)		02/29/24		(2,157,120	)		163
LME Copper Base Metal		(13)		02/19/24		(2,771,763	)		(74,953)
LME Copper Base Metal		(28)		01/15/24		(5,941,950	)		(224,774)
LME Lead Base Metal		(130)		02/19/24		(6,703,125	)		(111,363)
LME Lead Base Metal		(137)		01/15/24		(7,001,556	)		(19,103)
LME Nickel Base Metal		(20)		02/19/24		(1,982,460	)		(13,922)
LME Nickel Base Metal		(31)		01/15/24		(3,056,910	)		168,421
LME Primary Aluminium		(84)		02/19/24		(4,974,900	)		(490,609)
LME Primary Aluminium		(206)		01/15/24		(12,110,225	)		(534,709)
LME Zinc Base Metal		(147)		01/15/24		(9,713,025	)		(241,953)
LME Zinc Base Metal		(84)		02/19/24		(5,584,950	)		(546,984)
Low Sulphur Gasoil		(18)		02/12/24		(1,334,700	)		47,239
Milling Wheat		(75)		03/11/24		(921,108	)		51,031
Mini VSTOXX®Index		(1,154)		01/17/24		(1,891,828	)		21,678
MSCI EAFE E-Mini Index		(327)		03/15/24		(16,900,995	)		(712,366)
MSCI EAFE E-Mini Index		(144)		03/15/24		(16,217,280	)		(648,295)
Natural Gas		(157)		01/29/24		(3,937,560	)		(111,250)
NY Harbor USLD		(27)		01/31/24		(2,891,019	)		61,619
Palladium		(5)		03/26/24		(554,750	)		(44,108)
Platinum		(7)		04/26/24		(352,065	)		(29,454)
Russell 2000 E-Mini Index		(191)		03/15/24		(19,555,535	)		(1,390,852)
S&P 500 E-Mini Index		(79)		03/15/24		(19,039,000	)		(706,217)
SET50 Index		(2,283)		03/28/24		(11,681,041	)		(87,820)
Soybean Oil		(20)		03/14/24		(577,800	)		25,914
TOPIX Index		(36)		03/07/24		(6,040,851	)		10,290
Wheat		(10)		03/14/24		(314,375	)		(15,733)
Total								$	(6,376,085)
Total Futures Contracts								$	(1,809,520)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At December 31, 2023, the Fund had the following forward foreign currency exchange contracts:

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN

Counterparty	Currency Purchased		Currency Sold		Settlement Date	Unrealized Gain
Morgan Stanley Co., Inc.
	BRL	46,220,000	USD	9,382,798	1/3/2024	$	132,188
	USD	9,534,812	BRL	46,220,000	1/3/2024		19,825

  

The accompanying notes are an integral part of these financial statements. 7

GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND

 

 

Consolidated Schedule of Investments (continued)

December 31, 2023

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN (continued)

Counterparty	Currency Purchased		Currency Sold		Settlement Date		Unrealized Gain
Morgan Stanley Co., Inc. (continued)
	BRL	46,220,000	USD	9,494,659		2/2/2024	$	3,805
	AUD	42,983,000	USD	28,287,139		3/20/2024		1,072,173
	CAD	42,975,000	USD	32,104,376		3/20/2024		362,741
	CHF	2,084,000	USD	2,421,308		3/20/2024		76,439
	COP	23,694,000,000	USD	5,757,959		3/20/2024		261,786
	CZK	270,800,000	USD	11,961,525		3/20/2024		122,645
	EUR	16,276,000	USD	17,689,159		3/20/2024		334,736
	GBP	37,305,750	USD	46,980,209		3/20/2024		589,753
	HUF	3,252,000,000	USD	9,133,864		3/20/2024		159,542
	KRW	3,360,000,000	USD	2,577,390		3/20/2024		28,942
	MXN	150,663,000	USD	8,575,979		3/20/2024		185,091
	NOK	282,400,000	USD	25,847,295		3/20/2024		1,996,157
	NZD	30,300,000	USD	18,830,541		3/20/2024		327,417
	PLN	42,214,000	USD	10,505,054		3/20/2024		212,169
	SEK	16,883,000	USD	1,639,424		3/20/2024		39,595
	ZAR	66,698,000	USD	3,493,287		3/20/2024		128,296
	JPY	1,880,276,000	USD	13,171,439		3/21/2024		328,785
TOTAL								$   6,382,085

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS

Counterparty	Currency Purchased		Currency Sold		Settlement Date		Unrealized Loss
Morgan Stanley Co., Inc.
	CLP	2,060,000,000	USD	2,382,467		3/20/2024		(54,455)
	USD	753,528	AUD	1,128,000		3/20/2024		(16,945)
	USD	25,742,004	CAD	34,918,000		3/20/2024		(638,143)
	USD	3,296,158	CHF	2,848,000		3/20/2024		(117,270)
	USD	2,190,358	CLP	1,940,000,000		3/20/2024		(2,042)
	USD	1,298,499	CZK	29,339,000		3/20/2024		(10,725)
	USD	49,497,849	EUR	45,568,000		3/20/2024		(963,741)
	USD	6,839,257	GBP	5,395,000		3/20/2024		(40,112)
	USD	327,991	HUF	116,473,000		3/20/2024		(4,859)
	USD	14,737,614	IDR	228,600,000,000		3/20/2024		(108,355)
	USD	16,829,302	INR	1,408,000,000		3/20/2024		(30,263)
	USD	65,803	MXN	1,165,000		3/20/2024		(1,942)
	USD	2,687,215	NOK	27,900,000		3/20/2024		(63,607)
	USD	29,953,077	NZD	48,720,000		3/20/2024		(851,402)
	USD	25,702,325	SEK	266,723,600		3/20/2024		(823,412)
	USD	482,878	ZAR	9,228,000		3/20/2024		(18,186)
	USD	43,589,328	JPY	6,222,949,000		3/21/2024		(1,090,923)
TOTAL								$   (4,836,382)

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS

Payments Made by the Fund(a)	Payments Received by the Fund	Termination Date	Notional Amounts (000’s)		Value			Upfront Premium (Received) Paid			Unrealized  Appreciation/  (Depreciation)
3 Month BBSW(b)	4.000%	3/20/2025	AUD	97,340	$	3,774		$	–		$	3,774
4.000%(c)	1 Day CORRA	3/20/2025	CAD	37,960		(58,430	)		–			(58,430)
1.250 (c)	1 Day SOFR	3/20/2025	CHF	168,710		6,198			209,450			(203,252)
3.000 (c)	1 Day ESTRON	3/20/2025	EUR	102,150		175,964			116,167			59,797
4.750 (c)	1 Day SONIO	3/20/2025	GBP	136,850		646,739			216,113			430,626
3.250 (c)	3 Month STIBOR	3/20/2025	SEK	1,879,880		87,750			26,102			61,648
1 Day SOFR(c)	4.500	3/20/2025	USD	403,550		(378,409	)		–			(378,409)
1 Day ESTRON(c)	2.500	3/20/2026	EUR	103,420		(383,704	)		(157,870	)		(225,834)
4.250 (c)	1 Day SONIO	3/20/2026	GBP	19,750		225,232			50,216			175,016
1 Day SOFR(c)	4.000	3/20/2026	USD	81,130		(277,481	)		(41,101	)		(236,380)

  

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

GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND

 

 

 

 

 

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS

Payments Made by the Fund(a)	Payments Received by the Fund	Termination Date	Notional Amounts (000’s)		Value			Upfront Premium (Received) Paid			Unrealized  Appreciation/  (Depreciation)
4.000%(c)	6 Month PRIBOR	3/20/2029	CZK	303,920	$	380,051		$	221,670		$	158,381
6.250(c)	BUBORON	3/20/2029	HUF	3,718,260		378,813			115,471			263,342
1 Month TIIE(d)	9.000%	3/20/2029	MXN	96,410		(141,430	)		(77,805	)		(63,625)
4.250(c)	6 Month WIBOR	3/20/2029	PLN	70,910		(44,960	)		–			(44,960)
8.750(b)	3 Month JIBAR	3/20/2029	ZAR	341,430		514,519			400,998			113,521
3.250(e)	1 Day CORRA	3/20/2034	CAD	3,520		48,915			39,564			9,351
1.250(c)	1 Day SOFR	3/20/2034	CHF	13,480		131,394			255,666			(124,272)
2.500(c)	1 Day ESTRON	3/20/2034	EUR	73,740		1,786,765			1,637,996			148,769
3.750(c)	1 Day SONIO	3/20/2034	GBP	38,310		2,067,756			1,104,905			962,851
2.500(c)	3 Month STIBOR	3/20/2034	SEK	79,190		132,086			145,419			(13,333)
3.500(c)	1 Day SOFR	3/20/2034	USD	62,400		440,556			30,428			410,128
1 Day ESTRON(c)	2.500	3/20/2054	EUR	19,450		(1,098,701	)		(1,195,274	)		96,573
1 Day SONIO(c)	3.750	3/20/2054	GBP	17,280		(1,696,676	)		(1,077,914	)		(618,762)
1 Day SOFR(c)	3.500	3/20/2054	USD	19,840		(814,138	)		(563,156	)		(250,982)
TOTAL					$	2,132,583		$	1,457,045		$	675,538

(a) Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to December 31, 2023.

(b) Payments made quarterly.

(c) Payments made annually.

(d) Payments made monthly.

(e) Payments made semi-annually.

Investment Abbreviations:
BBSW	—Bank Bill Swap Rate
BUBORON	—Budapest Interbank Offered Rate
CORRA	—Canadian Overnight Repo Rate Average
ESTRON	—Euro Short-Term Rate
JIBAR	—Johannesburg Interbank Agreed Rate
PRIBOR	—Prague Interbank Offered Rate
SOFR	—Secured Overnight Financing Rate
SONIO	—Sterling Overnight Index Average
STIBOR	—Stockholm Interbank Offered Rate
TIIE	—Interbank Equilibrium Interest Rate
WIBOR	—Warsaw Interbank Offered Rate

Currency Abbreviations:
AUD	Australian Dollar
BRL	Brazilian Real
CAD	Canadian Dollar
CHF	Swiss Franc
CLP	Chilean Peso
COP	Colombian Peso
CZK	Czech Koruna
EUR	Euro
GBP	British Pound
HUF	Hungarian Forint
IDR	Indonesian Rupiah
INR	Indian Rupee
JPY	Japanese Yen
KRW	South Korean Won
MXN	Mexican Peso
NOK	Norwegian Krone
NZD	New Zealand Dollar
PLN	Polish Zloty
SEK	Swedish Krona
USD	United States Dollar
ZAR	South African Rand

  

The accompanying notes are an integral part of these financial statements. 9

GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND

 

 

Consolidated Statement of Assets and Liabilities^(a)

December 31, 2023

 

		Managed Futures Strategy Fund(a)
	Assets:
	Investments in affiliated issuers, at value (cost $193,710,943)	$	193,710,943
	Cash		15,544,288
	Foreign Currency, at value (cost $38,598,435)		39,014,188
	Receivables:
	Collateral on certain derivative contracts(b)		43,008,224
	Fund shares sold		348,622
	Reimbursement from investment adviser		46,303
	Unrealized gain on forward foreign currency exchange contracts		6,382,085
	Unrealized appreciation on futures contracts		1,594,978
	Variation margin on futures contracts		113,086
	Other assets		65,273
	Total assets		299,827,990
	Liabilities:
	Variation margin on swaps		340,297
	Unrealized loss on forward foreign currency exchange contracts		4,836,382
	Unrealized depreciation on futures contracts		2,884,782
	Payables:
	Fund shares redeemed		3,412,856
	Management fees		240,618
	Distribution and Service fees and Transfer Agency fees		33,160
	Accrued expenses		213,280
	Total liabilities		11,961,375
	Net Assets:
	Paid-in Capital		309,340,719
	Total distributable earnings (loss)		(21,474,104	)
	NET ASSETS	$	287,866,615
	Net Assets:
	Class A	$	16,125,995
	Class C		4,590,786
	Institutional		60,220,969
	Investor		148,543,682
	Class R6		57,814,117
	Class R		557,827
	Class P		13,239
	Total Net Assets	$	287,866,615
	Shares Outstanding $0.001 par value (unlimited number of shares authorized):
	Class A		1,712,805
	Class C		534,678
	Institutional		6,130,223
	Investor		15,343,489
	Class R6		5,883,648
	Class R		61,110
	Class P		1,350
	Net asset value, offering and redemption price per share:(c)
	Class A	$	9.41
	Class C		8.59
	Institutional		9.82
	Investor		9.68
	Class R6		9.83
	Class R		9.13
	Class P		9.81

(a) Statement of Assets and Liabilities for the Managed Futures Strategy Fund is consolidated and includes the balances of Cayman Commodity-MFS, LLC, (wholly-owned subsidiary). Accordingly, all interfund balances and transactions have been eliminated.

(b) Segregated for initial margin and/or collateral as follows:

Fund	Futures		Forwards		Swaps
Managed Futures Strategy Fund	$	26,885,860	$	6,780,000	$	9,342,364

(c) Maximum public offering price per share for Class A Shares of the Managed Futures Strategy Fund is $9.96. At redemption, Class C Shares may be subject to a contingent deferred sales charge, assessed on the amount equal to the lesser of the current net asset value (“NAV”) or the original purchase price of the shares.

  

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

GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND

 

 

Consolidated Statement of Operations^(a)

For the Fiscal Year Ended December 31, 2023

 

	Managed Futures Strategy Fund(a)
Investment income:
Dividends — affiliated issuers	$	13,962,411
Interest		1,342,114
Total Investment Income		15,304,525
Expenses:
Management fees		4,288,828
Transfer Agency fees(b)		439,210
Professional fees		213,153
Registration fees		136,109
Printing and mailing costs		132,549
Custody, accounting and administrative services		131,997
Distribution and/or Service (12b-1) fees(b)		86,348
Trustee fees		22,184
Shareholder meeting expense		15,839
Service fees — Class C		13,754
Other		14,543
Total expenses		5,494,514
Less — expense reductions		(903,734	)
Net expenses		4,590,780
NET INVESTMENT INCOME		10,713,745
Realized and Unrealized gain (loss):
Net realized gain (loss) from:
Futures contracts		5,208,817
Foreign currency transactions		(881,604	)
Forward foreign currency exchange contracts		(2,267,461	)
Swap Contracts		(20,208,064	)
Net change in unrealized gain (loss) on:
Forward foreign currency exchange contracts		459,336
Foreign currency translations		113,855
Futures contracts		(4,437,564	)
Swap Contracts		(6,491,578	)
Net realized and unrealized loss		(28,504,263	)
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(17,790,518	)

(a) Statement of Operations for the Managed Futures Strategy Fund is consolidated and includes the balances of Cayman Commodity-MFS, LLC, (wholly-owned subsidiary). Accordingly, all interfund balances and transactions have been eliminated.

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

	Distribution and/or Service (12b-1) fees						Transfer Agency Fees
Fund	Class A		Class C		Class R		Class A		Class C		Institutional		Investor		Class R6		Class R		Class P
Managed Futures Strategy Fund		$41,620		$41,263		$3,465		$25,786		$8,540		$33,180		$351,663		$18,959		$1,078		$4

  

The accompanying notes are an integral part of these financial statements. 11

GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND

 

 

Consolidated Statements of Changes in Net Assets

 

	Managed Futures Strategy Fund(a)
	For the Fiscal Year Ended December 31, 2023			For the Fiscal Year Ended December 31, 2022
From operations:
Net investment income	$	10,713,745		$	494,071
Net realized gain (loss)		(18,148,312	)		62,273,014
Net change in unrealized loss		(10,355,951	)		(4,882,996	)
Net increase (decrease) in net assets resulting from operations		(17,790,518	)		57,884,089
Distributions to shareholders:
From distributable earnings:
Class A Shares		–			(3,183,394	)
Class C Shares		–			(1,041,483	)
Institutional Shares		(71,159	)		(23,196,882	)
Investor Shares		–			(41,920,577	)
Class R6 Shares		(82,830	)		(11,409,940	)
Class R Shares		–			(146,868	)
Class P Shares		(20	)		(2,349	)
Total distributions to shareholders		(154,009	)		(80,901,493	)
From share transactions:
Proceeds from sales of shares		185,475,974			369,443,119
Reinvestment of distributions		152,585			80,636,192
Cost of shares redeemed		(348,756,220	)		(234,798,979	)
Net increase (decrease) in net assets resulting from share transactions		(163,127,661	)		215,280,332
TOTAL INCREASE (DECREASE)		(181,072,188	)		192,262,928
Net Assets:
Beginning of year		468,938,803			276,675,875
End of year	$	287,866,615		$	468,938,803

(a) The Statements of Changes in Net Assets for the Managed Futures Strategy Fund are consolidated and includes the balances of Cayman Commodity-MFS, LLC, (wholly-owned subsidiary). Accordingly, all interfund balances and transactions have been eliminated.

  

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

GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND

 

 

Consolidated Financial Highlights

Selected Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Managed Futures Strategy Fund
		Class A Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	9.82			$	9.85			$	10.12			$	9.61			$	10.03
	Net investment income (loss)(a)			0.23				(0.04	)			(0.19	)			(0.12	)			0.01
	Net realized and unrealized gain (loss)			(0.64	)			2.00				0.64				0.76				0.23
	Total from investment operations			(0.41	)			1.96				0.45				0.64				0.24
	Distributions to shareholders from net investment income			–				(1.14	)			(0.03	)			–				(0.59	)
	Distributions to shareholders from net realized gains			–				(0.85	)			(0.69	)			(0.13	)			(0.07	)
	Total distributions			–				(1.99	)			(0.72	)			(0.13	)			(0.66	)
	Net asset value, end of year		$	9.41			$	9.82			$	9.85			$	10.12			$	9.61
	Total Return(b)			(4.18	)%			20.08	%			4.64	%			6.62	%			2.28	%
	Net assets, end of year (in 000’s)		$	16,126			$	16,841			$	16,922			$	11,964			$	7,712
	Ratio of net expenses to average net assets			1.43	%			1.58	%			1.83	%			1.48	%			1.49	%
	Ratio of total expenses to average net assets			1.58	%			1.71	%			1.89	%			1.63	%			1.64	%
	Ratio of net investment income (loss) to average net assets			2.44	%			(0.31	)%			(1.79	)%			(1.21	)%			0.06	%
	Portfolio turnover rate(c)			–	%			–	%			–	%			–	%			–	%

(a) Calculated based on the average shares outstanding methodology.

(b) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

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

  

The accompanying notes are an integral part of these financial statements. 13

GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND

 

 

Consolidated Financial Highlights (continued)

Selected Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Managed Futures Strategy Fund
		Class C Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	9.02			$	9.21			$	9.52			$	9.11			$	9.56
	Net investment income (loss)(a)			0.15				(0.10	)			(0.25	)			(0.18	)			(0.07	)
	Net realized and unrealized gain (loss)			(0.58	)			1.85				0.59				0.72				0.21
	Total from investment operations			(0.43	)			1.75				0.34				0.54				0.14
	Distributions to shareholders from net investment income			–				(1.09	)			–				–				(0.52	)
	Distributions to shareholders from net realized gains			–				(0.85	)			(0.65	)			(0.13	)			(0.07	)
	Total distributions			–				(1.94	)			(0.65	)			(0.13	)			(0.59	)
	Net asset value, end of year		$	8.59			$	9.02			$	9.21			$	9.52			$	9.11
	Total Return(b)			(4.77	)%			19.26	%			3.71	%			5.88	%			1.51	%
	Net assets, end of year (in 000’s)		$	4,591			$	5,486			$	3,890			$	3,335			$	3,279
	Ratio of net expenses to average net assets			2.18	%			2.33	%			2.58	%			2.22	%			2.24	%
	Ratio of total expenses to average net assets			2.32	%			2.46	%			2.64	%			2.37	%			2.39	%
	Ratio of net investment income (loss) to average net assets			1.69	%			(0.95	)%			(2.54	)%			(1.92	)%			(0.69	)%
	Portfolio turnover rate(c)			–	%			–	%			–	%			–	%			–	%

(a) Calculated based on the average shares outstanding methodology.

(b) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

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

  

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

GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND

 

 

Consolidated Financial Highlights (continued)

Selected Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Managed Futures Strategy Fund
		Institutional Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	10.22			$	10.19			$	10.43			$	9.87			$	10.28
	Net investment income (loss)(a)			0.28				0.05				(0.15	)			(0.07	)			0.04
	Net realized and unrealized gain (loss)			(0.67	)			2.02				0.66				0.76				0.25
	Total from investment operations			(0.39	)			2.07				0.51				0.69				0.29
	Distributions to shareholders from net investment income			(0.01	)			(1.19	)			(0.06	)			–				(0.63	)
	Distributions to shareholders from net realized gains			–				(0.85	)			(0.69	)			(0.13	)			(0.07	)
	Total distributions			(0.01	)			(2.04	)			(0.75	)			(0.13	)			(0.70	)
	Net asset value, end of year		$	9.82			$	10.22			$	10.19			$	10.43			$	9.87
	Total Return(b)			(3.80	)%			20.59	%			4.99	%			6.95	%			2.82	%
	Net assets, end of year (in 000’s)		$	60,221			$	140,429			$	51,494			$	49,052			$	90,623
	Ratio of net expenses to average net assets			1.06	%			1.20	%			1.46	%			1.07	%			1.11	%
	Ratio of total expenses to average net assets			1.21	%			1.33	%			1.52	%			1.24	%			1.26	%
	Ratio of net investment income (loss) to average net assets			2.80	%			0.39	%			(1.42	)%			(0.74	)%			0.42	%
	Portfolio turnover rate(c)			–	%			–	%			–	%			–	%			–	%

(a) Calculated based on the average shares outstanding methodology.

(b) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

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

  

The accompanying notes are an integral part of these financial statements. 15

GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND

 

 

Consolidated Financial Highlights (continued)

Selected Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Managed Futures Strategy Fund
		Investor Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	10.07			$	10.06			$	10.32			$	9.77			$	10.19
	Net investment income (loss)(a)			0.26				0.01				(0.16	)			(0.10	)			0.03
	Net realized and unrealized gain (loss)			(0.65	)			2.03				0.64				0.78				0.23
	Total from investment operations			(0.39	)			2.04				0.48				0.68				0.26
	Distributions to shareholders from net investment income			–				(1.18	)			(0.05	)			–				(0.61	)
	Distributions to shareholders from net realized gains			–				(0.85	)			(0.69	)			(0.13	)			(0.07	)
	Total distributions			–				(2.03	)			(0.74	)			(0.13	)			(0.68	)
	Net asset value, end of year		$	9.68			$	10.07			$	10.06			$	10.32			$	9.77
	Total Return(b)			(3.87	)%			20.43	%			4.83	%			6.92	%			2.60	%
	Net assets, end of year (in 000’s)		$	148,544			$	239,660			$	146,008			$	149,762			$	106,968
	Ratio of net expenses to average net assets			1.18	%			1.33	%			1.57	%			1.22	%			1.24	%
	Ratio of total expenses to average net assets			1.32	%			1.46	%			1.64	%			1.38	%			1.39	%
	Ratio of net investment income (loss) to average net assets			2.69	%			0.10	%			(1.54	)%			(0.96	)%			0.31	%
	Portfolio turnover rate(c)			–	%			–	%			–	%			–	%			–	%

(a) Calculated based on the average shares outstanding methodology.

(b) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

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

  

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

GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND

 

 

Consolidated Financial Highlights (continued)

Selected Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Managed Futures Strategy Fund
		Class R6 Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	10.22			$	10.19			$	10.44			$	9.87			$	10.29
	Net investment income (loss)(a)			0.28				0.01				(0.15	)			(0.08	)			0.05
	Net realized and unrealized gain (loss)			(0.66	)			2.06				0.65				0.78				0.23
	Total from investment operations			(0.38	)			2.07				0.50				0.70				0.28
	Distributions to shareholders from net investment income			(0.01	)			(1.19	)			(0.06	)			–				(0.63	)
	Distributions to shareholders from net realized gains			–				(0.85	)			(0.69	)			(0.13	)			(0.07	)
	Total distributions			(0.01	)			(2.04	)			(0.75	)			(0.13	)			(0.70	)
	Net asset value, end of year		$	9.83			$	10.22			$	10.19			$	10.44			$	9.87
	Total Return(b)			(3.68	)%			20.47	%			5.00	%			7.05	%			2.72	%
	Net assets, end of year (in 000’s)		$	57,814			$	65,653			$	57,900			$	55,439			$	51,499
	Ratio of net expenses to average net assets			1.06	%			1.20	%			1.45	%			1.08	%			1.09	%
	Ratio of total expenses to average net assets			1.20	%			1.33	%			1.51	%			1.24	%			1.23	%
	Ratio of net investment income (loss) to average net assets			2.81	%			0.07	%			(1.41	)%			(0.79	)%			0.47	%
	Portfolio turnover rate(c)			–	%			–	%			–	%			–	%			–	%

(a) Calculated based on the average shares outstanding methodology.

(b) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

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

  

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

GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND

 

 

Consolidated Financial Highlights (continued)

Selected Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Managed Futures Strategy Fund
		Class R Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	9.54			$	9.64			$	9.92			$	9.45			$	9.87
	Net investment income (loss)(a)			0.20				(0.04	)			(0.21	)			(0.13	)			(0.02	)
	Net realized and unrealized gain (loss)			(0.61	)			1.93				0.62				0.73				0.23
	Total from investment operations			(0.41	)			1.89				0.41				0.60				0.21
	Distributions to shareholders from net investment income			–				(1.14	)			–				–				(0.56	)
	Distributions to shareholders from net realized gains			–				(0.85	)			(0.69	)			(0.13	)			(0.07	)
	Total distributions			–				(1.99	)			(0.69	)			(0.13	)			(0.63	)
	Net asset value, end of year		$	9.13			$	9.54			$	9.64			$	9.92			$	9.45
	Total Return(b)			(4.30	)%			19.77	%			4.33	%			6.30	%			2.14	%
	Net assets, end of year (in 000’s)		$	558			$	856			$	451			$	504			$	539
	Ratio of net expenses to average net assets			1.68	%			1.83	%			2.08	%			1.72	%			1.74	%
	Ratio of total expenses to average net assets			1.82	%			1.96	%			2.14	%			1.87	%			1.89	%
	Ratio of net investment income (loss) to average net assets			2.18	%			(0.36	)%			(2.04	)%			(1.41	)%			(0.19	)%
	Portfolio turnover rate(c)			–	%			–	%			–	%			–	%			–	%

(a) Calculated based on the average shares outstanding methodology.

(b) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

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

  

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

GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND

 

 

Consolidated Financial Highlights (continued)

Selected Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Managed Futures Strategy Fund
		Class P Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	10.21			$	10.17			$	10.42			$	9.86			$	10.28
	Net investment income (loss)(a)			0.28				0.01				(0.15	)			(0.08	)			0.05
	Net realized and unrealized gain (loss)			(0.67	)			2.07				0.65				0.77				0.23
	Total from investment operations			(0.39	)			2.08				0.50				0.69				0.28
	Distributions to shareholders from net investment income			(0.01	)			(1.19	)			(0.06	)			–				(0.63	)
	Distributions to shareholders from net realized gains			–				(0.85	)			(0.69	)			(0.13	)			(0.07	)
	Total distributions			(0.01	)			(2.04	)			(0.75	)			(0.13	)			(0.70	)
	Net asset value, end of year		$	9.81			$	10.21			$	10.17			$	10.42			$	9.86
	Total Return(b)			(3.78	)%			20.62	%			4.98	%			6.95	%			2.71	%
	Net assets, end of year (in 000’s)		$	13			$	14			$	11			$	71			$	166
	Ratio of net expenses to average net assets			1.05	%			1.20	%			1.44	%			1.08	%			1.09	%
	Ratio of total expenses to average net assets			1.19	%			1.32	%			1.51	%			1.24	%			1.23	%
	Ratio of net investment income (loss) to average net assets			2.81	%			0.10	%			(1.40	)%			(0.84	)%			0.49	%
	Portfolio turnover rate(c)			–	%			–	%			–	%			–	%			–	%

(a) Calculated based on the average shares outstanding methodology.

(b) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

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

  

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

GOLDMAN SACHS ALTERNATIVE FUNDS I

 

 

Notes to Financial Statements

December 31, 2023

 

 

 

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. Goldman Sachs Managed Futures Strategy Fund (the “Fund”) is a diversified portfolio and currently offers seven classes of shares: Class A, Class C, Institutional, Investor, Class R6, Class R, and Class P Shares.

Class A Shares are sold with a front-end sales charge of up to 5.50%. Class C Shares are sold with a contingent deferred sales charge (“CDSC”) of 1.00%, which is imposed on redemptions made within 12 months of purchase. Institutional, Investor, Class R6, Class R and Class P Shares are not subject to a sales charge.

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

2. SIGNIFICANT ACCOUNTING POLICIES

The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions. The Fund is an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies.

A. Basis of Consolidation for Managed Futures Strategy Fund — Cayman Commodity-MFS, LLC. (the “Subsidiary”), a Cayman Islands exempted company, is currently a wholly-owned subsidiary of the Fund. The Subsidiary acts as an investment vehicle for the Fund to enable the Fund to gain exposure to certain types of commodity-linked derivative instruments. The Fund is the sole shareholder of the Subsidiary, and it is intended that the Fund will remain the sole shareholder and will continue to control the Subsidiary. All inter-fund balances and transactions have been eliminated in consolidation. As of December 31, 2023, the Fund’s net assets were $287,866,615, of which $58,259,888, or 20%, is represented by the Subsidiary.

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

C. Investment Income and Investments — Investment income includes interest income, dividend income, and securities lending income, if any. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized on the ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the securities received. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations.

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

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

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

  

20

GOLDMAN SACHS ALTERNATIVE FUNDS I

 

 

 

 

 

 

 

 

2. SIGNIFICANT ACCOUNTING POLICIES (continued )

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

Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.

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

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

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS

U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the Fund’s policy is to use the market approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:

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

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

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

The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Fund, including investments for which market quotations are not readily available. With respect to the Fund’s investments that do not have readily available market quotations, the Trustees have designated GSAM as the valuation designee to perform fair valuations pursuant to Rule 2a-5 under the Act (the “Valuation Designee”). GSAM has day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Fund’s investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.

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

  

  21

GOLDMAN SACHS ALTERNATIVE FUNDS I

 

 

Notes to Financial Statements (continued)

December 31, 2023

 

 

 

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued )

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

Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. The Fund enters into derivative transactions to hedge against changes in interest rates, securities prices, and/or currency exchange rates, to increase total return, or to gain access to certain markets or attain exposure to other underliers. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund and cash collateral received, if any, is reported separately on the Consolidated Statement of Assets and Liabilities as either due to broker/ receivable for collateral on certain derivative contracts. Non-cash collateral pledged by the Fund, if any, is noted in the Consolidated Schedule of Investments.

Exchange-traded derivatives, including futures and options contracts, are generally valued at the last sale or settlement price on the exchange where they are principally traded. Exchange-traded options without settlement prices are generally valued at the midpoint of the bid and ask prices on the exchange where they are principally traded (or, in the absence of two-way trading, at the last bid price for long positions and the last ask price for short positions). Exchange-traded derivatives typically fall within Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.

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

A forward foreign currency exchange contract is a forward contract in which the Fund agrees to receive or deliver a fixed quantity of one currency for another, at a pre-determined price at a future date. All forward foreign currency exchange contracts are marked to market daily by using the outright forward rates or interpolating based upon maturity dates, where available. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency.

ii. Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security. Upon entering into a futures contract, the Fund deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are generally made or received by the Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.

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

  

22

GOLDMAN SACHS ALTERNATIVE FUNDS I

 

 

 

 

 

 

 

 

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued )

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

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

B. Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Fund’s investments may be determined under the Valuation Procedures. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining the Fund’s NAV. To the extent investments are valued using single source broker quotations obtained directly from the broker or passed through from third party pricing vendors, such investments are classified as Level 3 investments.

C. Fair Value Hierarchy — The following is a summary of the Fund’s investments classified in the fair value hierarchy as of December 31, 2023:

Managed Futures Strategy Fund
Investment Type	Level 1			Level 2			Level 3
Assets
Investment Companies	$	193,710,943		$	—		$	—
Total	$	193,710,943		$	—		$	—
Derivative Type
Assets(a)
Forward Foreign Currency Exchange Contracts	$	—		$	6,382,085		$	—
Futures Contracts		6,394,090			—			—
Interest Rate Swap Contracts		—			2,893,777			—
Total	$	6,394,090		$	9,275,862		$	—
Liabilities
Forward Foreign Currency Exchange Contracts(a)	$	—		$	(4,836,382	)	$	—
Futures Contracts(a)		(8,203,610	)		—			—
Interest Rate Swap Contracts(a)		—			(2,218,239	)		—
Total	$	(8,203,610	)	$	(7,054,621	)	$	—

^(a)  Amount shown represents unrealized gain (loss) at fiscal year end.

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

  

  23

GOLDMAN SACHS ALTERNATIVE FUNDS I

 

 

Notes to Financial Statements (continued)

December 31, 2023

 

 

 

4. INVESTMENTS IN DERIVATIVES

The following tables set forth, by certain risk types, the gross value of derivative contracts (not considered to be hedging instruments for accounting disclosure purposes) as of December 31, 2023. These instruments were used as part of the Fund’s investment strategies and to obtain and/or manage exposure related to the risks below. The values in the tables below exclude the effects of cash collateral received or posted pursuant to these derivative contracts, and therefore are not representative of the Fund’s net exposure.

Managed Futures Strategy Fund
Risk	Consolidated Statement of Assets and Liabilities	Assets			Consolidated Statement of Assets and Liabilities	Liabilities
Commodity	Variation margin on futures contracts	$	1,930,463	(a)	Variation margin on futures contracts	$	(3,579,333	)(a)
Currency	Receivables for unrealized gain on forward foreign currency exchange contracts		6,382,085		Payable for unrealized loss on forward foreign currency exchange contracts		(4,836,382	)
Equity	Variation margin on futures contracts		4,265,767	(a)	Variation margin on futures contracts		(4,344,377	)(a)
Interest Rate	Variation margin on futures and swaps contracts		3,091,637	(a)	Variation margin on futures and swaps contracts		(2,498,139	)(a)
Total		$	15,669,952			$	(15,258,231	)

(a) Includes unrealized gain (loss) on futures and centrally cleared swap contracts described in the Additional Investment Information sections of the Consolidated Schedule of Investments. Only the variation margin as of December 31, 2023, is reported within the Consolidated Statement of Assets and Liabilities.

The following tables set forth, by certain risk types, the Fund’s gains (losses) related to these derivatives and their indicative volumes for the fiscal year ended December 31, 2023. These gains (losses) should be considered in the context that these derivative contracts may have been executed to create investment opportunities and/or economically hedge certain investments, and accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Consolidated Statement of Operations:

Managed Futures Strategy Fund
Risk	Consolidated Statement of Operations	Net Realized Gain (Loss)			Net Change in Unrealized Gain (Loss)
Currency	Net realized gain (loss) from forward currency exchange contracts/Net change in unrealized gain (loss) on forward currency exchange contracts	$	(2,267,461	)	$	459,336
Commodity	Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts		(7,193,560	)		(3,367,100	)
Equity	Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts		12,937,404			(988,424	)
Interest Rate	Net realized gain (loss) from futures and swap contracts/Net change in unrealized gain (loss) on futures and swap contracts		(20,743,091	)		(6,573,618	)
Total		$	(17,266,708	)	$	(10,469,806	)

For the fiscal year ended December 31, 2023, the relevant values for each derivative type were as follows:

	Average number of Contracts or Notional Amounts(a)
Fund	Futures Contracts		Forward Contracts		Swap Contracts
Managed Futures Strategy Fund		13,706		1,205,997,620		11,977,834

(a) Amounts disclosed represent average number of contracts for futures, notional amounts for forward contracts and swap contracts, based on absolute values, which is indicative of volume of this derivative type, for the months that the Fund held such derivatives during the fiscal year ended December 31, 2023.

  

24

GOLDMAN SACHS ALTERNATIVE FUNDS I

 

 

 

 

 

 

 

 

4. INVESTMENTS IN DERIVATIVES (continued )

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

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

Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold before a transfer is required to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that GSAM believes to be of good standing and by monitoring the financial stability of those counterparties.

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

The following table sets forth the Fund’s net exposure for derivative instruments that are subject to enforceable master netting arrangements or similar agreements as of December 31, 2023:

Counterparty	Derivative Assets		Derivative Liabilities		Net Derivative Assets (Liabilities)		Collateral (Received) Pledged(1)		Net Amount(2)
	Forwards(1)		Forwards(1)
Morgan Stanley Co., Inc.	$	6,382,085	$	(4,836,382)	$	1,545,703	$	1,545,703	$	—

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

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

5. AGREEMENTS AND AFFILIATED TRANSACTIONS

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

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

  

  25

GOLDMAN SACHS ALTERNATIVE FUNDS I

 

 

Notes to Financial Statements (continued)

December 31, 2023

 

 

 

5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued )

For the fiscal year ended December 31, 2023, contractual and effective net management fees with GSAM were at the following rates:

	Contractual Management Rate
Fund	First $1 billion			Next $1 billion			Next $3 billion			Next $3 billion			Over $8 billion			Effective Rate			Effective Net Management Rate^1
Managed Futures Strategy Fund		1.00	%		0.90	%		0.86	%		0.84	%		0.82	%		1.00	%		0.88%

^ Effective Net Management Rate includes the impact of management fee waivers of affiliated Underlying Funds, if any. The Effective Net Management Rate may not correlate to the Contractual Management Rate as a result of management fee waivers that may be in effect from time to time.

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

GSAM also provides management services to the Subsidiary pursuant to a Subsidiary Management Agreement (the “Subsidiary Agreement”) and is entitled to a management fee accrued daily and paid monthly, equal to an annual percentage rate of 0.42% of the Subsidiary’s average daily net assets. In consideration of the Subsidiary’s management fee, and for as long as the Subsidiary Agreement remains in effect, GSAM has contractually agreed to waive irrevocably a portion of the Fund’s management fee in an amount equal to the management fee accrued and paid to GSAM by the Subsidiary under the Subsidiary Agreement. With respect to the Subsidiary, for the fiscal year ended December 31, 2023, GSAM waived $334,183, of the Fund’s management fee.

The Fund invests in Institutional Shares of the Goldman Sachs Financial Square Government Fund, which is an affiliated Underlying Fund. GSAM has agreed to waive a portion of its management fee payable by the Fund in an amount equal to the management fee it earns as an investment adviser to the affiliated Underlying Fund in which the Fund invests, except those management fees it earns from the Fund’s investments of cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund. With respect to the affiliated Underlying Fund, for the fiscal year ended December 31, 2023, GSAM waived $459,870 of the Fund’s management fees.

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

	Distribution and/or Service Plan Rates
	Class A*	Class C	Class R*
Distribution and/or Service Plan	0.25%	0.75%	0.50%

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

C. Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Fund pursuant to a Distribution Agreement, may retain a portion of the Class A Shares’ front end sales charge and Class C Shares’ CDSC. During the fiscal year ended December 31, 2023, Goldman Sachs retained $3,918 for Class A Shares and did not retain any portion of the CDSC for Class C Shares for the Fund.

D. Service Plan — The Trust, on behalf of the Fund, has adopted a Service Plan to allow Class C Shares to compensate service organizations (including Goldman Sachs) for providing varying levels of personal and account maintenance services to their customers who are beneficial owners of such shares. The Service Plan provides for compensation to the service organizations equal to an annual percentage rate of 0.25% of the average daily net assets attributable to Class C Shares of the Fund.

E. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Fund for a fee pursuant to the Transfer Agency Agreement. The fees charged for such transfer agency services are accrued daily and paid monthly at annual rates

  

26

GOLDMAN SACHS ALTERNATIVE FUNDS I

 

 

 

 

 

 

 

 

5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

as follows: 0.15% of the average daily net assets of Class A, Class C, Investor and Class R Shares; 0.03% of the average daily net assets of Institutional Shares. Prior to July 1, 2023, the rate for Class A, Class C, Investor and Class R Shares was 0.16%.

F. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to reduce or limit certain “Other Expenses” of the Fund (excluding acquired fund fees and expenses, transfer agency fees and expenses, service fees and shareholder administration fees (as applicable), taxes, interest, brokerage fees, expenses of shareholder meetings, litigation and indemnification, and extraordinary expenses) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of the Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Fund is not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. The Other Expense limitations as an annual percentage rate of average daily net assets for the Fund are 0.254%. These Other Expense limitations will remain in place through at least April 28, 2024, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. The Subsidiary also pays certain other expenses, including service and custody fees. GSAM has agreed to reduce or limit the Subsidiary’s expenses (excluding management fees) to 0.004% of the Subsidiary’s average daily net assets for the Fund. In addition, the Fund has entered into certain offset arrangements with the custodian and the transfer agent, which may result in a reduction of the Fund’s expenses and are received irrespective of the application of the “Other Expense” limitations described above.

For the fiscal year ended December 31, 2023, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:

Fund	Management Fee Waiver	Other Expense Reimbursements	Total Expense Reductions
Managed Futures Strategy Fund	$ 794,054	$ 109,680	$ 903,734

G. Line of Credit Facility — As of December 31, 2023, the Fund participated in a $1,110,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Fund based on the amount of the commitment that has not been utilized. For the fiscal year ended December 31, 2023, the Fund did not have any borrowings under the facility. Prior to April 19, 2023, the facility was $1,250,000,000.

H. Other Transactions with Affiliates — The following table provides information about the Fund’s investment in the Goldman Sachs Financial Square Government Fund as of and for the fiscal year ended December 31, 2023:

Fund	Beginning value as of December 31, 2022	Purchases at Cost	Proceeds from Sales	Ending value as of December 31, 2023	Shares as of December 31, 2023	Dividend Income
Managed Futures Strategy Fund	$  366,294,788	$  398,539,109	$  (571,122,954)	$  193,710,943	$  193,710,943	$  13,962,411

As of December 31, 2023, The Goldman Sachs Group, Inc. was the beneficial owner of the Fund: 

Fund	Class P
Managed Futures Strategy Fund	100%

As of December 31, 2023, the following Goldman Sachs Funds were the beneficial owner of 5% or more of total outstanding shares of the Fund:

Fund	Goldman Sachs Growth and Income Strategy Portfolio	Goldman Sachs Growth Strategy Portfolio
Managed Futures Strategy Fund	6%	6%

  

  27

GOLDMAN SACHS ALTERNATIVE FUNDS I

 

 

Notes to Financial Statements (continued)

December 31, 2023

 

 

 

6. TAX INFORMATION

The tax character of distributions paid during the fiscal year ended December 31, 2023 was as follows:

	Managed Futures Strategy Fund
Distributions paid from:
Ordinary Income	$	154,009

The tax character of distributions paid during the fiscal year ended December 31, 2022 was as follows:

	Managed Futures Strategy Fund
Distributions paid from:
Ordinary Income	$	80,344,451
Net long-term capital gains		557,042
Total distributions	$	80,901,493

As of December 31, 2023, the components of accumulated earnings (losses) on a tax-basis were as follows:

	Managed Futures Strategy Fund
Capital loss carryforwards:
Perpetual Short-Term	$	(11,921,271	)
Perpetual Long-Term		(986,841	)
Total capital loss carryforwards		(12,908,112	)
Timing differences — (Qualified Late Year Loss Deferral and Post October Capital Loss Deferral)		(6,064,642	)
Unrealized gains (losses) — net		(2,501,350	)
Total accumulated earnings (losses) — net	$	(21,474,104	)

As of December 31, 2023, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:

	Managed Futures Strategy Fund
Tax Cost		$ 195,840,878
Gross unrealized gain		7,484,213
Gross unrealized loss		(9,985,563	)
Net unrealized gain (loss)		$  (2,501,350	)

The difference between GAAP-basis and tax-basis unrealized gains (losses) is attributable primarily to net mark-to-market gains (losses) on regulated futures and foreign currency contracts and differences in the tax treatment of underlying fund investments.

The Managed Futures Strategy Fund reclassified $1,633,749 from paid-in-capital to distributable earnings for the fiscal year ending December 31, 2023. In order to present certain components of the Fund’s capital accounts on a tax-basis, certain reclassifications have been recorded to the Fund’s accounts. These reclassifications have no impact on the net asset value of the Fund and result primarily from taxable overdistributions, net operating losses and differences in the tax treatment of underlying fund investments.

  

28

GOLDMAN SACHS ALTERNATIVE FUNDS I

 

 

 

 

 

 

 

 

6. TAX INFORMATION (continued)

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

7. OTHER RISKS

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

Derivatives Risk — The Fund’s use of derivatives and other similar instruments (collectively referred to in this paragraph as “derivatives”) may result in loss, including due to adverse market movements. Derivatives, which may pose risks in addition to and greater than those associated with investing directly in securities, currencies or other assets and instruments, may increase market exposure and be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in the value of the underlying assets or instruments may produce disproportionate losses to the Fund. Certain derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not, or lacks the capacity or authority to, fulfill its contractual obligations, liquidity risk, which includes the risk that the Fund will not be able to exit the derivative when it is advantageous to do so, and risks arising from margin requirements, which include the risk that the Fund will be required to pay additional margin or set aside additional collateral to maintain open derivative positions. The use of derivatives is a highly specialized activity that involves investment techniques and risks different from those associated with investments in more traditional securities and instruments. Losses from derivatives can also result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.

Foreign and Emerging Countries Risk — Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of more or less foreign government regulation, less public information, less stringent investor protections, less stringent accounting, corporate governance, financial reporting and disclosure standards, and less economic, political and social stability in the countries in which the Fund invests. The imposition of sanctions, exchange controls (including repatriation restrictions), confiscation of assets and property, trade restrictions (including tariffs) and other government restrictions by the U.S. or other governments, or from problems in registration, settlement or custody, may also result in losses. The type and severity of sanctions and other similar measures, including counter sanctions and other retaliatory actions, that may be imposed could vary broadly in scope, and their impact is impossible to predict. For example, the imposition of sanctions and other similar measures could, among other things, cause a decline in the value and/or liquidity of securities issued by the sanctioned country or companies located in or economically tied to the sanctioned country and increase market volatility and disruption in the sanctioned country and throughout the world. Sanctions and other similar measures could limit or prevent the Fund from buying and selling securities (in the sanctioned country and other markets), significantly delay or prevent the settlement of securities transactions, and significantly impact the Fund’s liquidity and performance. Foreign risk also involves the risk of negative foreign currency exchange rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which the Fund has exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time. To the extent that the Fund also invests in securities of issuers located in, or economically tied to, emerging markets, these risks may be more pronounced.

Interest Rate Risk — When interest rates increase, fixed income securities or instruments held by the Fund will generally decline in value. Long-term fixed income securities or instruments will normally have more price volatility because of this risk than short-term fixed income securities or instruments. A wide variety of market factors can cause interest rates to rise, including central bank monetary policy, rising inflation and changes in general economic conditions. Changing interest rates may have unpredictable effects on the markets, may result in heightened market volatility and may detract from the Fund’s performance. In addition, changes in monetary policy may exacerbate the risks associated with changing interest rates. Fund’s with longer average portfolio durations will generally be more sensitive to changes in interest rates than funds with a shorter average portfolio duration. Fluctuations in

  

  29

GOLDMAN SACHS ALTERNATIVE FUNDS I

 

 

Notes to Financial Statements (continued)

December 31, 2023

 

 

 

7. OTHER RISKS (continued)

interest rates may also affect the liquidity of the Fund’s investments. A sudden or unpredictable increase in interest rates may cause volatility in the market and may decrease the liquidity of the Fund’s investments, which would make it harder for the Fund to sell its investments at an advantageous time.

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

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

Liquidity Risk — The Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that the Fund will not be able to pay redemption proceeds within the allowable time period or without significant dilution to remaining investors interests because of unusual market conditions, declining prices of the securities sold, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, the Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions. If the Fund is forced to sell securities at an unfavorable time and/or under unfavorable conditions, such sales may adversely affect the Fund’s NAV and dilute remaining investors interests. Liquidity risk may be the result of, among other things, the reduced number and capacity of traditional market participants to make a market in fixed income securities or the lack of an active market. The potential for liquidity risk may be magnified by a rising interest rate environment or other circumstances where investor redemptions from fixed income funds may be higher than normal, potentially causing increased supply in the market due to selling activity. These risks may be more pronounced in connection with the Fund’s investments in securities of issuers located in emerging market countries. Redemptions by large shareholders may have a negative impact on the Fund’s liquidity.

Market and Credit Risks — In the normal course of business, the Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk). The value of the securities in which the Fund invests may go up or down in response to the prospects of individual companies, particular sectors or governments and/ or general economic conditions throughout the world due to increasingly interconnected global economies and financial markets. Events such as war, military conflict, acts of terrorism, social unrest, natural disasters, recessions, inflation, rapid interest rate changes, supply chain disruptions, sanctions, the spread of infectious illness or other public health threats could also significantly impact the Fund and its investments. Additionally, the Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.

Subsidiary Risk — The Subsidiary is not registered under the Act and is not subject to all the investor protections of the Investment Company Act. Changes in the laws of the United States and/or the Cayman Islands could result in the inability of the Fund and/or the Subsidiary to operate as described in the Prospectus and the SAI and could adversely affect the Fund.

Tax Risk — The Fund seeks to gain exposure to the commodity markets primarily through investments in the Subsidiary. The tax treatment of the Fund’s investments in the Subsidiary could affect whether income derived from such investments is “qualifying income” under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”), or otherwise affect the character, timing and/or amount of the Fund’s taxable income or any gains and distributions made by the Fund. If the IRS were to successfully assert that a Fund’s income from such investments was not “qualifying income,” the Fund may fail to qualify as a regulated investment company (“RIC”) under Subchapter M of the Code if over 10% of its gross income was derived from these investments.

  

30

GOLDMAN SACHS ALTERNATIVE FUNDS I

 

 

 

 

 

 

 

 

7. OTHER RISKS (continued)

If the Fund failed to qualify as a RIC, it would be subject to federal and state income tax on all of its taxable income at regular corporate tax rates with no deduction for any distributions paid to shareholders, which would significantly adversely affect the returns to, and could cause substantial losses for, Fund shareholders.

8. INDEMNIFICATIONS

Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the course of business, the Fund enters into contracts that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.

9. OTHER MATTERS

Pursuant to an effort to consolidate the membership of the Board of Trustees of the Trust (the “Board”) with the Board of Trustees of each of Goldman Sachs ETF Trust, Goldman Sachs ETF Trust II, Goldman Sachs Real Estate Diversified Income Fund, Goldman Sachs Trust II and Goldman Sachs Variable Insurance Trust, in July 2023, the Board voted to nominate Cheryl K. Beebe, John G. Chou, Eileen H. Dowling, Lawrence Hughes, John F. Killian, Steven D. Krichmar, Michael Latham, Lawrence W. Stranghoener and Paul C. Wirth (the “Nominees”) for election as Trustees of the Trust. Messrs. Chou and Wirth and Ms. Dowling were serving as Trustees of the Trust at the time of their nominations. At a virtual special joint meeting of shareholders held on November 16, 2023, each of the Nominees (except Messrs. Chou and Wirth and Ms. Dowling) was elected to serve as Trustees alongside the current Trustees of the Trust, effective January 1, 2024. Each of Messrs. Chou and Wirth and Ms. Dowling was also elected at the meeting and continue to serve as Trustees of the Trust.

10. SUBSEQUENT EVENTS

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

11. SUMMARY OF SHARE TRANSACTIONS

	Managed Futures Strategy Fund
	For the Fiscal Year Ended December 31, 2023						For the Fiscal Year Ended December 31, 2022
	Shares			Dollars			Shares			Dollars
Class A Shares
Shares sold		529,374		$	5,085,964			1,200,973		$	13,980,844
Reinvestment of distributions		—			—			314,898			3,183,394
Shares redeemed		(532,187	)		(5,086,122	)		(1,518,157	)		(17,580,452	)
		(2,813	)		(158	)		(2,286	)		(416,214	)
Class C Shares
Shares sold		169,320			1,514,443			237,854			2,563,902
Reinvestment of distributions		—			—			111,897			1,041,483
Shares redeemed		(242,929	)		(2,143,119	)		(163,784	)		(1,713,311	)
		(73,609	)		(628,676	)		185,967			1,892,074

  

  31

GOLDMAN SACHS ALTERNATIVE FUNDS I

 

 

Notes to Financial Statements (continued)

December 31, 2023

 

 

 

11. SUMMARY OF SHARE TRANSACTIONS (continued)

	Managed Futures Strategy Fund
	For the Fiscal Year Ended December 31, 2023						For the Fiscal Year Ended December 31, 2022
	Shares			Dollars			Shares			Dollars
Institutional Shares
Shares sold		3,413,839		$	34,300,300			11,993,718		$	143,316,333
Reinvestment of distributions		7,094			69,735			2,184,178			22,931,915
Shares redeemed		(11,035,312	)		(108,527,814	)		(5,488,006	)		(64,867,307	)
		(7,614,379	)		(74,157,779	)		8,689,890			101,380,941
Investor Shares
Shares sold		13,801,287			135,848,682			15,748,088			185,838,210
Reinvestment of distributions		—			—			4,050,829			41,920,243
Shares redeemed		(22,266,933	)		(218,105,511	)		(10,496,723	)		(122,558,476	)
		(8,465,646	)		(82,256,829	)		9,302,194			105,199,977
Class R6 Shares
Shares sold		869,084			8,508,378			1,916,178			23,334,351
Reinvestment of distributions		8,426			82,830			1,086,492			11,409,940
Shares redeemed		(1,416,487	)		(14,414,537	)		(2,260,881	)		(27,986,272	)
		(538,977	)		(5,823,329	)		741,789			6,758,019
Class R Shares
Shares sold		16,499			152,583			36,015			409,474
Reinvestment of distributions		—			—			14,978			146,868
Shares redeemed		(45,086	)		(413,428	)		(8,033	)		(93,156	)
		(28,587	)		(260,845	)		42,960			463,186
Class P Shares
Shares sold		6,589			65,624			1			5
Reinvestment of distributions		2			20			223			2,349
Shares redeemed		(6,569	)		(65,689	)		(1	)		(5	)
		22			(45	)		223			2,349
NET INCREASE (DECREASE) IN SHARES		(16,723,989	)	$	(163,127,661	)		18,960,737		$	215,280,332

  

32

 

 

 

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Goldman Sachs Trust and Shareholders of Goldman Sachs Managed Futures Strategy Fund

Opinion on the Consolidated Financial Statements

We have audited the accompanying consolidated statement of assets and liabilities, including the consolidated schedule of investments, of Goldman Sachs Managed Futures Strategy Fund and its subsidiary (one of the Funds constituting Goldman Sachs Trust, referred to hereafter as the “Fund”) as of December 31, 2023, the related consolidated statement of operations for the year ended December 31, 2023, the consolidated statements of changes in net assets for each of the two years in the period ended December 31, 2023, including the related notes, and the consolidated financial highlights for each of the five years in the period ended December 31, 2023 (collectively referred to as the “consolidated financial statements”). In our opinion, the consolidated financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2023, the results of its operations for the year then ended, the changes in net assets for each of the two years in the period ended December 31, 2023 and each of the financial highlights for each of the five years in the period ended December 31, 2023 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These consolidated financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s consolidated financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these consolidated financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the consolidated financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the consolidated financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the consolidated financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the consolidated financial statements. Our procedures included confirmation of securities owned as of December 31, 2023 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ PricewaterhouseCoopers LLP

Boston, Massachusetts

February 23, 2024

We have served as the auditor of one or more investment companies in the Goldman Sachs fund complex since 2000.

  

  33

GOLDMAN SACHS ALTERNATIVE FUNDS

Fund Expenses (Unaudited) — Six Month Period Ended December 31, 2023

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

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2023 through December 31, 2023, which represents a period of 181 days of a 365 day year.

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

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

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

	Managed Futures Strategy Fund
Share Class	Beginning   Account Value  7/1/23		Ending  Account Value  12/31/23			Expenses  Paid for the 6 months  ended 12/31/23*
Class A
Actual		$1,000.00		$964.10			$6.39
Hypothetical 5% return		1,000.00		1,018.70	+		6.56
Class C
Actual		1,000.00		960.80			10.03
Hypothetical 5% return		1,000.00		1,014.97	+		10.31
Institutional
Actual		1,000.00		965.80			4.41
Hypothetical 5% return		1,000.00		1,020.72	+		4.53
Investor
Actual		1,000.00		966.10			5.10
Hypothetical 5% return		1,000.00		1,020.01	+		5.24
Class R6
Actual		1,000.00		966.10			4.56
Hypothetical 5% return		1,000.00		1,020.57	+		4.69
Class R
Actual		1,000.00		963.10			7.52
Hypothetical 5% return		1,000.00		1,017.54	+		7.73
Class P
Actual		1,000.00		966.00			4.61
Hypothetical 5% return		1,000.00		1,020.52	+		4.74

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

* Expenses are calculated using each Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended December 31, 2023. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year.

  The annualized net expense ratios for the period were as follows:

Fund	Class A			Class C			Institutional			Investor			Class R6			Class R			Class P
Managed Futures Strategy Fund		1.46	%		2.21	%		1.10	%		1.21	%		1.03	%		1.71	%		1.09	%

34

GOLDMAN SACHS ALTERNATIVE FUNDS I

 

 

 

Voting Results of Special Meeting of Shareholders (Unaudited)

A Special Meeting of Shareholders (the “Meeting”) of the Goldman Sachs Trust (the “Trust”) was held on November 16, 2023 to consider and elect nominees to the Trust’s Board of Trustees. At the Meeting, Cheryl K. Beebe, Lawrence Hughes, John F. Killian, Steven D. Krichmar, Michael Latham, and Lawrence W. Stranghoener were elected to the Trusts Board of Trustees. In addition, at the Meeting, John G. Chou, Eileen H. Dowling and Paul C. Wirth, each of whom was previously appointed to the Trust’s Board of Trustees rather than elected by shareholders, were elected. In electing the nominees, the Trusts shareholders voted as follows:

Proposal   Election of Trustees	For	Withheld
Cheryl K. Beebe	169,452,067,796	5,900,273,020
John G. Chou	173,279,757,273	2,072,583,543
Eileen H. Dowling	173,287,456,218	2,064,884,598
Lawrence Hughes	173,486,691,901	1,865,648,915
John F. Killian	173,511,167,174	1,841,173,642
Steven D. Krichmar	173,484,256,228	1,868,084,588
Michael Latham	173,498,020,286	1,854,320,530
Lawrence W. Stranghoener	173,455,949,165	1,896,391,651
Paul C. Wirth	173,324,070,424	2,028,270,391

  

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GOLDMAN SACHS ALTERNATIVE FUNDS

 

 

 

Trustees and Officers (Unaudited)

Independent Trustees

Name, Address and Age1	Position(s) Held with the Trust	Term of Office and Length of Time Served2	Principal Occupations During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee3	Other Directorships Held by Trustee4
Gregory G. Weaver Age: 72	Chair of the Board of Trustees	Since 2023 (Trustee since 2015)	Mr. Weaver is retired. He is Director, Verizon Communications Inc. (2015-Present); and was formerly Chairman and Chief Executive Officer, Deloitte & Touche LLP (a professional services firm) (2001-2005 and 2012-2014); and Member of the Board of Directors, Deloitte & Touche LLP (2006-2012). Chair of the Board of Trustees — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	102	Verizon Communications Inc.
Dwight L. Bush Age: 66	Trustee	Since 2020	The Honorable Dwight Bush is President and CEO of D.L. Bush & Associates (a financial advisory and private investment firm) (2002-2014 and 2017-Present); Director of MoneyLion, Inc. (an operator of a data-driven, digital financial platform) (2021-Present); and was formerly U.S. Ambassador to the Kingdom of Morocco (2014- 2017) and a Member of the Board of Directors of Santander Bank, N.A. (2018-2019). Previously, he served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (October 2019-January 2020). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	102	MoneyLion, Inc. (an operator of a datadriven, digital financial platform)
Kathryn A. Cassidy Age: 69	Trustee	Since 2015	Ms. Cassidy is retired. She is Director, Vertical Aerospace Ltd. (an aerospace and technology company) (2021-Present). Formerly, Ms. Cassidy was Advisor to the Chairman (May 2014- December 2014); and Senior Vice President and Treasurer (2008-2014), General Electric Company & General Electric Capital Corporation (technology and financial services companies). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	102	Vertical Aerospace Ltd. (an aerospace and technology company)
John G. Chou Age: 67	Trustee	Since 2022	Mr. Chou is retired. Formerly, he was Executive Vice President and Special Advisor to the Chairman and CEO (2021-2022); Executive Vice President and Chief Legal Officer (2019-2021); Executive Vice President and Chief Legal & Business Officer (2017-2019); and Executive Vice President and General Counsel (2011-2017) of Cencora, Inc. (a pharmaceutical and healthcare company. Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	102	None
Joaquin Delgado Age: 63	Trustee	Since 2020	Dr. Delgado is retired. He is Director, Stepan Company (a specialty chemical manufacturer) (2011-Present); and was formerly Director, Hexion Inc. (a specialty chemical manufacturer) (2019-2022); Executive Vice President, Consumer Business Group of 3M Company (July 2016-July 2019); and Executive Vice President, Health Care Business Group of 3M Company (October 2012-July 2016). Previously, Dr. Delgado served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (October 2019-January 2020). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	102	Stepan Company (a specialty chemical manufacturer)

  

36  

GOLDMAN SACHS ALTERNATIVE FUNDS

 

 

 

Trustees and Officers (Unaudited) (continued)

Independent Trustees

Name, Address and Age1	Position(s) Held with the Trust	Term of Office and Length of Time Served2	Principal Occupations During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee3	Other Directorships Held by Trustee4
Eileen H. Dowling Age: 61	Trustee	Since 2021	Ms. Dowling is retired. Formerly, she was Senior Advisor (April 2021-September 2021); and Managing Director (2013-2021), BlackRock, Inc. (a financial services firm). As Managing Director, she held senior management positions, including Global Head of Global Consultant Relations (2017-2021), Multinational Corporations (2019-2021), the Institutional Product Group (2015-2019) and Institutional Marketing (2013- 2016). Ms. Dowling was a member of the Global Operating Committee and Product Executive Committee of BlackRock. Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	102	None
Paul C. Wirth Age: 66	Trustee	Since 2022	Mr. Wirth is retired. He is Executive Advisor, My Next Season LLC (a career transition advisory firm) (2023 – Present) Formerly, he was Deputy Chief Financial Officer and Principal Accounting Officer (2011-2020); Finance Director and Principal Accounting Officer (2010-2011); and Managing Director, Global Controller, and Chief Accounting Officer (2005-2010) of Morgan Stanley. Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	102	None

  

  37

GOLDMAN SACHS ALTERNATIVE FUNDS

 

 

 

Trustees and Officers (Unaudited) (continued)

Interested Trustees*

Name, Address and Age1	Position(s) Held with the Trust	Term of Office and Length of Time Served2	Principal Occupations During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee3	Other Directorships Held by Trustee4
James A. McNamara Age: 61	President and Trustee	Since 2007	Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998- December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998). President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs ETF Trust; Goldman Sachs ETF Trust II; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund.	192	None

* Mr. McNamara is considered to be an “Interested Trustee” because he holds positions with Goldman Sachs and owns securities issued by The Goldman Sachs Group, Inc. Mr. McNamara holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor.

¹  Each Trustee may be contacted by writing to the Trustee, c/o Goldman Sachs, 200 West Street, New York, New York, 10282, Attn: Robert Griffith. Information is provided as of December 31, 2023.

²  Subject to such policies as may be adopted by the Board from time-to-time, each Trustee holds office for an indefinite term, until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board or shareholders, in accordance with the Trust’s Declaration of Trust; or (c) the termination of the Trust. The Board has adopted policies which provide that each Independent Trustee shall retire as of December 31st of the calendar year in which he or she reaches (a) his or her 75th birthday or (b) the 15th anniversary of the date he or she became a Trustee, whichever is earlier, unless a waiver of such requirements shall have been adopted by a majority of the other Trustees. These policies may be changed by the Trustees without shareholder vote.

³  The Goldman Sachs Fund Complex includes certain other companies listed above for each respective Trustee. As of December 31, 2023, Goldman Sachs Trust consisted of 87 portfolios; Goldman Sachs Variable Insurance Trust consisted of 15 portfolios (11 of which offered shares to the public); Goldman Sachs Trust II consisted of 18 portfolios (7 of which offered shares to the public); Goldman Sachs ETF Trust consisted of 68 portfolios (34 of which offered shares to the public); Goldman Sachs ETF Trust II consisted of 2 portfolios; and Goldman Sachs MLP and Energy Renaissance Fund, Goldman Sachs Credit Income Fund and Goldman Sachs Real Estate Diversified Income Fund each consisted of one portfolio. Goldman Sachs Credit Income Fund did not offer shares to the public.

⁴  This column includes only directorships of companies required to report to the Securities and Exchange Commission under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act.

Additional information about the Trustees is available in the Funds Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384.

  

38  

GOLDMAN SACHS ALTERNATIVE FUNDS

 

 

 

Trustees and Officers (Unaudited) (continued)

Officers of the Trust*

Name, Address and Age1	Position(s) Held with the Trust	Term of Office and Length of Time Served2	Principal Occupations During Past 5 Years
James A. McNamara 200 West Street New York, NY 10282 Age: 61	Trustee and President	Since 2007	Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998). President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs ETF Trust; Goldman Sachs ETF Trust II; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund.
Robert Griffith 200 West Street New York, NY 10282 Age: 49	Secretary	Since 2023	Managing Director, Goldman Sachs (September 2022 – Present); General Counsel, Exchange Traded Concepts, LLC (October 2021 – September 2022); Vice President, Goldman Sachs (August 2011 – October 2021); Associate General Counsel, Goldman Sachs (December 2014 – Present); Assistant General Counsel, Goldman Sachs (August 2011 – December 2014); Vice President and Counsel, Nomura Holding America, Inc. (2010 – 2011); and Associate, Simpson Thacher & Bartlett LLP (2005 – 2010). Secretary—Goldman Sachs Trust; (previously Assistant Secretary (2022)); Goldman Sachs Variable Insurance Trust (previously Assistant Secretary (2022)); Goldman Sachs Trust II (previously Assistant Secretary (2022)); Goldman Sachs ETF Trust (previously Assistant Secretary (2022)); Goldman Sachs ETF Trust II; (previously Assistant Secretary (2022)); and Goldman Sachs Real Estate Diversified Income Fund (previously Assistant Secretary (2022)). Assistant Secretary—Goldman Sachs MLP and Energy Renaissance Fund.
Joseph F. DiMaria 30 Hudson Street Jersey City, NJ 07302 Age: 55	Treasurer, Principal Financial Officer and Principal Accounting Officer	Since 2017 (Treasurer and Principal Financial Officer since 2019)	Managing Director, Goldman Sachs (November 2015-Present) and Vice President—Mutual Fund Administration, Columbia Management Investment Advisers, LLC (May 2010 – October 2015). Treasurer, Principal Financial Officer and Principal Accounting Officer—Goldman Sachs Trust (previously Assistant Treasurer (2016)); Goldman Sachs Variable Insurance Trust (previously Assistant Treasurer (2016)); Goldman Sachs Trust II (previously Assistant Treasurer (2017)); Goldman Sachs MLP and Energy Renaissance Fund (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust II; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund.

* Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-526-7384.

¹  Information is provided as of December 31, 2023.

²  Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor.

  

  39

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FUNDS PROFILE

 

 

 

Goldman Sachs Funds

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

Today, the Asset Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $2.54 trillion in assets under supervision as of December 31, 2023, Goldman Sachs Asset Management has portfolio management teams located around the world and our investment professionals bring firsthand knowledge of local markets to every investment decision. Assets under supervision includes assets under management and other client assets for which Goldman Sachs does not have full discretion. Goldman Sachs Asset Management leverages the resources of Goldman Sachs & Co. LLC subject to legal, internal and regulatory restrictions.

Money Market

Financial Square Funds^SM

∎ Financial Square Treasury Solutions Fund¹

∎ Financial Square Government Fund¹

∎ Financial Square Money Market Fund²

∎ Financial Square Prime Obligations Fund²

∎ Financial Square Treasury Instruments Fund¹

∎ Financial Square Treasury Obligations Fund¹

∎ Financial Square Federal Instruments Fund¹

Investor Funds^SM

∎ Investor Money Market Fund³

∎ Investor Tax-Exempt Money Market Fund³

Fixed Income

Short Duration and Government

∎ Enhanced Income Fund

∎ Short-Term Conservative Income Fund

∎ Short Duration Government Fund

∎ Short Duration Bond Fund

∎ Government Income Fund

∎ Inflation Protected Securities Fund

∎ U.S. Mortgages Fund

Multi-Sector

∎ Bond Fund

∎ Core Fixed Income Fund

∎ Global Core Fixed Income Fund

∎ Strategic Income Fund

∎ Income Fund

Municipal and Tax-Free

∎ High Yield Municipal Fund

∎ Dynamic Municipal Income Fund

∎ Short Duration Tax-Free Fund

∎ Municipal Income Completion Fund

Single Sector

∎ Investment Grade Credit Fund

∎ High Yield Fund

∎ High Yield Floating Rate Fund

∎ Emerging Markets Debt Fund

∎ Emerging Markets Credit Fund⁴

Fixed Income Alternatives

∎ Long Short Credit Strategies Fund

Fundamental Equity

∎ Equity Income Fund

∎ Small Cap Growth Fund

∎ Small Cap Value Fund

∎ Small/Mid Cap Value Fund

∎ Mid Cap Value Fund

∎ Large Cap Value Fund

∎ Focused Value Fund

∎ Large Cap Core Fund

∎ Strategic Growth Fund

∎ Small/Mid Cap Growth Fund

∎ Enhanced Core Equity Fund⁶

∎ Concentrated Growth Fund

∎ Technology Opportunities Fund

∎ Mid Cap Growth Fund

∎ Rising Dividend Growth Fund

∎ U.S. Equity ESG Fund

∎ Income Builder Fund

Tax-Advantaged Equity

∎ U.S. Tax-Managed Equity Fund

∎ International Tax-Managed Equity Fund

∎ U.S. Equity Dividend and Premium Fund

∎ International Equity Dividend and Premium Fund

Equity Insights

∎ Small Cap Equity Insights Fund

∎ U.S. Equity Insights Fund

∎ Small Cap Growth Insights Fund

∎ Large Cap Growth Insights Fund

∎ Large Cap Value Insights Fund

∎ Small Cap Value Insights Fund

∎ International Small Cap Insights Fund

∎ International Equity Insights Fund

∎ Emerging Markets Equity Insights Fund

Fundamental Equity International

∎ International Equity Income Fund

∎ International Equity ESG Fund

∎ China Equity Fund

∎ Emerging Markets Equity Fund

∎ Emerging Markets Equity ex. China Fund

∎ ESG Emerging Markets Equity Fund

Alternative

∎ Clean Energy Income Fund

∎ Real Estate Securities Fund

∎ Commodity Strategy Fund

∎ Global Real Estate Securities Fund

∎ Absolute Return Tracker Fund

∎ Managed Futures Strategy Fund

∎ MLP Energy Infrastructure Fund

∎ Energy Infrastructure Fund

∎ Multi-Strategy Alternatives Fund⁵

∎ Global Infrastructure Fund

Total Portfolio Solutions

∎ Global Managed Beta Fund

∎ Multi-Manager Non-Core Fixed Income Fund

∎ Multi-Manager Global Equity Fund

∎ Multi-Manager International Equity Fund

∎ Tactical Tilt Overlay Fund

∎ Balanced Strategy Portfolio

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

∎ Multi-Manager Real Assets Strategy Fund

∎ Growth and Income Strategy Portfolio

∎ Growth Strategy Portfolio

∎ Dynamic Global Equity Fund

∎ Satellite Strategies Portfolio

∎ Enhanced Dividend Global Equity Portfolio

∎ Tax-Advantaged Global Equity Portfolio

∎ Strategic Factor Allocation Fund

∎ Strategic Volatility Premium Fund

∎ GQG Partners International Opportunities Fund

¹ You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a bank account or deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Funds sponsor is not required to reimburse the Fund for losses, and you should not expect that the sponsor will provide financial support to the Fund at any time, including during periods of market stress.

² You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares. Effective October 2, 2024, the Fund generally must impose a fee when net sales of Fund shares exceed certain levels. An investment in the Fund is not a bank account or a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Funds sponsor is not required to reimburse the Fund for losses, and you should not expect that the sponsor will provide financial support to the Fund at any time, including during periods of market stress.

³ You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares. An investment in the Fund is not a bank account or deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Funds sponsor is not required to reimburse the Fund for losses, and you should not expect that the sponsor will provide financial support to the Fund at any time, including during periods of market stress.

⁴ Effective after the close of business on October 31, 2023, the Goldman Sachs Local Emerging Markets Debt Fund was renamed the Goldman Sachs Emerging Markets Credit Fund.

⁵ Effective after the close of business on September 22, 2023, the Goldman Sachs Multi-Manager Alternatives Fund was renamed the Goldman Sachs Multi-Strategy Alternatives Fund.

⁶ Effective after the close of business on February 13, 2024, the Goldman Sachs Flexible Cap Fund was renamed the Goldman Sachs Enhanced Core Equity Fund.

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

^* This list covers open-end funds only. Please visit our website at www.GSAMFUNDS.com to learn about our closed-end funds and exchange-traded funds.

  

  41

 

 

Goldman Sachs Alternative Funds II

∎ ABSOLUTE RETURN TRACKER FUND

∎ COMMODITY STRATEGY FUND

TABLE OF CONTENTS

Portfolio Management Discussion and Analysis	1
Index Definitions	13
Schedules of Investments	14
Financial Statements	33
Financial Highlights	36
Absolute Return Tracker	36
Commodity Strategy	43
Notes to Financial Statements	50
Report of Independent Registered Public Accounting Firm	69
Other Information	70
Voting Results	71

Effective January 24, 2023, open-end mutual funds and exchange traded funds are required to provide shareholders with streamlined annual and semi-annual shareholder reports (“Tailored Shareholder Reports”). Funds will be required to prepare a separate Tailored Shareholder Report for each share class of a fund that highlights key information to investors. Other information, including financial statements, will no longer appear in a fund’s shareholder report, but will be available online, delivered free of charge upon request, and filed with the SEC on a semi-annual basis on Form N-CSR. The new requirements have a compliance date of July 24, 2024.

NOT  FDIC-INSURED  May Lose Value  No Bank Guarantee 

 

FUND RESULTS

 

 

Goldman Sachs Absolute Return Tracker Fund

Investment Objective

The Fund seeks to deliver long-term total return consistent with investment results that approximate the return and risk characteristics of a diversified universe of hedge funds.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Quantitative Investment Strategies (“QIS”) Team discusses the Goldman Sachs Absolute Return Tracker Fund’s (the “Fund”) performance and positioning for the 12-month period ended December 31, 2023 (“the Reporting Period”).

Q How did the Fund perform during the Reporting Period?

A During the Reporting Period, the Fund’s Class A, Class C, Institutional, Investor, Class R6, Class R and Class P Shares generated average annual total returns, without sales charges, of 10.45%, 9.45%, 10.83%, 10.68%, 10.74%, 10.11% and 10.72%, respectively. These returns compare to the 5.01% average annual total return of the Fund’s benchmark, the ICE BofA Three-Month U.S. Treasury Bill Index (net of management, administrative and performance incentive fees), during the same time period.

Q What economic and market factors most influenced the hedge fund asset class as a whole during the Reporting Period?

A Risk assets, including equities and credit assets, as well as government bonds broadly experienced positive returns in 2023, as decelerating inflation and widespread expectations that the U.S. Federal Reserve (the “Fed”) was nearing the end of its interest rate hiking cycle more than offset the pressures of heightened geopolitical unrest, including the Russia/Ukraine and Hamas/Israel wars.

  Amid this backdrop, hedge funds generally posted positive returns during the Reporting Period, recovering from the prior year’s losses. High interest rates, persistent though lower inflation, recession fears and resultant market dispersion created opportunities for hedge fund strategies. Increased geopolitical tensions between the U.S. and China and in the Middle East were also some of the key drivers for market volatility as a tailwind for select hedge fund strategies.

  More specifically, equity long/short hedge fund strategies were the top performers during the Reporting Period, with multiple bigger hedge funds outperforming the bond markets.

  A lot of this strong performance was driven by the rally in information technology stocks and, in turn, global technology strategies.

  Relative value hedge fund strategies also performed well overall, with relative value arbitrage in particular proving adept at providing downside risk protection amid heightened volatility during the Reporting Period.

  Event-driven hedge fund strategies posted more modestly positive returns during the Reporting Period, remaining mostly flat during the last quarter of 2023. Using futures contracts, these strategies saw inflows and especially positive performance during the third calendar quarter as they offset some of the drawdown in the broad equity markets during those months.

  Global macro hedge fund strategies were the only major category among hedge fund strategies to post negative returns during the Reporting Period. The performance of macro strategies had a higher contribution from bond returns than usual in 2023.

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

A We believe hedge funds derive a large portion of their returns from exposure to sources of market risk (“Market Exposures”) and “Trading Strategies” involving long and/or short positions in Market Exposures and/or individual securities or baskets of securities. In seeking to meet its investment objective, the Fund uses a dynamic investment process to seek to identify the appropriate weights to Market Exposures and Trading Strategies that approximate the return and risk patterns of specific hedge fund sub-strategies. To establish the Market Exposures and Trading Strategies that drive the returns of the hedge fund sub-strategies, we use industry analysis of hedge funds, including hedge fund return databases, prime brokerage reports, industry participants and

 

    1

FUND RESULTS

 

 

  regulatory filings and other public sources. We then apply a quantitative methodology, in combination with a qualitative overlay, to assess the appropriate weight to each Market Exposure and Trading Strategy.

  The Fund is designed to follow the performance of the hedge fund industry with lower fees and daily liquidity. During the Reporting Period, the Fund achieved its objective by delivering similar performance both at an aggregate and style level. Contributors and detractors aligned with the performance of hedge funds with comparable volatility during the Reporting Period. It should be noted that during periods of significant market drawdowns, there can be some additional deviation between public and private market assets. In our view, the Reporting Period likely produced some outperformance for real hedge funds at least partially attributable to exposure to private assets that are not priced in the open market.

  On an absolute basis, all four Fund Sub-Strategies contributed positively to performance during the Reporting Period.

  Among the Fund’s four Sub-Strategies, the Equity Long/Short Hedge Fund Sub-Strategy, which represented close to 50% of the Fund’s portfolio, contributed most positively to the Fund’s absolute return during the Reporting Period. Within the Equity Long/Short Hedge Fund Sub-Strategy, long-biased and global stock selection strategies contributed most positively during the Reporting Period, while hedged exposure to emerging markets strategies detracted most.

  The Fund’s Relative Value Hedge Fund Sub-Strategy was the second biggest contributor to the Fund’s absolute return during the Reporting Period. Developed market equity strategies and credit exposure through investment grade bonds contributed most positively within the Relative Value Hedge Fund Sub-Strategy. None of the strategies within the Fund’s Relative Value Hedge Fund Sub-Strategy detracted from performance during the Reporting Period.

  The Fund’s Macro Hedge Fund Sub-Strategy also contributed positively to the Fund’s return on an absolute basis during the Reporting Period, despite global macro hedge fund strategies posting negative returns within the broader hedge fund universe. Such outperformance by the Fund’s Sub-Strategy was supported by its exposure to developed market equities, and the equity/bond long-only trend-following strategy also added value. The long/short multi-asset trend following strategy detracted, offsetting some gains.

  The Fund’s Event Driven Hedge Fund Sub-Strategy was a more modest positive contributor to the Fund’s absolute return during the Reporting Period. U.S. equity put spread and merger arbitrage strategies contributed positively to performance. None of the Sub-Strategy’s strategies significantly detracted during the Reporting Period.

  In addition to the asset classes mentioned above, the Fund was invested in a variety of developed and emerging market equities, short-term interest rates, government bonds, currencies, credit, real estate and commodities during the Reporting Period.

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

A The Fund used centrally-cleared index credit default swaps to gain exposure to high yield and investment grade credit markets across the U.S. and Europe. The Fund used total return swaps to gain exposure to U.K. and continental European large capitalization equity indices, developed market and developed market growth equity indices, global equity sector exposures, a basket of equity names that are acquisition targets, and Master Limited Partnerships. The Fund used an excess return swap to gain exposure to a broad universe of commodities. The Fund used currency forward contracts to gain exposure to select developed and emerging market currencies of non-U.S. developed markets. The Fund used exchange-traded index futures contracts to gain exposure to U.S. large-cap and small-cap equities, non-U.S. developed market equities including those in Europe, the U.K. and Japan, emerging market equities, commodities, government bonds and short-term interest rates. The Fund used exchange-traded put options on the S&P 500^® Index, exchange-traded VIX call options, and exchange-traded VIX futures to gain exposure to volatility.

Q Were there any changes made in the Fund’s investment strategy during the Reporting Period?

A There were no notable changes made in the Fund’s investment strategy during the Reporting Period.

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

A At the end of the Reporting Period, the Fund had a 44% allocation to the Equity Long/Short Hedge Fund Sub-Strategy, 26% to the Macro Hedge Fund Sub-Strategy, 25% to the Relative Value Hedge Fund Sub-Strategy and 5% to the Event Driven Hedge Fund Sub-Strategy, quite similar to the Sub-Strategy allocations at the start of the Reporting

 

2    

FUND RESULTS

 

 

  Period. This was in line with the distribution of hedge fund styles in the industry, which have historically changed at an evolutionary pace. The underlying strategies themselves adapted to the conditions of the Reporting Period. For example, the Fund’s net short exposure to government bonds was made long and increased during the Reporting Period. Similarly, the Fund’s next exposure to short-term interest rates went from short to long, and the Fund’s exposure to credit increased. Overall, the Fund’s net exposure increased near the end of the Reporting Period after decreasing for a majority of 2023, while the Fund’s gross exposure remained largely unchanged throughout.

Q Were there any changes to the Fund’s portfolio management team during the Reporting Period?

A There were no changes to the Fund’s portfolio management team during the Reporting Period.

Q What is the Fund’s strategy going forward?

A Hedge fund strategies generally performed well during the Reporting Period. As inflation rates cooled during the last quarter of calendar year 2023, causing increasing expectations of lower interest rates, we believed at the end of the Reporting Period that 2024 could provide a different regime for hedge fund investments. However, this may also create opportunities within strategies that benefit from a favorable macroeconomic environment. We are also cognizant that U.S. investors, who are a majority of hedge fund investors, had a historically higher average allocation to hedge funds during the Reporting Period, which could put pressure on hedge fund inflows in the coming year.

  All that said, in the coming months, we intend to remain focused on the Fund’s investment objective of seeking to deliver long-term total return consistent with investment results that approximate the return and risk patterns of a diversified universe of hedge funds. We understand that the hedge fund industry is dynamic, and to keep pace, we seek to understand trends in the hedge fund industry by digesting information from a number of sources, including hedge fund return databases, prime brokerage reports, hedge fund consultants, regulatory filings and other public sources. Additionally, we emphasize ongoing research and continued process and model enhancement, which we can implement through our scalable, robust technological platform.

 

    3

FUND BASICS

 

 

Absolute Return Tracker Fund

as of December 31, 2023

TOP TEN HOLDINGS AS OF 12/31/23 ±
Holding	% of Net Assets	Line of Business
iShares Core MSCI Emerging Markets ETF	9.7%	Exchange Traded Funds
iShares 5-10 Year Investment Grade Corporate Bond ETF	4.8	Exchange Traded Funds
SPDR Bloomberg Convertible Securities ETF	3.0	Exchange Traded Funds
SPDR Blackstone Senior Loan ETF	1.7	Exchange Traded Funds
Apple, Inc.	1.0	Technology Hardware, Storage & Peripherals
Microsoft Corp.	1.0	Software
Alphabet, Inc.	0.9	Interactive Media & Services
Amazon.com, Inc.	0.8	Broadline Retail
NVIDIA Corp.	0.8	Semiconductors & Semiconductor Equipment
Meta Platforms, Inc.	0.5	Interactive Media & Services

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

FUND COMPOSITION *

* The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities. Certain of the Fund’s investments reflected in the table above may be held for the purpose of covering derivative positions as required under the Investment Company Act of 1940, as amended, or for satisfying certain margin requirements related to such positions. The graph does not depict the investment in the securities lending reinvestment vehicle. The investment in the securities lending reinvestment vehicle represented 0.1% of the Fund’s net assets as of December 31, 2023. The above graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Consolidated Schedule of Investments.

For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.

 

4    

GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

 

 Performance Summary

 December 31, 2023

The following graph shows the value as of December 31, 2023, of a $1,000,000 investment made on January 1, 2014 in Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the ICE BofA Three-Month U.S. Treasury Bill Index, is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.

 Absolute Return Tracker Fund’s 10 Year Performance

  Performance of a $1,000,000 investment, with distributions reinvested, from January 1, 2014 through December 31, 2023.

  

	Average Annual Total Return through December 31, 2023*	One Year	Five Years	Ten Years	Since Inception
	Class A
	Excluding sales charges	10.45%	4.52%	3.09%	—
	Including sales charges	4.34%	3.35%	2.51%	—
	Class C
	Excluding contingent deferred sales charges	9.45%	3.74%	2.31%	—
	Including contingent deferred sales charges	8.43%	3.74%	2.31%	—
	Institutional	10.83%	4.91%	3.48%	—
	Investor	10.68%	4.78%	3.35%	—
	Class R6 (Commenced July 31, 2015)	10.74%	4.91%	N/A	3.66%
	Class R	10.11%	4.24%	2.83%	—
	Class P (Commenced April 17, 2018)	10.72%	4.92%	N/A	3.71%
	*  These returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.50% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Investor, Class R6, Class R, and Class P Shares do not involve a sales charge, such a charge is not applied to their Average Annual Total Return.

For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.

 

    5

FUND RESULTS

 

 

Goldman Sachs Commodity Strategy Fund

 December 31, 2023

Investment Objective

The Fund seeks long-term total return.

Portfolio Management Discussion and Analysis

Below, CoreCommodity Management, LLC (“CoreCommodity”) discusses the Fund’s performance and positioning for the 12-month period ended December 31, 2023 (the “Reporting Period”).

Q How did the Fund perform during the Reporting Period?

A During the Reporting Period, the Fund’s Class A, Class C, Institutional, Investor, Class R6, Class R and Class P Shares generated average annual total returns, without sales charges, of -9.95%, -10.58%, -9.65%, -9.78%, -9.71%, -10.19% and -9.72%, respectively. These returns compare to the -7.91% annual total return of the Fund’s benchmark, the Bloomberg Commodity Total Return Index (the “Bloomberg Commodity Index”), during the same period.

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

A Commodity markets overall, as measured by the Bloomberg Commodity Index, posted negative returns during calendar year 2023. For the Reporting Period, the Bloomberg Commodity Index significantly underperformed both the 26.29% return of the S&P 500 Index and the 5.53% return of the Bloomberg U.S. Aggregate Bond Index, measuring the U.S. equity market and U.S. fixed income market, respectively. The 2023 calendar year marked a stark difference from the preceding two years when commodities advanced rapidly. Notably, despite the underperformance during the Reporting Period, commodities still outpaced both stocks and bonds on a trailing three-year basis as of December 31, 2023.

  Directing commodity prices most during the Reporting Period was the influence of monetary policy. After 425 basis points of interest rate hikes in 2022, the Fed continued to tighten aggressively with an additional increase of 100 basis points to the targeted federal funds rate in 2023. (A basis point is 1/100th of a percentage point.) The effect on commodity markets was severalfold.

  The first, most immediate consequence was the dampening of inflation. The U.S. Consumer Price Index (“CPI”) started 2023 at an annualized rate of 6.5% and ended the year at 3.4%. Similar disinflationary trends occurred throughout

  most developed and emerging economies. Commodity prices were challenged in such an environment; however, lingering cost pressures continued to surface in corners of the supply chain. Labor supply remained tight, which fueled a series of wage negotiations, protests and other forms of labor activism. Together with higher material and capital expenses, the marginal cost of production for commodities like copper and zinc appreciated throughout the year, forcing many suppliers to curtail output. Poor producer economics weighed on production growth and helped to stem price declines.

  Higher interest rates also influenced commodities via the inventory cycle. Elevated financing costs translated to elevated storage costs, which meant that most holders of natural resources embarked on widespread destocking campaigns. In aggregate, the effect was significant and weighed most heavily on industrial metals. Going forward, should interest rates peak and then come down in 2024 as widely anticipated, destocking may hold less sway over the market and may actually shift to a net tailwind for commodities, in our view.

  Beyond the actions of the Fed, weather also played a dramatic role during the Reporting Period. Most scientists and climatologists agree that 2023 was the hottest year on record, made worse by the ongoing El Niño. Excessive heat plagued equatorial crops, like sugar and cocoa, and led to the rise of agricultural disease and pests, stunted hydropower generation, and even influenced oil refinery output. Furthermore, extreme weather threatened the world’s shipping lanes, most notably via low water levels along the Mississippi River, Rhine River and Panama Canal. In general, the rise in temperatures and extreme weather contributed to a worsening environment for miners, drillers and farmers alike.

  Another factor affecting commodities was the stark rise in geopolitical risk. During the Reporting Period, there was a noticeable increase in social uprising, military conflict and general unrest. Many of these events were isolated and bore little consequence, but on occasion, they had real impact on

 

6    

FUND RESULTS

 

 

  the commodity supply chain. Of particular note was the U.S. regional banking crisis in March 2023; the U.S. debt ceiling deadline in June; attempted Ukrainian counteroffensives during the summer months; Hamas terrorist attacks in October; and Venezuelan border disputes with Guyana in December. Each event had considerable influence over the pricing and/or sourcing of commodities.

Q Which commodity subsectors were strongest during the Reporting Period?

A Boasting a return of 9.6%, the precious metals subsector of the Bloomberg Commodity Index was the best performer and the only subsector to post a positive return during the Reporting Period. Gold appreciated 12.8%, while silver declined modestly, down 0.3%. Global central bank purchases, safe-haven demand amidst geopolitical tensions, and projected interest rate cuts by the Fed supported the price of gold.

Q Which commodity subsectors were weakest during the Reporting Period?

A The energy subsector of the Bloomberg Commodity Index was the weakest performer during the Reporting Period, with a return of -21.6%. Natural gas prices fell substantially (-65.3%) due to record-high production in the U.S., rising inventories, and lower demand due to warmer than average temperatures during the heating season. West Texas Intermediate (“WTI”) crude oil (-2.0%) and Brent crude oil (-1.0%) declined modestly, as OPEC spare capacity outweighed production cuts announced by the cartel and rising geopolitical catalysts. Additionally, Russia ramped up oil exports against OPEC+ commitments, and U.S. supplies outpaced virtually all expectations, spearheaded by growth from private producers. Heating oil declined 2.9%, while gasoil rose 1.7%, and RBOB, or reformulated blendstock for oxygenate blending, gasoline rose 7.6%, the latter of which was the best performing commodity within the subsector.

  Industrial metals was the second-weakest subsector of the Bloomberg Commodity Index during the Reporting Period, with a return of -9.2%. The subsector initially appreciated during the first quarter of 2023 on the back of China’s transition out of COVID-era lockdowns, which stirred hope for a revival in demand. However, as the year progressed, a downturn in global manufacturing, Chinese property woes, and soaring global interest rates reduced metals consumption, particularly for capital-intensive corners of the global economy. Nickel prices declined the most (-44.5%) due to a reduction in Chinese demand for stainless steel. Zinc and lead declined 6.4% and 5.1%, respectively, whereas

  aluminum declined 1.4%. Copper was the only metal in the subsector to post gains for the Reporting Period, up 4.7%. Copper benefited from its vital role in the energy transition and supply disruptions from key South American mines.

  The agriculture subsector of the Bloomberg Commodity Index declined 4.4% during the Reporting Period. With the exception of soybeans, which rose 2.0%, all staple crops declined during the Reporting Period. Chicago wheat fell 26.5%; Kansas City wheat fell 23.6%; corn fell 17.7%; soybean oil fell 17.0%; and soybean meal fell 0.1%. A stronger U.S. currency and bumper harvests out of both Russia and Brazil drove balances into surplus. Soft commodities fared significantly better, with frozen concentrated orange juice (104.2%) and cocoa (69.3%) advancing the most during the Reporting Period. Black pod disease, swollen shoot virus, and citrus greening disease were detrimental to cocoa and orange juice crops, propelling prices higher. Coffee rose 25.1%; sugar advanced 19.4%; and cotton gained 1.5%. Sugar advanced to a fresh decade-high on Indian export restrictions and weather-related disruptions among key growers, while coffee marched higher as exchange stocks collapsed to a 24-year low.

  The livestock component of the Bloomberg Commodity Index declined 1.9% during the Reporting Period. Live cattle advanced 10.5%; whereas lean hog prices declined 22% during the Reporting Period. Cattle was up, as the number of cows used for breeding beef cattle fell to a six-decade low. Pork prices declined on higher producer efficiency and weak demand out of China.

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

A The Fund posted absolute declines and underperformed the Bloomberg Commodity Index during the Reporting Period. The Fund underperformed in energy and precious metals and outperformed in industrial metals, agriculture and livestock.

  Within energy, the Fund’s overweight to natural gas detracted from performance, as prices declined approximately 65% during the Reporting Period. Overweights across the petroleum complex also detracted, with the exception of gasoil. Curve placement was additive in natural gas and gasoil but detracted across the petroleum complex. Within precious metals, an underweight to gold and an overweight to silver hurt. The inclusion of platinum in the Fund’s portfolio further dampened relative results. Within industrial metals, an overweight to copper and an underweight to lead were beneficial. Curve placement was additive across the industrial metals subsector, with the exception of zinc. In agriculture, within soft commodities,

 

    7

FUND RESULTS

 

 

  overweights to cotton and the inclusion of cocoa and frozen concentrated orange juice were beneficial, while an overweight to sugar detracted. Within staple crops, overweights to corn and Chicago wheat hurt, but underweights to soybean meal and Kansas City wheat added value. Within livestock, an underweight to live cattle and deferred positioning detracted, while deferred positioning in lean hogs contributed positively.

Q How did the Fund’s roll-timing strategies impact performance during the Reporting Period?

A As indicated above, the Fund’s roll-timing strategies, implemented via exposure to commodity index-linked swaps and commodity futures, had mixed effect on the Fund’s returns for the Reporting Period overall. The investment team implements a roll-timing strategy by deviating from the Bloomberg Commodity Index roll convention, which occurs during the fifth through ninth business days of each month. During the Reporting Period, rolls within the Fund primarily took place in advance of the benchmark (i.e., during the first four business days of each month). Additionally, certain commodities, such as those in the energy sector, were rolled on a more frequent basis than the Bloomberg Commodity Index. Further, while the majority of the Fund’s exposure is rolled on a controlled schedule, our team continually monitors fundamental and technical developments across all commodity markets and incorporates those views in the Fund’s portfolio by electing to roll positions opportunistically.

Q How did you implement the Fund’s enhanced cash management strategy?

A The investment team does not seek to add meaningful outperformance through an enhanced cash management strategy or collateral management. The cash portion of the Fund’s portfolio is typically invested in a conservative collateral portfolio of U.S. Treasury securities up to 12 months in maturity.

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

A As mentioned earlier in some detail, the Fund used commodity index-linked total return swaps and commodity futures in implementing roll-timing strategies in order to gain exposure to the commodity markets. The use of these instruments is integral to the Fund’s investment strategy, which, overall, realized negative absolute returns during the Reporting Period.

Q Did you make any changes in the Fund’s strategy or allocations during the Reporting Period?

A The Fund’s strategic allocation differed from the Bloomberg Commodity Index during the Reporting Period. At the subsector level, the Fund was overweight industrial metals and energy and underweight agriculture, precious metals and livestock on average relative to the Bloomberg Commodity Index during the Reporting Period.

  Within industrial metals, the Fund was overweight aluminum, copper, nickel and zinc and was underweight lead.

  Within energy, the Fund was overweight across petroleum and natural gas commodities. The team generally favored front-month positioning in Brent crude oil and gasoil and a mixture of front-month and deferred positioning across WTI crude oil, gasoline and heating oil. Natural gas positioning was spread across the curve, as we sought to benefit from seasonality and negate the effects of contango. (Contango is a situation where the futures price of a commodity is higher than the spot price. Contango usually occurs when an asset’s price is expected to rise over time. That results in an upward-sloping forward curve.)

  Within agriculture, the Fund was underweight both staple crops and soft commodities. Within staple crops, the Fund was underweight the soybean complex and wheat and was overweight corn. Within soft commodities, the Fund was underweight sugar and overweight coffee and cotton. The Fund included cocoa and frozen concentrated orange juice in its allocation, though these are not constituents of the Bloomberg Commodity Index.

  Within precious metals, the Fund included exposure to platinum, which is not a constituent of the Bloomberg Commodity Index. The Fund was overweight silver and underweight gold relative to the Bloomberg Commodity Index.

  Within livestock, the Fund was overweight live cattle and modestly underweight lean hogs versus the Bloomberg Commodity Index.

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

A At the end of the Reporting Period, the Fund was, via commodity index-linked securities, such as swaps and futures, overweight the energy and industrial metals subsectors and was underweight the agriculture, precious metals and livestock subsectors, each as relative to the Bloomberg Commodity Index.

 

8    

FUND RESULTS

 

 

  At the end of the Reporting Period, approximately 100% of the Fund’s net assets were invested in commodity-linked derivatives. The commodity exposure was collateralized with approximately 91% in U.S. Treasury securities and the remaining approximately 9% in cash.

Q Were there any changes to the Fund’s portfolio management team during the Reporting Period?

A There were no changes to the Fund’s portfolio management team during the Reporting Period.

Q What is the Fund’s view and strategy going forward?

A The Reporting Period was a particularly difficult year for forecasting most capital markets. It is never easy to predict the future, but the market action in 2023 surprised participants on many fronts and continually defied expectations along the way. Consensus views were punished, sometimes severely. That said, at the end of the Reporting Period, we were optimistic about the forward outlook, here presenting what we believe is a thoughtful projection for the broad atmosphere for commodities in 2024.

  The most anticipated macroeconomic development heading into 2024, in our view, involves the possibility of easing monetary policy by the U.S. Fed and other countries’ central banks as the year unfolds. The latest Fed minutes from its December 2023 meeting, released in the first week of January 2024, essentially confirmed that interest rates have peaked and, according to the dot plot, two to three rate cuts should be expected to occur in 2024. (The Fed’s dot plot is a chart updated quarterly that records each Fed official’s projection for the central bank’s key short-term interest rate, the federal funds rate.) The significant rally in risk assets that took place in the last few weeks of 2023, in response to the Fed’s release, may have been overextended, in our opinion. Rate cuts during the next 12 months, as implied by the bond market, suggest far more loosening to occur—on the order of 125 to 150 basis points in total. Based on the strength of the economy at the end of 2023, progress made on the inflation front, and central bank commentary, we believe that path to be of low probability and foresee a “higher for longer” interest rate environment ahead.

  Historically, a decline in interest rates generally coincides with a higher price for metals. Lower carrying costs as well as any ancillary effects on the U.S. currency typically bode well for both industrial and precious metals. At the end of the Reporting Period, we believed the rally into year-end may have taken some of the upside out of the market in the near term, especially if rates remain in flux for longer than

  consensus expected. Consequently, we seek to underweight gold in the Fund relative to the Bloomberg Commodity Index and reduce its overweight to industrial metals. Despite the tempered positioning, we believed the industrial metals complex remained plagued by a capital investment problem as far as supply growth is concerned. As such, we were particularly bullish on the subsector over longer time frames. The future demand profile for battery metals and those with high “green” penetration is favorable and cannot be overlooked, in our view. In turn, at the end of the Reporting Period, we maintained a modest overweight to industrial metals in the Fund and patiently await more favorable activity in the global industrial base before enacting a more aggressive position.

  The energy subsector appeared to us to be quite attractive as the calendar rolled forward into a new year. The price action for crude oil, petroleum products and natural gas was remarkably negative in the latter part of 2023. In the same way that bond prices and credit generally extended past fair value, in our opinion, energy declines were perhaps overdone. Lack of adequate capital investment for exploration and production, low inventories, robust demand growth, rising geopolitical stress, and overly-bearish speculative positioning may be the elixir needed to fuel a rally from 2023 closing levels. We believed natural gas fundamentals were less constructive, but the market remained localized enough such that any severe shift in weather may have an outsized effect on price. Recent developments in the Middle East, the Panama Canal and off the coast of Guyana also raise the likelihood of disruptions to physical flows, in our view. Any upside surprise to Chinese consumption and global energy demand more broadly is likely, in our opinion, to be faced with a knee-jerk response to the upside given sentiment in the subsector seen at the end of the Reporting Period. While the Fund’s positioning remains dynamic, we anticipate maintaining an overweight to the energy subsector in the months ahead.

  In the agriculture subsector, we believed opportunities exist on a commodity-by-commodity basis and vary considerably between each market. For instance, while commodity performance, as measured by the Bloomberg Commodity Index, was negative in 2023, there were pockets of substantial positive performance from certain soft commodities. Frozen concentrated orange juice, as mentioned earlier, was up 104.2%, cocoa prices climbed 69.3%, and sugar held on to gains, up 19.4%. For the year ahead, we have pared back the Fund’s allocations in those markets nearing record-high levels given the threat of demand destruction. Supplies for most grains and oilseeds

 

   9

FUND RESULTS

 

 

  were in good standing, in our view, at the end of the Reporting Period and had recovered from the disruptions experienced in 2022. El Niño is widely expected to remain strong into the first quarter of 2024 but may wane as the year progresses, potentially offering relief to certain equatorial crops. Sugar is one market where we held a favorable outlook, as prices had come down sharply with investor positioning and supplies remained challenged by export restrictions.

  Generally speaking, there are many outside forces that can and will have a material effect on the prices of commodities in 2024. We believed the fundamental balance for most markets was still favorable at the end of the Reporting Period, as inventories were low based on historical standards and producers were battling a wave of challenges. The latest economic reading seemed to suggest that a hard landing for the global economy is less of a threat than previously feared, and investor positioning in traditional equity and fixed income markets reflected a rosier outlook, in our view. (A hard landing in economics refers to a marked economic slowdown or downturn following a period of rapid growth.) If economic activity were to suffer well beyond consensus expectations, commodity prices are not immune. However, the depressed price levels at which the markets resided at the end of the Reporting Period implied, we believed, much of the downside may already have been accounted for.

  Looking ahead, in addition to rhetoric from the Fed, we remain attuned to the growing list of conflict zones around the map. On the political front, 2024 is slated to be a particularly important year, with more than 60 different elections taking place around the globe. Perhaps now more than ever, food and energy security are top of mind for politicians and legislators. If the political winds keep blowing in the direction of onshoring, deglobalization and isolationism we experienced in recent years, commodity supply chains may be in for an interesting ride.

 

10    

FUND BASICS

 

 

Commodity Strategy Fund

as of December 31, 2023

FUND COMPOSITION *

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

For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.

 

    11

GOLDMAN SACHS COMMODITY STRATEGY FUND

 

 

 Performance Summary

 December 31, 2023

The following graph shows the value as of December 31, 2023, of a $1,000,000 investment made on January 1, 2014 in Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the Bloomberg Commodity Total Return Index (Gross, USD, Unhedged) (“Bloomberg Commodity Index”), is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.

Commodity Strategy Fund’s 10 Year Performance

  Performance of a $1,000,000 investment, with distributions reinvested, from January 1, 2014 through December 31, 2023.

  

	Average Annual Total Return through December 31, 2023*	One Year	Five Years	Ten Years	Since Inception
	Class A
	Excluding sales charges	-9.95%	4.30%	-5.50%	—
	Including sales charges	-14.02%	3.33%	-5.94%	—
	Class C
	Excluding contingent deferred sales charges	-10.58%	3.54%	-6.18%	—
	Including contingent deferred sales charges	-11.47%	3.54%	-6.18%	—
	Institutional	-9.65%	4.65%	-5.18%	—
	Investor	-9.78%	4.58%	-5.24%	—
	Class R6 (Commenced July 31, 2015)	-9.71%	4.67%	N/A	-0.17%
	Class R	-10.19%	4.05%	-5.76%	—
	Class P (Commenced April 17, 2018)	-9.72%	4.67%	N/A	0.45%
	*  These returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 4.50% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Investor, Class R6, Class R, and Class P Shares do not involve a sales charge, such a charge is not applied to their Average Annual Total Return.

For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.

 

12    

FUND BASICS

 

 

Index Definitions

Bloomberg Commodity Total Return Index is composed of futures contracts and reflects the returns on a fully collateralized investment in the BCOM. This combines the returns of the BCOM with the returns on cash collateral invested in 13 week (3 Month) U.S. Treasury Bills.

It is not possible to invest in an unmanaged index.

ICE BofA Three-Month U.S. Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a full month. At the end of the month that issue is sold and rolled into a newly selected issue. The issue selected at each month-end rebalancing is the outstanding Treasury Bill that matures closest to, but not beyond, three months from the rebalancing date. To qualify for selection, an issue must have settled on or before the month-end rebalancing date. While the index will often hold the Treasury Bill issued at the most recent 3-month auction, it is also possible for a seasoned 6-month Bill to be selected.

It is not possible to invest in an unmanaged index.

 

    13

GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

Consolidated Schedule of Investments

December 31, 2023

 

Shares		Description	Value
	Common Stocks – 20.7%
	Aerospace & Defense – 0.2%
	3,141	BWX Technologies, Inc.		$      241,009
	5,158	Chemring Group PLC		23,044
	342	Dassault Aviation SA		67,761
	14,318	General Dynamics Corp.		3,717,955
	1,232	Huntington Ingalls Industries, Inc.		319,877
	2,358	L3Harris Technologies, Inc.		496,642
	13,521	Leonardo SpA		223,409
	17,056	QinetiQ Group PLC		67,146
	122,910	Rolls-Royce Holdings PLC*		468,824
	11,564	RTX Corp.		972,995
	4,370	Textron, Inc.		351,435
	2,640	TransDigm Group, Inc.		2,670,624
	1,748	Woodward, Inc.		237,955
				9,858,676
	Air Freight & Logistics – 0.1%
	3,827	CH Robinson Worldwide, Inc.		330,614
	12,932	Deutsche Post AG		640,083
	2,953	Expeditors International of Washington, Inc.		375,622
	2,558	FedEx Corp.		647,097
	400	NIPPON EXPRESS HOLDINGS, Inc.		22,696
	1,502	Yamato Holdings Co. Ltd.		27,717
				2,043,829
	Automobile Components – 0.0%
	1,000	Aisin Corp.		34,861
	4,374	Aptiv PLC*		392,435
	7,248	BorgWarner, Inc.		259,841
	2,005	Continental AG		170,287
	26,475	Dowlais Group PLC		35,982
	5,000	Forvia SE*		113,264
	1,500	JTEKT Corp.		12,657
	2,700	Stanley Electric Co. Ltd.		50,654
	2,900	Sumitomo Electric Industries Ltd.		36,797
	1,100	Sumitomo Rubber Industries Ltd.		11,912
	500	Toyoda Gosei Co. Ltd.		9,350
	8,566	Valeo SE		132,393
	800	Yokohama Rubber Co. Ltd.		18,283
				1,278,716
	Automobiles – 0.1%
	14,916	Bayerische Motoren Werke AG		1,659,728
	21,023	Honda Motor Co. Ltd.		216,857
	3,900	Isuzu Motors Ltd.		49,997
	4,800	Mazda Motor Corp.		51,307
	16,516	Mercedes-Benz Group AG		1,139,568
	11,500	Mitsubishi Motors Corp.		36,398
	57,007	Stellantis NV		1,335,710

Shares		Description	Value
	Common Stocks – (continued)
	Automobiles – (continued)
	3,800	Subaru Corp.		$        69,310
				4,558,875
	Banks – 0.8%
	193,570	Banco Santander SA		809,641
	48,323	Bank of America Corp.		1,627,035
	241,747	Barclays PLC		473,357
	19,035	BNP Paribas SA		1,321,898
	84,476	BPER Banca		283,228
	16,897	Citigroup, Inc.		869,182
	10,014	Citizens Financial Group, Inc.		331,864
	4,610	Comerica, Inc.		257,284
	67,968	Credit Agricole SA		966,278
	2,500	Hachijuni Bank Ltd.		13,898
	26,117	Huntington Bancshares, Inc.		332,208
	85,389	ING Groep NV		1,280,368
	77,672	JPMorgan Chase & Co.		13,212,007
	20,321	KeyCorp		292,622
	2,559	M&T Bank Corp.		350,788
	37,723	Mediobanca Banca di Credito Finanziario SpA		467,455
	45,900	Mitsubishi UFJ Financial Group, Inc.		393,920
	11,343	Mizuho Financial Group, Inc.		193,487
	123,407	NatWest Group PLC		343,738
	17,199	Regions Financial Corp.		333,317
	7,700	Shizuoka Financial Group, Inc.		65,111
	17,306	Societe Generale SA		460,432
	15,019	Truist Financial Corp.		554,501
	12,946	Virgin Money U.K. PLC		27,048
	154,874	Wells Fargo & Co.		7,622,898
	12,914	Wintrust Financial Corp.		1,197,774
	5,592	Zions Bancorp NA		245,321
				34,326,660
	Beverages – 0.5%
	6,842	Anheuser-Busch InBev SA		441,638
	1,898	Asahi Group Holdings Ltd.		70,675
	4,167	Britvic PLC		44,605
	123,300	Coca-Cola Co.		7,266,069
	4,722	Coca-Cola HBC AG		138,652
	5,867	Constellation Brands, Inc.
		Class A		1,418,347
	1,169	Heineken Holding NV		98,984
	71,350	Keurig Dr Pepper, Inc.		2,377,382
	5,852	Molson Coors Beverage Co.
		Class B		358,201
	42,493	PepsiCo, Inc.		7,217,011
				19,431,564
	Biotechnology – 0.2%
	11,528	AbbVie, Inc.		1,786,494

 

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

GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

 

Shares		Description	Value
	Common Stocks – (continued)
	Biotechnology – (continued)
	1,971	Biogen, Inc.*		$      510,036
	10,883	Gilead Sciences, Inc.		881,632
	5,620	Incyte Corp.*		352,880
	3,390	Regeneron Pharmaceuticals, Inc.*		2,977,403
	2,180	Vertex Pharmaceuticals, Inc.*		887,020
				7,395,465
	Broadline Retail – 0.8%
	218,409	Amazon.com, Inc.*		33,185,063
	8,929	eBay, Inc.		389,483
	11,600	Isetan Mitsukoshi Holdings Ltd.		125,955
	9,418	J Front Retailing Co. Ltd.		85,528
	15,100	Rakuten Group, Inc.		67,320
	1,700	Takashimaya Co. Ltd.		23,133
				33,876,482
	Building Products – 0.0%
	9,298	Carrier Global Corp.		534,170
	6,326	Cie de Saint-Gobain SA		466,525
	2,654	Genuit Group PLC		13,604
	4,674	Masco Corp.		313,065
	900	Sanwa Holdings Corp.		13,606
				1,340,970
	Capital Markets – 0.6%
	9,897	3i Group PLC		304,625
	1,290	Ameriprise Financial, Inc.		489,981
	708	Amundi SA(a)		48,292
	6,174	Azimut Holding SpA		161,391
	10,998	Bank of New York Mellon Corp.		572,446
	80,075	Charles Schwab Corp.		5,509,160
	15,891	CME Group, Inc.		3,346,645
	49,019	Deutsche Bank AG		669,163
	12,729	Franklin Resources, Inc.		379,197
	13,187	Hargreaves Lansdown PLC		123,245
	7,964	IG Group Holdings PLC		77,621
	3,429	Intermediate Capital Group PLC		73,255
	20,666	Invesco Ltd.		368,681
	4,047	Investec PLC		27,370
	1,883	Liontrust Asset Management PLC		15,119
	7,225	LPL Financial Holdings, Inc.		1,644,554
	38,435	Man Group PLC		113,953
	12,290	Morgan Stanley		1,146,043
	17,200	Nomura Holdings, Inc.		77,461
	4,627	Northern Trust Corp.		390,426
	10,344	Quilter PLC(a)		13,528
	3,671	Raymond James Financial, Inc.		409,317

Shares		Description	Value
	Common Stocks – (continued)
	Capital Markets – (continued)
	12,691	S&P Global, Inc.		$     5,590,639
	10,083	Schroders PLC		55,131
	10,455	St. James’s Place PLC		90,962
	5,959	State Street Corp.		461,584
	3,730	T Rowe Price Group, Inc.		401,684
	6,692	TP ICAP Group PLC		16,637
				22,578,110
	Chemicals – 0.5%
	2,164	Albemarle Corp.		312,655
	5,700	Asahi Kasei Corp.		42,068
	21,758	BASF SE		1,171,605
	2,393	Celanese Corp.		371,800
	4,362	CF Industries Holdings, Inc.		346,779
	4,483	Covestro AG*(a)		261,233
	52,402	Dow, Inc.		2,873,726
	2,890	Eastman Chemical Co.		259,580
	7,662	Elementis PLC*		12,456
	7,914	Evonik Industries AG		161,674
	5,143	Johnson Matthey PLC		111,280
	5,910	K&S AG		93,302
	700	Kaneka Corp.		17,744
	1,300	Kansai Paint Co. Ltd.		22,167
	3,126	Lanxess AG		97,775
	16,624	Linde PLC		6,827,643
	4,590	LyondellBasell Industries NV Class A		436,417
	6,500	Mitsubishi Chemical Group Corp.		39,735
	9,249	Mosaic Co.		330,467
	1,600	Resonac Holdings Corp.		31,796
	12,525	RPM International, Inc.		1,398,166
	12,370	Sherwin-Williams Co.		3,858,203
	2,928	Solvay SA		89,740
	2,928	Syensqo SA*		304,683
	6,000	Toray Industries, Inc.		31,080
	635	Victrex PLC		12,319
				19,516,093
	Commerical Services & Supplies – 0.1%
	1,699	Clean Harbors, Inc.*		296,492
	47,822	Copart, Inc.*		2,343,278
	1,843	Elis SA		38,521
	10,125	Mitie Group PLC		12,816
	604	MSA Safety, Inc.		101,973
	1,500	Park24 Co. Ltd.*		19,173
	7,848	RB Global, Inc.		524,953
	15,318	Republic Services, Inc.		2,526,091
	10,738	Serco Group PLC		22,187
	6,100	Sohgo Security Services Co. Ltd.		35,050
	1,100	TOPPAN Holdings, Inc.		30,635
				5,951,169

 

The accompanying notes are an integral part of these financial statements.    15

GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

Consolidated Schedule of Investments (continued)

December 31, 2023

 

Shares		Description	Value
	Common Stocks – (continued)
	Communications Equipment – 0.3%
	225,191	Cisco Systems, Inc.		$   11,376,649
	11,677	F5, Inc.*		2,089,950
	10,577	Juniper Networks, Inc.		311,810
	11,273	Spirent Communications PLC		17,717
				13,796,126
	Construction & Engineering – 0.0%
	5,714	ACS Actividades de Construccion y Servicios SA		253,786
	6,118	Balfour Beatty PLC		25,828
	4,275	Bouygues SA		161,293
	500	COMSYS Holdings Corp.		11,013
	1,127	Eiffage SA		120,984
	1,282	HOCHTIEF AG		141,976
	1,800	JGC Holdings Corp.		20,716
	422	Morgan Sindall Group PLC		11,915
	4,100	Taisei Corp.		140,006
	5,930	Vinci SA		746,262
				1,633,779
	Construction Materials – 0.0%
	13,012	Breedon Group PLC		60,040
	1,267	Buzzi SpA		38,535
	2,865	Heidelberg Materials AG		256,097
	11,975	Marshalls PLC		42,584
				397,256
	Consumer Finance – 0.1%
	1,200	AEON Financial Service Co. Ltd.		10,746
	5,419	American Express Co.		1,015,195
	5,173	Capital One Financial Corp.		678,284
	900	Credit Saison Co. Ltd.		16,538
	4,776	Discover Financial Services		536,822
	11,633	Synchrony Financial		444,264
				2,701,849
	Consumer Staples Distribution & Retail – 0.6%
	10,662	Carrefour SA		195,271
	900	Cosmos Pharmaceutical Corp.		103,869
	13,770	Costco Wholesale Corp.		9,089,302
	6,487	HelloFresh SE*		102,277
	30,553	J Sainsbury PLC		117,795
	4,173	Jeronimo Martins SGPS SA		106,205
	12,152	Koninklijke Ahold Delhaize NV		349,631
	10,306	Kroger Co.		471,087
	531	Lawson, Inc.		27,427
	2,572	Seven & i Holdings Co. Ltd.		101,721
	99,179	Tesco PLC		367,431
	9,984	U.S. Foods Holding Corp.*		453,373
	76,119	Walmart, Inc.		12,000,160

Shares		Description	Value
	Common Stocks – (continued)
	Consumer Staples Distribution & Retail – (continued)
	1,100	Welcia Holdings Co. Ltd.		$       19,220
				23,504,769
	Containers & Packaging – 0.1%
	12,511	AptarGroup, Inc.		1,546,610
	22,029	Crown Holdings, Inc.		2,028,651
	23,240	DS Smith PLC		90,940
	8,878	International Paper Co.		320,940
	2,833	Smurfit Kappa Group PLC		112,426
	230	Vidrala SA		23,851
				4,123,418
	Distributors – 0.0%
	6,441	Genuine Parts Co.		892,079
	4,880	Inchcape PLC		44,433
	6,551	LKQ Corp.		313,072
				1,249,584
	Diversified REITs – 0.0%
	10,676	Balanced Commercial Property Trust Ltd.		9,866
	692	Covivio SA		37,236
	14,145	Land Securities Group PLC		126,943
	21,142	LXI REIT PLC		28,242
				202,287
	Diversified Telecommunication Services – 0.1%
	60,963	AT&T, Inc.		1,022,959
	115,197	BT Group PLC		181,503
	82,411	Deutsche Telekom AG		1,981,433
	2,259	Elisa OYJ		104,416
	2,400	Internet Initiative Japan, Inc.		48,967
	85,281	Koninklijke KPN NV		293,804
	68,945	Telefonica SA		269,566
	31,331	Verizon Communications, Inc.		1,181,179
				5,083,827
	Electric Utilities – 0.2%
	17,073	American Electric Power Co., Inc.		1,386,669
	2,600	Chugoku Electric Power Co., Inc.		18,553
	18,810	Duke Energy Corp.		1,825,322
	10,415	Endesa SA		212,477
	137,084	Enel SpA		1,019,879
	14,674	Evergy, Inc.		765,983
	34,295	Exelon Corp.		1,231,190
	9,255	Fortum OYJ		133,681
	126,312	Iberdrola SA		1,656,807
	12,192	IDACORP, Inc.		1,198,717
	5,300	Kansai Electric Power Co., Inc.		70,342
	2,500	Kyushu Electric Power Co., Inc.*		18,097

 

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

GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

 

Shares		Description	Value
	Common Stocks – (continued)
	Electric Utilities – (continued)
	616	Verbund AG		$       57,086
				9,594,803
	Electrical Equipment – 0.1%
	5,922	Acuity Brands, Inc.		1,213,003
	2,400	Fujikura Ltd.		18,394
	700	Furukawa Electric Co. Ltd.		10,979
	1,972	Generac Holdings, Inc.*		254,861
	7,715	Hubbell, Inc.		2,537,695
	614	Nexans SA		53,867
	5,257	Prysmian SpA		239,641
	23,687	Siemens Energy AG*		313,054
	1,931	Signify NV(a)		64,759
				4,706,253
	Electronic Equipment, Instruments & Components – 0.1%
	1,700	Alps Alpine Co. Ltd.		14,777
	700	Amano Corp.		16,572
	700	Hirose Electric Co. Ltd.		79,057
	2,606	Keysight Technologies, Inc.*		414,589
	16,800	Kyocera Corp.		244,609
	700	Macnica Holdings, Inc.		36,774
	5,100	Omron Corp.		237,318
	462	Renishaw PLC		21,070
	1,693	Spectris PLC		81,434
	13,185	TD SYNNEX Corp.		1,418,838
	2,000	TDK Corp.		94,849
	3,705	TE Connectivity Ltd.		520,552
	2,510	Teledyne Technologies, Inc.*		1,120,188
	6,306	Trimble, Inc.*		335,479
	4,744	Yokogawa Electric Corp.		90,174
	2,929	Zebra Technologies Corp. Class A*		800,584
				5,526,864
	Energy Equipment & Services – 0.1%
	12,631	Baker Hughes Co.		431,728
	11,008	Halliburton Co.		397,939
	35,232	Schlumberger NV		1,833,473
	14,319	Tenaris SA		249,053
				2,912,193
	Entertainment – 0.2%
	14,283	Bollore SE		89,380
	3,140	Electronic Arts, Inc.		429,583
	3,600	Koei Tecmo Holdings Co. Ltd.		41,011
	3,716	Live Nation Entertainment, Inc.*		347,818
	1,900	Toho Co. Ltd.		64,145
	70,801	Walt Disney Co.		6,392,622

Shares		Description	Value
	Common Stocks – (continued)
	Entertainment – (continued)
	41,616	Warner Bros Discovery, Inc.*		$      473,590
				7,838,149
	Financial Services – 1.1%
	53,085	Berkshire Hathaway, Inc. Class B*		18,933,296
	15,106	Cab Payments Holdings PLC*		15,943
	567	Eurazeo SE		45,085
	901	EXOR NV		90,188
	3,018	FleetCor Technologies, Inc.*		852,917
	25,820	Mastercard, Inc. Class A		11,012,488
	8,400	Mitsubishi HC Capital, Inc.		56,278
	5,400	ORIX Corp.		101,418
	5,836	OSB Group PLC		34,462
	2,374	Paragon Banking Group PLC		21,107
	11,005	PayPal Holdings, Inc.*		675,817
	1,434	Plus500 Ltd.		30,453
	48,695	Visa, Inc. Class A		12,677,743
	357	Wendel SE		31,855
	12,113	WEX, Inc.*		2,356,584
	9,346	Worldline SA*(a)		162,527
				47,098,161
	Food Products – 0.1%
	6,348	Archer-Daniels-Midland Co.		458,453
	2,905	Bunge Global SA		293,260
	6,732	Campbell Soup Co.		291,024
	10,289	Conagra Brands, Inc.		294,883
	1,986	Glanbia PLC		32,744
	20,554	Hormel Foods Corp.		659,989
	800	House Foods Group, Inc.		17,665
	2,822	J M Smucker Co.		356,644
	1,066	JDE Peet’s NV		28,667
	5,745	Kellanova		321,203
	5,290	Kerry Group PLC Class A		459,168
	2,100	Kewpie Corp.		37,007
	13,584	Kraft Heinz Co.		502,336
	2,200	Morinaga & Co. Ltd.		39,912
	700	Morinaga Milk Industry Co. Ltd.		13,550
	2,800	Nichirei Corp.		69,027
	1,400	Nisshin Seifun Group, Inc.		18,854
	2,200	Nissui Corp.		11,832
	6,308	Tyson Foods, Inc. Class A		339,055
	330	Viscofan SA		19,527
	900	Yamazaki Baking Co. Ltd.		20,557
				4,285,357
	Gas Utilities – 0.0%
	2,659	Atmos Energy Corp.		308,178
	10,677	Italgas SpA		61,135

 

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

GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

Consolidated Schedule of Investments (continued)

December 31, 2023

 

Shares		Description	Value
	Common Stocks – (continued)
	Gas Utilities – (continued)
	1,695	Naturgy Energy Group SA		$       50,557
	1,500	Osaka Gas Co. Ltd.		31,312
	1,141	Rubis SCA		28,385
	1,800	Tokyo Gas Co. Ltd.		41,290
				520,857
	Ground Transportation – 0.2%
	17,600	Central Japan Railway Co.		446,693
	7,414	Firstgroup PLC		16,538
	2,800	Hankyu Hanshin Holdings, Inc.		88,984
	3,500	Kintetsu Group Holdings Co. Ltd.		110,894
	18,388	Mobico Group PLC		19,829
	2,700	Nagoya Railroad Co. Ltd.		43,280
	12,325	Norfolk Southern Corp.		2,913,383
	900	Seino Holdings Co. Ltd.		13,631
	11,196	Union Pacific Corp.		2,749,961
				6,403,193
	Health Care Equipment & Supplies – 0.6%
	54,367	Abbott Laboratories		5,984,176
	1,315	Align Technology, Inc.*		360,310
	8,818	Baxter International, Inc.		340,904
	20,622	Becton Dickinson & Co.		5,028,262
	43,855	ConvaTec Group PLC(a)		136,472
	1,807	Cooper Cos., Inc.		683,841
	16,221	Hologic, Inc.*		1,158,990
	13,749	Intuitive Surgical, Inc.*		4,638,363
	58,792	Medtronic PLC		4,843,285
	13,536	STERIS PLC		2,975,889
	1,117	Teleflex, Inc.		278,513
				26,429,005
	Health Care Providers & Services – 1.0%
	700	Alfresa Holdings Corp.		11,883
	5,597	Amplifon SpA		193,940
	3,931	Cardinal Health, Inc.		396,245
	13,518	Cencora, Inc.		2,776,327
	41,436	Centene Corp.*		3,074,966
	2,850	Cigna Group		853,432
	12,343	CVS Health Corp.		974,603
	2,885	DaVita, Inc.*		302,233
	16,675	Elevance Health, Inc.		7,863,263
	3,237	Fresenius Medical Care AG		135,333
	7,270	Fresenius SE & Co. KGaA		225,337
	2,426	HCA Healthcare, Inc.		656,670
	4,284	Henry Schein, Inc.*		324,342
	1,321	Humana, Inc.		604,767
	1,653	Laboratory Corp. of America Holdings		375,710
	8,753	McKesson Corp.		4,052,464
	1,093	Molina Healthcare, Inc.*		394,912
	1,600	Suzuken Co. Ltd.		52,913
	30,879	UnitedHealth Group, Inc.		16,256,867

Shares		Description	Value
	Common Stocks – (continued)
	Health Care Providers & Services – (continued)
	2,131	Universal Health Services, Inc. Class B		$      324,850
				39,851,057
	Health Care REITs – 0.0%
	731	Aedifica SA		51,377
	51,131	Assura PLC		31,362
	15,849	Healthpeak Properties, Inc.		313,810
	12,598	Omega Healthcare Investors, Inc.		386,255
	6,726	Ventas, Inc.		335,224
				1,118,028
	Hotel & Resort REITs – 0.0%
	19,173	Host Hotels & Resorts, Inc.		373,298
	Hotels, Restaurants & Leisure – 0.2%
	6,308	Accor SA		241,446
	284	Booking Holdings, Inc.*		1,007,410
	6,984	Caesars Entertainment, Inc.*		327,410
	2,935	Choice Hotels International, Inc.(b)		332,535
	2,781	Expedia Group, Inc.*		422,128
	1,600	Food & Life Cos. Ltd.		32,785
	1,442	J D Wetherspoon PLC*		14,897
	9,423	Just Eat Takeaway.com NV*(a)		143,671
	1,266	La Francaise des Jeux SAEM(a)		45,987
	8,619	MGM Resorts International*		385,097
	2,162	Playtech PLC*		12,362
	4,038	Royal Caribbean Cruises Ltd.*		522,881
	1,200	Skylark Holdings Co. Ltd.		17,556
	914	Sodexo SA		100,621
	7,398	SSP Group PLC*		22,141
	7,480	TUI AG*		58,280
	2,860	Vail Resorts, Inc.		610,524
	17,431	Wendy’s Co.		339,556
	4,994	Wyndham Hotels & Resorts, Inc.		401,568
	2,980	Wynn Resorts Ltd.		271,508
	10,016	Yum! Brands, Inc.		1,308,691
				6,619,054
	Household Durables – 0.1%
	19,778	Barratt Developments PLC		141,680
	1,397	Bellway PLC		45,631
	1,569	Berkeley Group Holdings PLC		93,671
	1,500	Casio Computer Co. Ltd.		12,989
	3,947	DR Horton, Inc.		599,865
	3,719	Lennar Corp. Class A		554,280
	3,005	Mohawk Industries, Inc.*		311,017
	406	NVR, Inc.*		2,842,183

 

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

GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

 

Shares		Description	Value
	Common Stocks – (continued)
	Household Durables – (continued)
	44,700	Panasonic Holdings Corp.		$      440,186
	4,103	PulteGroup, Inc.		423,512
	2,751	Redrow PLC		21,583
	237	SEB SA		29,678
	1,400	Sekisui Chemical Co. Ltd.		20,136
	3,800	Sharp Corp.*		27,046
	1,500	Sumitomo Forestry Co. Ltd.		44,567
				5,608,024
	Household Products – 0.1%
	16,930	Clorox Co.		2,414,049
	1,600	Lion Corp.		14,838
				2,428,887
	Independent Power and Renewable Electricity Producers – 0.0%
	12,257	Drax Group PLC		76,508
	900	Electric Power Development Co. Ltd.		14,594
				91,102
	Industrial Conglomerates – 0.2%
	938	DCC PLC		69,019
	8,270	General Electric Co.		1,055,500
	100	Hikari Tsushin, Inc.		16,527
	2,900	Hitachi Ltd.		208,596
	23,485	Honeywell International, Inc.		4,925,040
	1,200	Keihan Holdings Co. Ltd.		31,318
	2,600	Nisshinbo Holdings, Inc.		21,067
				6,327,067
	Industrial REITs – 0.0%
	20,006	LondonMetric Property PLC		48,728
	18,700	Urban Logistics REIT PLC		30,367
				79,095
	Insurance – 0.7%
	6,321	Aflac, Inc.		521,482
	4,603	Ageas SA		200,095
	2,141	American Financial Group, Inc.		254,543
	49,460	American International Group, Inc.		3,350,915
	11,647	Aon PLC Class A		3,389,510
	4,879	Arch Capital Group Ltd.*		362,363
	10,992	Arthur J Gallagher & Co.		2,471,881
	45,593	Assicurazioni Generali SpA		963,267
	1,513	Assurant, Inc.		254,925
	47,276	Aviva PLC		261,598
	10,305	Beazley PLC		68,483
	19,644	Chubb Ltd.		4,439,544
	4,400	Dai-ichi Life Holdings, Inc.		93,337
	853	Everest Group Ltd.		301,604
	2,126	Globe Life, Inc.		258,777

Shares		Description	Value
	Common Stocks – (continued)
	Insurance – (continued)
	4,907	Hartford Financial Services Group, Inc.		$      394,425
	4,580	Hiscox Ltd.		61,531
	14,192	Japan Post Holdings Co. Ltd.		126,699
	1,388	Japan Post Insurance Co. Ltd.		24,638
	9,582	Just Group PLC		10,492
	4,728	Loews Corp.		329,021
	1,111	Markel Group, Inc.*		1,577,509
	7,969	MetLife, Inc.		526,990
	18,902	Poste Italiane SpA(a)		214,854
	4,804	Principal Financial Group, Inc.		377,931
	24,090	Progressive Corp.		3,837,055
	21,170	Prudential Financial, Inc.		2,195,541
	1,781	SCOR SE		52,185
	925	Talanx AG		66,105
	2,712	Travelers Cos., Inc.		516,609
	29,411	W R Berkley Corp.		2,079,946
				29,583,855
	Interactive Media & Services – 1.4%
	264,177	Alphabet, Inc. Class A*		36,902,885
	7,635	Match Group, Inc.*		278,677
	59,419	Meta Platforms, Inc. Class A*		21,031,949
	6,136	Moneysupermarket.com Group PLC		21,865
	12,071	TripAdvisor, Inc.*		259,889
				58,495,265
	IT Services – 0.3%
	22,588	Accenture PLC Class A		7,926,355
	2,946	Akamai Technologies, Inc.*		348,659
	225	Alten SA		33,522
	752	Bechtle AG		37,666
	7,201	Cognizant Technology Solutions Corp. Class A		543,892
	832	Computacenter PLC		29,568
	3,702	EPAM Systems, Inc.*		1,100,753
	16,600	Finablr PLC*(a)(c)		—
	7,114	International Business Machines Corp.		1,163,495
	7,254	NEC Corp.		428,611
	1,300	NET One Systems Co. Ltd.		22,135
	600	Otsuka Corp.		24,693
	4,200	SCSK Corp.		83,153
	2,432	Softcat PLC		42,159
	158	Sopra Steria Group SACA		34,605
	800	TIS, Inc.		17,583
	3,096	VeriSign, Inc.*		637,652
				12,474,501

 

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

GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

Consolidated Schedule of Investments (continued)

December 31, 2023

 

Shares		Description	Value
	Common Stocks – (continued)
	Leisure Products – 0.0%
	600	Sankyo Co. Ltd.		$       34,938
	1,900	Sega Sammy Holdings, Inc.		26,526
				61,464
	Life Sciences Tools & Services – 0.5%
	3,636	Agilent Technologies, Inc.		505,513
	6,444	Bio-Rad Laboratories, Inc. Class A*		2,080,703
	1,507	Charles River Laboratories International, Inc.*		356,255
	29,470	Danaher Corp.		6,817,590
	2,092	Eurofins Scientific SE		136,466
	2,278	IQVIA Holdings, Inc.*		527,084
	21,960	Thermo Fisher Scientific, Inc.		11,656,148
				22,079,759
	Machinery – 0.2%
	21,286	Allison Transmission Holdings, Inc.		1,237,781
	3,226	Bodycote PLC		24,446
	3,984	Caterpillar, Inc.		1,177,949
	18,257	CNH Industrial NV		223,887
	1,990	Cummins, Inc.		476,744
	2,376	Donaldson Co., Inc.		155,272
	2,340	Dover Corp.		359,916
	6,042	Flowserve Corp.		249,051
	18,037	Fortive Corp.		1,328,064
	2,758	GEA Group AG		114,662
	3,309	IMI PLC		70,904
	1,567	Interpump Group SpA		81,297
	1,657	KION Group AG		70,720
	766	Konecranes OYJ		34,556
	1,000	Makita Corp.		27,505
	1,600	NGK Insulators Ltd.		19,081
	14,600	NSK Ltd.		78,896
	6,900	NTN Corp.		12,685
	11,219	Otis Worldwide Corp.		1,003,764
	5,822	PACCAR, Inc.		568,518
	4,036	Pentair PLC		293,458
	1,090	Snap-on, Inc.		314,836
	3,234	Stanley Black & Decker, Inc.		317,255
	800	THK Co. Ltd.		15,633
	2,981	Westinghouse Air Brake Technologies Corp.		378,289
				8,635,169
	Marine Transportation – 0.1%
	1,700	Kawasaki Kisen Kaisha Ltd.		72,754
	27,951	Kirby Corp.*		2,193,594
	2,500	Mitsui OSK Lines Ltd.		79,926
	3,400	Nippon Yusen KK		105,004
				2,451,278

Shares		Description	Value
	Common Stocks – (continued)
	Media – 0.3%
	390	4imprint Group PLC		$       22,685
	1,449	Charter Communications, Inc. Class A*		563,197
	175,118	Comcast Corp. Class A		7,678,924
	1,200	Dentsu Group, Inc.		30,724
	41,666	Fox Corp. Class A		1,236,230
	2,074	Future PLC		21,038
	18,599	Informa PLC		184,993
	8,739	Interpublic Group of Cos., Inc.		285,241
	67,441	ITV PLC		54,275
	13,808	News Corp. Class A		338,987
	2,369	Publicis Groupe SA		220,108
	8,829	Vivendi SE		94,514
	17,249	WPP PLC		164,761
				10,895,677
	Metals & Mining – 0.1%
	13,411	ArcelorMittal SA		380,604
	25,730	Centamin PLC		32,675
	7,048	Evraz PLC*(c)		—
	103,580	Glencore PLC		622,624
	4,400	JFE Holdings, Inc.		68,073
	4,000	Kobe Steel Ltd.		51,558
	600	Mitsui Mining & Smelting Co. Ltd.		18,398
	5,000	Nippon Steel Corp.		114,219
	3,369	Nucor Corp.		586,341
	2,037	Reliance Steel & Aluminum Co.		569,708
	6,594	Rio Tinto PLC		490,469
	3,367	Steel Dynamics, Inc.		397,643
	11,914	thyssenkrupp AG		82,879
	1,149	voestalpine AG		36,177
	200	Yamato Kogyo Co. Ltd.		10,524
				3,461,892
	Multi-Utilities – 0.1%
	43,554	A2A SpA		89,463
	319,884	Centrica PLC		573,456
	71,550	E.ON SE		961,279
	13,012	Hera SpA		42,730
	32,402	National Grid PLC		436,498
	1,618	Telecom Plus PLC		33,246
	13,776	Veolia Environnement SA		435,413
				2,572,085
	Office REITs – 0.0%
	3,338	Alexandria Real Estate Equities, Inc.		423,158
	5,397	Boston Properties, Inc.		378,708
	4,124	Derwent London PLC		124,033
	2,004	Workspace Group PLC		14,482
				940,381

 

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

GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

 

Shares		Description	Value
	Common Stocks – (continued)
	Oil, Gas & Consumable Fuels – 0.6%
	7,095	APA Corp.		$      254,569
	101,401	BP PLC		601,112
	14,182	Cheniere Energy, Inc.		2,421,009
	67,312	Chevron Corp.		10,040,258
	700	Cosmo Energy Holdings Co. Ltd.		28,053
	12,720	Coterra Energy, Inc.		324,614
	36	Diversified Energy Co. PLC		510
	20,200	ENEOS Holdings, Inc.		80,118
	74,778	Eni SpA		1,268,339
	23,380	Exxon Mobil Corp.		2,337,532
	30,692	Galp Energia SGPS SA		451,592
	16,421	Harbour Energy PLC		64,518
	7,500	Idemitsu Kosan Co. Ltd.		40,729
	6,900	Inpex Corp.		92,334
	73,170	Kinder Morgan, Inc.		1,290,719
	13,171	Marathon Oil Corp.		318,211
	4,322	Marathon Petroleum Corp.		641,212
	8,998	Occidental Petroleum Corp.		537,271
	1,859	OMV AG		81,559
	5,130	Phillips 66		683,008
	26,389	Repsol SA		391,452
	32,475	Shell PLC		1,063,039
	284,155	Southwestern Energy Co.*		1,861,215
	4,458	Valero Energy Corp.		579,540
				25,452,513
	Paper & Forest Products – 0.0%
	18,428	Mondi PLC		360,538
	5,100	Oji Holdings Corp.		19,604
				380,142
	Passenger Airlines – 0.0%
	9,074	Air France-KLM*		136,546
	23,514	American Airlines Group, Inc.*		323,082
	3,400	ANA Holdings, Inc.*		73,663
	11,438	Delta Air Lines, Inc.		460,151
	27,671	Deutsche Lufthansa AG*		246,002
	22,338	easyJet PLC*		144,912
	3,300	Japan Airlines Co. Ltd.		64,829
	8,821	United Airlines Holdings, Inc.*		363,955
				1,813,140
	Personal Products – 0.0%
	24,237	Kenvue, Inc.		521,822
	500	Kose Corp.		37,373
	5,300	Rohto Pharmaceutical Co. Ltd.		106,579
	2,500	Shiseido Co. Ltd.		75,356
				741,130
	Pharmaceuticals – 0.6%
	27,400	Astellas Pharma, Inc.		325,875

Shares		Description	Value
	Common Stocks – (continued)
	Pharmaceuticals – (continued)
	3,516	AstraZeneca PLC		$      474,273
	105,780	Bristol-Myers Squibb Co.		5,427,572
	34,339	GSK PLC		634,213
	8,135	Hikma Pharmaceuticals PLC		185,373
	477	Ipsen SA		56,901
	19,211	Jazz Pharmaceuticals PLC*		2,362,953
	1,200	Kyowa Kirin Co. Ltd.		20,135
	74,882	Merck & Co., Inc.		8,163,636
	2,200	Ono Pharmaceutical Co. Ltd.		39,137
	1,201	Otsuka Holdings Co. Ltd.		44,914
	85,587	Perrigo Co. PLC		2,754,190
	1,981	Recordati Industria Chimica e Farmaceutica SpA		106,821
	10,342	Sanofi SA		1,027,713
	8,900	Santen Pharmaceutical Co. Ltd.		88,548
	1,400	Shionogi & Co. Ltd.		67,379
	5,343	Takeda Pharmaceutical Co. Ltd.		153,227
	1,499	UCB SA		130,670
	35,897	Viatris, Inc.		388,764
	18,496	Zoetis, Inc.		3,650,555
				26,102,849
	Professional Services – 0.3%
	9,124	Automatic Data Processing, Inc.		2,125,618
	14,328	Broadridge Financial Solutions, Inc.		2,947,986
	4,550	Bureau Veritas SA		115,114
	729	CACI International, Inc. Class A*		236,094
	24,086	Hays PLC		33,520
	21,290	Leidos Holdings, Inc.		2,304,430
	10,405	Paychex, Inc.		1,239,340
	10,357	Paylocity Holding Corp.*		1,707,351
	44,200	Persol Holdings Co. Ltd.		75,622
	3,410	Robert Half, Inc.		299,807
	1,311	Teleperformance SE		191,940
	7,850	Verisk Analytics, Inc.		1,875,051
				13,151,873
	Real Estate Management & Development – 0.0%
	200	Daito Trust Construction Co. Ltd.		23,149
	6,800	Daiwa House Industry Co. Ltd.		205,566
	1,800	Hulic Co. Ltd.		18,803
	7,245	IWG PLC*		17,482
	800	Nomura Real Estate Holdings, Inc.		20,992
	1,268	Savills PLC		15,662

 

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

GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

Consolidated Schedule of Investments (continued)

December 31, 2023

 

Shares		Description	Value
	Common Stocks – (continued)
	Real Estate Management & Development – (continued)
	4,100	Tokyu Fudosan Holdings Corp.		$       26,127
				327,781
	Residential REITs – 0.1%
	4,721	AvalonBay Communities, Inc.		883,866
	3,293	Camden Property Trust		326,962
	12,527	Equity Residential		766,151
	2,448	Essex Property Trust, Inc.		606,957
	2,311	Mid-America Apartment Communities, Inc.		310,737
				2,894,673
	Retail REITs – 0.1%
	42,102	Hammerson PLC		15,217
	15,593	Kimco Realty Corp.		332,287
	4,164	Klepierre SA		113,680
	25,018	Realty Income Corp.		1,436,533
				1,897,717
	Semiconductors & Semiconductor Equipment – 1.7%
	3,842	AIXTRON SE		163,583
	25,573	Analog Devices, Inc.		5,077,775
	37,080	Applied Materials, Inc.		6,009,555
	3,087	Enphase Energy, Inc.*		407,916
	20,272	Infineon Technologies AG		846,612
	132,605	Intel Corp.		6,663,401
	1,097	Lam Research Corp.		859,236
	6,344	Microchip Technology, Inc.		572,102
	50,834	Micron Technology, Inc.		4,338,173
	65,206	NVIDIA Corp.		32,291,315
	2,713	NXP Semiconductors NV		623,122
	3,064	Qorvo, Inc.*		345,037
	8,517	QUALCOMM, Inc.		1,231,814
	8,050	Renesas Electronics Corp.*		143,942
	832	SCREEN Holdings Co. Ltd.		70,130
	4,000	Shinko Electric Industries Co. Ltd.		154,835
	3,829	Skyworks Solutions, Inc.		430,456
	2,451	SolarEdge Technologies, Inc.*		229,414
	20,500	STMicroelectronics NV		1,027,153
	48,508	Texas Instruments, Inc.		8,268,674
				69,754,245
	Software – 2.1%
	14,039	Adobe, Inc.*		8,375,667
	2,855	ANSYS, Inc.*		1,036,022
	1,187	Aspen Technology, Inc.*		261,318
	19,593	Autodesk, Inc.*		4,770,504
	65,690	Dropbox, Inc. Class A*		1,936,541
	8,729	Fortinet, Inc.*		510,908
	92,056	Gen Digital, Inc.		2,100,718
	108,380	Microsoft Corp.		40,755,215

Shares		Description	Value
	Common Stocks – (continued)
	Software – (continued)
	56,006	Oracle Corp.		$     5,904,713
	49,902	Salesforce, Inc.*		13,131,212
	7,895	ServiceNow, Inc.*		5,577,739
	5,032	TeamViewer SE*(a)		78,160
	1,318	Tyler Technologies, Inc.*		551,082
	5,949	Workday, Inc. Class A*		1,642,281
				86,632,080
	Specialized REITs – 0.0%
	5,325	Public Storage		1,624,125
	5,309	Safestore Holdings PLC		59,790
				1,683,915
	Specialty Retail – 0.5%
	4,600	ABC-Mart, Inc.		80,282
	552	AutoZone, Inc.*		1,427,257
	7,436	Bath & Body Works, Inc.		320,938
	4,527	Best Buy Co., Inc.		354,374
	4,065	CarMax, Inc.*		311,948
	16,296	Currys PLC*		10,490
	1,939	Dunelm Group PLC		27,057
	29,370	Home Depot, Inc.		10,178,173
	58,625	JD Sports Fashion PLC		123,718
	45,335	Kingfisher PLC		140,465
	3,600	K’s Holdings Corp.		33,702
	5,686	Lithia Motors, Inc.		1,872,286
	4,000	Murphy USA, Inc.		1,426,240
	5,769	Pets at Home Group PLC		23,399
	204	Shimamura Co. Ltd.		22,779
	48,327	TJX Cos., Inc.		4,533,556
	5,043	Tractor Supply Co.		1,084,396
	3,026	WH Smith PLC		51,385
	6,100	Yamada Holdings Co. Ltd.		18,956
	8,558	Zalando SE*(a)		202,606
				22,244,007
	Technology Hardware, Storage & Peripherals – 1.1%
	213,669	Apple, Inc.		41,137,693
	900	Brother Industries Ltd.		14,332
	5,300	FUJIFILM Holdings Corp.		317,628
	24,908	Hewlett Packard Enterprise Co.		422,938
	14,478	HP, Inc.		435,643
	3,700	Konica Minolta, Inc.*		10,809
	43,559	Pure Storage, Inc. Class A*		1,553,314
	2,704	Ricoh Co. Ltd.		20,709
	1,700	Seiko Epson Corp.		25,382
				43,938,448
	Textiles, Apparel & Luxury Goods – 0.1%
	2,979	adidas AG		605,353
	9,055	Burberry Group PLC		163,325
	11,610	Coats Group PLC		11,454
	1,565	LVMH Moet Hennessy Louis Vuitton SE		1,271,620

 

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

GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

 

Shares		Description	Value
	Common Stocks – (continued)
	Textiles, Apparel & Luxury Goods – (continued)
	8,009	Tapestry, Inc.		$      294,811
				2,346,563
	Trading Companies & Distributors – 0.2%
	6,879	Ashtead Group PLC		478,140
	1,803	Brenntag SE		165,709
	4,270	Bunzl PLC		173,514
	12,878	Ferguson PLC		2,486,355
	4,047	ITOCHU Corp.		164,874
	7,832	Marubeni Corp.		123,311
	17,205	Mitsubishi Corp.		274,063
	4,981	Mitsui & Co. Ltd.		186,608
	2,788	MSC Industrial Direct Co., Inc. Class A		282,313
	4,465	Rexel SA		122,547
	2,200	Sojitz Corp.		49,564
	5,000	Sumitomo Corp.		108,808
	1,000	Toyota Tsusho Corp.		58,682
	2,687	Travis Perkins PLC		28,318
	4,993	Watsco, Inc.		2,139,351
				6,842,157
	Wireless Telecommunication Services – 0.2%
	15,862	Airtel Africa PLC(a)		26,312
	3,231	Freenet AG		90,431
	36,356	T-Mobile U.S., Inc.		5,828,957
	896,870	Vodafone Group PLC		783,272
				6,728,972
	TOTAL COMMON STOCKS (Cost $725,538,450)			$  857,243,482
Shares		Dividend Rate	Value
	Preferred Stocks – 0.0%
	Household Products – 0.0%
	Henkel AG & Co. KGaA
	2,128	2.542%		$     171,181
	(Cost $165,451)
Shares		Description	Value
	Exchange Traded Funds – 20.3%
	811,773	Invesco Senior Loan ETF		$   17,193,352
	3,798,205	iShares 5-10 Year
		Investment Grade Corporate
		Bond ETF(b)		197,506,660

	Shares		Description	Value
		Exchange Traded Funds – (continued)
		7,873,227	iShares Core MSCI Emerging Markets ETF		$  398,227,822
		1,675,114	SPDR Blackstone Senior Loan ETF		70,237,530
		1,739,922	SPDR Bloomberg Convertible Securities ETF		125,535,372
		287,357	VanEck Fallen Angel High Yield Bond ETF		8,270,135
		226,400	Vanguard Real Estate ETF		20,004,704
		TOTAL EXCHANGE TRADED FUNDS (Cost $807,776,656)			$  836,975,575
	Shares		Dividend Rate	Value
		Investment Company(d) – 54.7%
		Goldman Sachs Financial Square Government Fund — Institutional Shares
		2,258,293,269	5.248%		$2,258,293,269
		(Cost $2,258,293,269)
		Securities Lending Reinvestment Vehicle(d) – 0.1%
		Goldman Sachs Financial Square Government Fund — Institutional Shares
		6,169,850	5.248%		$    6,169,850
		(Cost $6,169,850)
		TOTAL INVESTMENTS – 95.8% (Cost $3,797,943,676)			$3,958,853,357
		OTHER ASSETS IN EXCESS OF LIABILITIES – 4.2%			172,109,519
		NET ASSETS – 100.0%			$4,130,962,876

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

* Non-income producing security.

(a) Exempt from registration under Rule 144A of the Securities Act of 1933.

(b) All or a portion of security is on loan.

(c) Significant unobservable inputs were used in the valuation of this portfolio security; i.e., Level 3.

(d) Represents an affiliated Issuer.

 

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

GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

Consolidated Schedule of Investments (continued)

December 31, 2023

 

 ADDITIONAL INVESTMENT INFORMATION

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At December 31, 2023, the Fund had the following forward foreign currency exchange contracts:

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN

Counterparty	Currency Purchased			Currency Sold			Settlement   Date		Unrealized   Gain
JPMorgan Securities, Inc.		BRL	26,890,000		USD	5,423,175		03/20/24		$   70,728
		CAD	6,860,000		USD	5,054,814		03/20/24		128,036
		CHF	12,580,000		USD	14,557,133		03/20/24		525,216
		CZK	96,250,000		USD	4,263,762		03/20/24		31,058
		HUF	2,590,370,000		USD	7,285,239		03/20/24		115,572
		JPY	605,540,000		USD	4,251,401		03/21/24		98,416
		MXN	126,050,000		USD	7,183,897		03/20/24		142,270
		PLN	42,480,000		USD	10,575,736		03/20/24		208,445
TOTAL										$1,319,741

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS

Counterparty	Currency Purchased			Currency Sold			Settlement Date		Unrealized Loss
JPMorgan Securities, Inc.		CAD	23,670,000		USD	17,924,590		03/20/24		$  (41,490	)
		PHP	481,400,000		USD	8,711,827		03/20/24		(16,777	)
		USD	12,968,035		CAD	17,580,000		03/20/24		(313,963	)
		USD	36,103,588		EUR	33,340,000		03/20/24		(821,422	)
		USD	4,816,862		GBP	3,840,000		03/20/24		(79,720	)
		USD	5,061,648		INR	423,310,000		03/20/24		(6,112	)
		USD	23,501,142		JPY	3,402,230,000		03/21/24		(938,329	)
TOTAL										$(2,217,813	)

FUTURES CONTRACTS — At December 31, 2023, the Fund had the following futures contracts:

Description	Number of     Contracts			Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Long position contracts:
10 Year U.K. Long Gilt		459		03/26/24		$ 60,056,862		$ 3,122,802
2 Year U.S. Treasury Notes		240		03/28/24		49,419,375		162,831
20 Year U.S. Treasury Bonds		111		03/19/24		13,868,063		392,098
3 Month SOFR		38		03/18/25		9,145,650		177
3 Month SOFR		47		06/18/24		11,164,263		(197	)
3 Month SOFR		59		09/17/24		14,084,038		(1,537	)
3 Month SOFR		41		06/17/25		9,899,450		2,180
3 Month SOFR		58		09/16/25		14,034,550		8,015
3 Month SOFR		76		12/16/25		18,411,000		19,849
3 Month SOFR		77		03/17/26		18,659,988		29,480
3 Month SOFR		46		12/17/24		11,029,075		(534	)
30 Year German Euro-Buxl		55		03/07/24		8,604,850		178,556
3M Euribor		161		03/17/25		43,514,210		107,089
3M Euribor		170		06/16/25		46,007,675		143,352
3M Euribor		144		12/15/25		38,983,129		149,924
3M Euribor		165		09/15/25		44,672,723		155,372
3M Euribor		33		03/18/24		8,777,894		4,313
3M Euribor		144		09/16/24		38,694,998		58,977
3M Euribor		110		06/17/24		29,417,512		28,126
3M Euribor		156		12/16/24		42,063,813		79,508

 

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

GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

 

 ADDITIONAL INVESTMENT INFORMATION (continued)

FUTURES CONTRACTS (continued)

Description	Number of     Contracts			Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Long position contracts:
3M SARON		76			09/17/24	$	22,295,999		$  18,608
3M SARON		65			06/18/24		19,027,406		8,168
3M SARON		81			12/17/24		23,803,772		27,696
5 Year German Euro-Bund		449			03/07/24		68,016,334		913,317
5 Year U.S. Treasury Notes		382			03/28/24		41,551,453		343,669
ASX 90 Day Bank Accepted Bills		77			06/13/24		51,947,764		5,522
ASX 90 Day Bank Accepted Bills		111			03/07/24		74,854,673		9,567
ASX 90 Day Bank Accepted Bills		70			09/12/24		47,243,692		6,179
Bank Accept Index		58			06/17/24		10,425,927		7,293
Bank Accept Index		9			03/18/24		1,610,005		(664	)
Bank Accept Index		50			09/18/24		9,031,735		12,131
CAC40 Index		119			01/19/24		9,925,009		(12,852	)
Coffee		20			03/18/24		1,412,250		112,493
Copper		17			03/26/24		1,653,463		(21,232	)
DAX Index		33			03/15/24		15,403,665		(43,036	)
E-Mini Nasdaq 100 Index		138			03/15/24		46,984,860		1,441,117
E-Mini Russell 2000 Index		100			03/15/24		10,238,500		599,460
Euro BTP		144			03/07/24		18,941,135		317,530
Euro Stoxx 50 Index		3,305			03/15/24		165,753,865		(1,011,266	)
Euro-Bobl		355			03/07/24		46,746,107		359,815
Euro-Schatz		604			03/07/24		71,042,703		188,568
French 10 Year Government Bonds		144			03/07/24		20,905,990		273,298
FTSE 100 Index		697			03/15/24		68,911,162		1,459,347
FTSE/MIB Index		57			03/15/24		9,602,694		(8,911	)
Gold		83			02/27/24		17,195,940		55,121
IBEX 35 Index		84			01/19/24		9,353,116		(17,585	)
Ice 3M Sonia Index		61			03/18/25		18,735,716		80,746
Ice 3M Sonia Index		67			12/17/24		20,498,509		72,659
Ice 3M Sonia Index		73			09/17/24		22,212,069		45,829
Ice 3M Sonia Index		58			06/17/25		17,863,266		83,954
Ice 3M Sonia Index		63			06/18/24		19,062,919		14,779
Ice 3M Sonia Index		60			12/16/25		18,534,688		109,172
Ice 3M Sonia Index		56			03/17/26		17,307,964		101,516
Ice 3M Sonia Index		60			09/16/25		18,514,612		103,835
Japan 10 Year Government Bond		154			03/13/24		160,236,454		1,526,311
LME Lead		84			01/15/24		4,292,925		(383,340	)
LME Nickel		62			01/15/24		6,113,820		12,508
LME Zinc		52			01/15/24		3,435,900		239,817
Nickel		14			02/19/24		1,387,722		(7,960	)
Omxs30 Index		373			01/19/24		8,880,248		167,485
Primary Aluminum		95			01/15/24		5,584,813		561,335
Primary Aluminum		77			02/19/24		4,560,325		157,252
S&P 500 E-Mini Index		402			03/15/24		96,882,000		2,159,904
S&P Mid 400 Emini		23			03/15/24		6,461,850		240,995
S&P Toronto Stock Exchange 60 Index		45			03/14/24		8,628,806		237,519
Silver		12			03/26/24		1,445,160		(32,199	)
Topix Index		259			03/07/24		43,460,567		524,995
Zinc		30			02/19/24		1,994,625		36,527
Total									$15,737,373

 

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

GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

Consolidated Schedule of Investments (continued)

December 31, 2023

 

 ADDITIONAL INVESTMENT INFORMATION (continued)

FUTURES CONTRACTS (continued)

Description	Number of     Contracts			Expiration Date		Notional Amount			Unrealized Appreciation/ (Depreciation)
Short position contracts:
10 Year U.S. Treasury Notes		(545	)		03/19/24		$(61,525,391	)		$(1,910,306	)
Australian 10 Year Government Bonds		(47	)		03/15/24		(3,736,587	)		(94,627	)
Brent Crude		(30	)		01/31/24		(2,311,200	)		(32,075	)
Canada 10 Year Government Bonds		(319	)		03/19/24		(29,895,793	)		(1,435,159	)
Cattle Feeder		(16	)		03/28/24		(1,784,800	)		(95,452	)
CBOE Volatility Index		(131	)		01/17/24		(1,840,707	)		821,407
CBOE Volatility Index		(149	)		02/14/24		(2,279,015	)		315,804
CBOE Volatility Index		(134	)		03/20/24		(2,179,765	)		167,742
Corn		(187	)		03/14/24		(4,406,188	)		151,117
Cotton No.2		(45	)		03/06/24		(1,822,500	)		(26,127	)
FTSE/JSE Top 40 Index		(27	)		03/20/24		(1,053,727	)		(32,432	)
Gasoil		(1	)		02/12/24		(74,225	)		(1,177	)
Gasoline RBOB		(14	)		01/31/24		(1,238,504	)		(63,350	)
Hang Seng Index		(30	)		01/30/24		(3,291,029	)		(83,840	)
HSCEI		(69	)		01/30/24		(2,560,825	)		(65,532	)
Lead		(84	)		01/15/24		(4,292,925	)		4,342
Lead		(46	)		02/19/24		(2,371,875	)		(21,150	)
Lean Hogs		(52	)		02/14/24		(1,413,880	)		99,923
Live Cattle		(30	)		02/29/24		(2,022,000	)		(3,397	)
Natural Gas		(175	)		01/29/24		(4,399,500	)		(53,993	)
Nickel		(62	)		01/15/24		(6,113,820	)		458,638
Nickel		(45	)		02/19/24		(4,460,535	)		(11,344	)
Primary Aluminum		(95	)		01/15/24		(5,584,812	)		(298,739	)
Primary Aluminum		(94	)		02/19/24		(5,567,150	)		(570,167	)
Soybean Oil		(25	)		03/14/24		(1,622,500	)		27,793
Sugar 11		(13	)		02/29/24		(299,645	)		4,909
Wheat		(67	)		03/14/24		(2,103,800	)		(115,602	)
WTI Crude		(48	)		01/22/24		(3,439,200	)		(38,064	)
Zinc		(52	)		01/15/24		(3,435,900	)		(137,730	)
Zinc		(35	)		02/19/24		(2,327,063	)		(231,108	)
Total										$(3,269,696	)
TOTAL FUTURES CONTRACTS										$12,467,677

SWAP CONTRACTS — At December 31, 2023, the Fund had the following swap contracts:

CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS

Referenced Obligation/Index	Financing Rate Received/(Paid) by the Fund(a)	Credit Spread at December 31, 2023(b)	Termination Date		Notional Amount (000s)		Value		Upfront Premiums (Received) Paid		Unrealized Appreciation/ (Depreciation)
Protection Sold:
CDX.NA.HY Index 41	5.000%	3.559%		12/20/28	$	31,421	$	1,890,267	$	675,390		$1,214,877
CDX.NA.IG Index 41	1.000	0.565		12/20/28		216,800		4,297,267		2,735,026		1,562,241
ICE CD ITXEB 40	1.000	0.580		12/20/28	EUR	196,300		4,290,515		2,092,278		2,198,237

 

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

GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

 

 ADDITIONAL INVESTMENT INFORMATION (continued)

CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (continued)

Referenced Obligation/Index	Financing Rate Received/(Paid) by the Fund(a)	Credit Spread at December 31, 2023(b)	Termination Date	Notional Amount (000s)		Value		Upfront Premiums (Received) Paid		Unrealized Appreciation/ (Depreciation)
ICE CD ITXEX 40	5.000%	3.105%	12/20/28		EUR 23,450	$	2,097,359	$	975,171		$1,122,188
TOTAL						$	12,575,408	$	6,477,865		$6,097,543

(a) Payments made quarterly.

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

OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS

Reference Obligation/Index(a)	Financing Rate Paid/(Received) by the Fund	Counterparty	Termination Date#		Notional Amount (000s)		Unrealized Application/ (Depreciation)*
Russell 1000 TR Index	1M SOFR+0.026%	Bank of America Securities LLC		02/02/24	$	57,032	$	(546,412	)
TUKXG Index	1M SONIA+0.023	Bank of America Securities LLC		03/18/24	GBP	6,489		(162,175	)
M1WO Index	12M SOFR-0.015	Bank of America Securities LLC		01/17/24		28,412		(351,375	)
NDUGWI Index	12M SOFR+0.026	Bank of America Securities LLC		10/15/24		43,608		514,743
TUKXG Index	12M SONIA+0.020	Bank of America Securities LLC		06/11/24	GBP	340		(8,498	)
TUKXG Index	12M SONIA+0.040	Bank of America Securities LLC		02/09/24	GBP	4,150		(103,415	)
AMZX Index	12M SOFR+0.047	JPMorgan Securities, Inc.		12/11/24		8,005		185,969
BCOMRS Index	1W BCOMRS	JPMorgan Securities, Inc.		06/07/24		6,263		(50	)
JPGSGLHN Index	12M SOFR-0.010	JPMorgan Securities, Inc.		11/22/24		43,251		975,966
JPGSGLMN Index	12M SOFR-0.0025	JPMorgan Securities, Inc.		05/22/24		16,834		384,185
JPGSGLTN Index	12M SOFR+0.018	JPMorgan Securities, Inc.		11/22/24		41,781		374,616
JPGSMARB Index	12M SOFR+0.089	JPMorgan Securities, Inc.		07/30/24		38,625		293,915
M1WO Index	1M SOFR-0.017	JPMorgan Securities, Inc.		02/28/24		138,364		(1,712,062	)
M1WO Index	1M SOFR-0.015	JPMorgan Securities, Inc.		03/12/24		66,979		(828,353	)
M1WO Index	12M SOFR+0.015	JPMorgan Securities, Inc.		03/13/24		8,753		(107,297	)
SXXGT Index	1M EURO+0.160	JPMorgan Securities, Inc.		06/19/24	EUR	35,526		219,656
TOTAL							$	(870,587	)

# The Fund pays/receives annual coupon payments in accordance with the swap contract(s). On the termination date of the swap contract(s), the Fund will either receive from or pay to the counterparty an amount equal to the net of the accrued financing fees and the value of the reference security subtracted from the original notional cost (notional multiplied by the price change of the reference security, converted to U.S. Dollars).

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

(a) Payments made monthly.

A basket (JPGSGLHN) of common stocks

Common Stocks	Sector		Shares			Value		Weight
GE HealthCare Technologies Inc	Health Care			61			$ 4,679		0.4
Lonza Group AG	Health Care			14			4,854		0.5
Moderna Inc	Health Care			51			5,099		0.5
Cencora Inc	Health Care			26			5,292		0.5
Bayer AG	Health Care			168			5,659		0.5
Biogen Inc	Health Care			22			5,795		0.5
Alcon Inc	Health Care			92			6,049		0.6
Centene Corp	Health Care			83			6,127		0.6
Agilent Technologies Inc	Health Care			45			6,287		0.6
IQVIA Holdings Inc	Health Care			28			6,549		0.6
Hoya Corp	Health Care			—			6,796		0.6

 

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

GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

Consolidated Schedule of Investments (continued)

December 31, 2023

 

 ADDITIONAL INVESTMENT INFORMATION (continued)

A basket (JPGSGLHN) of common stocks (continued) 

Common Stocks	Sector		Shares			Value		Weight
Takeda Pharmaceutical Co Ltd	Health Care			2		$	7,048		0.7
IDEXX Laboratories Inc	Health Care			13			7,129		0.7
Edwards Lifesciences Corp	Health Care			94			7,148		0.7
Dexcom Inc	Health Care			60			7,410		0.7
Daiichi Sankyo Co Ltd	Health Care			2			8,283		0.8
HCA Healthcare Inc	Health Care			31			8,287		0.8
Humana Inc	Health Care			19			8,711		0.8
EssilorLuxottica SA	Health Care			49			8,889		0.8
McKesson Corp	Health Care			21			9,522		0.9
Becton Dickinson & Co	Health Care			45			10,933		1.0
GSK PLC	Health Care			8			11,723		1.1
Boston Scientific Corp	Health Care			226			13,083		1.2
Cigna Group/The	Industrials			45			13,543		1.3
Zoetis Inc	Health Care			71			14,006		1.3
Regeneron Pharmaceuticals Inc	Health Care			17			14,543		1.4
CSL Ltd	Health Care			51			14,628		1.4
Gilead Sciences Inc	Health Care			193			15,602		1.5
Stryker Corp	Health Care			52			15,649		1.5
CVS Health Corp	Health Care			199			15,675		1.5
Bristol-Myers Squibb Co	Health Care			314			16,137		1.5
Vertex Pharmaceuticals Inc	Health Care			40			16,205		1.5
Medtronic PLC	Health Care			206			16,941		1.6
Sanofi SA	Health Care			191			17,112		1.6
Elevance Health Inc	Health Care			36			17,125		1.6
Intuitive Surgical Inc	Health Care			54			18,358		1.7
Danaher Corp	Health Care			102			23,515		2.2
Amgen Inc	Health Care			83			23,824		2.2
Pfizer Inc	Health Care			873			25,125		2.4
Abbott Laboratories	Health Care			268			29,523		2.8
Roche Holding AG	Health Care			130			31,677		3.0
Thermo Fisher Scientific Inc	Health Care			60			31,698		3.0
AstraZeneca PLC	Health Care			3			32,420		3.1
Novartis AG	Health Care			382			32,436		3.1
AbbVie Inc	Health Care			273			42,289		4.0
Merck & Co Inc	Health Care			392			42,699		4.0
Novo Nordisk A/S	Health Care			74			51,790		4.9
Johnson & Johnson	Health Care			372			58,318		5.5
UnitedHealth Group Inc	Health Care			132			69,358		6.5
Eli Lilly & Co	Health Care			123			71,668		6.8
A basket (JPGSGLTN) of common stocks
Monolithic Power Systems Inc	Information Technology			2			1,503		0.4
CDW Corp/DE	Information Technology			7			1,514		0.4
Xiaomi Corp	Information Technology			98			1,524		0.4
ANSYS Inc	Information Technology			4			1,566		0.4
Capgemini SE	Information Technology			9			1,625		0.4
STMicroelectronics NV	Information Technology			36			1,634		0.4
Gartner Inc	Information Technology			4			1,748		0.5
ON Semiconductor Corp	Information Technology			21			1,789		0.5
Fortinet Inc	Information Technology			32			1,855		0.5
Cognizant Technology Solutions Corp	Information Technology			25			1,883		0.5
Murata Manufacturing Co Ltd	Information Technology			1			1,995		0.5
TE Connectivity Ltd	Information Technology			15			2,171		0.6
Microchip Technology Inc	Information Technology			27			2,426		0.6
Constellation Software Inc/Canada	Information Technology			1			2,439		0.7
Motorola Solutions Inc	Information Technology			8			2,584		0.7
Autodesk Inc	Information Technology			11			2,588		0.7
Infineon Technologies AG	Information Technology			72			2,720		0.7
Roper Technologies Inc	Information Technology			5			2,896		0.8
NXP Semiconductors NV	Information Technology			13			2,944		0.8

 

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

GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

 

 ADDITIONAL INVESTMENT INFORMATION (continued)

A basket (JPGSGLTN) of common stocks (continued)

Common Stocks	Sector		Shares			Value		Weight
Amphenol Corp	Information Technology			30		$	2,949		0.8
Arista Networks Inc	Information Technology			13			2,951		0.8
Cadence Design Systems Inc	Information Technology			14			3,684		1.0
Synopsys Inc	Information Technology			8			3,894		1.0
KLA Corp	Information Technology			7			3,929		1.0
Tokyo Electron Ltd	Information Technology			—			4,210		1.1
Keyence Corp	Information Technology			—			4,379		1.2
Palo Alto Networks Inc	Information Technology			15			4,557		1.2
Micron Technology Inc	Information Technology			55			4,659		1.2
Shopify Inc	Information Technology			45			4,684		1.3
Analog Devices Inc	Information Technology			25			4,920		1.3
Lam Research Corp	Information Technology			7			5,133		1.4
Applied Materials Inc	Information Technology			42			6,741		1.8
ServiceNow Inc	Information Technology			10			7,201		1.9
International Business Machines Corp	Information Technology			45			7,425		2.0
Texas Instruments Inc	Information Technology			45			7,697		2.1
SAP SE	Information Technology			56			7,837		2.1
QUALCOMM Inc	Information Technology			55			8,004		2.1
Oracle Corp	Information Technology			79			8,329		2.2
Intuit Inc	Information Technology			14			8,710		2.3
Cisco Systems Inc	Information Technology			201			10,175		2.7
Intel Corp	Information Technology			210			10,534		2.8
Accenture PLC	Information Technology			31			10,950		2.9
Advanced Micro Devices Inc	Information Technology			80			11,842		3.2
Salesforce Inc	Information Technology			48			12,730		3.4
Adobe Inc	Information Technology			23			13,506		3.6
ASML Holding NV	Information Technology			22			15,143		4.0
Broadcom Inc	Information Technology			22			24,362		6.5
Apple Inc	Information Technology			131			25,155		6.7
Microsoft Corp	Information Technology			68			25,553		6.8
NVIDIA Corp	Information Technology			53			26,435		7.1

PURCHASED AND WRITTEN OPTIONS CONTRACTS — At December 31, 2023, the Fund had the following purchased and written options:

EXCHANGE TRADED INDEX OPTIONS

Description	Exercise Price		Expiration Date		Number of Contracts		Notional Amount		Market Value		Premiums Paid (Received) by Fund		Unrealized   Appreciation/ (Depreciation)
Purchased option contracts
Calls
CBOE Volatility Index	$	22.00		01/17/2024		1,310	$	2,882,000	$	28,165		$ 340,600		$(312,435	)
CBOE Volatility Index		20.00		02/14/2024		1,490		2,980,000		129,630		283,100		(153,470	)
CBOE Volatility Index		19.00		03/20/2024		1,340		2,546,000		219,090		285,755		(66,665	)
						4,140	$	8,408,000	$	376,885		$ 909,455		$(532,570	)
Puts
S&P 500 Index		4,050.00		01/31/2024		4		1,620,000		670		2,883		(2,213	)
S&P 500 Index		4,195.00		01/31/2024		7		2,936,500		1,645		4,900		(3,255	)
S&P 500 Index		4,330.00		01/31/2024		10		4,330,000		3,600		5,910		(2,310	)
S&P 500 Index		4,370.00		01/31/2024		14		6,118,000		5,880		6,734		(854	)
						35	$	15,004,500	$	11,795		$  20,427		$  (8,632	)
Total purchased option contracts						4,175	$	23,412,500	$	388,680		$ 929,882		$(541,202	)

 

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

GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

Consolidated Schedule of Investments (continued)

December 31, 2023

 

   ADDITIONAL INVESTMENT INFORMATION (continued)

EXCHANGE TRADED INDEX OPTIONS (continued)

Description	Exercise Price		Expiration Date		Number of Contracts			Notional Amount			Market Value			Premiums Paid (Received) by Fund			Unrealized Appreciation/ (Depreciation)
Written option contracts
Puts
S&P 500 Index		$4,565.00		01/31/2024		(4	)		$ (1,826,000	)		$  (4,780	)		$ (26,597	)		$  21,817
S&P 500 Index		4,645.00		01/31/2024		(7	)		(3,251,500	)		(14,385	)		(42,721	)		28,336
S&P 500 Index		4,775.00		01/31/2024		(10	)		(4,775,000	)		(52,950	)		(60,390	)		7,440
S&P 500 Index		4,780.00		01/31/2024		(14	)		(6,692,000	)		(77,350	)		(74,556	)		(2,794	)
Total written option contracts						(35	)		(16,544,500	)		$(149,465	)		$(204,264	)		$  54,799
TOTAL						4,140			$ 6,868,000			$ 239,215			$ 725,618			$(486,403	)

Currency Abbreviations:
BRL	—Brazil Real
CAD	—Canadian Dollar
CHF	—Swiss Franc
CZK	—Czech Republic Koruna
EUR	—Euro
GBP	—British Pound
HUF	—Hungarian Forint
INR	—Indian Rupee
JPY	—Japanese Yen
MXN	—Mexican Peso
PHP	—Philippines Peso
PLN	—Polish Zloty
USD	—U.S. Dollar
Investment Abbreviations:
ETF	—Exchange Traded Fund
MSCI	—Morgan Stanley Capital International
PLC	—Public Limited Company
RB	—Revenue Bond
REIT	—Real Estate Investment Trust

Abbreviations:
BofA Securities LLC	—Bank of America Securities LLC
CDX.NA.HY Ind 41	—CDX North America High Yield Index 41
CDX.NA.IG Ind 41	—CDX North America Investment Grade Index 41
ICE	—Inter-Continental Exchange
ICE CD ITXEB	—iTraxx Europe Index
ICE CD ITXEX	—iTraxx Europe Crossover Index
SONIA	—Sterling Overnight Index Average

 

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

GOLDMAN SACHS COMMODITY STRATEGY FUND

 

Consolidated Schedule of Investments

December 31, 2023

 

Shares		Dividend Rate	Value
Investment Company(a) – 10.7%
Goldman Sachs Financial Square Government Fund - Institutional Shares
	62,859,778	5.248%	$62,859,778
(Cost $62,859,778)

Principal    Amount	Interest Rate	Maturity Date		Value
Short-term Investments(c) – 91.0%
U.S. Treasury Obligations – 91.0%
U.S. Cash Management Bills(b)
$ 2,000,000	0.000%		02/15/24	$	1,991,234
U.S. Treasury Bills
20,000,000	0.000(b)		01/30/24		19,917,645
65,000,000	0.000		02/27/24		64,535,143
50,000,000	0.000(b)		03/14/24		49,481,850
83,000,000	0.000		03/21/24		82,055,230
85,000,000	0.000		04/04/24		83,860,847
21,400,000	0.000(b)		04/09/24		21,098,345
13,000,000	0.000		04/11/24		12,813,401
87,000,000	0.000		05/23/24		85,251,375

Principal    Amount	Interest Rate	Maturity Date		Value
Short-term Investments(c) – (continued)
U.S. Treasury Obligations – (continued)
$113,200,000	0.000%		05/30/24	$	110,835,901
TOTAL SHORT- TERM INVESTMENTS
(Cost $531,582,168)				$	531,840,971
TOTAL INVESTMENTS – 101.7%
(Cost $594,441,946)				$	594,700,749
LIABILITIES IN EXCESS OF OTHER
ASSETS – ( 1.7)%					(10,188,696)
NET ASSETS – 100.0%				$	584,512,053

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

(a) Represents an affiliated Issuer.

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

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

   ADDITIONAL INVESTMENT INFORMATION

 FUTURES CONTRACTS — At December 31, 2023, the Fund had the following futures contracts:

Description	Number of Contracts			Expiration   Date		Notional   Amount			Unrealized Appreciation/ (Depreciation)
Long position contracts:
Brent Crude		783			01/31/24	$	60,322,320			$ (804,673	)
Copper		67			03/26/24		6,516,588			127,352
Gasoline RBOB		20			01/31/24		1,769,292			(42	)
Gold		284			02/27/24		58,839,120			1,531,326
KC HRW Wheat		284			03/14/24		9,116,400			236,680
Lean Hogs		84			02/14/24		2,283,960			(34,233	)
LME Lead		56			01/15/24		2,861,950			5,221
LME Nickel		56			01/15/24		5,522,160			(14,043	)
LME PRI		30			03/18/24		1,785,750			102,697
LME Zinc		287			01/15/24		18,963,525			1,764,542
Low Sulphur Gas Oil		288			01/11/24		21,621,600			(687,039	)
Natural Gas		797			01/29/24		20,036,580			1,040,829
Platinum		94			04/26/24		4,743,240			182,635
Silver		223			03/26/24		26,855,890			28,003
Soybean		522			03/14/24		20,149,200			(367,935	)
Soybean Oil		586			03/14/24		16,940,088			(653,891	)
Wheat		296			03/14/24		9,294,400			729,479
WTI Crude		236			01/22/24		16,909,400			397,737
Total										$ 3,584,645
Short position contracts:
Cocoa		(527	)		03/13/24		(22,112,920	)		(3,532,047	)
Cocoa		(60	)		05/15/24		(2,497,200	)		(130,524	)
Coffee		(227	)		03/18/24		(16,029,037	)		(1,084,370	)
Corn		(509	)		03/14/24		(11,993,313	)		454,770
Cotton No.2		(439	)		03/06/24		(17,779,500	)		425,328

 

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

GOLDMAN SACHS COMMODITY STRATEGY FUND

 

Consolidated Schedule of Investments (continued)

December 31, 2023

 

 ADDITIONAL INVESTMENT INFORMATION (continued)

FUTURES CONTRACTS (continued)

Description	Number of Contracts			Expiration   Date		Notional   Amount			Unrealized Appreciation/ (Depreciation)
Short position contracts:
FCOJ-A		(71	)		03/08/24	$	(3,328,658	)		$   416,804
Gasoline RBOB		(23	)		03/28/24		(2,234,744	)		60,384
Gasoline RBOB		(110	)		04/30/24		(10,699,458	)		1,394
Live Cattle		(291	)		02/29/24		(19,613,400	)		1,827,849
LME PRI		(103	)		03/18/24		(6,131,075	)		(391,582	)
Natural Gas		(517	)		04/26/24		(12,242,560	)		1,072,994
NY Harbor ULSD		(21	)		01/31/24		(2,230,490	)		126,624
NY Harbor ULSD		(28	)		03/28/24		(2,882,376	)		290,120
NY Harbor ULSD		(122	)		04/30/24		(12,406,741	)		366,100
Soybean Oil		(167	)		03/14/24		(10,838,300	)		229,294
Sugar 11		(126	)		02/29/24		(2,904,250	)		744,197
WTI Crude		(72	)		03/20/24		(5,184,720	)		414,491
WTI Crude		(1,222	)		04/22/24		(88,142,860	)		615,437
Total										$ 1,907,263
TOTAL FUTURES CONTRACTS										$ 5,491,908

SWAP CONTRACTS — At December 31, 2023, the Fund had the following swap contracts:

OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS^#

Reference Obligation/ Index(a)	Financing Rate Paid/(Received) by the Fund	Counterparty	Termination Date		Notional Amount (000s)		Unrealized Application/ (Depreciation)*
CRB 3M Forward Index	1 mo. U.S. Treasury Bill Rate +0.24%	Citibank NA		01/31/24	$	51,274		$  (257)
CRB Future Index	1 mo. U.S. Treasury Bill Rate +0.21	Citibank NA		01/31/24		131,567		43
CRB 3M Forward Index	1 mo. U.S. Treasury Bill Rate +0.25	Merrill Lynch International Bank Ltd.		01/31/24		7,506		(40)
CRB Future Index	1 mo. U.S. Treasury Bill Rate +0.21	Merrill Lynch International Bank Ltd.		01/31/24		130,322		42
CRB 3M Forward Index	1 mo. U.S. Treasury Bill Rate +0.25	UBS AG (London)		01/31/24		207,903		(1,054)
TOTAL								$(1,266)

# The Fund pays/receives annual coupon payments in accordance with the swap contract(s). On the termination date of the swap contract(s), the Fund will either receive from or pay to the counterparty an amount equal to the net of the accrued financing fees and the value of the reference security subtracted from the original notional cost (notional multiplied by the price change of the reference security, converted to U.S. Dollars).

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

(a)  Payments made monthly.

Currency Abbreviations:
USD	—U.S. Dollar

 

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

GOLDMAN SACHS ALTERNATIVE FUNDS II

 

 

Consolidated Statements of Assets and Liabilities^(a)

December 31, 2023

		Absolute Return Tracker Fund			Commodity Strategy Fund
	Assets:
	Investments in affiliated issuers, at value (cost $2,258,293,269 and $62,859,778, respectively)	$	2,258,293,269		$	62,859,778
	Investments in unaffiliated issuers, at value (cost $1,533,480,557 and $531,582,168, respectively)(b)		1,694,390,238			531,840,971
	Investments in affiliated securities lending reinvestment vehicle, at value which equals cost		6,169,850			—
	Purchased options, at value (premium paid $929,882 and $0, respectively)		388,680			—
	Cash		66,422,132			—
	Foreign currencies, at value (cost $2,513,112 and $0, respectively)		2,761,812			—
	Unrealized gain on swap contracts		2,949,050			85
	Unrealized gain on forward foreign currency exchange contracts		1,319,741			—
	Variation margin on swaps contracts		112,398			—
	Unrealized gain on futures contracts		252,325			1,872,460
	Receivables:
	Collateral on certain derivative contracts(c)		88,470,775			18,500,000
	Fund shares sold		26,422,274			848,769
	Interest and dividends		11,005,138			268,286
	Due from broker		3,729,480			—
	Foreign tax reclaims		294,674			—
	Reimbursement from investment adviser		84,144			60,707
	Securities lending income		23,386			—
	Investments sold		11,753			—
	Other assets		109,029			198,070
	Total assets		4,163,210,148			616,449,126
	Liabilities:
	Unrealized loss on swap contracts		3,819,637			1,351
	Variation margin on futures contracts		2,444,049			22,290
	Unrealized loss on forward foreign currency exchange contracts		2,217,813			—
	Unrealized loss on futures contracts		383,340			405,625
	Written option contracts, at value (premium received $204,264 and $0, respectively)		149,465			—
	Due to custodian (overdraft)		—			9,720,934
	Payables:
	Investments purchased		10,744,941			268,311
	Payable upon return of securities loaned		6,169,850			—
	Fund shares redeemed		3,468,088			1,857,556
	Management fees		1,901,469			257,098
	Distribution and Service fees and Transfer Agency fees		201,841			31,011
	Due to broker		39,255			—
	Due to broker — upfront payment		—			16,369,993
	Interest payable		—			2,574,977
	Accrued expenses		707,524			427,927
	Total liabilities		32,247,272			31,937,073
	Net Assets:
	Paid-in capital		4,222,642,773			558,998,935
	Total distributable earnings (loss)		(91,679,897	)		25,513,118
	NET ASSETS	$	4,130,962,876		$	584,512,053
	Net Assets:
	Class A	$	42,676,187		$	22,252,985
	Class C		4,497,282			3,495,570
	Institutional		2,553,195,689			253,289,411
	Investor		581,117,779			22,575,142
	Class R6		728,606,703			117,105,534
	Class R		787,444			2,629,601
	Class P		220,081,792			163,163,810
	Total Net Assets	$	4,130,962,876		$	584,512,053
	Shares Outstanding $0.001 par value (unlimited number of shares authorized):
	Class A		4,738,612			2,760,829
	Class C		560,466			474,544
	Institutional		271,121,617			30,891,445
	Investor		62,635,105			2,749,229
	Class R6		77,518,405			14,241,249
	Class R		90,944			334,954
	Class P		23,377,350			19,850,786
	Net asset value, offering and redemption price per share:(d)
	Class A		$9.01			$8.06
	Class C		8.02			7.37
	Institutional		9.42			8.20
	Investor		9.28			8.21
	Class R6		9.40			8.22
	Class R		8.66			7.85
	Class P		9.41			8.22

(a) Statements of Assets and Liabilities for the Absolute Return Tracker and Commodity Strategy Fund are consolidated and include the balances of Cayman Commodity-ART LLC and Cayman Commodity-CSF, Ltd., respectively. Accordingly, all interfund balances and transactions have been eliminated.

(b) Includes loaned securities having a market value of $6,025,320 and $0, respectively.

(c) Segregated for initial margin and/or collateral as follows:

	Fund	Futures		Swaps		Options
	Absolute Return Tracker	$	49,222,056	$	35,037,041	$	4,211,678
	Commodity Strategy		—		18,500,000		—

(d) Maximum public offering price per share for Class A Shares of the Absolute Return Tracker and Commodity Strategy Funds is $9.53 and $8.44, respectively. At redemption, Class C Shares may be subject to a contingent deferred sales charge assessed on the amount equal to the lesser of the current net asset value (“NAV”) or the original purchase price of the shares.

 

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

GOLDMAN SACHS ALTERNATIVE FUNDS II

 

 

Consolidated Statements of Operations^(a)

For the Fiscal Year Ended December 31, 2023

	Absolute Return Tracker Fund			Commodity Strategy Fund
Investment Income:
Dividends — affiliated issuers	$	102,778,595		$	3,706,947
Dividends — unaffiliated issuers (net of tax withholding of $162,294 and $0, respectively)		37,563,208			—
Interest		1,996,168			35,254,405
Securities lending income, net of rebates received or paid to borrowers		375,303			—
Total investment income		142,713,274			38,961,352
Expenses:
Management fees		23,749,470			4,681,328
Transfer Agency fees(b)		1,862,138			350,855
Custody, accounting and administrative services		537,893			457,245
Printing and mailing costs		483,405			181,312
Professional fees		229,071			193,136
Registration fees		210,564			195,405
Distribution and Service (12b-1) fees(b)		142,477			121,874
Shareholder meeting expense		89,061			29,423
Trustee fees		26,247			22,419
Prime broker fees		13,884			—
Service fees — Class C		12,312			12,140
Other		81,391			24,509
Total expenses		27,437,913			6,269,646
Less — expense reductions		(4,711,751	)		(1,312,443)
Net expenses		22,726,162			4,957,203
NET INVESTMENT INCOME		119,987,112			34,004,149
Realized and unrealized gain (loss):
Net realized gain (loss) from:
Investments — unaffiliated issuers		51,025,612			(152,207)
Purchased options		(4,720,725	)		—
Futures contracts		36,180,210			(137,654,274)
Written options		1,757,992			—
Swap contracts		(730,817	)		(32,475,958)
Forward foreign currency exchange contracts		(2,929,177	)		—
Foreign currency transactions		420,479			—
Net change in unrealized gain (loss) on:
Investments — unaffiliated issuers		160,076,754			103,873
Purchased options		117,088			—
Futures contracts		14,697,224			46,060,035
Written options		63,884			—
Swap contracts		169,966			132,835
Forward foreign currency exchange contracts		(501,473	)		—
Foreign currency translation		(147,255	)		—
Net realized and unrealized gain (loss)		255,479,762			(123,985,696)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		$375,466,874		$	(89,981,547)

(a) Statement of Operations for the Absolute Return Tracker Fund and Commodity Strategy Fund are consolidated and include the balances of a wholly-owned subsidiary, Cayman Commodity-ART, LLC and Cayman Commodity-CSF, Ltd., respectively. Accordingly, all interfund balances and transactions have been eliminated.

(b) Class specific Distribution and/or Service (12b-1) and Transfer Agency fees were as follows:

		Distribution and/or Service (12b-1)  Fees						Transfer Agency Fees
	Fund	Class A		Class C		Class R		Class A		Class C		Institutional		Investor		Class R6		Class R		Class P
	Absolute Return Tracker	$	101,088	$	36,937	$	4,452	$	62,635	$	7,644	$	1,012,347	$	567,433	$	143,496	$	1,383	$	67,200
	Commodity Strategy		69,588		36,421		15,865		33,402		5,827		115,675		70,938		42,133		3,808		79,072

 

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

GOLDMAN SACHS ALTERNATIVE FUNDS II

 

 

Consolidated Statements of Changes in Net Assets^(a)

		Absolute Return Tracker Fund						Commodity Strategy Fund
		For the Fiscal Year Ended December 31, 2023			For the Fiscal Year Ended December 31, 2022			For the Fiscal Year Ended December 31, 2023			For the Fiscal Year Ended December 31, 2022
	From operations:
	Net investment income		$  119,987,112			$   45,642,646			$ 34,004,149			$ 10,076,827
	Net realized gain (loss)		81,003,574			(37,986,756	)		(170,282,439	)		45,507,370
	Net change in unrealized gain (loss)		174,476,188			(253,794,411	)		46,296,743			(22,492,138)
	Net increase (decrease) in net assets resulting from operations		375,466,874			(246,138,521	)		(89,981,547	)		33,092,059
	Distributions to shareholders:
	From distributable earnings:
	Class A Shares		(1,046,509	)		(2,019,996	)		(885,543	)		(3,366,330)
	Class C Shares		(85,982	)		(258,282	)		(133,500	)		(615,139)
	Institutional Shares		(68,348,253	)		(148,069,452	)		(10,781,821	)		(33,231,386)
	Investor Shares		(15,254,586	)		(12,524,655	)		(1,319,802	)		(10,972,858)
	Class R6 Shares		(19,406,054	)		(8,326,828	)		(5,217,537	)		(15,725,522)
	Class R Shares		(17,140	)		(72,396	)		(105,058	)		(389,529)
	Class P Shares		(5,843,481	)		(11,345,579	)		(8,841,293	)		(28,076,602)
	Total distributions to shareholders		(110,002,005	)		(182,617,188	)		(27,284,554	)		(92,377,366)
	From share transactions:
	Proceeds from sales of shares		2,250,892,693			1,753,016,889			211,913,755			1,138,585,427
	Reinvestment of distributions		75,564,966			132,565,385			24,407,653			83,688,134
	Cost of shares redeemed		(1,944,143,493	)		(1,639,558,743	)		(490,787,071	)		(728,136,622)
	Net increase (decrease) in net assets resulting from share transactions		382,314,166			246,023,531			(254,465,663	)		494,136,939
	TOTAL INCREASE (DECREASE)		647,779,035			(182,732,178	)		(371,731,764	)		434,851,632
	Net assets:
	Beginning of year		3,483,183,841			3,665,916,019			956,243,817			521,392,185
	End of year		$4,130,962,876			$3,483,183,841			$584,512,053			$956,243,817

(a) Statements of Changes in Net Assets for the Absolute Return Tracker Fund and Commodity Strategy Fund are consolidated and include the balances of Cayman Commodity-ART LLC and Cayman Commodity-CSF, Ltd., respectively. Accordingly, all interfund balances and transactions have been eliminated.

 

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

GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

Consolidated Financial Highlights

Selected Share Data for a Share Outstanding Throughout Each Year

 

	Goldman Sachs Absolute Return Tracker Fund
	Class A Shares
	Year Ended December 31,
	2023			2022			2021			2020			2019
Per Share Data
Net asset value, beginning of year	$	8.36		$	9.40		$	9.69		$	9.44		$	8.84
Net investment income (loss)(a)		0.26			0.07			(0.01	)		(0.01	)		0.10
Net realized and unrealized gain (loss)		0.61			(0.69	)		0.59			0.32			0.81
Total from investment operations		0.87			(0.62	)		0.58			0.31			0.91
Distributions to shareholders from net investment income		(0.22	)		(0.31	)		—			(0.01	)		(0.09)
Distributions to shareholders from net realized gains		—			(0.11	)		(0.87	)		(0.05	)		(0.22)
Total distributions		(0.22	)		(0.42	)		(0.87	)		(0.06	)		(0.31)
Net asset value, end of year	$	9.01		$	8.36		$	9.40		$	9.69		$	9.44
Total return(b)		10.45	%		(6.62	)%		6.09	%		3.29	%		10.36%
Net assets, end of year (in 000s)	$	42,676		$	41,001		$	57,882		$	61,642		$	80,596
Ratio of net expenses to average net assets		0.97	%		1.00	%		1.04	%		0.96	%		0.97%
Ratio of total expenses to average net assets		1.09	%		1.09	%		1.09	%		1.11	%		1.11%
Ratio of net investment income (loss) to average net assets		2.92	%		0.80	%		(0.10	)%		(0.10	)%		1.08%
Portfolio turnover rate(c)		126	%		184	%		133	%		193	%		127%
(a)   Calculated based on the average shares outstanding methodology. (b)   Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. (c)   The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher.

 

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

GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

Consolidated Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

	Goldman Sachs Absolute Return Tracker Fund
	Class C Shares
	Year Ended December 31,
	2023				2022				2021				2020				2019
Per Share Data
Net asset value, beginning of year		$	7.47			$	8.43			$	8.84			$	8.69			$	8.14
Net investment income (loss)(a)			0.17				0.00	(b)			(0.08	)			(0.07	)			0.03
Net realized and unrealized gain (loss)			0.54				(0.61	)			0.54				0.28				0.75
Total from investment operations			0.71				(0.61	)			0.46				0.21				0.78
Distributions to shareholders from net investment income			(0.16	)			(0.24	)			—				(0.01	)			(0.01)
Distributions to shareholders from net realized gains			—				(0.11	)			(0.87	)			(0.05	)			(0.22)
Total distributions			(0.16	)			(0.35	)			(0.87	)			(0.06	)			(0.23)
Net asset value, end of year		$	8.02			$	7.47			$	8.43			$	8.84			$	8.69
Total return(c)			9.45	%			(7.23	)%			5.31	%			2.43	%			9.69%
Net assets, end of year (in 000s)		$	4,497			$	5,574			$	7,973			$	9,638			$	15,761
Ratio of net expenses to average net assets			1.72	%			1.75	%			1.79	%			1.71	%			1.72%
Ratio of total expenses to average net assets			1.84	%			1.84	%			1.84	%			1.86	%			1.86%
Ratio of net investment income (loss) to average net assets			2.12	%			0.06	%			(0.84	)%			(0.84	)%			0.34%
Portfolio turnover rate(d)			126	%			184	%			133	%			193	%			127%
(a)   Calculated based on the average shares outstanding methodology. (b)   Amount is less than $0.005 per share. (c)   Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. (d)   The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher.

 

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

GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

Consolidated Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

	Goldman Sachs Absolute Return Tracker Fund
	Institutional Shares
	Year Ended December 31,
	2023			2022			2021			2020			2019
Per Share Data
Net asset value, beginning of year	$	8.73		$	9.80		$	10.03		$	9.74		$	9.10
Net investment income(a)		0.30			0.11			0.03			0.03			0.14
Net realized and unrealized gain (loss)		0.65			(0.72	)		0.61			0.32			0.85
Total from investment operations		0.95			(0.61	)		0.64			0.35			0.99
Distributions to shareholders from net investment income		(0.26	)		(0.35	)		—			(0.01	)		(0.13)
Distributions to shareholders from net realized gains		—			(0.11	)		(0.87	)		(0.05	)		(0.22)
Total distributions		(0.26	)		(0.46	)		(0.87	)		(0.06	)		(0.35)
Net asset value, end of year	$	9.42		$	8.73		$	9.80		$	10.03		$	9.74
Total return(b)		10.83	%		(6.27	)%		6.48	%		3.60	%		10.91%
Net assets, end of year (in 000s)	$	2,553,196		$	2,795,272		$	2,955,943		$	2,928,949		$	2,852,690
Ratio of net expenses to average net assets		0.61	%		0.63	%		0.68	%		0.58	%		0.59%
Ratio of total expenses to average net assets		0.72	%		0.72	%		0.72	%		0.73	%		0.73%
Ratio of net investment income to average net assets		3.25	%		1.23	%		0.30	%		0.28	%		1.46%
Portfolio turnover rate(c)		126	%		184	%		133	%		193	%		127%
(a)   Calculated based on the average shares outstanding methodology. (b)   Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. (c)   The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher.

 

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

GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

Consolidated Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

	Goldman Sachs Absolute Return Tracker Fund
	Investor Shares
	Year Ended December 31,
	2023			2022			2021			2020			2019
Per Share Data
Net asset value, beginning of year	$	8.61		$	9.67		$	9.92		$	9.64		$	9.02
Net investment income(a)		0.30			0.10			0.02			0.02			0.13
Net realized and unrealized gain (loss)		0.62			(0.71	)		0.60			0.32			0.83
Total from investment operations		0.92			(0.61	)		0.62			0.34			0.96
Distributions to shareholders from net investment income		(0.25	)		(0.34	)		—			(0.01	)		(0.12)
Distributions to shareholders from net realized gains		—			(0.11	)		(0.87	)		(0.05	)		(0.22)
Total distributions		(0.25	)		(0.45	)		(0.87	)		(0.06	)		(0.34)
Net asset value, end of year	$	9.28		$	8.61		$	9.67		$	9.92		$	9.64
Total return(b)		10.68	%		(6.37	)%		6.35	%		3.54	%		10.66%
Net assets, end of year (in 000s)	$	581,118		$	248,085		$	243,761		$	246,694		$	370,779
Ratio of net expenses to average net assets		0.72	%		0.75	%		0.79	%		0.71	%		0.72%
Ratio of total expenses to average net assets		0.83	%		0.84	%		0.84	%		0.86	%		0.87%
Ratio of net investment income to average net assets		3.31	%		1.12	%		0.16	%		0.16	%		1.33%
Portfolio turnover rate(c)		126	%		184	%		133	%		193	%		127%
(a)   Calculated based on the average shares outstanding methodology. (b)   Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. (c)   The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher.

 

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

GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

Consolidated Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

	Goldman Sachs Absolute Return Tracker Fund
	Class R6 Shares
	Year Ended December 31,
	2023			2022			2021			2020			2019
Per Share Data
Net asset value, beginning of year	$	8.72		$	9.78		$	10.02		$	9.72		$	9.09
Net investment income(a)		0.33			0.11			0.05			0.03			0.14
Net realized and unrealized gain (loss)		0.61			(0.71	)		0.58			0.33			0.84
Total from investment operations		0.94			(0.60	)		0.63			0.36			0.98
Distributions to shareholders from net investment income		(0.26	)		(0.35	)		—			(0.01	)		(0.13)
Distributions to shareholders from net realized gains		—			(0.11	)		(0.87	)		(0.05	)		(0.22)
Total distributions		(0.26	)		(0.46	)		(0.87	)		(0.06	)		(0.35)
Net asset value, end of year	$	9.40		$	8.72		$	9.78		$	10.02		$	9.72
Total return(b)		10.74	%		(6.17	)%		6.38	%		3.71	%		10.82%
Net assets, end of year (in 000s)	$	728,607		$	169,335		$	153,588		$	9,353		$	9,284
Ratio of net expenses to average net assets		0.60	%		0.62	%		0.66	%		0.57	%		0.58%
Ratio of total expenses to average net assets		0.71	%		0.71	%		0.70	%		0.72	%		0.72%
Ratio of net investment income to average net assets		3.54	%		1.23	%		0.51	%		0.29	%		1.47%
Portfolio turnover rate(c)		126	%		184	%		133	%		193	%		127%
(a)   Calculated based on the average shares outstanding methodology. (b)   Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. (c)   The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher.

 

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

GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

Consolidated Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

	Goldman Sachs Absolute Return Tracker Fund
	Class R Shares
	Year Ended December 31,
	2023			2022			2021			2020			2019
Per Share Data
Net asset value, beginning of year	$	8.04		$	9.06		$	9.40		$	9.18		$	8.61
Net investment income (loss)(a)		0.22			0.05			(0.03	)		(0.03	)		0.08
Net realized and unrealized gain (loss)		0.59			(0.66	)		0.56			0.31			0.78
Total from investment operations		0.81			(0.61	)		0.53			0.28			0.86
Distributions to shareholders from net investment income		(0.19	)		(0.30	)		—			(0.01	)		(0.07)
Distributions to shareholders from net realized gains		—			(0.11	)		(0.87	)		(0.05	)		(0.22)
Total distributions		(0.19	)		(0.41	)		(0.87	)		(0.06	)		(0.29)
Net asset value, end of year	$	8.66		$	8.04		$	9.06		$	9.40		$	9.18
Total return(b)		10.11	%		(6.79	)%		5.73	%		3.06	%		10.06%
Net assets, end of year (in 000s)	$	787		$	1,486		$	1,536		$	1,562		$	2,347
Ratio of net expenses to average net assets		1.22	%		1.25	%		1.29	%		1.21	%		1.22%
Ratio of total expenses to average net assets		1.34	%		1.34	%		1.34	%		1.36	%		1.37%
Ratio of net investment income (loss) to average net assets		2.63	%		0.60	%		(0.33	)%		(0.35	)%		0.83%
Portfolio turnover rate(c)		126	%		184	%		133	%		193	%		127%
(a)   Calculated based on the average shares outstanding methodology. (b)   Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. (c)   The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher.

 

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

GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

Consolidated Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

	Goldman Sachs Absolute Return Tracker Fund
	Class P Shares
	Year Ended December 31,
	2023			2022			2021			2020			2019
Per Share Data
Net asset value, beginning of year	$	8.73		$	9.79		$	10.02		$	9.73		$	9.09
Net investment income(a)		0.30			0.11			0.03			0.03			0.14
Net realized and unrealized gain (loss)		0.64			(0.71	)		0.61			0.32			0.85
Total from investment operations		0.94			(0.60	)		0.64			0.35			0.99
Distributions to shareholders from net investment income		(0.26	)		(0.35	)		—			(0.01	)		(0.13)
Distributions to shareholders from net realized gains		—			(0.11	)		(0.87	)		(0.05	)		(0.22)
Total distributions		(0.26	)		(0.46	)		(0.87	)		(0.06	)		(0.35)
Net asset value, end of year	$	9.41		$	8.73		$	9.79		$	10.02		$	9.73
Total return(b)		10.72	%		(6.16	)%		6.48	%		3.61	%		10.93%
Net assets, end of year (in 000s)	$	220,082		$	222,431		$	245,233		$	211,794		$	219,701
Ratio of net expenses to average net assets		0.60	%		0.62	%		0.66	%		0.57	%		0.58%
Ratio of total expenses to average net assets		0.71	%		0.71	%		0.71	%		0.72	%		0.72%
Ratio of net investment income to average net assets		3.28	%		1.23	%		0.33	%		0.29	%		1.48%
Portfolio turnover rate(c)		126	%		184	%		133	%		193	%		127%
(a)   Calculated based on the average shares outstanding methodology. (b)   Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. (c)   The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher.

 

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

GOLDMAN SACHS COMMODITY STRATEGY FUND

 

Consolidated Financial Highlights

Selected Share Data for a Share Outstanding Throughout Each Year

 

	Goldman Sachs Commodity Strategy Fund
	Class A Shares
	Year Ended December 31,
	2023			2022			2021			2020			2019
Per Share Data
Net asset value, beginning of year	$	9.30		$	8.90		$	7.79		$	10.17		$	9.66
Net investment income (loss)(a)		0.34			0.05			(0.09	)		(0.03	)		0.14
Net realized and unrealized gain (loss)		(1.27	)		1.32			2.67			(2.33	)		1.44
Total from investment operations		(0.93	)		1.37			2.58			(2.36	)		1.58
Distributions to shareholders from net investment income		(0.31	)		(0.97	)		(1.47	)		(0.02	)		(0.18)
Distributions to shareholders from return of capital		—			—			—			—			(0.89)
Total distributions		(0.31	)		(0.97	)		(1.47	)		(0.02	)		(1.07)
Net asset value, end of year	$	8.06		$	9.30		$	8.90		$	7.79		$	10.17
Total return(b)		(9.95	)%		15.36	%		33.03	%		(23.16	)%		16.31%
Net assets, end of year (in 000s)	$	22,253		$	35,334		$	40,183		$	15,324		$	22,569
Ratio of net expenses to average net assets		0.94	%		0.92	%		0.92	%		0.80	%		0.84%
Ratio of total expenses to average net assets		1.01	%		0.95	%		1.08	%		1.28	%		1.09%
Ratio of net investment income (loss) to average net assets		4.00	%		0.50	%		(0.90	)%		(0.39	)%		1.34%
Portfolio turnover rate(c)		—	%(d)		—	%(d)		83	%		70	%		52%
(a)   Calculated based on the average shares outstanding methodology. (b)   Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. (c)   The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. (d)   There were no long-term transactions for the fiscal years ended December 31, 2023 and December 31, 2022.

 

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

GOLDMAN SACHS COMMODITY STRATEGY FUND

 

Consolidated Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

	Goldman Sachs Commodity Strategy Fund
	Class C Shares
	Year Ended December 31,
	2023			2022			2021			2020			2019
Per Share Data
Net asset value, beginning of year	$	8.52		$	8.25		$	7.32		$	9.61		$	9.17
Net investment income (loss)(a)		0.26			(0.01	)		(0.15	)		(0.08	)		0.08
Net realized and unrealized gain (loss)		(1.16	)		1.21			2.50			(2.21	)		1.35
Total from investment operations		(0.90	)		1.20			2.35			(2.29	)		1.43
Distributions to shareholders from net investment income		(0.25	)		(0.93	)		(1.42	)		—			(0.17)
Distributions to shareholders from return of capital		—			—			—			—			(0.82)
Total distributions		(0.25	)		(0.93	)		(1.42	)		—			(0.99)
Net asset value, end of year	$	7.37		$	8.52		$	8.25		$	7.32		$	9.61
Total return(b)		(10.58	)%		14.51	%		32.04	%		(23.77	)%		15.54%
Net assets, end of year (in 000s)	$	3,496		$	6,197		$	3,125		$	1,340		$	2,271
Ratio of net expenses to average net assets		1.69	%		1.67	%		1.67	%		1.55	%		1.59%
Ratio of total expenses to average net assets		1.76	%		1.70	%		1.83	%		2.03	%		1.84%
Ratio of net investment income (loss) to average net assets		3.25	%		(0.05	)%		(1.65	)%		(1.12	)%		0.81%
Portfolio turnover rate(c)		—	%(d)		—	%(d)		83	%		70	%		52%
(a)   Calculated based on the average shares outstanding methodology. (b)   Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. (c)   The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. (d)   There were no long-term transactions for the fiscal years ended December 31, 2023 and December 31, 2022.

 

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

GOLDMAN SACHS COMMODITY STRATEGY FUND

 

Consolidated Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

	Goldman Sachs Commodity Strategy Fund
	Institutional Shares
	Year Ended December 31,
	2023			2022			2021			2020			2019
Per Share Data
Net asset value, beginning of year	$	9.46		$	9.04		$	7.88		$	10.28		$	9.74
Net investment income (loss)(a)		0.38			0.11			(0.06	)		(0.01	)		0.09
Net realized and unrealized gain (loss)		(1.30	)		1.32			2.71			(2.36	)		1.56
Total from investment operations		(0.92	)		1.43			2.65			(2.37	)		1.65
Distributions to shareholders from net investment income		(0.34	)		(1.01	)		(1.49	)		(0.03	)		(0.19)
Distributions to shareholders from return of capital		—			—			—			—			(0.92)
Total distributions		(0.34	)		(1.01	)		(1.49	)		(0.03	)		(1.11)
Net asset value, end of year	$	8.20		$	9.46		$	9.04		$	7.88		$	10.28
Total return(b)		(9.65	)%		15.75	%		33.52	%		(22.96	)%		16.77%
Net assets, end of year (in 000s)	$	253,289		$	339,164		$	206,782		$	127,172		$	156,673
Ratio of net expenses to average net assets		0.61	%		0.59	%		0.59	%		0.47	%		0.50%
Ratio of total expenses to average net assets		0.68	%		0.62	%		0.75	%		0.96	%		0.74%
Ratio of net investment income (loss) to average net assets		4.36	%		1.04	%		(0.57	)%		(0.10	)%		0.81%
Portfolio turnover rate(c)		—	%(d)		—	%(d)		83	%		70	%		52%
(a)   Calculated based on the average shares outstanding methodology. (b)   Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. (c)   The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. (d)   There were no long-term transactions for the fiscal years ended December 31, 2023 and December 31, 2022.

 

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

GOLDMAN SACHS COMMODITY STRATEGY FUND

 

Consolidated Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

	Goldman Sachs Commodity Strategy Fund
	Investor Shares
	Year Ended December 31,
	2023			2022			2021			2020			2019
Per Share Data
Net asset value, beginning of year	$	9.47		$	9.04		$	7.89		$	10.29		$	9.75
Net investment income (loss)(a)		0.36			0.11			(0.07	)		(0.01	)		(0.04)
Net realized and unrealized gain (loss)		(1.29	)		1.32			2.71			(2.37	)		1.68
Total from investment operations		(0.93	)		1.43			2.64			(2.38	)		1.64
Distributions to shareholders from net investment income		(0.33	)		(1.00	)		(1.49	)		(0.02	)		(0.18)
Distributions to shareholders from return of capital		—			—			—			—			(0.92)
Total distributions		(0.33	)		(1.00	)		(1.49	)		(0.02	)		(1.10)
Net asset value, end of year	$	8.21		$	9.47		$	9.04		$	7.89		$	10.29
Total return(b)		(9.78	)%		15.79	%		33.33	%		(22.99	)%		16.73%
Net assets, end of year (in 000s)	$	22,575		$	115,918		$	33,337		$	3,115		$	6,651
Ratio of net expenses to average net assets		0.69	%		0.67	%		0.67	%		0.55	%		0.59%
Ratio of total expenses to average net assets		0.75	%		0.70	%		0.81	%		1.02	%		0.83%
Ratio of net investment income (loss) to average net assets		4.14	%		1.01	%		(0.66	)%		(0.09	)%		(0.36)%
Portfolio turnover rate(c)		—	%(d)		—	%(d)		83	%		70	%		52%
(a)   Calculated based on the average shares outstanding methodology. (b)   Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. (c)   The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. (d)   There were no long-term transactions for the fiscal years ended December 31, 2023 and December 31, 2022.

 

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

GOLDMAN SACHS COMMODITY STRATEGY FUND

 

Consolidated Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

	Goldman Sachs Commodity Strategy Fund
	Class R6 Shares
	Year Ended December 31,
	2023			2022			2021			2020			2019
Per Share Data
Net asset value, beginning of year	$	9.49		$	9.06		$	7.90		$	10.30		$	9.76
Net investment income (loss)(a)		0.38			0.12			(0.05	)		(0.01	)		0.38
Net realized and unrealized gain (loss)		(1.30	)		1.32			2.70			(2.36	)		1.27
Total from investment operations		(0.92	)		1.44			2.65			(2.37	)		1.65
Distributions to shareholders from net investment income		(0.35	)		(1.01	)		(1.49	)		(0.03	)		(0.19)
Distributions to shareholders from return of capital		—			—			—			—			(0.92)
Total distributions		(0.35	)		(1.01	)		(1.49	)		(0.03	)		(1.11)
Net asset value, end of year	$	8.22		$	9.49		$	9.06		$	7.90		$	10.30
Total return(b)		(9.71	)%		15.84	%		33.44	%		(22.92	)%		16.87%
Net assets, end of year (in 000s)	$	117,106		$	155,511		$	94,836		$	83,227		$	85,170
Ratio of net expenses to average net assets		0.60	%		0.58	%		0.58	%		0.46	%		0.49%
Ratio of total expenses to average net assets		0.67	%		0.61	%		0.75	%		0.96	%		0.75%
Ratio of net investment income (loss) to average net assets		4.36	%		1.14	%		(0.55	)%		(0.09	)%		3.52%
Portfolio turnover rate(c)		—	%(d)		—	%(d)		83	%		70	%		52%
(a)   Calculated based on the average shares outstanding methodology. (b)   Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. (c)   The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. (d)   There were no long-term transactions for the fiscal years ended December 31, 2023 and December 31, 2022.

 

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

GOLDMAN SACHS COMMODITY STRATEGY FUND

 

Consolidated Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

	Goldman Sachs Commodity Strategy Fund
	Class R Shares
	Year Ended December 31,
	2023			2022			2021			2020			2019
Per Share Data
Net asset value, beginning of year	$	9.07		$	8.71		$	7.64		$	9.99		$	9.50
Net investment income (loss)(a)		0.31			0.04			(0.11	)		(0.05	)		0.16
Net realized and unrealized gain (loss)		(1.24	)		1.27			2.62			(2.29	)		1.38
Total from investment operations		(0.93	)		1.31			2.51			(2.34	)		1.54
Distributions to shareholders from net investment income		(0.29	)		(0.95	)		(1.44	)		(0.01	)		(0.18)
Distributions to shareholders from return of capital		—			—			—			—			(0.87)
Total distributions		(0.29	)		(0.95	)		(1.44	)		(0.01	)		(1.05)
Net asset value, end of year	$	7.85		$	9.07		$	8.71		$	7.64		$	9.99
Total return(b)		(10.19	)%		15.07	%		32.73	%		(23.36	)%		16.11%
Net assets, end of year (in 000s)	$	2,630		$	4,208		$	3,271		$	1,903		$	2,280
Ratio of net expenses to average net assets		1.19	%		1.17	%		1.17	%		1.05	%		1.09%
Ratio of total expenses to average net assets		1.26	%		1.20	%		1.33	%		1.54	%		1.34%
Ratio of net investment income (loss) to average net assets		3.77	%		0.33	%		(1.15	)%		(0.68	)%		1.53%
Portfolio turnover rate(c)		—	%(d)		—	%(d)		83	%		70	%		52%
(a)   Calculated based on the average shares outstanding methodology. (b)   Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. (c)   The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. (d)   There were no long-term transactions for the fiscal years ended December 31, 2023 and December 31, 2022.

 

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

GOLDMAN SACHS COMMODITY STRATEGY FUND

 

Consolidated Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

	Goldman Sachs Commodity Strategy Fund
	Class P Shares
	Year Ended December 31,
	2023			2022			2021			2020			2019
Per Share Data
Net asset value, beginning of year	$	9.49		$	9.06		$	7.90		$	10.29		$	9.76
Net investment income (loss)(a)		0.38			0.12			(0.06	)		—	(b)		(0.25)
Net realized and unrealized gain (loss)		(1.30	)		1.32			2.71			(2.36	)		1.89
Total from investment operations		(0.92	)		1.44			2.65			(2.36	)		1.64
Distributions to shareholders from net investment income		(0.35	)		(1.01	)		(1.49	)		(0.03	)		(0.19)
Distributions to shareholders from return of capital		—			—			—			—			(0.92)
Total distributions		(0.35	)		(1.01	)		(1.49	)		(0.03	)		(1.11)
Net asset value, end of year	$	8.22		$	9.49		$	9.06		$	7.90		$	10.29
Total return(c)		(9.72	)%		15.84	%		33.46	%		(22.84	)%		16.73%
Net assets, end of year (in 000s)	$	163,164		$	299,911		$	139,858		$	684		$	977
Ratio of net expenses to average net assets		0.60	%		0.58	%		0.58	%		0.45	%		0.48%
Ratio of total expenses to average net assets		0.67	%		0.61	%		0.72	%		0.94	%		0.72%
Ratio of net investment income (loss) to average net assets		4.34	%		1.04	%		(0.57	)%		(0.04	)%		(2.28)%
Portfolio turnover rate(d)		—	%(e)		—	%(e)		83	%		70	%		52%
(a)   Calculated based on the average shares outstanding methodology. (b)   Amount is less than $0.005 per share. (c)   Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. (d)   The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. (e)   There were no long-term transactions for the fiscal years ended December 31, 2023 and December 31, 2022.

 

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

GOLDMAN SACHS ALTERNATIVE FUNDS II

 

Consolidated Notes to Financial Statements

December 31, 2023

 

 

 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
Absolute Return Tracker	A, C, Institutional, Investor, R6, R and P	Diversified
Commodity Strategy	A, C, Institutional, Investor, R6, R and P	Diversified

Class A Shares of the Absolute Return Tracker Fund are sold with a front-end sales charge of up to 5.50%. Class A Shares of the Commodity Strategy Fund are sold with a front-end sales charge of up to 4.50%. Class C Shares are sold with a contingent deferred sales charge (“CDSC”) of 1.00%, which is imposed on redemptions made within 12 months of purchase. Institutional, Investor, Class R6, Class R and Class P Shares are not subject to a sales charge.

Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman Sachs & Co. LLC (“Goldman Sachs”), serves as investment adviser to the Funds pursuant to management agreements (each, an “Agreement”) with the Trust. Core Commodity Management, LLC (“Core Commodity” or the “Sub-Adviser”) serves as a sub-adviser to the Commodity Strategy Fund. GSAM compensates the Sub-Adviser directly in accordance with the terms of the Sub-Advisory Agreement. The Commodity Strategy Fund is not charged any separate or additional investment advisory fees by the Sub-Adviser.

  2. SIGNIFICANT ACCOUNTING POLICIES

The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions. Each Fund is an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies.

A. Basis of Consolidation for Absolute Return Tracker Fund and Commodity Strategy Fund — Cayman Commodity-ART, LLC., and Cayman Commodity-CSF, LTD., (each a “Subsidiary” and collectively, the “Subsidiaries”), Cayman Islands exempted companies, are currently wholly-owned subsidiaries of the Absolute Return Tracker and Commodity Strategy Funds, respectively. The Subsidiaries act as investment vehicles for the Funds to enable the Funds to gain exposure to certain types of commodity-linked derivative instruments. The Funds are the sole shareholders of the Subsidiaries, and it is intended that each Fund will remain the sole shareholder and will continue to control its respective Subsidiary. All inter-fund balances and transactions have been eliminated in consolidation.

  As of December 31, 2023, the Fund and Subsidiary net assets were as follows:

Fund	Fund Net Assets	Subsidiary Net Assets	% Represented by Subsidiary’s Net Assets
Absolute Return Tracker	$4,130,962,876	$130,160,188	3.2%
Commodity Strategy	584,512,053	129,844,010	22.2

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

C. Investment Income and Investments — Investment income includes interest income, dividend income, and securities lending income, if any. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the securities received. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Investment income is

 

50

GOLDMAN SACHS ALTERNATIVE FUNDS II

 

 

 2. SIGNIFICANT ACCOUNTING POLICIES (continued)

recorded net of any foreign withholding taxes, less any amounts reclaimable. The Funds may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. These reclaims, if any, are recorded when the amount is known and there are no significant uncertainties on collectability. Such amounts recovered, if any, are reflected as other income in the Consolidated Statements of Operations. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments. Distributions received from the Funds’ investments in U.S. real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain and/or a return of capital. A return of capital is recorded by the Funds as a reduction to the cost basis of the REIT.

For derivative contracts, unrealized gains and losses are recorded daily and become realized gains and losses upon disposition or termination of the contract. Upfront payments, if any, are made or received upon entering into a swap agreement and are reflected in the Consolidated Statements of Assets and Liabilities. Upfront payments are recognized over the contract’s term/event as realized gains or losses, with the exception of forward starting swap contracts whose realized gains or losses are recognized from the effective start date. For securities with paydown provisions, principal payments received are treated as a proportionate reduction to the cost basis of the securities, and excess or shortfall amounts are recorded as income.

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

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

Fund	Income Distributions Declared/Paid	Capital Gains Distributions Declared/Paid
Absolute Return Tracker	Annually	Annually
Commodity Strategy	Semi-Annually	Annually

The Subsidiaries are classified as controlled foreign corporations under the Code. Therefore, the Funds are required to decrease their taxable income by their share of their Subsidiaries’ income. Net losses of a Subsidiary cannot be deducted by the Funds in the current period nor carried forward to offset taxable income in future periods. Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.

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

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

 

    51

GOLDMAN SACHS ALTERNATIVE FUNDS II

 

Consolidated Notes to Financial Statements (continued)

December 31, 2023

 

 

 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS

U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the Funds’ policy is to use the market approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:

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

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

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

The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Funds, including investments for which market quotations are not readily available. With respect to the Funds’ investments that do not have readily available market quotations, the Trustees have designated GSAM as the valuation designee to perform fair valuations pursuant to Rule 2a-5 under the Investment Company Act of 1940 (the “Valuation Designee”). GSAM has day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Funds’ investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.

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

Equity Securities — Equity securities traded on a United States (“U.S.”) securities exchange or the NASDAQ system, or those located on certain foreign exchanges, including but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If there is no sale or official closing price or such price is believed by GSAM to not represent fair value, equity securities will be valued at the valid closing bid price for long positions and at the valid closing ask price for short positions (i.e. where there is sufficient volume, during normal exchange trading hours). If no valid bid/ask price is available, the equity security will be valued pursuant to the Valuation Procedures and consistent with applicable regulatory guidance. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2. Certain equity securities containing unique attributes may be classified as Level 2.

Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price for long positions or the last ask price for short positions, and are generally classified as Level 2. Securities traded on certain foreign securities exchanges are valued daily at fair value determined by an independent fair value service (if available) under the Valuation Procedures and consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchange. These investments are generally classified as Level 2 of the fair value hierarchy.

Underlying Funds (including Money Market Funds) — Underlying funds (“Underlying Funds”) include exchange-traded funds (“ETFs”) and other investment companies. Investments in the Underlying Funds (except ETFs) are valued at the NAV per share on the day of valuation. ETFs are valued daily at the last sale price or official closing price on the principal exchange or

 

52

GOLDMAN SACHS ALTERNATIVE FUNDS II

 

 

 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

system on which the investment is traded. Because the Funds invest in Underlying Funds that fluctuate in value, the Funds’ shares will correspondingly fluctuate in value. Underlying Funds are generally classified as Level 1 of the fair value hierarchy. To the extent that underlying ETFs are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2. For information regarding an Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.

Debt Securities — Debt securities for which market quotations are readily available are valued daily on the basis of quotations supplied by dealers or an independent pricing service approved by the Trustees. The pricing services may use valuation models or matrix pricing, which consider: (i) yield or price with respect to bonds that are considered comparable in characteristics such as rating, interest rate and maturity date or (ii) quotations from securities dealers to determine current value. With the exception of treasury securities of G7 countries, which are generally classified as Level 1, these investments are generally classified as Level 2 of the fair value hierarchy.

Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. A Fund enters into derivative transactions to hedge against changes in interest rates, securities prices, and/or currency exchange rates, to increase total return, or to gain access to certain markets or attain exposure to other underliers. For financial reporting purposes, cash collateral that has been pledged to cover obligations of a Fund and cash collateral received, if any, is reported separately on the Consolidated Statements of Assets and Liabilities as either due to broker/receivable for collateral on certain derivative contracts. Non-cash collateral pledged by a Fund, if any, is noted in the Consolidated Schedules of Investments.

Exchange-traded derivatives, including futures and options contracts, are generally valued at the last sale or settlement price on the exchange where they are principally traded. Exchange-traded options without settlement prices are generally valued at the midpoint of the bid and ask prices on the exchange where they are principally traded (or, in the absence of two-way trading, at the last bid price for long positions and the last ask price for short positions). Exchange-traded derivatives typically fall within Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.

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

A forward foreign currency exchange contract is a forward contract in which a Fund agrees to receive or deliver a fixed quantity of one currency for another, at a pre-determined price at a future date. All forward foreign currency exchange contracts are marked to market daily by using the outright forward rates or interpolating based upon maturity dates, where available. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency.

ii. Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security. Upon entering into a futures contract, a Fund deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are generally made or received by a Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.

 

    53

GOLDMAN SACHS ALTERNATIVE FUNDS II

 

Consolidated Notes to Financial Statements (continued)

December 31, 2023

 

 

  3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

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

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

iv. Swap Contracts — Bilateral swap contracts are agreements in which a Fund and a counterparty agree to exchange periodic payments on a specified notional amount or make a net payment upon termination. Bilateral swap transactions are privately negotiated in the OTC market and payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing. These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”) (“centrally cleared swaps”), in which case all payments are settled with the CCP through the DCM. Swaps are marked-to-market daily using pricing vendor quotations, counterparty or clearinghouse prices or model prices, and the change in value, if any, is recorded as an unrealized gain or loss. Upon entering into a swap contract, a Fund is required to satisfy an initial margin requirement by delivering cash or securities to the counterparty (or in some cases, segregated in a triparty account on behalf of the counterparty), which can be adjusted by any mark-to-market gains or losses pursuant to bilateral or centrally cleared arrangements. For centrally cleared swaps the daily change in valuation, if any, is recorded as a receivable or payable for variation margin.

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

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

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

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

 

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GOLDMAN SACHS ALTERNATIVE FUNDS II

 

 

  3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

B. Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of a Fund’s investments may be determined under the Valuation Procedures. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining a Fund’s NAV. To the extent investments are valued using single source broker quotations obtained directly from the broker or passed through from third party pricing vendors, such investments are classified as Level 3 investments.

C. Fair Value Hierarchy — The following is a summary of the Funds’ investments and derivatives classified in the fair value hierarchy as of December 31, 2023:

ABSOLUTE RETURN TRACKER

Investment Type	Level 1			Level 2			Level 3
Assets
Common Stock and/or Other Equity Investments(a)
Africa	$	522,881		$	—		$	—
Asia		27,427			10,746,971			—
Australia and Oceania		392,435			—			—
Europe		43,342,088			52,911,484			—
North America		749,290,330			9,866			—
Securities Lending Reinvestment Vehicle		6,169,850			—			—
Preferred Stocks		—			171,181			—
Exchange Traded Funds		836,975,575			—			—
Investment Company		2,258,293,269			—			—
Total	$	3,895,013,855		$	63,839,502		$	—
Derivative Type
Assets
Exchange Traded Index Options	$	388,680		$	—		$	—
Forward Foreign Currency Exchange Contracts(b)		—			1,319,741			—
Futures Contracts(b)		19,330,361			—			—
Credit Default Swap Contracts(b)		—			6,097,543			—
Total Return Swap Contracts(b)		—			2,949,050			—
Total	$	19,719,041		$	10,366,334		$	—
Liabilities
Forward Foreign Currency Exchange Contracts(b)	$	—		$	(2,217,813	)	$	—
Futures Contracts(b)		(6,862,684	)		—			—
Total Return Swap Contracts(b)		—			(3,819,637	)		—
Written Option Contracts		(149,465	)		—			—
Total	$	(7,012,149	)	$	(6,037,450	)	$	—

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

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

 

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Consolidated Notes to Financial Statements (continued)

December 31, 2023

 

 

 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

COMMODITY STRATEGY

Investment Type	Level 1			Level 2			Level 3
Assets
Investment Company	$	62,859,778		$	—		$	—
Short-term Investments		531,840,971			—			—
Total	$	594,700,749		$	—		$	—
Derivative Type
Assets(a)
Futures Contracts	$	13,192,287		$	—		$	—
Total Return Swap Contracts		—			85			—
Total	$	13,192,287		$	85		$	—
Liabilities(a)
Futures Contracts	$	(7,700,379	)	$	—		$	—
Total Return Swap Contracts		—			(1,351	)		—
Total	$	(7,700,379	)	$	(1,351	)	$	—

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

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

  4. INVESTMENTS IN DERIVATIVES

The following tables set forth, by certain risk types, the gross value of derivative contracts (not considered to be hedging instruments for accounting disclosure purposes) as of December 31, 2023. These instruments were used as part of the Funds’ investment strategies and to obtain and/or manage exposure related to the risks below. The values in the tables below exclude the effects of cash collateral received or posted pursuant to these derivative contracts, and therefore are not representative of the Funds’ net exposure.

Absolute Return Tracker

Risk	Consolidated Statements of Assets and Liabilities	Assets			Consolidated Statements of Assets and Liabilities	Liabilities
Commodity	Variation margin on futures contracts	$	1,921,775	(a)	Variation margin on futures contracts	$	(2,144,206	)(a)
Credit	Variation margin on swap contracts		6,097,543	(a)	—		—
Currency	Receivable for unrealized gain on forward foreign currency exchange contracts		1,319,741		Payable for unrealized loss on forward  foreign currency exchange contracts		(2,217,813	)
Equity	Receivable for unrealized gain on swap contracts; Variation margin on futures contracts; Purchased options, at value		12,105,419	(a)	Payable for unrealized loss on swap  contracts; Variation margin on futures   contracts; Written options, at value		(5,245,220	)(a)(b)
Interest rate	Variation margin on futures contracts		8,640,897	(a)	Variation margin on futures contracts		(3,442,360	)(a)
Total		$	30,085,375			$	(13,049,599	)

 

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  4 . INVESTMENTS IN DERIVATIVES (continued)

Commodity Strategy

Risk	Consolidated Statement of Assets and Liabilities	Assets	Consolidated Statement of Assets and Liabilities	Liabilities
Commodity	Variation margin on futures contracts; Receivable for unrealized gain on swap contracts	$13,192,372(a)	Variation margin on futures contracts;  Payable for unrealized loss on swap  contracts	$	(7,701,730)(a)(b)

(a) Includes unrealized gain (loss) on futures and centrally cleared swaps described in the Additional Investment Information sections of the the Consolidated Schedule of Investments. Only the variation margin as of December 31, 2023, is reported within the Consolidated Statement of Assets and Liabilities.

(b) Aggregate of amounts include $3,819,637 for Absolute Return Tracker Fund and $1,351 for the Commodity Strategy Fund, which represents the payments to be made pursuant to bilateral agreements should counterparties exercise their “right to terminate” provisions based on, among others, the Fund’s performance, their failure to pay on their obligations or failure to pledge collateral. Such amount does not include incremental charges directly associated with the close-out of the agreements. It also does not reflect the fair value of any assets pledged as collateral which, through the daily margining process, substantially offsets the aforementioned amounts and for which the Fund is entitled to a full return.

The following tables set forth, by certain risk types, the Funds’ gains (losses) related to these derivatives and their indicative volumes for the fiscal year ended December 31, 2023. These gains (losses) should be considered in the context that these derivative contracts may have been executed to create investment opportunities and/or economically hedge certain investments, and accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Consolidated Statements of Operations:

Absolute Return Tracker

Risk	Consolidated Statements of Operations	Net Realized Gain (Loss)			Net Change in Unrealized Gain (Loss)
Commodity	Net realized gain (loss) from futures contracts /Net change in unrealized gain (loss) on futures contracts	$	(11,774,972)		$	(337,640)
Credit	Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts		10,993,684			2,652,112
Currency	Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts		(2,929,177)			(501,473)
Equity	Net realized gain (loss) from futures contracts, swap contracts, purchased options and written options/Net change in unrealized gain (loss) on futures contracts, swap contracts, purchased options and written options		39,984,172			9,047,244
Interest rate	Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts		(6,716,224)			3,686,446
Total		$	29,557,483			$14,546,689

Commodity Strategy

Risk	Consolidated Statement of Operations	Net Realized Gain (Loss)			Net Change in Unrealized Gain (Loss)
Commodity	Net realized gain (loss) from futures and swap contracts/Net change in unrealized gain (loss) on futures and swap contracts	$	(170,130,232)		$	46,192,870

 

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Consolidated Notes to Financial Statements (continued)

December 31, 2023

 

 

 4 . INVESTMENTS IN DERIVATIVES (continued)

For the fiscal year ended December 31, 2023, the relevant values for each derivative type were as follows:

	Average Number of Contracts(a)
Fund	Futures Contracts		Forward Contracts		Swap Agreements		Purchased Options		Written Options
Absolute Return Tracker		13,586	$	234,927,378	$	1,005,919,804		425,042		6,350
Commodity Strategy		13,553		—		711,461,158		—		—

(a) Amounts disclosed represent the average number of contracts for futures contracts, notional amounts for forward contracts, swap agreements, or shares/units outstanding for purchased options and written options, based on absolute values, which is indicative of the volume for this derivative type, for the months that each Fund held such derivatives during the fiscal year ended December 31, 2023.

 5 . AGREEMENTS AND AFFILIATED TRANSACTIONS

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

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

For the fiscal year ended December 31, 2023, contractual and effective net management fees with GSAM were at the following rates:

	Contractual Management Rate
Fund	First $1 billion		Next $1 billion		Next $3 billion		Next $3 billion		Over $8 billion		Effective Rate		Effective Net Management Rate^
Absolute Return Tracker		0.70%		0.63%		0.60%		0.59%		0.53%		0.64%		0.54%(a)
Commodity Strategy		0.50		0.50		0.45		0.43		0.42		0.50		0.40(a)

^ Effective Net Management Rate includes of management fee waivers of affiliated Underlying Funds, if any. The Effective Net Management Rate may not correlate to the Contractual Management Rate as a result of management fee waivers that may be in effect from time to time.

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

GSAM also provides management services to the Subsidiaries pursuant to a Subsidiary Management Agreement (the “Subsidiary Agreement”) and is entitled to a management fee accrued daily and paid monthly, equal to an annual percentage rate of 0.42% of each Subsidiary’s average daily net assets. In consideration of the Subsidiaries’ management fee, and for as long as the Subsidiary Agreement remains in effect, GSAM has contractually agreed to waive irrevocably a portion of each Fund’s management fee in an amount equal to the management fee accrued and paid to GSAM by each Subsidiary under the Subsidiary Agreement. For the fiscal year ended December 31, 2023, GSAM waived $191,371 and $740,423 of each Fund’s management fee for the Absolute Return Tracker and Commodity Strategy Funds, respectively.

The Funds invest in Institutional Shares of the Goldman Sachs Financial Square Government Fund, which is an affiliated Underlying Fund. GSAM has agreed to waive a portion of its management fee payable by the Funds in an amount equal to the management fee it earns as an investment adviser to the affiliated Underlying Fund in which the Funds invest. For the fiscal year ended December 31, 2023, the management fee waived by GSAM was for each Fund as follows:

Fund	Management Fee Waived
Absolute Return Tracker		$3,658,294
Commodity Strategy		828,224

 

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 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

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

	Distribution and/or Service Plan Rates
	Class A*		Class C		Class R*
Distribution and/or Service Plan		0.25%		0.75%		0.50%

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

C. Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Funds pursuant to a Distribution Agreement, may retain a portion of the Class A Shares’ front end sales charge and Class C Shares’ CDSC. During the fiscal year ended December 31, 2023, Goldman Sachs retained the following amounts:

	Front End Sales Charge
Fund	Class A
Absolute Return Tracker	$	10,004
Commodity Strategy		6,672

D. Service Plan — The Trust, on behalf of each Fund, has adopted a Service Plan to allow Class C Shares to compensate service organizations (including Goldman Sachs) for providing varying levels of personal and account maintenance services to their customers who are beneficial owners of such shares. The Service Plan provides for compensation to the service organizations equal to an annual percentage rate of 0.25% of the average daily net assets attributable to Class C Shares of the Funds.

E. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Funds for a fee pursuant to the Transfer Agency Agreement. The fees charged for such transfer agency services are accrued daily and paid monthly at annual rates as follows: 0.15% of the average daily net assets of Class A, Class C, Investor and Class R Shares of the Absolute Return Tracker Fund; 0.12% of the average daily net assets of Class A, Class C, Investor and Class R Shares of the Commodity Strategy Fund; 0.03% of the average daily net assets of Class R6 and P Shares; and 0.04% of the average daily net assets of Institutional Shares. Prior to July 1, 2023, the rate for Class A, Class C, Investor and Class R shares was 0.16% for the Absolute Return Tracker Fund.

F. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to reduce or limit certain “Other Expenses” of the Funds (excluding acquired fund fees and expenses, transfer agency fees and expenses, service fees and shareholder administration fees (as applicable), taxes, interest, brokerage fees, expenses of shareholder meetings, litigation and indemnification, and extraordinary expenses) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of each Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Funds are not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. The Other Expense limitations as an annual percentage rate of average daily net assets for the Absolute Return Tracker and Commodity Strategy Funds are 0.014% and 0.074%, respectively. These Other Expense limitations will remain in place through at least April 28, 2024, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. In addition, the Funds have entered into certain offset arrangements with the transfer agent, which may result in a reduction of the Funds’ expenses and are

 

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Consolidated Notes to Financial Statements (continued)

December 31, 2023

 

 

  5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

received irrespective of the application of the “Other Expense” limitations described above. The Subsidiaries also pay certain other expenses, including service and custody fees. GSAM has agreed to reduce or limit each Subsidiary’s expenses (excluding management fees) to 0.004% of the Subsidiary’s average daily net assets for the Absolute Return Tracker and Commodity Strategy Funds.

For the fiscal year ended December 31, 2023, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:

Fund	Management Fee Waiver		Transfer Agency Waivers/Credits		Other Expense Reimbursements		Total Expense Reductions
Absolute Return Tracker		$3,658,294		$1,072		$1,052,385		$4,711,751
Commodity Strategy		828,224		606		483,613		1,312,443

G. Line of Credit Facility — As of December 31, 2023, the Funds participated in a $1,110,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. For the fiscal year ended December 31, 2023, the Funds did not have any borrowings under the facility. Prior to April 19, 2023, the facility was $1,250,000,000.

H. Other Transactions with Affiliates — For the fiscal year ended December 31, 2023, Goldman Sachs earned $209,666 and $0 in brokerage commissions from portfolio transactions, including futures transactions executed with Goldman Sachs as the Futures Commission Merchant, on behalf of the Absolute Return Tracker and Commodity Strategy Funds, respectively.

The table below shows the transactions in and earnings from investments in the Underlying Fund for the fiscal year ended December 31, 2023:

Fund	Underlying Fund	Beginning Value as of December 31, 2022		Purchases at Cost		Proceeds from Sales			Ending Value as of December 31, 2023		Shares as of December 31, 2023		Dividend Income
Absolute Return Tracker	Goldman Sachs Financial Square Government Fund — Institutional Shares	$	1,824,635,728	$	1,661,857,637	$	(1,228,200,096	)	$	2,258,293,269		2,258,293,269	$	102,778,595
Commodity Strategy	Goldman Sachs Financial Square Government Fund — Institutional Shares		72,571,959		1,136,765,250		(1,146,477,431	)		62,859,778		62,859,778		3,706,947

  6. PORTFOLIO SECURITIES TRANSACTIONS

The cost of purchases and proceeds from sales and maturities of long-term securities for the fiscal year ended December 31, 2023, were as follows:

Fund	Purchases (Excluding U.S. Government and Agency Obligations)		Sales and Maturities of (Excluding U.S. Government and Agency Obligations)
Absolute Return Tracker	$	1,798,264,050	$	1,791,088,119

 

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  6. PORTFOLIO SECURITIES TRANSACTIONS (continued)

  For the fiscal year ended December 31, 2023, there were no purchases and proceeds from sales and maturities of long-term securities for the Commodity Strategy Fund.

  7. SECURITIES LENDING

Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) and the terms and conditions contained therein, the Absolute Return Tracker Fund may lend its securities through a securities lending agent, Goldman Sachs Agency Lending (“GSAL”), a wholly-owned subsidiary of Goldman Sachs, to certain qualified borrowers including Goldman Sachs and affiliates. In accordance with the Fund’s securities lending procedures, the Fund receives cash collateral at least equal to the market value of the securities on loan. The market value of the loaned securities is determined at the close of business of the Fund, at their last sale price or official closing price on the principal exchange or system on which they are traded, and any additional required collateral is delivered to the Fund on the next business day. As with other extensions of credit, the Fund may experience delay in the recovery of its securities or incur a loss should the borrower of the securities breach its agreement with the Fund or become insolvent at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan. Dividend income received from securities on loan may not be subject to withholding taxes and therefore withholding taxes paid may differ from the amounts listed in the Consolidated Statements of Operations. Loans of securities are terminable at any time and as such 1) the remaining contractual maturities of the outstanding securities lending transactions are considered to be overnight and continuous and 2) the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.

The Absolute Return Tracker Fund invests the cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund (“Government Money Market Fund”), an affiliated series of the Goldman Sachs Trust. The Government Money Market Fund is registered under the Act as an open end investment company, is subject to Rule 2a-7 under the Act, and is managed by GSAM, for which GSAM may receive a management fee of up to 0.16% on an annualized basis of the average daily net assets of the Government Money Market Fund.

In the event of a default by a borrower with respect to any loan, GSAL will exercise any and all remedies provided under the applicable borrower agreement to make the Fund whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If GSAL is unable to purchase replacement securities, GSAL will indemnify the Fund by paying the Fund an amount equal to the market value of the securities loaned minus the value of cash collateral received from the borrower for the loan, subject to an exclusion for any shortfalls resulting from a loss of value in such cash collateral due to reinvestment risk. The Fund’s master netting agreements with certain borrowers provide the right, in the event of a default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate net exposure to the defaulting party or request additional collateral. However, in the event of a default by a borrower, a resolution authority could determine that such rights are not enforceable due to the restrictions or prohibitions against the right of set-off that may be imposed in accordance with a particular jurisdiction’s bankruptcy or insolvency laws. The Fund’s loaned securities were all subject to enforceable Securities Lending Agreements and the value of the collateral was at least equal to the value of the cash received. The amounts of the Fund’s overnight and continuous agreements, which represent the gross amounts of recognized liabilities for securities lending transactions outstanding as of December 31, 2023, are disclosed as “Payable upon return of securities loaned” on the Consolidated Statements of Assets and Liabilities, where applicable.

Both the Absolute Return Tracker Fund and GSAL received compensation relating to the lending of the Fund’s securities. The amounts earned, if any, by the Fund for the fiscal year ended December 31, 2023, are reported under Investment Income on the Consolidated Statements of Operations.

 

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Consolidated Notes to Financial Statements (continued)

December 31, 2023

 

 

  7. SECURITIES LENDING (continued)

The table below details securities lending activity with affiliates of Goldman Sachs:

	For the Fiscal Year Ended December 31, 2023
Fund	Earnings of GSAL Relating to Securities Loaned	Amounts Received by the Funds from Lending to Goldman Sachs	Amounts Payable to Goldman Sachs Upon Return of Securities Loaned as of December 31, 2023
Absolute Return Tracker	$42,549	$382,957	$—

The following table provides information about the Absolute Return Tracker Fund’s investments in the Government Money Market Fund for the fiscal year ended December 31, 2023:

Fund	Beginning Value as of December 31, 2022	Purchases at cost	Proceeds from Sales	Ending Value as of December 31, 2023	Shares as of December 31, 2023
Absolute Return Tracker	$43,069,598	$672,704,821	$(709,604,569)	$6,169,850	6,169,850

  8. TAX INFORMATION

The tax character of distributions paid during the fiscal year ended December 31, 2023 was as follows:

	Absolute Return Tracker Fund		Commodity Strategy
Distributions paid from:
Ordinary income		$110,002,005	$	27,284,554
Total taxable distributions		$110,002,005	$	27,284,554

The tax character of distributions paid during the fiscal year ended December 31, 2022 was as follows:

	Absolute Return Tracker Fund		Commodity Strategy
Distributions paid from:
Ordinary income		$182,598,755	$	92,377,366
Net long-term capital gains		18,433		—
Total taxable distributions		$182,617,188	$	92,377,366

 

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  8. TAX INFORMATION (continued)

As of the Funds’ most recent fiscal year end, December 31, 2023, the Funds’ capital loss carryforwards and certain timing differences on a tax basis were as follows:

	Absolute Return Tracker Fund			Commodity Strategy
Undistributed ordinary income — net	$	17,502,187		$	440,576
Capital loss carryforwards(1) :
Perpetual Short-Term		—			(3,117,204	)
Perpetual Long-Term		(170,387,264	)		(18,256,290	)
Total capital loss carryforwards		(170,387,264	)		(21,373,494	)
Timing differences (Qualified Late Year Loss Deferral, Real Estate Investment Trusts and Straddle Loss Deferral)	$	(65,675,432)		$	—
Unrealized gains (loss) — net		126,880,612			46,446,036
Total accumulated earnings (loss) net	$	(91,679,897)		$	25,513,118

(1) The Absolute Return Tracker Fund utilized $34,551,630 of capital losses in the current fiscal year.

As of December 31, 2023, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:

	Absolute Return Tracker Fund			Commodity Strategy
Tax Cost	$	3,848,070,897		$	532,618,981
Gross unrealized gain		130,746,437			46,446,036
Gross unrealized loss		(3,865,825	)		—
Net unrealized gain	$	126,880,612		$	46,446,036

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

The Absolute Return Tracker Fund reclassed $2,024,268 from distributable earnings to paid in capital for the year ending December 31, 2023. In order to present certain components of the Fund’s capital accounts on a tax-basis, certain reclassifications have been recorded to the Fund’s accounts. These reclassifications have no impact on the net asset value of the Fund and result primarily from differences in the tax treatment of underlying fund investments.

The Commodity Strategy Fund reclassed $152,878,640 from paid in capital to distributable earnings for the year ending December 31, 2023. In order to present certain components of the Fund’s capital accounts on a tax-basis, certain reclassifications have been recorded to the Fund’s accounts. These reclassifications have no impact on the net asset value of the Fund and result primarily from differences in the tax treatment of underlying fund investments.

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

 

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Consolidated Notes to Financial Statements (continued)

December 31, 2023

 

 

  9. OTHER RISKS

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

Commodity Sector Risk — Exposure to the commodities markets may subject to greater volatility than investments in more traditional securities. The value of commodity-linked investments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments. The prices of energy, industrial metals, precious metals, agriculture and livestock sector commodities may fluctuate widely due to factors such as changes in value, supply and demand and governmental regulatory policies. The commodity-linked investments in which the Subsidiaries may invest may involve counterparties in the financial services sector, and events affecting the financial services sector may cause the Subsidiaries’, and therefore the Funds’, share values to fluctuate.

Derivatives Risk — The Funds’ use of derivatives and other similar instruments (collectively referred to in this paragraph as “derivatives”) may result in loss, including due to adverse market movements. Derivatives, which may pose risks in addition to and greater than those associated with investing directly in securities, currencies or other assets and instruments, may increase market exposure and be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in the value of the underlying assets or instruments may produce disproportionate losses to the Funds. Certain derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not, or lacks the capacity or authority to, fulfill its contractual obligations, liquidity risk, which includes the risk that the Funds will not be able to exit the derivative when it is advantageous to do so, and risks arising from margin requirements, which include the risk that the Funds will be required to pay additional margin or set aside additional collateral to maintain open derivative positions. The use of derivatives is a highly specialized activity that involves investment techniques and risks different from those associated with investments in more traditional securities and instruments. Losses from derivatives can also result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.

Foreign and Emerging Countries Risk — Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of more or less foreign government regulation; less public information; less stringent investor protections; less stringent accounting, corporate governance, financial reporting and disclosure standards; and less economic, political and social stability in the countries in which a Fund invests. The imposition of sanctions, exchange controls (including repatriation restrictions), confiscation of assets and property, trade restrictions (including tariffs) and other government restrictions by the U.S. or other governments, or from problems in registration, settlement or custody, may also result in losses. The type and severity of sanctions and other similar measures, including counter sanctions and other retaliatory actions, that may be imposed could vary broadly in scope, and their impact is impossible to predict. For example, the imposition of sanctions and other similar measures could, among other things, cause a decline in the value and/or liquidity of securities issued by the sanctioned country or companies located in or economically tied to the sanctioned country and increase market volatility and disruption in the sanctioned country and throughout the world. Sanctions and other similar measures could limit or prevent a Fund from buying and selling securities (in the sanctioned country and other markets), significantly delay or prevent the settlement of securities transactions, and significantly impact a Fund’s liquidity and performance. Foreign risk also involves the risk of negative foreign currency exchange rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which a Fund has exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time. To the extent that a Fund also invests in securities of issuers located in, or economically tied to, emerging markets, these risks may be more pronounced.

Interest Rate Risk — When interest rates increase, fixed income securities or instruments held by a Fund will generally decline in value. Long-term fixed income securities or instruments will normally have more price volatility because of this risk than short-term fixed income securities or instruments. A wide variety of market factors can cause interest rates to rise, including central bank monetary policy, rising inflation and changes in general economic conditions. Changing interest rates may have unpredictable effects on the markets, may result in heightened market volatility and may detract from Fund performance. In addition, changes in monetary policy may exacerbate the risks associated with changing interest rates. Funds with longer average portfolio durations

 

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  9. OTHER RISKS (continued)

will generally be more sensitive to changes in interest rates than funds with a shorter average portfolio duration. Fluctuations in interest rates may also affect the liquidity of fixed income securities and instruments held by the Funds. A sudden or unpredictable increase in interest rates may cause volatility in the market and may decrease the liquidity of a Fund’s investments, which would make it harder for the Fund to sell its investments at an advantageous time.

Investments in Other Investment Companies Risk — As a shareholder of another investment company, including an ETF, a Fund will indirectly bear its proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Fund. ETFs are subject to risks that do not apply to conventional mutual funds, including but not limited to the following: (i) the market price of the ETF’s shares may trade at a premium or a discount to their NAV; and (ii) an active trading market for an ETF’s shares may not develop or be maintained.

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

Liquidity Risk — A Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that a Fund will not be able to pay redemption proceeds within the allowable time period or without significant dilution to remaining investors’ interests because of unusual market conditions, declining prices of the securities sold, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, a Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions. If a Fund is forced to sell securities at an unfavorable time and/or under unfavorable conditions, such sales may adversely affect a Fund’s NAV and dilute remaining investors’ interests. Liquidity risk may be the result of, among other things, the reduced number and capacity of traditional market participants to make a market in fixed income securities or the lack of an active market. The potential for liquidity risk may be magnified by a rising interest rate environment or other circumstances where investor redemptions from fixed income funds may be higher than normal, potentially causing increased supply in the market due to selling activity. These risks may be more pronounced in connection with the Funds’ investments in securities of issuers located in emerging market countries. Redemptions by large shareholders may have a negative impact on a Fund’s liquidity.

Market and Credit Risks — In the normal course of business, a Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk). The value of the securities in which a Fund invests may go up or down in response to the prospects of individual companies, particular sectors or governments and/or general economic conditions throughout the world due to increasingly interconnected global economies and financial markets. Events such as war, military conflict, acts of terrorism, social unrest, natural disasters, recessions, inflation, rapid interest rate changes, supply chain disruptions, sanctions, the spread of infectious illness or other public health threats could also significantly impact a Fund and its investments. Additionally, a Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which a Fund has unsettled or open transactions defaults.

Subsidiary Risk — The Subsidiaries are not registered under the Investment Company Act of 1940, as amended (“Investment Company Act”) and are not subject to all the investor protections of the Investment Company Act. Changes in the laws of the United States and/or the Cayman Islands could result in the inability of the Fund and/or the Subsidiaries to operate as described in the Prospectus and the SAI and could adversely affect the Fund.

 

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GOLDMAN SACHS ALTERNATIVE FUNDS II

 

Consolidated Notes to Financial Statements (continued)

December 31, 2023

 

 

  9. OTHER RISKS (continued)

Tax Risk — The Funds seek to gain exposure to the commodity markets through investments in the Subsidiaries. The tax treatment of the Funds’ investments in the Subsidiaries could affect whether income derived from such investments is “qualifying income” under Subchapter M of the Internal Revenue Code of 1986, as amended, (the “Code”), or otherwise affect the character, timing and/or amount of the Funds’ taxable income or any gains and distributions made by the Funds. If the IRS were to successfully assert that a Fund’s income from such investments was not “qualifying income,” the Funds may fail to qualify as regulated investment companies (“RIC”) under Subchapter M of the Code if over 10% of their gross income was derived from these investments. If the Funds failed to qualify as RICs, they would be subject to federal and state income tax on all of their taxable income at regular corporate tax rates with no deduction for any distributions paid to shareholders, which would significantly adversely affect the returns to, and could cause substantial losses for, Fund shareholders.

  10. 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.

  11. OTHER MATTERS

Pursuant to an effort to consolidate the membership of the Board of Trustees of the Trust (the “Board”) with the Board of Trustees of each of Goldman Sachs ETF Trust, Goldman Sachs ETF Trust II, Goldman Sachs Real Estate Diversified Income Fund, Goldman Sachs Trust II and Goldman Sachs Variable Insurance Trust, in July 2023, the Board voted to nominate Cheryl K. Beebe, John G. Chou, Eileen H. Dowling, Lawrence Hughes, John F. Killian, Steven D. Krichmar, Michael Latham, Lawrence W. Stranghoener and Paul C. Wirth (the “Nominees”) for election as Trustees of the Trust. Messrs. Chou and Wirth and Ms. Dowling were serving as Trustees of the Trust at the time of their nominations. At a virtual special joint meeting of shareholders held on November 16, 2023, each of the Nominees (except Messrs. Chou and Wirth and Ms. Dowling) was elected to serve as Trustees alongside the then current Trustees of the Trust, effective January 1, 2024. Each of Messrs. Chou and Wirth and Ms. Dowling was also elected at the meeting and continue to serve as Trustees of the Trust.

  12. SUBSEQUENT EVENTS

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

 

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  13. SUMMARY OF SHARE TRANSACTIONS

Share activity is as follows:

	Absolute Return Tracker Fund
	For the Fiscal Year Ended December 31, 2023						For the Fiscal Year Ended December 31, 2022
	Shares			Dollars			Shares			Dollars
Class A Shares
Shares sold		2,049,549		$	18,051,268			2,278,161		$	20,323,360
Reinvestment of distributions		106,801			962,277			216,961			1,840,210
Shares redeemed		(2,320,420	)		(20,360,649	)		(3,751,555	)		(33,399,506	)
		(164,070	)		(1,347,104	)		(1,256,433	)		(11,235,936	)
Class C Shares
Shares sold		95,680			757,414			157,564			1,258,782
Reinvestment of distributions		8,896			71,432			29,270			221,859
Shares redeemed		(290,494	)		(2,276,829	)		(386,190	)		(3,042,414	)
		(185,918	)		(1,447,983	)		(199,356	)		(1,561,773	)
Institutional Shares
Shares sold		116,285,014			1,068,401,813			147,316,141			1,370,216,761
Reinvestment of distributions		5,519,958			51,998,005			11,764,395			104,139,998
Shares redeemed		(170,799,170	)		(1,557,310,885	)		(140,662,402	)		(1,289,271,650	)
		(48,994,198	)		(436,911,067	)		18,418,134			185,085,109
Investor Shares
Shares sold		48,997,761			449,038,182			19,055,469			175,794,733
Reinvestment of distributions		1,641,688			15,234,863			1,436,178			12,524,391
Shares redeemed		(16,813,582	)		(152,229,647	)		(16,893,785	)		(153,241,735	)
		33,825,867			312,043,398			3,597,862			35,077,389
Class R6 Shares
Shares sold		76,667,470			701,252,558			13,706,040			125,975,231
Reinvestment of distributions		152,791			1,437,768			273,742			2,421,234
Shares redeemed		(18,723,424	)		(172,560,682	)		(10,256,817	)		(94,844,366	)
		58,096,837			530,129,644			3,722,965			33,552,099
Class R Shares
Shares sold		26,265			221,811			43,721			373,124
Reinvestment of distributions		1,977			17,140			8,839			72,114
Shares redeemed		(122,017	)		(1,013,977	)		(37,264	)		(321,788	)
		(93,775	)		(775,026	)		15,296			123,450
Class P Shares
Shares sold		1,433,979			13,169,647			6,309,423			59,074,898
Reinvestment of distributions		620,327			5,843,481			1,283,071			11,345,579
Shares redeemed		(4,157,723	)		(38,390,824	)		(7,150,043	)		(65,437,284	)
		(2,103,417	)		(19,377,696	)		442,451			4,983,193
NET INCREASE		40,381,326		$	382,314,166			24,740,919		$	246,023,531

 

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Consolidated Notes to Financial Statements (continued)

December 31, 2023

 

 

  13. SUMMARY OF SHARE TRANSACTIONS (continued)

	Commodity Strategy Fund
	For the Fiscal Year Ended December 31, 2023						For the Fiscal Year Ended December 31, 2022
	Shares			Dollars			Shares			Dollars
Class A Shares
Shares sold		650,451		$	5,599,609			2,524,718		$	27,858,273
Reinvestment of distributions		101,113			817,553			338,778			3,160,598
Shares redeemed		(1,788,262	)		(15,258,547	)		(3,581,021	)		(39,150,884	)
		(1,036,698	)		(8,841,385	)		(717,525	)		(8,132,013	)
Class C Shares
Shares sold		51,430			402,643			455,798			4,626,623
Reinvestment of distributions		18,011			133,093			72,030			615,139
Shares redeemed		(321,974	)		(2,497,546	)		(179,491	)		(1,794,752	)
		(252,533	)		(1,961,810	)		348,337			3,447,010
Institutional Shares
Shares sold		8,203,299			71,648,812			39,480,713			442,284,200
Reinvestment of distributions		1,241,693			10,207,259			3,334,938			31,713,481
Shares redeemed		(14,391,516	)		(125,621,221	)		(29,848,612	)		(327,939,629	)
		(4,946,524	)		(43,765,150	)		12,967,039			146,058,052
Investor Shares
Shares sold		2,044,992			18,287,224			17,771,496			198,730,838
Reinvestment of distributions		160,144			1,318,151			1,152,323			10,969,640
Shares redeemed		(11,697,981	)		(102,352,695	)		(10,367,702	)		(111,270,284	)
		(9,492,845	)		(82,747,320	)		8,556,117			98,430,194
Class R6 Shares
Shares sold		4,224,956			37,604,758			10,619,859			121,558,054
Reinvestment of distributions		362,084			2,985,553			918,933			8,763,985
Shares redeemed		(6,733,691	)		(58,758,633	)		(5,614,581	)		(59,701,917	)
		(2,146,651	)		(18,168,322	)		5,924,211			70,620,122
Class R Shares
Shares sold		127,407			1,063,713			320,440			3,311,555
Reinvestment of distributions		13,311			104,751			42,760			388,689
Shares redeemed		(269,602	)		(2,281,917	)		(275,005	)		(2,849,939	)
		(128,884	)		(1,113,453	)		88,195			850,305
Class P Shares
Shares sold		8,476,534			77,306,996			30,539,396			340,215,884
Reinvestment of distributions		1,072,567			8,841,293			2,940,536			28,076,602
Shares redeemed		(21,312,615	)		(184,016,512	)		(17,303,016	)		(185,429,217	)
		(11,763,514	)		(97,868,223	)		16,176,916			182,863,269
NET INCREASE (DECREASE)		(29,767,649	)	$	(254,465,663	)		43,343,290		$	494,136,939

 

68

Report of Independent Registered Public

Accounting Firm

 

To the Board of Trustees of Goldman Sachs Trust and Shareholders of Goldman Sachs Absolute Return Tracker Fund and Goldman Sachs Commodity Strategy Fund

Opinions on the Consolidated Financial Statements

We have audited the accompanying consolidated statements of assets and liabilities, including the consolidated schedules of investments, of Goldman Sachs Absolute Return Tracker Fund and Goldman Sachs Commodity Strategy Fund and each of their subsidiaries (two of the Funds constituting Goldman Sachs Trust, hereafter collectively referred to as the “Funds”) as of December 31, 2023, the related consolidated statements of operations for the year ended December 31, 2023, the consolidated statements of changes in net assets for each of the two years in the period ended December 31, 2023, including the related notes, and the consolidated financial highlights for each of the five years in the period ended December 31, 2023 (collectively referred to as the “consolidated financial statements”). In our opinion, the consolidated financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2023, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended December 31, 2023 and each of the financial highlights for each of the five years in the period ended December 31, 2023 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinions

These consolidated financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ consolidated financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these consolidated financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the consolidated financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the consolidated financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the consolidated financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the consolidated financial statements. Our procedures included confirmation of securities owned as of December 31, 2023 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/ PricewaterhouseCoopers LLP

Boston, Massachusetts

February 23, 2024

We have served as the auditor of one or more investment companies in the Goldman Sachs fund complex since 2000.

 

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Fund Expenses — Six Month Period Ended December 31, 2023 (Unaudited)

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

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2023 through December 31, 2023, which represents a period of 184 days of a 365-day year. This projection assumes that annualized expense ratios were in effect during the period.

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

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

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

	Absolute Return Tracker Fund							Commodity Strategy Fund
Share Class	Beginning Account Value 7/1/23		Ending Account Value 12/31/23			Expenses Paid for the 6 months ended 12/31/23*		Beginning Account Value 7/1/23		Ending Account Value 12/31/23			Expenses Paid for the 6 months ended 12/31/23*
Class A
Actual		$1,000.00		$1,036.40			$4.96		$1,000.00		$1,007.00			$4.75
Hypothetical 5% return		1,000.00		1,020.30	+		4.92		1,000.00		1,020.50	+		4.78
Class C
Actual		1,000.00		1,031.00			8.78		1,000.00		1,004.20			8.53
Hypothetical 5% return		1,000.00		1,016.50	+		8.72		1,000.00		1,016.70	+		8.58
Institutional
Actual		1,000.00		1,038.10			3.11		1,000.00		1,008.80			3.08
Hypothetical 5% return		1,000.00		1,022.10	+		3.09		1,000.00		1,022.10	+		3.10
Investor
Actual		1,000.00		1,037.00			3.67		1,000.00		1,008.00			3.48
Hypothetical 5% return		1,000.00		1,021.60	+		3.65		1,000.00		1,021.70	+		3.51
Class R6
Actual		1,000.00		1,037.30			3.06		1,000.00		1,008.80			3.03
Hypothetical 5% return		1,000.00		1,022.20	+		3.04		1,000.00		1,022.20	+		3.05
Class R
Actual		1,000.00		1,034.20			6.23		1,000.00		1,005.70			6.01
Hypothetical 5% return		1,000.00		1,019.10	+		6.18		1,000.00		1,019.20	+		6.05
Class P
Actual		1,000.00		1,037.10			3.06		1,000.00		1,008.70			3.03
Hypothetical 5% return		1,000.00		1,022.20	+		3.04		1,000.00		1,022.20	+		3.05

* Expenses for each share class are calculated using each Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended December 31, 2023. Expenses are calculated by multiplying the annualized net expense ratio by the average accountvalue for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows:

	Fund	Class A		Class C		Institutional		Investor		Class R6		Class R		Class P
	Absolute Return Tracker		0.97%		1.72%		0.61%		0.72%		0.60%		1.22%		0.60%
	Commodity Strategy		0.94		1.69		0.61		0.69		0.60		1.19		0.60

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

 

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Voting Results of Special Meeting of Shareholders (Unaudited)

A Special Meeting of Shareholders (the “Meeting”) of the Goldman Sachs Trust (the “Trust”) was held on November 16, 2023 to consider and elect nominees to the Trust’s Board of Trustees. At the Meeting, Cheryl K. Beebe, Lawrence Hughes, John F. Killian, Steven D. Krichmar, Michael Latham and Lawrence W. Stranghoener were elected to the Trust’s Board of Trustees. In addition, at the Meeting, John G. Chou, Eileen H. Dowling and Paul C. Wirth, each of whom was previously appointed to the Trust’s Board of Trustees rather than elected by shareholders, were elected. In electing the nominees, the Trust’s shareholders voted as follows:

Proposal
Election of Trustees	For	Withheld
Cheryl K. Beebe	169,452,067,796	5,900,273,020
John G. Chou	173,279,757,273	2,072,583,543
Eileen H. Dowling	173,287,456,218	2,064,884,598
Lawrence Hughes	173,486,691,901	1,865,648,915
John F. Killian	173,511,167,174	1,841,173,642
Steven D. Krichmar	173,484,256,228	1,868,084,588
Michael Latham	173,498,020,286	1,854,320,530
Lawrence W. Stranghoener	173,455,949,165	1,896,391,651
Paul C. Wirth	173,324,070,424	2,028,270,391

 

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Trustees and Officers (Unaudited)

Independent Trustees

Name, Address and Age1	Position(s) Held with the Trust	Term of Office and Length of Time Served2	Principal Occupations During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee3	Other Directorships Held by Trustee4
Gregory G. Weaver Age: 72	Chair of the Board of Trustees	Since 2023 (Trustee since 2015)	Mr. Weaver is retired. He is Director, Verizon Communications Inc. (2015-Present); and was formerly Chairman and Chief Executive Officer, Deloitte & Touche LLP (a professional services firm) (2001-2005 and 2012-2014); and Member of the Board of Directors, Deloitte & Touche LLP (2006-2012). Chair of the Board of Trustees — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	102	Verizon Communications Inc.
Dwight L. Bush Age: 66	Trustee	Since 2020	The Honorable Dwight Bush is President and CEO of D.L. Bush & Associates (a financial advisory and private investment firm) (2002-2014 and 2017-Present); Director of MoneyLion, Inc. (an operator of a data-driven, digital financial platform) (2021-Present); and was formerly U.S. Ambassador to the Kingdom of Morocco (2014-2017) and a Member of the Board of Directors of Santander Bank, N.A. (2018-2019). Previously, he served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (October 2019-January 2020). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	102	MoneyLion, Inc. (an operator of a data-driven, digital financial platform)
Kathryn A. Cassidy Age: 69	Trustee	Since 2015	Ms. Cassidy is retired. She is Director, Vertical Aerospace Ltd. (an aerospace and technology company) (2021-Present). Formerly, Ms. Cassidy was Advisor to the Chairman (May 2014-December 2014); and Senior Vice President and Treasurer (2008-2014), General Electric Company & General Electric Capital Corporation (technology and financial services companies). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	102	Vertical Aerospace Ltd. (an aerospace and technology company)
John G. Chou Age: 67	Trustee	Since 2022	Mr. Chou is retired. Formerly, he was Executive Vice President and Special Advisor to the Chairman and CEO (2021-2022); Executive Vice President and Chief Legal Officer (2019-2021); Executive Vice President and Chief Legal & Business Officer (2017-2019); and Executive Vice President and General Counsel (2011-2017) of Cencora, Inc. (a pharmaceutical and healthcare company). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	102	None
Joaquin Delgado Age: 63	Trustee	Since 2020	Dr. Delgado is retired. He is Director, Stepan Company (a specialty chemical manufacturer) (2011–Present); and was formerly Director, Hexion Inc. (a specialty chemical manufacturer) (2019–2022); Executive Vice President, Consumer Business Group of 3M Company (July 2016–July 2019); and Executive Vice President, Health Care Business Group of 3M Company (October 2012–July 2016). Previously, Dr. Delgado served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (October 2019–January 2020). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	102	Stepan Company (a specialty chemical manufacturer)
Eileen H. Dowling Age: 61	Trustee	Since 2021	Ms. Dowling is retired. Formerly, she was Senior Advisor (April 2021-September 2021); and Managing Director (2013-2021), BlackRock, Inc. (a financial services firm). As Managing Director, she held senior management positions, including Global Head of Global Consultant Relations (2017–2021), Multinational Corporations (2019–2021), the Institutional Product Group (2015–2019) and Institutional Marketing (2013–2016). Ms. Dowling was a member of the Global Operating Committee and Product Executive Committee of BlackRock. Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	102	None

 

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GOLDMAN SACHS ALTERNATIVE FUNDS II

 

 

Trustees and Officers (Unaudited) (continued)

Independent Trustees

Name, Address and Age1	Position(s) Held with the Trust	Term of Office and Length of Time Served2	Principal Occupations During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee3	Other Directorships Held by Trustee4
Paul C. Wirth Age: 66	Trustee	Since 2022	Mr. Wirth is retired. He is Executive Advisor, My Next Season LLC (a career transition advisory firm) (2023-Present). Formerly, he was Deputy Chief Financial Officer and Principal Accounting Officer (2011-2020); Finance Director and Principal Accounting Officer (2010-2011); and Managing Director, Global Controller, and Chief Accounting Officer (2005-2010) of Morgan Stanley. Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	102	None

Interested Trustee*

Name, Address and Age1	Position(s) Held with the Trust	Term of Office and Length of Time Served2	Principal Occupations During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee3	Other Directorships Held by Trustee4
James A. McNamara Age: 61	President and Trustee	Since 2007	Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998- December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998). President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs ETF Trust; Goldman Sachs ETF Trust II; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund.	192	None

* Mr. McNamara is considered to be an “Interested Trustee” because he holds positions with Goldman Sachs and owns securities issued by The Goldman Sachs Group, Inc. Mr. McNamara holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor.

¹  Each Trustee may be contacted by writing to the Trustee, c/o Goldman Sachs, 200 West Street, New York, New York, 10282, Attn: Robert Griffith. Information is provided as of December 31, 2023.

²  Subject to such policies as may be adopted by the Board from time-to-time, each Trustee holds office for an indefinite term, until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board or shareholders, in accordance with the Trust’s Declaration of Trust; or (c)the termination of the Trust. The Board has adopted policies which provide that each Independent Trustee shall retire as of December 31st of the calendar year in which he or she reaches (a) his or her 75th birthday or (b) the 15th anniversary of the date he or she became a Trustee, whichever is earlier, unless a waiver of such requirements shall have been adopted by a majority of the other Trustees. These policies may be changed by the Trustees without shareholder vote.

³  The Goldman Sachs Fund Complex includes certain other companies listed above for each respective Trustee. As of December 31, 2023, Goldman Sachs Trust consisted of 87 portfolios; Goldman Sachs Variable Insurance Trust consisted of 15 portfolios (11 of which offered shares to the public); Goldman Sachs Trust II consisted of 18 portfolios (7 of which offered shares to the public); Goldman Sachs ETF Trust consisted of 68 portfolios (37 of which offered shares to the public); Goldman Sachs ETF Trust II consisted of 2 portfolios; and Goldman Sachs Credit Income Fund and Goldman Sachs Real Estate Diversified Income Fund each consisted of one portfolio. Goldman Sachs Credit Income Fund did not offer shares to the public.

⁴  This column includes only directorships of companies required to report to the Securities and Exchange Commission under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act.

  Information as of the date of this shareholder report. Additional information about the Trustees is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384.

 

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GOLDMAN SACHS ALTERNATIVE FUNDS II

 

 

Trustees and Officers (Unaudited) (continued)

Officers of the Trust*

Name, Address and Age1	Position(s) Held with the Trust	Term of Office and Length of Time Served2	Principal Occupations During Past 5 Years
James A. McNamara 200 West Street New York, NY 10282 Age: 61	President and Trustee	Since 2007	Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998). President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs ETF Trust; Goldman Sachs ETF Trust II; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund.
Joseph F. DiMaria 30 Hudson Street Jersey City, NJ 07302 Age: 55	Treasurer, Principal Financial Officer and Principal Accounting Officer	Since 2017 (Treasurer and Principal Financial Officer since 2019)	Managing Director, Goldman Sachs (November 2015-Present) and Vice President — Mutual Fund Administration, Columbia Management Investment Advisers, LLC (May 2010-October 2015). Treasurer, Principal Financial Officer and Principal Accounting Officer — Goldman Sachs Trust (previously Assistant Treasurer (2016)); Goldman Sachs Variable Insurance Trust (previously Assistant Treasurer (2016)); Goldman Sachs Trust II (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust II; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund.
Robert Griffith 200 West Street New York, NY 10282 Age: 49	Secretary	Since 2023	Managing Director, Goldman Sachs (September 2022 – Present); General Counsel, Exchange Traded Concepts, LLC (October 2021 – September 2022); Vice President, Goldman Sachs (August 2011 – October 2021); Associate General Counsel, Goldman Sachs (December 2014 – Present); Assistant General Counsel, Goldman Sachs (August 2011 – December 2014); Vice President and Counsel, Nomura Holding America, Inc. (2010 – 2011); and Associate, Simpson Thacher & Bartlett LLP (2005 – 2010). Secretary — Goldman Sachs Trust (previously Assistant Secretary (2022)); Goldman Sachs Variable Insurance Trust (previously Assistant Secretary (2022)); Goldman Sachs Trust II (previously Assistant Secretary (2022)); Goldman Sachs ETF Trust (previously Assistant Secretary (2022)); Goldman Sachs ETF Trust II (previously Assistant Secretary (2022)); and Goldman Sachs Real Estate Diversified Income Fund (previously Assistant Secretary (2022)).

* Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-526-7384.

1 Information is provided as of December 31, 2023.

2 Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor.

Goldman Sachs Trust – Alternative Funds II - Tax Information (Unaudited)

For the fiscal year ended December 31, 2023, 8.15% of the dividends paid from net investment company taxable income by the Absolute Return Tracker Fund qualify for the dividends received deduction available to corporations.

For the fiscal year ended December 31, 2023, 13.87% of the dividends paid from net investment company taxable income by the Absolute Return Tracker Fund qualify for the reduced tax rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003.

For the year ended December 31, 2023, the Absolute Return Tracker Fund and Commodity Strategy Fund designated 72.09% and 95.67%, respectively, of the dividends paid from net investment company taxable income as Section 163(j) Interest Dividends.

 

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FUNDS PROFILE

 

 

Goldman Sachs Funds

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

Today, the Asset Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $2.54 trillion in assets under supervision as of December 31, 2023, Goldman Sachs Asset Management has portfolio management teams located around the world and our investment professionals bring firsthand knowledge of local markets to every investment decision. Assets under supervision includes assets under management and other client assets for which Goldman Sachs does not have full discretion. Goldman Sachs Asset Management leverages the resources of Goldman Sachs & Co. LLC subject to legal, internal and regulatory restrictions.

Money Market

Financial Square Funds^SM

∎ Financial Square Treasury Solutions Fund¹

∎ Financial Square Government Fund¹

∎ Financial Square Money Market Fund²

∎ Financial Square Prime Obligations Fund²

∎ Financial Square Treasury Instruments Fund¹

∎ Financial Square Treasury Obligations Fund¹

∎ Financial Square Federal Instruments Fund¹

Investor Funds^SM

∎ Investor Money Market Fund³

∎ Investor Tax-Exempt Money Market Fund³

Fixed Income

Short Duration and Government

∎ Enhanced Income Fund

∎ Short-Term Conservative Income Fund

∎ Short Duration Government Fund

∎ Short Duration Bond Fund

∎ Government Income Fund

∎ Inflation Protected Securities Fund

∎ U.S. Mortgages Fund

Multi-Sector

∎ Bond Fund

∎ Core Fixed Income Fund

∎ Global Core Fixed Income Fund

∎ Strategic Income Fund

∎ Income Fund

Municipal and Tax-Free

∎ High Yield Municipal Fund

∎ Dynamic Municipal Income Fund

∎ Short Duration Tax-Free Fund

∎ Municipal Income Completion Fund

Single Sector

∎ Investment Grade Credit Fund

∎ High Yield Fund

∎ High Yield Floating Rate Fund

∎ Emerging Markets Debt Fund

∎ Emerging Markets Credit Fund⁴

Fixed Income Alternatives

∎ Long Short Credit Strategies Fund

Fundamental Equity

∎ Equity Income Fund

∎ Small Cap Growth Fund

∎ Small Cap Value Fund

∎ Small/Mid Cap Value Fund

∎ Mid Cap Value Fund

∎ Large Cap Value Fund

∎ Focused Value Fund

∎ Large Cap Core Fund

∎ Strategic Growth Fund

∎ Small/Mid Cap Growth Fund

∎ Enhanced Core Equity Fund⁶

∎ Concentrated Growth Fund

∎ Technology Opportunities Fund

∎ Mid Cap Growth Fund

∎ Rising Dividend Growth Fund

∎ U.S. Equity ESG Fund

∎ Income Builder Fund

Tax-Advantaged Equity

∎ U.S. Tax-Managed Equity Fund

∎ International Tax-Managed Equity Fund

∎ U.S. Equity Dividend and Premium Fund

∎ International Equity Dividend and Premium Fund

Equity Insights

∎ Small Cap Equity Insights Fund

∎ U.S. Equity Insights Fund

∎ Small Cap Growth Insights Fund

∎ Large Cap Growth Insights Fund

∎ Large Cap Value Insights Fund

∎ Small Cap Value Insights Fund

∎ International Small Cap Insights Fund

∎ International Equity Insights Fund

∎ Emerging Markets Equity Insights Fund

Fundamental Equity International

∎ International Equity Income Fund

∎ International Equity ESG Fund

∎ China Equity Fund

∎ Emerging Markets Equity Fund

∎ Emerging Markets Equity ex. China Fund

∎ ESG Emerging Markets Equity Fund

Alternative

∎ Clean Energy Income Fund

∎ Real Estate Securities Fund

∎ Commodity Strategy Fund

∎ Global Real Estate Securities Fund

∎ Absolute Return Tracker Fund

∎ Managed Futures Strategy Fund

∎ MLP Energy Infrastructure Fund

∎ Energy Infrastructure Fund

∎ Multi-Strategy Alternatives Fund⁵

∎ Global Infrastructure Fund

Total Portfolio Solutions

∎ Global Managed Beta Fund

∎ Multi-Manager Non-Core Fixed Income Fund

∎ Multi-Manager Global Equity Fund

∎ Multi-Manager International Equity Fund

∎ Tactical Tilt Overlay Fund

∎ Balanced Strategy Portfolio

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

∎ Multi-Manager Real Assets Strategy Fund

∎ Growth and Income Strategy Portfolio

∎ Growth Strategy Portfolio

∎ Dynamic Global Equity Fund

∎ Enhanced Dividend Global Equity Portfolio

∎ Tax-Advantaged Global Equity Portfolio

∎ Strategic Factor Allocation Fund

∎ Strategic Volatility Premium Fund

∎ GQG Partners International Opportunities Fund

¹  You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a bank account or a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor is not required to reimburse the Fund for losses, and you should not expect that the sponsor will provide financial support to the Fund at any time, including during periods of market stress.

²  You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares. Effective October 2, 2024, the Fund generally must impose a fee when net sales of Fund shares exceed certain levels. An investment in the Fund is not a bank account or a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor is not required to reimburse the Fund for losses, and you should not expect that the sponsor will provide financial support to the Fund at any time, including during periods of market stress.

³  You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares. An investment in the Fund is not a bank account or a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor is not required to reimburse the Fund for losses, and you should not expect that the sponsor will provide financial support to the Fund at any time, including during periods of market stress.

⁴  Effective after the close of business on October 31, 2023, the Goldman Sachs Local Emerging Markets Debt Fund was renamed the Goldman Sachs Emerging Markets Credit Fund.

⁵  Effective after the close of business on September 22, 2023, the Goldman Sachs Multi-Manager Alternatives Fund was renamed the Goldman Sachs Multi-Strategy Alternatives Fund.

⁶  Effective after the close of business on February 13, 2024, the Goldman Sachs Flexible Cap Fund was renamed the Goldman Sachs Enhanced Core Equity Fund.

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

* This list covers open-end funds only. Please visit our website at www.GSAMFUNDS.com to learn about our closed-end funds and exchange-traded funds.

 

Goldman Sachs Funds Annual Report December 31, 2023 Dynamic Global Equity Fund

 

 

Goldman Sachs Dynamic Global Equity Fund

TABLE OF CONTENTS

Portfolio Management Discussion and Performance Summary	1
Index Definitions	8
Schedule of Investments	9
Financial Statements	13
Financial Highlights	16
Notes to Financial Statements	24
Report of Independent Registered Public Accounting Firm	37
Other Information	38
Voting Results	39

Effective January 24, 2023, open-end mutual funds and exchange traded funds will be required to provide shareholders with streamlined annual and semi-annual shareholder reports (“Tailored Shareholder Reports”). Funds will be required to prepare a separate Tailored Shareholder Report for each share class of a fund that highlights key information to investors. Other information, including financial statements, will no longer appear in a fund’s shareholder report, but will be available online, delivered free of charge upon request, and filed with the SEC on a semi-annual basis on Form N-CSR. The new requirements have a compliance date of July 24, 2024.

NOT FDIC-INSURED May Lose Value No Bank Guarantee

 

FUND RESULTS

 

 

Goldman Sachs Dynamic Global Equity Fund

Investment Objective

The Fund seeks long-term capital appreciation.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Multi-Asset Solutions (“MAS”) Group discusses the Goldman Sachs Dynamic Global Equity Fund’s (the “Fund”) performance and positioning for the 12-month period ended December 31, 2023 (the “Reporting Period”).

Q How did the Fund perform during the Reporting Period?

A During the Reporting Period, the Fund’s Class A, Class C, Institutional, Service, Investor, Class R6, Class R and Class P Shares generated average annual total returns of 20.22%, 19.37%, 20.65%, 20.09%, 20.52%, 20.66%, 19.95% and 20.71%, respectively. This compares to the 22.20% annual total return of the Fund’s benchmark, the MSCI* All Country World Index (Net, USD, Unhedged) (the “Index”), during the same period.

Q What economic and market factors most influenced the capital markets and the Fund during the Reporting Period?

A The capital markets and the Fund were most influenced during the Reporting Period by inflation trends and macroeconomic data, central bank monetary policy, interest rate volatility, geopolitical events, and U.S. and European banking stress.

  During the first quarter of 2023, when the Reporting Period began, investors focused on the evolution of the European energy crisis, the speed of China’s economic reopening and the pace of U.S. disinflation. In the U.S., inflation was not moderating as quickly as U.S. Federal Reserve (“Fed”) policymakers had hoped, and they maintained a hawkish stance, raising the target federal funds (“fed funds”) rate twice during the quarter—by 25 basis points each time. (Hawkish tends to suggest higher interest rates; opposite of dovish. A basis point is 1/100th of a percentage point.) In March 2023, investor sentiment was dominated by worries about the U.S. and European banking sectors. Swift response from U.S. and European policymakers rather quickly calmed nerves, but the turmoil made the Fed’s decisions on interest rates more complex given its objective of mitigating downside risks to economic growth while combating persistent inflation amid a tight labor market. Investor concerns about a potential European energy crisis eased, while China’s economy continued to reopen after the

  Chinese government had finally lifted its stringent zero-COVID policy in January 2023. For the first quarter overall, global equities generated solidly positive returns, with developed markets equities outperforming emerging markets equities. There was substantial dispersion of returns across broad equity indices, with growth equities materially outperforming value equities. Within developed equity markets, non-U.S. equities outpaced U.S. equities. In the U.S. equity market, information technology equities broadly outperformed financials and energy equities. As for global fixed income, yields broadly declined during the first quarter, leading to positive bond returns.

  During the second quarter of 2023, as economic growth remained resilient, many market participants reconsidered their previous expectations of a global economic slowdown. Central banks focused on combating inflation, which decreased but remained elevated. In May, the Fed raised the fed funds rate by 25 basis points to a range between 5.00% and 5.25%. The European Central Bank and Bank of England also raised their policy rates 50 basis points and 75 basis points, respectively. In June, the Fed left the fed funds rate unchanged, but according to the Fed’s median dot plot projection, policymakers increased their estimate for the peak rate to 5.6%, up from 5.1% in March. (The dot plot shows interest rate projections of the members of the Federal Open Market Committee.) For the second quarter overall, global equities recorded positive returns, with developed markets equities outperforming emerging markets equities on the back of better than consensus expected first quarter corporate earnings in the developed markets. European equities, while posting positive returns, underperformed other developed equity markets, such as Japan and the U.S. In the U.S., equity gains were fueled by rallies in the information technology and consumer discretionary sectors. The advance in the information technology sector was driven in part by market expectations of artificial intelligence (“AI”) potential and the growing demand for AI processors. Regarding global fixed income, performance was broadly negative during the second

  *Source: MSCI

 

1

FUND RESULTS

 

 

  quarter as bond yields increased. Duration-sensitive assets sold off as higher interest rates and expectations for further monetary policy tightening weighed on market sentiment.

  During the third quarter of 2023, most asset classes posted losses despite a relatively benign macroeconomic backdrop. Inflation data continued to improve across major developed markets, leading central banks to signal that they were at, or close to, their peak policy rates. In the U.S., economic growth remained resilient, while upward momentum in inflation and the labor market began to weaken—a welcome development for the Fed as it sought to reach its inflation target on a sustainable basis. Policymakers, having raised the fed funds rate by 25 basis points at their July meeting, remained on hold at their September meeting. Elsewhere, Europe and U.K. inflation surprised to the downside; China continued its efforts in support of its economy; and the Bank of Japan began to gradually normalize its monetary policy. In addition, investors had to grapple with some unexpected events during the third quarter. In August, for example, Fitch Ratings downgraded its U.S. credit rating from AAA to AA+, and the markets confronted the possibility of a U.S. government shutdown, which was then narrowly avoided in September. For the third quarter overall, global equities produced negative returns, with developed markets equities performing the worst. U.S. equities and emerging markets equities also declined. In global fixed income, bond yields rose amid significant interest rate volatility. Investors remained wary of inflation, as data indicated it might be stickier, or more persistent, than consensus expected, and markets seemed to expect the Fed and other developed markets central banks to keep interest rates higher for longer.

  Most asset classes generated gains during the fourth quarter of 2023, benefiting from a positive backdrop that included strong economic growth, resilient labor markets, subdued inflationary pressures across developed economies, and signals from major central banks regarding the end of their interest rate hiking cycles. Broadly, the performance of the capital markets was driven by investors’ reactions to lower inflation and a dovish Fed. As a result of a significant slowdown in inflation, the potential of an economic “soft landing” increased, leading to a sharp drop in interest rates and a broad-based rally across the capital markets. (A soft landing, in economics, is a cyclical downturn that avoids recession. It typically describes attempts by central banks to raise interest rates just enough to stop an economy from overheating and experiencing high inflation, without causing a significant increase in unemployment, or a hard landing.) At both their November and December meetings, Fed policymakers left the fed funds rate unchanged in a range between 5.25% and 5.50%. The Fed also signaled in December that it may have reached the peak of its monetary policy tightening cycle, with its median dot plot projection

  indicating there could be 75 basis points of rate cuts in 2024. For the fourth quarter overall, global equities posted significantly positive returns, with U.S. equities outperforming developed markets equities and emerging markets equities. In the U.S. equity market, gains were led by information technology, financials and consumer discretionary stocks, while energy stocks performed the worst due to a drop in oil prices. In global fixed income, yields rose during October and then fell significantly in November and December, leading to positive bond returns for the fourth quarter overall.

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

A The Fund’s performance is generally driven by three sources of return: long-term strategic asset allocation, medium-term dynamic allocation and excess returns from investments in underlying funds, including exchange-traded funds, which invest in global equity asset classes (collectively, the “Underlying Funds”). Long-term strategic asset allocation is the process by which we seek to budget or allocate portfolio risk, as opposed to capital, across a set of asset allocation risk factors. The strategic asset allocation is implemented using a range of bottom-up security selection strategies across equity asset classes, using fundamental or quantitative investment techniques, as well as the use of derivative instruments. We then incorporate our medium-term dynamic views into the Fund to adapt to changes in the economic cycle and the markets. The Fund’s positioning may therefore change over time.

  During the Reporting Period, the Fund generated double-digit positive absolute returns but underperformed the Index on a relative basis. Long-term strategic asset allocation and security selection within the Underlying Funds detracted from relative returns. Medium-term dynamic views added modestly to the Fund’s relative performance during the Reporting Period.

  Within long-term strategic asset allocation, the Fund’s equity exposures contributed positively to relative performance, as U.S. equities, non-U.S. developed markets equities and emerging markets equities all generated positive returns during the Reporting Period. Conversely, the Fund’s strategic allocation to a macroeconomic hedge strategy, which utilizes interest rate options to profit if interest rates fall, remain constant, or rise less than anticipated, detracted slightly from the Fund’s relative returns, as interest rates rose during the Reporting Period. A strategic allocation to a foreign currency hedging strategy, which seeks to manage the risk associated with investing in non-U.S. currencies, also had a modestly negative impact on Fund performance.

 

2

FUND RESULTS

 

 

  Overall, security selection within the Underlying Funds detracted from the Fund’s returns during the Reporting Period, with the underperformance concentrated in two of the Underlying Equity Funds.

Q How did the Underlying Funds perform relative to their respective benchmark indices during the Reporting Period?

A The Underlying Equity Funds that underperformed their respective benchmark indices during the Reporting Period were the Goldman Sachs Large Cap Growth Insights Fund and, to a lesser extent, the Goldman Sachs Large Cap Value Insights Fund. The Goldman Sachs Emerging Markets Equity Insights Fund, Goldman Sachs Small Cap Equity Insights Fund, Goldman Sachs International Equity Insights Fund and Goldman Sachs International Small Cap Insights Fund outperformed their respective benchmark indices during the Reporting Period. Among Underlying Funds that invest in real assets, the Goldman Sachs Global Real Estate Securities Fund and Goldman Sachs Global Infrastructure Fund outperformed their respective benchmark indices during the Reporting Period.

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

A During the Reporting Period, the Fund used derivatives for the passive replication of asset classes. Specifically, the Fund held strategic positions in U.S. large-cap equities through S&P 500^® Index futures and in Canadian large-cap equities through S&P/TSX 60 Index futures (each had a positive impact on performance).

  In addition, the Fund employed forward foreign currency exchange contracts within a foreign currency hedging strategy (negative impact), which seeks to manage the risk associated with investing in non-U.S. currencies. Equity options were used within our volatility selling strategy (neutral impact). (Our volatility selling strategy seeks to benefit from the difference between implied volatility (i.e., expectations of future volatility) and realized volatility (i.e., historical volatility) in equity markets.) Finally, the Fund utilized interest rate options in a macroeconomic hedge strategy (negative impact).

  During the Reporting Period overall, some of the Underlying Funds used derivatives, which provide versatility and potentially greater risk management precision, to express active investment views. As market conditions warranted during the Reporting Period, some of these Underlying Funds may have engaged in forward foreign currency exchange contracts, financial futures contracts, options, swap contracts and structured securities to attempt to enhance portfolio return and for hedging purposes.

Q What changes did you make within the Fund during the Reporting Period?

A We adjusted the Fund’s long-term strategic asset allocation during the Reporting Period. In December 2023, we increased the Fund’s exposure to U.S. equities overall. Within U.S. equities, we reduced the Fund’s strategic allocation to U.S. large-cap value equities and increased its strategic allocation to U.S. large-cap growth equities. We decreased the Fund’s strategic allocation to non-U.S. developed markets equities overall but increased its strategic allocation to Canadian large-cap equities. In addition, we reduced the Fund’s strategic allocation to U.S. small-cap equities and slightly increased its strategic allocation to international small-cap equities. We decreased its strategic allocation to emerging markets equities. We increased the Fund’s strategic allocations to global real estate securities and global infrastructure securities.

  Finally, during the Reporting Period overall, we changed the way we implemented the Fund’s long-term strategic asset allocations. Specifically, we shifted the Fund toward more passive implementation of its equity exposures. To accomplish this, we reduced its investments in the Goldman Sachs International Equity Insights Fund, Goldman Sachs Emerging Markets Equity Insights Fund, Goldman Sachs ActiveBeta^® International Equity ETF, Goldman Sachs ActiveBeta^® Large Cap Equity ETF and Goldman Sachs ActiveBeta^® Emerging Markets ETF. We increased its investments in the Goldman Sachs MarketBeta^® U.S. Equity ETF, Goldman Sachs MarketBeta^® International Equity ETF and Goldman Sachs MarketBeta^® Emerging Markets Equity ETF.

  Regarding medium-term dynamic allocations, in June 2023, we increased the Fund’s exposure to U.S. large-cap equities through an investment in S&P 500^® Index futures. During July, we increased the Fund’s exposure to global real estate securities by reducing its exposure to global infrastructure securities. In September, we increased the Fund’s exposure to U.S. and non-U.S. developed markets equities. In October, we increased its exposure to global infrastructure securities. During the Reporting Period overall, we shifted the Fund toward more passive implementation of our medium-term dynamic views about equities.

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

A At the end of the Reporting Period, we believed the U.S. was still in the late stages of the economic cycle. Although our base case was for a soft landing in 2024, we thought the risks of a recession remained above average as long as the Fed maintained its restrictive posture. Because of the Fed’s progress on inflation during the Reporting Period, we expected policymakers to shift their focus to economic

 

3

FUND RESULTS

 

 

  growth in the near term, which could lead to a rate cutting cycle. While U.S. wage growth was near levels consistent with the Fed’s long-term targets, the job market remained tight and unemployment was still below 4%. In our view, the resilience of the U.S. economy and declining inflation would be supportive for U.S. equities, although their high valuations relative to history could remain a headwind. Going forward, we continued to believe a dynamic investment approach and careful risk management should help us identify attractive opportunities, both regionally and across asset classes.

 

4

FUND BASICS

 

 

Dynamic Global Equity Fund

as of December 31, 2023

 

COMPOSITION The Fund seeks long-term capital appreciation. Under normal conditions, substantially all (at least 80%) of the Fund’s net assets will be invested in a diversified portfolio of global equity asset classes. 3.3% Volatility Risk Premia Strategy 16.7% GS MarketBeta US Equity ETF (GSUS) 8.0% GS Large Cap Growth Insights Fund 8.0% GS Large Cap Value Insights Fund 16.1% GS ActiveBeta Large Cap Equity ETF 15.4% US Large Cap Equity Futures 6.3% GS International Equity Insights Fund 6.3% GS ActiveBeta International Equity ETF 2.3% Canada LC Futures 12.6% GS MarketBeta International Equity (GSID) 2.7% GS Emerging Markets Equity Insights Fund 2.7% GS Active Beta Emerging Markets Equity ETF 5.5% GS MarketBeta Emerging Markets Equity ETF (GSEE) 5.9% Other 2.5% Volatility Risk Premia Strategy 16.7% GS MarketBeta US Equity ETF (GSUS) 8.0% GS Large Cap Growth Insights Fund 8.0% GS Large Cap Value Insights Fund 16.1% GS ActiveBeta Large Cap Equity ETF 13.9% US Large Cap Equity Futures 6.3% GS International Equity Insights Fund 6.3% GS ActiveBeta International Equity ETF 2.3% Canada LC Futures 12.8% GS MarketBeta International Equity (GSID) 2.7% GS Emerging Markets Equity Insights Fund 2.7% GS Active Beta Emerging Markets Equity ETF 5.5% GS MarketBeta Emerging Markets Equity ETF (GSEE) 5.5% Other

† Strategic allocation is the process of determining the areas of the global markets in which to invest, and in what long-term proportion, for each Underlying Fund. Our global approach attempts to generate strong long-term returns across geographies and asset classes, and is determined through a careful review of market opportunities and risk/return tradeoffs. On a monthly basis or as needed, we shift assets around the strategic allocation, over and under-weighting asset classes and countries relative to the neutral starting point, seeking to benefit from changing short-term conditions in global capital markets. This is called tactical asset allocation. The percentage shown for each weighting reflects the value of that weighting as a percentage of net assets of the Fund. Figures in the above graph may not sum to 100% due to rounding and/or the exclusion of other assets and liabilities.

‡ Generally, dynamic fund weightings are rebalanced approximately monthly, but they may be rebalanced more or less frequently at the discretion of the Investment Adviser based on the market environment and its macro views. The weightings in the chart above reflect the allocations as of December 31, 2023. Actual weightings in the Fund may differ from the figures shown above due to rounding, differences in returns of the Underlying Funds, or both. The above figures are not indicative of future allocations.

 

5

FUND BASICS

 

 

OVERALL UNDERLYING FUND WEIGHTINGS*

  Percentage of Net Assets

* The Fund is actively managed and, as such, its composition may differ over time. The percentage shown for each Underlying Fund reflects the value of that Underlying Fund as a percentage of net assets of the Fund. Figures in the above graph may not sum to 100% due to rounding and/or the exclusion of other assets and liabilities. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments.

  For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.

 

6

GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND

 

 

 Performance Summary

 December 31, 2023

The following graph shows the value, as of December 31, 2023, of a $10,000 investment made on January 1, 2014 in Class A Shares (with the maximum sales charge of 5.5%). For comparative purposes, the performance of the Fund’s benchmark, the MSCI^®# All Country World Index (Net, USD, Unhedged) (“MSCI ACWI Index”) (with distributions reinvested), is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.

Dynamic Global Equity Fund’s 10 Year Performance

  Performance of a $10,000 investment, with distributions reinvested, from January 1, 2014 through December 31, 2023.

Average Annual Total Return through December 31, 2023*	One Year	Five Years	Ten Years	Since Inception
Class A
Excluding sales charges	20.22%	10.62%	7.45%	—
Including sales charges	13.59%	9.37%	6.84%	—
Class C
Excluding contingent deferred sales charges	19.37%	9.80%	6.65%	—
Including contingent deferred sales charges	18.17%	9.80%	6.65%	—
Institutional	20.65%	11.04%	7.86%	—
Service	20.09%	10.49%	7.33%	—
Investor	20.52%	10.90%	7.72%	—
Class R6 (Commenced July 31, 2015)	20.66%	11.04%	N/A	8.30%
Class R	19.95%	10.36%	7.19%	—
Class P (Commenced April 17, 2018)	20.71%	11.05%	N/A	7.02%

* These returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.50% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Service, Investor, Class R6, Class R and Class P Shares do not involve a sales charge, such a charge is not applied to their Average Annual Total Return.

  For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.

^#Source: MSCI

 

7

FUND BASICS

 

 

 Index Definitions

The MSCI^®* ACWI Index is a free float-adjusted market Capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. The MSCI^® ACWI Index consists of 50 country indices comprising 23 developed and 24 emerging market country indices. The developed market country indices included are: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the United Kingdom and the United States. The emerging market country indices are: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Kuwait, Malaysia, Mexico, Peru, Philippines, Poland, Qatar, Saudi Arabia, South Africa, Taiwan, Thailand, Turkey and the United Arab Emirates. The index figures do not include any deduction for fees or expenses.

MSCI* EAFE Index is an equity index that captures large-cap and mid-cap representation across 21 developed markets countries around the world, excluding the U.S. and Canada. The index covers approximately 85% of the free float-adjusted market capitalization in each country.

S&P 500^® Index is a U.S. stock market index based on the market capitalizations of 500 large companies having common stock listed on the New York Stock Exchange or NASDAQ. The S&P 500^® Index components and their weightings are determined by S&P Dow Jones Indices.

S&P/TSX 60 Index is a stock market index of 60 large companies listed on the Toronto Stock Exchange. It is not possible to invest directly in an unmanaged index.

  *Source: MSCI

 

8

GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND

 

 

Schedule of Investments

December 31, 2023

	Shares		Description	Value
		Underlying Funds(a) – 90.4%
		Equity – 30.3%
		966,419	Goldman Sachs Large Cap Growth Insights Fund — Class R6	$	26,789,128
		1,166,836	Goldman Sachs Large Cap Value Insights Fund — Class R6		26,277,155
		1,509,386	Goldman Sachs International Equity Insights Fund — Class R6		20,904,992
		1,096,982	Goldman Sachs Emerging Markets Equity Insights Fund — Class R6		8,885,552
		499,948	Goldman Sachs Global Real Estate Securities Fund — Class R6		4,914,494
		387,509	Goldman Sachs Global Infrastructure Fund — Class R6		4,828,363
		155,048	Goldman Sachs Small Cap Equity Insights Fund — Class R6		4,066,907
		219,240	Goldman Sachs International Small Cap Insights Fund — Class R6		2,674,725
					99,341,316
		Exchange Traded Funds – 60.1%
		831,346	Goldman Sachs MarketBeta U.S. Equity ETF		54,328,461
		557,572	Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF		52,305,829
		786,471	Goldman Sachs MarketBeta International Equity ETF		42,257,087
		632,532	Goldman Sachs ActiveBeta International Equity ETF		20,658,495
		438,337	Goldman Sachs MarketBeta Emerging Markets Equity ETF		18,572,646

	Shares		Description	Value
		Underlying Funds(a) – (continued)
		Exchange Traded Funds – (continued)
		291,867	Goldman Sachs ActiveBeta Emerging Markets Equity ETF	$	8,957,398
					197,079,916
		TOTAL UNDERLYING FUNDS – 90.4% (Cost $251,613,614)		$	296,421,232
	Shares		Dividend Rate	Value
		Investment Company(a) – 6.1%
		Goldman Sachs Financial Square Government Fund — Institutional Shares
		20,123,440	5.248%	$	20,123,440
		(Cost $20,123,440)
		TOTAL INVESTMENTS – 96.5% (Cost $271,737,054)		$	316,544,672
		OTHER ASSETS IN EXCESS OF  LIABILITIES – 3.5%			11,536,291
		NET ASSETS – 100.0%		$	328,080,963

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

(a) Represents an affiliated Issuer.

  ADDITIONAL INVESTMENT INFORMATION

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At December 31, 2023, the Fund had the following forward foreign currency exchange contracts:

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN

Counterparty	Currency Purchased				Currency Sold				Settlement Date			Unrealized Gain
MS & Co. Int. PLC		AUD	270,000			USD	183,115			03/20/24			$ 1,322
		CHF	250,000			USD	293,549			03/20/24			6,179
		DKK	620,000			USD	91,792			03/20/24			404
		EUR	590,000			USD	650,672			03/20/24			2,769
		GBP	400,000			USD	509,842			03/20/24			219
		ILS	40,000			USD	10,981			03/20/24			95
		JPY	112,000,000			USD	790,237			03/21/24			14,299
		NOK	200,000			USD	19,523			03/20/24			197
		NZD	10,000			USD	6,270			03/20/24			53
		SEK	825,000			USD	81,543			03/20/24			513
		SGD	60,000			USD	45,341			03/20/24			292
TOTAL													$26,342

 

The accompanying notes are an integral part of these financial statements.    9

GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND

 

 

Schedule of Investments (continued)

December 31, 2023

  ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS

Counterparty	Currency Purchased				Currency Sold				Settlement Date			Unrealized Loss
MS & Co. Int. PLC		HKD	430,000			USD	55,207			03/20/24		$	(38	)
		USD	1,108,194			AUD	1,680,000			03/20/24			(39,414	)
		USD	1,543,130			CHF	1,340,000			03/20/24			(63,416	)
		USD	493,896			DKK	3,400,000			03/20/24			(11,693	)
		USD	4,860,663			EUR	4,490,000			03/20/24			(112,141	)
		USD	2,332,878			GBP	1,855,000			03/20/24			(32,528	)
		USD	319,134			HKD	2,490,000			03/20/24			(335	)
		USD	54,291			ILS	200,000			03/20/24			(1,085	)
		USD	3,611,308			JPY	514,000,000			03/21/24			(80,943	)
		USD	101,037			NOK	1,100,000			03/20/24			(7,425	)
		USD	30,733			NZD	50,000			03/20/24			(881	)
		USD	475,601			SEK	4,950,000			03/20/24			(16,736	)
		USD	195,017			SGD	260,000			03/20/24			(2,723	)
TOTAL												$	(369,358	)

FUTURES CONTRACTS — At December 31, 2023, the Fund had the following futures contracts:

Description	Number of Contracts			Expiration Date			Notional Amount			Unrealized Appreciation/ (Depreciation)
Long position contracts:
S&P 500 E-Mini Index		189			03/15/24		$	45,549,000		$	1,416,004
S&P Toronto Stock Exchange 60 Index		40			03/14/24			7,670,050			116,333
TOTAL FUTURES CONTRACTS										$	1,532,337

PURCHASED AND WRITTEN OPTIONS CONTRACTS — At December 31, 2023, the Fund had the following purchased and written options:

EXCHANGE TRADED OPTIONS ON EQUITY CONTRACTS

Description	Exercise Price		Expiration Date		Number of Contracts		Notional Amount			Market Value			Premiums Paid (Received) by Fund		Unrealized Appreciation/ (Depreciation)
Written option contracts
Calls
S&P 500 Index		$4,670.000		01/03/2024		(4)		$ (1,868,000	)		$ (41,660	)		$ (8,889)		$(32,771)
S&P 500 Index		4,750.000		01/10/2024		(4)		(1,900,000	)		(19,420	)		(6,873)		(12,547)
S&P 500 Index		4,900.000		01/17/2024		(4)		(1,960,000	)		(2,500	)		(6,356)		3,856
S&P 500 Index		4,900.000		01/24/2024		(4)		(1,960,000	)		(4,660	)		(6,796)		2,136
S&P 500 Index		4,675.000		01/31/2024		(1)		(467,500	)		(14,215	)		(4,479)		(9,736)
S&P 500 Index		4,710.000		01/31/2024		(1)		(471,000	)		(11,495	)		(3,883)		(7,612)
S&P 500 Index		4,715.000		01/31/2024		(1)		(471,500	)		(11,055	)		(3,550)		(7,505)
S&P 500 Index		4,725.000		01/31/2024		(1)		(472,500	)		(10,395	)		(3,399)		(6,996)
S&P 500 Index		4,785.000		01/31/2024		(1)		(478,500	)		(6,465	)		(2,759)		(3,706)
S&P 500 Index		4,895.000		01/31/2024		(3)		(1,468,500	)		(5,715	)		(6,687)		972
S&P 500 Index		4,900.000		01/31/2024		(3)		(1,470,000	)		(5,370	)		(6,297)		927
S&P 500 Index		4,905.000		01/31/2024		(3)		(1,471,500	)		(5,250	)		(5,937)		687
S&P 500 Index		4,910.000		01/31/2024		(3)		(1,473,000	)		(4,905	)		(5,577)		672
S&P 500 Index		4,915.000		01/31/2024		(3)		(1,474,500	)		(4,380	)		(5,217)		837
S&P 500 Index		4,835.000		02/29/2024		(1)		(483,500	)		(7,465	)		(3,634)		(3,831)

 

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

GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND

 

 

  ADDITIONAL INVESTMENT INFORMATION (continued)

EXCHANGE TRADED OPTIONS ON EQUITY CONTRACTS (continued)

Description	Exercise Price		Expiration Date		Number of Contracts		Notional Amount			Market Value			Premiums Paid (Received) by Fund		Unrealized Appreciation/ (Depreciation)
S&P 500 Index	$	4,965.000		02/29/2024		(2)	$	(993,000	)	$	(5,180	)	$	(6,958)	$	1,778
						(39)	$	(18,883,000	)	$	(160,130	)	$	(87,291)	$	(72,839)
Puts
S&P 500 Index		4,520.000		01/03/2024		(4)		(1,808,000	)		(60	)		(11,558)		11,498
S&P 500 Index		4,600.000		01/10/2024		(4)		(1,840,000	)		(820	)		(11,493)		10,673
S&P 500 Index		4,730.000		01/17/2024		(4)		(1,892,000	)		(9,180	)		(12,516)		3,336
S&P 500 Index		4,730.000		01/24/2024		(4)		(1,892,000	)		(12,040	)		(12,076)		36
S&P 500 Index		4,405.000		01/31/2024		(1)		(440,500	)		(485	)		(5,638)		5,153
S&P 500 Index		4,465.000		01/31/2024		(1)		(446,500	)		(660	)		(5,030)		4,370
S&P 500 Index		4,490.000		01/31/2024		(1)		(449,000	)		(755	)		(5,035)		4,280
S&P 500 Index		4,505.000		01/31/2024		(1)		(450,500	)		(825	)		(4,905)		4,080
S&P 500 Index		4,595.000		01/31/2024		(1)		(459,500	)		(1,450	)		(4,529)		3,079
S&P 500 Index		4,730.000		01/31/2024		(3)		(1,419,000	)		(11,400	)		(11,937)		537
S&P 500 Index		4,735.000		01/31/2024		(3)		(1,420,500	)		(12,090	)		(12,357)		267
S&P 500 Index		4,740.000		01/31/2024		(3)		(1,422,000	)		(12,540	)		(12,837)		297
S&P 500 Index		4,745.000		01/31/2024		(3)		(1,423,500	)		(13,020	)		(13,287)		267
S&P 500 Index		4,750.000		01/31/2024		(3)		(1,425,000	)		(13,515	)		(13,767)		252
S&P 500 Index		4,580.000		02/29/2024		(1)		(458,000	)		(3,180	)		(6,159)		2,979
S&P 500 Index		4,705.000		02/29/2024		(1)		(470,500	)		(5,490	)		(6,149)		659
S&P 500 Index		4,715.000		02/29/2024		(1)		(471,500	)		(5,740	)		(5,659)		(81)
						(39)	$	(18,188,000	)	$	(103,250	)	$	(154,932)	$	51,682
Total written option contracts						(78)	$	(37,071,000	)	$	(263,380	)	$	(242,223)	$	(21,157)

EXCHANGE TRADED OPTIONS ON FUTURES

Description	Exercise Price		Expiration Date		Number of Contracts		Notional Amount		Market Value		Premiums Paid (Received) by Fund		Unrealized Appreciation/ (Depreciation)
Purchased option contracts
Calls
3 Month SOFR	$	96.625		06/13/2025		25	$	62,500	$	43,750	$	43,077	$	673
3 Month SOFR		97.250		03/14/2025		72		180,000		58,950		131,717		(72,767)
3 Month SOFR		95.250		09/13/2024		15		37,500		29,437		60,736		(31,299)
3 Month SOFR		95.125		06/14/2024		16		40,000		18,900		57,002		(38,102)
3 Month SOFR		97.750		06/14/2024		97		242,500		6,669		144,545		(137,876)
3 Month SOFR		97.250		12/13/2024		79		197,500		43,450		127,273		(83,823)
3 Month SOFR		97.250		09/13/2024		47		117,500		12,925		63,153		(50,228)
3 Month SOFR		97.250		06/14/2024		32		80,000		3,200		31,185		(27,985)
3 Month SOFR		95.000		03/15/2024		30		75,000		9,938		89,051		(79,113)
3 Month SOFR		97.750		03/15/2024		110		275,000		2,063		149,570		(147,507)
3 Month SOFR		96.500		03/14/2025		25		62,500		38,437		42,333		(3,896)
3 Month SOFR		96.250		12/13/2024		24		60,000		32,100		37,784		(5,684)
3 Month SOFR		96.000		09/13/2024		23		57,500		22,425		32,679		(10,254)
3 Month SOFR		96.625		09/12/2025		24		60,000		47,250		44,642		2,608
3 Month SOFR		95.375		06/14/2024		6		15,000		4,913		22,050		(17,137)
3 Month SOFR		95.375		09/13/2024		6		15,000		10,537		24,468		(13,931)
3 Month SOFR		95.375		03/15/2024		6		15,000		863		19,104		(18,241)
3 Month SOFR		97.250		06/13/2025		66		165,000		71,362		81,708		(10,346)

 

The accompanying notes are an integral part of these financial statements.    11

GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND

 

 

Schedule of Investments (continued)

December 31, 2023

  ADDITIONAL INVESTMENT INFORMATION (continued)

EXCHANGE TRADED OPTIONS ON FUTURES (continued)

Description	Exercise Price		Expiration Date		Number of Contracts			Notional Amount		Market Value		Premiums Paid (Received) by Fund		Unrealized Appreciation/ (Depreciation)
3 Month SOFR		$97.000		03/14/2025		51			$  127,500		$ 52,275		$  67,693		$ (15,418)
3 Month SOFR		97.500		09/12/2025		76			190,000		76,000		85,676		(9,676)
3 Month SOFR		97.500		12/12/2025		70			175,000		73,937		84,162		(10,225)
3 Month SOFR		98.500		06/14/2024		128			320,000		5,600		19,160		(13,560)
3 Month SOFR		98.000		12/13/2024		45			112,500		12,375		9,104		3,271
3 Month SOFR		98.000		03/14/2025		30			75,000		12,375		9,445		2,930
3 Month SOFR		96.750		03/13/2026		13			32,500		25,269		21,155		4,114
3 Month SOFR		96.250		06/13/2025		11			27,500		25,025		20,238		4,787
3 Month SOFR		96.500		12/12/2025		11			27,500		24,819		19,851		4,968
3 Month SOFR		96.500		09/12/2025		12			30,000		25,725		20,428		5,297
3 Month SOFR		96.750		06/12/2026		14			35,000		27,650		21,733		5,917
TOTAL						1,164			$2,910,000		$818,219		$1,580,722		$(762,503)

Currency Abbreviations:

AUD  —Australian Dollar

CHF —Swiss Franc

DKK  —Denmark Krone

EUR  —Euro

GBP —British Pound

HKD  —Hong Kong Dollar

ILS   —Israeli Shekel

JPY   —Japanese Yen

NOK  —Norwegian Krone

NZD  —New Zealand Dollar

SEK  —Swedish Krona

SGD  —Singapore Dollar

USD  —U.S. Dollar

Investment Abbreviations:

ETF  —Exchange Traded Fund

 

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

GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND

 

 

Statement of Assets and Liabilities

December 31, 2023

	Assets:
	Investments in affiliated issuers, at value (cost $271,737,054)	$316,544,672
	Purchased options, at value (premium paid $1,580,722)	818,219
	Cash	5,841,573
	Foreign currencies, at value (cost $33,176)	49,089
	Unrealized gain on forward foreign currency exchange contracts	26,342
	Receivables:
	Collateral on certain derivative contracts(a)	7,048,400
	Dividends	886,355
	Investments sold	93,900
	Reimbursement from investment adviser	32,823
	Fund shares sold	11,616
	Other assets	64,534
	Total assets	331,417,523
	Liabilities:
	Unrealized loss on forward foreign currency exchange contracts	369,358
	Written option contracts, at value (premium received $242,223)	263,380
	Variation margin on futures contracts	89,734
	Payables:
	Investments purchased	1,522,039
	Fund shares redeemed	443,214
	Due to broker	374,479
	Distribution and Service fees and Transfer Agency fees	66,115
	Management fees	40,968
	Accrued expenses	167,273
	Total liabilities	3,336,560
	Net Assets:
	Paid-in capital	274,771,209
	Total distributable earnings	53,309,754
	NET ASSETS	$328,080,963
	Net Assets:
	Class A	$155,911,826
	Class C	6,435,624
	Institutional	16,692,290
	Service	252,457
	Investor	5,681,995
	Class R6	4,138,863
	Class R	5,886,973
	Class P	133,080,935
	Total Net Assets	$328,080,963
	Shares Outstanding $0.001 par value (unlimited number of shares authorized):
	Class A	7,876,510
	Class C	337,169
	Institutional	829,573
	Service	12,760
	Investor	292,459
	Class R6	205,109
	Class R	301,022
	Class P	6,607,885
	Net asset value, offering and redemption price per share:(b)
	Class A	$19.79
	Class C	19.09
	Institutional	20.12
	Service	19.79
	Investor	19.43
	Class R6	20.18
	Class R	19.56
	Class P	20.14

(a) Includes segregated cash of $2,599,815, $3,898,585 and $550,000 relating to initial margin requirements and/or collateral on futures contracts, option contracts and forward foreign currency exchange contracts, respectively.

(b) Maximum public offering price per share for Class A Shares is $20.94. At redemption, Class C Shares may be subject to a contingent deferred sales charge, assessed on the amount equal to the lesser of the current net asset value (“NAV”) or the original purchase price of the shares.

 

The accompanying notes are an integral part of these financial statements.    13

GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND

 

 

Statement of Operations

For the Fiscal Year Ended December 31, 2023

	Investment Income:
	Dividends — affiliated issuers	$ 6,665,866
	Interest	96,291
	Total investment income	6,762,157
	Expenses:
	Management fees	463,705
	Distribution and Service (12b-1) fees(a)	449,525
	Transfer Agency fees(a)	301,485
	Registration fees	130,746
	Professional fees	98,748
	Printing and mailing costs	87,450
	Custody, accounting and administrative services	72,344
	Trustee fees	21,821
	Service fees — Class C	16,550
	Shareholder meeting expense	6,520
	Shareholder Administration fees — Service Class	661
	Other	18,044
	Total expenses	1,667,599
	Less — expense reductions	(417,051)
	Net expenses	1,250,548
	NET INVESTMENT INCOME	5,511,609
	Realized and unrealized gain (loss):
	Capital gain distributions from Affiliated Funds	2,485,936
	Net realized gain (loss) from:
	Investments — affiliated issuers	21,054,643
	Purchased options	(774,596)
	Futures contracts	4,520,598
	Written options	119,922
	Forward foreign currency exchange contracts	10,685
	Foreign currency transactions	(2,050)
	Net change in unrealized gain (loss) on:
	Investments — affiliated issuers	21,609,895
	Purchased options	262,413
	Futures contracts	2,872,940
	Written options	(86,880)
	Forward foreign currency exchange contracts	(73,219)
	Foreign currency translation	(6,227)
	Net realized and unrealized gain	51,994,060
	NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$57,505,669

(a) Class specific Distribution and/or Service (12b-1) and Transfer Agency fees were as follows:

	Distribution and/or Service (12b-1) Fees								Transfer Agency Fees
Fund	Class A		Class C		Service		Class R		Class A		Class C		Institutional		Service		Investor		Class R6		Class R		Class P
Dynamic Global Equity	$	370,822	$	49,651	$	661	$	28,391	$	229,807	$	10,267	$	6,515	$	106	$	7,943	$	972	$	8,799	$	37,076

 

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

GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND

 

 

Statements of Changes in Net Assets

		For the Fiscal Year Ended December 31, 2023			For the Fiscal Year Ended December 31, 2022
	From operations:
	Net investment income		$  5,511,609			$  5,138,272
	Net realized gain		27,415,138			98,701,169
	Net change in unrealized gain (loss)		24,578,922			(185,947,610)
	Net increase (decrease) in net assets resulting from operations		57,505,669			(82,108,169)
	Distributions to shareholders:
	From distributable earnings:
	Class A Shares		(7,548,116	)		(8,322,811)
	Class C Shares		(278,828	)		(356,729)
	Institutional Shares		(857,811	)		(935,882)
	Service Shares		(12,550	)		(14,214)
	Investor Shares		(294,543	)		(305,792)
	Class R6 Shares		(194,124	)		(184,875)
	Class R Shares		(277,760	)		(309,964)
	Class P Shares		(6,762,450	)		(7,378,069)
	Return of capital:
	Class A Shares		—			(269,596)
	Class C Shares		—			(9,498)
	Institutional Shares		—			(32,264)
	Service Shares		—			(449)
	Investor Shares		—			(10,356)
	Class R6 Shares		—			(6,090)
	Class R Shares		—			(9,649)
	Class P Shares		—			(253,414)
	Total distributions to shareholders		(16,226,182	)		(18,399,652)
	From share transactions:
	Proceeds from sales of shares		15,797,611			18,285,991
	Reinvestment of distributions		15,609,200			17,684,945
	Cost of shares redeemed in connection with in-kind transactions		—			(532,139,980)
	Cost of shares redeemed		(37,806,273	)		(42,571,755)
	Net decrease in net assets resulting from share transactions		(6,399,462	)		(538,740,799)
	TOTAL INCREASE (DECREASE)		34,880,025			(639,248,620)
	Net assets:
	Beginning of year		293,200,938			932,449,558
	End of year		$328,080,963			$ 293,200,938

 

The accompanying notes are an integral part of these financial statements.     15

GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND

 

 

Financial Highlights

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Dynamic Global Equity Fund
		Class A Shares
		Year Ended December 31,
		2023			2022			2021			2020			2019
	Per Share Data
	Net asset value, beginning of year	$	17.31		$	22.80		$	21.36		$	19.32		$	16.26
	Net investment income(a)(b)		0.31			0.28			0.31			0.18			0.29
	Net realized and unrealized gain (loss)		3.16			(4.67	)		3.96			2.36			3.86
	Total from investment operations		3.47			(4.39	)		4.27			2.54			4.15
	Distributions to shareholders from net investment income		(0.31	)		(0.52	)		(1.01	)		(0.18	)		(0.27)
	Distributions to shareholders from net realized gains		(0.68	)		(0.55	)		(1.82	)		(0.32	)		(0.82)
	Distributions to shareholders from return of capital		—			(0.03	)		—			—			—
	Total distributions		(0.99	)		(1.10	)		(2.83	)		(0.50	)		(1.09)
	Net asset value, end of year	$	19.79		$	17.31		$	22.80		$	21.36		$	19.32
	Total return(c)		20.22	%		(19.31	)%		20.07	%		13.15	%		25.66%
	Net assets, end of year (in 000s)	$	155,912		$	140,666		$	185,213		$	166,449		$	162,028
	Ratio of net expenses to average net assets(d)		0.56	%		0.56	%		0.56	%		0.57	%		0.58%
	Ratio of total expenses to average net assets(d)		0.70	%		0.70	%		0.60	%		0.64	%		0.66%
	Ratio of net investment income to average net assets(b)		1.62	%		1.42	%		1.29	%		0.98	%		1.56%
	Portfolio turnover rate(e)		37	%		12	%		4	%		12	%		40%

(a) Calculated based on the average shares outstanding methodology.

(b) Recognition of net investment income by the Fund is affected by the timing of declaration of dividends by the Underlying Funds in which the Fund invests.

(c) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

(d) Expense ratios exclude the expenses of the Underlying Funds in which the Fund invests.

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

  

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

GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND

 

 

Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Dynamic Global Equity Fund
		Class C Shares
		Year Ended December 31,
		2023			2022			2021			2020			2019
	Per Share Data
	Net asset value, beginning of year	$	16.72		$	22.04		$	20.71		$	18.74		$	15.77
	Net investment income(a)(b)		0.15			0.11			0.10			0.02			0.10
	Net realized and unrealized gain (loss)		3.06			(4.49	)		3.86			2.28			3.77
	Total from investment operations		3.21			(4.38	)		3.96			2.30			3.87
	Distributions to shareholders from net investment income		(0.16	)		(0.37	)		(0.81	)		(0.01	)		(0.08)
	Distributions to shareholders from net realized gains		(0.68	)		(0.55	)		(1.82	)		(0.32	)		(0.82)
	Distributions to shareholders from return of capital		—			(0.02	)		—			—			—
	Total distributions		(0.84	)		(0.94	)		(2.63	)		(0.33	)		(0.90)
	Net asset value, end of year	$	19.09		$	16.72		$	22.04		$	20.71		$	18.74
	Total return(c)		19.37	%		(19.91	)%		19.19	%		12.29	%		24.72%
	Net assets, end of year (in 000s)	$	6,436		$	6,659		$	10,309		$	13,716		$	17,348
	Ratio of net expenses to average net assets(d)		1.31	%		1.31	%		1.31	%		1.32	%		1.33%
	Ratio of total expenses to average net assets(d)		1.45	%		1.45	%		1.35	%		1.39	%		1.41%
	Ratio of net investment income to average net assets(b)		0.81	%		0.59	%		0.45	%		0.13	%		0.58%
	Portfolio turnover rate(e)		37	%		12	%		4	%		12	%		40%

(a) Calculated based on the average shares outstanding methodology.

(b) Recognition of net investment income by the Fund is affected by the timing of declaration of dividends by the Underlying Funds in which the Fund invests.

(c) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

(d) Expense ratios exclude the expenses of the Underlying Funds in which the Fund invests.

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

  

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

GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND

 

 

Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Dynamic Global Equity Fund
		Institutional Shares
		Year Ended December 31,
		2023			2022			2021			2020			2019
	Per Share Data
	Net asset value, beginning of year	$	17.58		$	23.13		$	21.63		$	19.55		$	16.43
	Net investment income(a)(b)		0.38			0.35			0.39			0.23			0.34
	Net realized and unrealized gain (loss)		3.22			(4.73	)		4.03			2.42			3.93
	Total from investment operations		3.60			(4.38	)		4.42			2.65			4.27
	Distributions to shareholders from net investment income		(0.38	)		(0.58	)		(1.10	)		(0.25	)		(0.33)
	Distributions to shareholders from net realized gains		(0.68	)		(0.55	)		(1.82	)		(0.32	)		(0.82)
	Distributions to shareholders from return of capital		—			(0.04	)		—			—			—
	Total distributions		(1.06	)		(1.17	)		(2.92	)		(0.57	)		(1.15)
	Net asset value, end of year	$	20.12		$	17.58		$	23.13		$	21.63		$	19.55
	Total return(c)		20.65	%		(18.98	)%		20.50	%		13.56	%		26.18%
	Net assets, end of year (in 000s)	$	16,692		$	14,970		$	19,052		$	14,179		$	13,423
	Ratio of net expenses to average net assets(d)		0.20	%		0.19	%		0.19	%		0.19	%		0.20%
	Ratio of total expenses to average net assets(d)		0.33	%		0.33	%		0.24	%		0.26	%		0.28%
	Ratio of net investment income to average net assets(b)		1.99	%		1.80	%		1.62	%		1.25	%		1.82%
	Portfolio turnover rate(e)		37	%		12	%		4	%		12	%		40%

(a) Calculated based on the average shares outstanding methodology.

(b) Recognition of net investment income by the Fund is affected by the timing of declaration of dividends by the Underlying Funds in which the Fund invests.

(c) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

(d) Expense ratios exclude the expenses of the Underlying Funds in which the Fund invests.

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

  

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

GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND

 

 

Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Dynamic Global Equity Fund
		Service Shares
		Year Ended December 31,
		2023			2022			2021			2020			2019
	Per Share Data
	Net asset value, beginning of year	$	17.30		$	22.78		$	21.35		$	19.30		$	16.20
	Net investment income(a)(b)		0.27			0.25			0.29			0.15			0.21
	Net realized and unrealized gain (loss)		3.18			(4.66	)		3.94			2.37			3.89
	Total from investment operations		3.45			(4.41	)		4.23			2.52			4.10
	Distributions to shareholders from net investment income		(0.28	)		(0.52	)		(0.98	)		(0.15	)		(0.18)
	Distributions to shareholders from net realized gains		(0.68	)		(0.55	)		(1.82	)		(0.32	)		(0.82)
	Total distributions		(0.96	)		(1.07	)		(2.80	)		(0.47	)		(1.00)
	Net asset value, end of year	$	19.79		$	17.30		$	22.78		$	21.35		$	19.30
	Total return(c)		20.09	%		(19.39	)%		19.90	%		13.04	%		25.49%
	Net assets, end of year (in 000s)	$	252		$	244		$	310		$	269		$	380
	Ratio of net expenses to average net assets(d)		0.70	%		0.69	%		0.69	%		0.69	%		0.70%
	Ratio of total expenses to average net assets(d)		0.83	%		0.83	%		0.74	%		0.76	%		0.78%
	Ratio of net investment income to average net assets(b)		1.45	%		1.30	%		1.21	%		0.79	%		1.16%
	Portfolio turnover rate(e)		37	%		12	%		4	%		12	%		40%

(a) Calculated based on the average shares outstanding methodology.

(b) Recognition of net investment income by the Fund is affected by the timing of declaration of dividends by the Underlying Funds in which the Fund invests.

(c) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

(d) Expense ratios exclude the expenses of the Underlying Funds in which the Fund invests.

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

  

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

GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND

 

 

Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Dynamic Global Equity Fund
		Investor Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	17.01			$	22.43			$	21.05			$	19.04			$	16.03
	Net investment income(a)(b)			0.35				0.33				0.38				0.23				0.30
	Net realized and unrealized gain (loss)			3.11				(4.60	)			3.89				2.33				3.84
	Total from investment operations			3.46				(4.27	)			4.27				2.56				4.14
	Distributions to shareholders from net investment income			(0.36	)			(0.56	)			(1.07	)			(0.23	)			(0.31)
	Distributions to shareholders from net realized gains			(0.68	)			(0.55	)			(1.82	)			(0.32	)			(0.82)
	Distributions to shareholders from return of capital			—				(0.04	)			—				—				—
	Total distributions			(1.04	)			(1.15	)			(2.89	)			(0.55	)			(1.13)
	Net asset value, end of year		$	19.43			$	17.01			$	22.43			$	21.05			$	19.04
	Total return(c)			20.52	%			(19.08	)%			20.36	%			13.44	%			25.97%
	Net assets, end of year (in 000s)		$	5,682			$	4,888			$	5,797			$	4,908			$	4,517
	Ratio of net expenses to average net assets(d)			0.31	%			0.31	%			0.31	%			0.32	%			0.33%
	Ratio of total expenses to average net assets(d)			0.45	%			0.45	%			0.35	%			0.39	%			0.41%
	Ratio of net investment income to average net assets(b)			1.90	%			1.72	%			1.61	%			1.24	%			1.66%
	Portfolio turnover rate(e)			37	%			12	%			4	%			12	%			40%

(a) Calculated based on the average shares outstanding methodology.

(b) Recognition of net investment income by the Fund is affected by the timing of declaration of dividends by the Underlying Funds in which the Fund invests.

(c) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

(d) Expense ratios exclude the expenses of the Underlying Funds in which the Fund invests.

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

  

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

GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND

 

 

Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Dynamic Global Equity Fund
		Class R6 Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	17.63			$	23.14			$	21.63			$	19.55			$	16.44
	Net investment income(a)(b)			0.39				0.01				0.40				0.25				0.49
	Net realized and unrealized gain (loss)			3.22				(4.39	)			4.03				2.40				3.78
	Total from investment operations			3.61				(4.38	)			4.43				2.65				4.27
	Distributions to shareholders from net investment income			(0.38	)			(0.54	)			(1.10	)			(0.25	)			(0.34)
	Distributions to shareholders from net realized gains			(0.68	)			(0.55	)			(1.82	)			(0.32	)			(0.82)
	Distributions to shareholders from return of capital			—				(0.04	)			—				—				—
	Total distributions			(1.06	)			(1.13	)			(2.92	)			(0.57	)			(1.16)
	Net asset value, end of year		$	20.18			$	17.63			$	23.14			$	21.63			$	19.55
	Total return(c)			20.66	%			(18.99	)%			20.55	%			13.57	%			26.14%
	Net assets, end of year (in 000s)		$	4,139			$	2,980			$	544,796			$	490,832			$	478,073
	Ratio of net expenses to average net assets(d)			0.19	%			0.18	%			0.18	%			0.18	%			0.19%
	Ratio of total expenses to average net assets(d)			0.32	%			0.23	%			0.23	%			0.25	%			0.26%
	Ratio of net investment income to average net assets(b)			2.00	%			0.04	%			1.66	%			1.36	%			2.55%
	Portfolio turnover rate(e)			37	%			12	%			4	%			12	%			40%

(a) Calculated based on the average shares outstanding methodology.

(b) Recognition of net investment income by the Fund is affected by the timing of declaration of dividends by the Underlying Funds in which the Fund invests.

(c) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

(d) Expense ratios exclude the expenses of the Underlying Funds in which the Fund invests.

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

  

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

GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND

 

 

Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Dynamic Global Equity Fund
		Class R Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	17.12			$	22.56			$	21.17			$	19.15			$	16.13
	Net investment income(a)(b)			0.26				0.23				0.23				0.13				0.24
	Net realized and unrealized gain (loss)			3.13				(4.61	)			3.94				2.34				3.82
	Total from investment operations			3.39				(4.38	)			4.17				2.47				4.06
	Distributions to shareholders from net investment income			(0.27	)			(0.48	)			(0.96	)			(0.13	)			(0.22)
	Distributions to shareholders from net realized gains			(0.68	)			(0.55	)			(1.82	)			(0.32	)			(0.82)
	Distributions to shareholders from return of capital			—				(0.03	)			—				—				—
	Total distributions			(0.95	)			(1.06	)			(2.78	)			(0.45	)			(1.04)
	Net asset value, end of year		$	19.56			$	17.12			$	22.56			$	21.17			$	19.15
	Total return(c)			19.95	%			(19.49	)%			19.76	%			12.88	%			25.36%
	Net assets, end of year (in 000s)		$	5,887			$	5,292			$	6,611			$	5,700			$	5,922
	Ratio of net expenses to average net assets(d)			0.81	%			0.81	%			0.81	%			0.82	%			0.83%
	Ratio of total expenses to average net assets(d)			0.95	%			0.95	%			0.85	%			0.89	%			0.91%
	Ratio of net investment income to average net assets(b)			1.38	%			1.19	%			0.97	%			0.70	%			1.31%
	Portfolio turnover rate(e)			37	%			12	%			4	%			12	%			40%

(a) Calculated based on the average shares outstanding methodology.

(b) Recognition of net investment income by the Fund is affected by the timing of declaration of dividends by the Underlying Funds in which the Fund invests.

(c) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

(d) Expense ratios exclude the expenses of the Underlying Funds in which the Fund invests.

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

  

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

GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND

 

 

Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Dynamic Global Equity Fund
		Class P Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	17.59			$	23.15			$	21.64			$	19.56			$	16.44
	Net investment income(a)(b)			0.39				0.35				0.40				0.26				0.37
	Net realized and unrealized gain (loss)			3.22				(4.74	)			4.03				2.39				3.91
	Total from investment operations			3.61				(4.39	)			4.43				2.65				4.28
	Distributions to shareholders from net investment income			(0.38	)			(0.58	)			(1.10	)			(0.25	)			(0.34)
	Distributions to shareholders from net realized gains			(0.68	)			(0.55	)			(1.82	)			(0.32	)			(0.82)
	Distributions to shareholders from return of capital			—				(0.04	)			—				—				—
	Total distributions			(1.06	)			(1.17	)			(2.92	)			(0.57	)			(1.16)
	Net asset value, end of year		$	20.14			$	17.59			$	23.15			$	21.64			$	19.56
	Total return(c)			20.71	%			(19.00	)%			20.54	%			13.57	%			26.19%
	Net assets, end of year (in 000s)		$	133,081			$	117,502			$	160,360			$	130,610			$	127,367
	Ratio of net expenses to average net assets(d)			0.19	%			0.18	%			0.18	%			0.18	%			0.19%
	Ratio of total expenses to average net assets(d)			0.32	%			0.32	%			0.23	%			0.25	%			0.27%
	Ratio of net investment income to average net assets(b)			2.01	%			1.78	%			1.64	%			1.37	%			1.96%
	Portfolio turnover rate(e)			37	%			12	%			4	%			12	%			40%

(a) Calculated based on the average shares outstanding methodology.

(b) Recognition of net investment income by the Fund is affected by the timing of declaration of dividends by the Underlying Funds in which the Fund invests.

(c) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

(d) Expense ratios exclude the expenses of the Underlying Funds in which the Fund invests.

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

  

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

GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND

 

 

Notes to Financial Statements

December 31, 2023

 

 

 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 Dynamic Global Equity Fund (the “Fund”). The Fund is a diversified fund and currently offers eight classes of shares: Class A, Class C, Institutional, Service, Investor, Class R6, Class R and Class P Shares.

Class A Shares are sold with a front-end sales charge of up to 5.50%. Class C Shares are sold with a contingent deferred sales charge (“CDSC”) of 1.00%, which is imposed on redemptions made within 12 months of purchase. Institutional, Service, Investor, Class R6, Class R and Class P Shares are not subject to a sales charge.

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

The Fund is expected to invest in a diversified portfolio of global equity asset classes. Such investments may include underlying funds (including exchange-traded funds (“ETFs”)) (collectively, the “Underlying Funds”), futures, forwards, options, swaps and other instruments with similar economic exposures. The Fund may invest in Underlying Funds that currently exist or that may become available for investment in the future for which GSAM or an affiliate now or in the future acts as investment adviser or principal underwriter.

 2. SIGNIFICANT ACCOUNTING POLICIES

The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions. The Fund is an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies.

A. Investment Valuation — The valuation policy of the Fund and Underlying Funds is to value investments at fair value.

B. Investment Income and Investments — Investment income includes interest income, dividend income and securities lending income, if any. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the securities received. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Investment income is recorded net of any foreign withholding taxes, less any amounts reclaimable. The Fund may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments. Income distributions are recognized as capital gains or income in the financial statements in accordance with the character that is distributed.

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

C. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), if any, and non-class specific expenses of the Fund are allocated daily based upon the proportion of net assets of each class. Non-class specific expenses directly incurred by the Fund are charged to the Fund, while such expenses incurred by the Trust are allocated across the Fund on a straight-line and/or pro-rata basis depending upon the nature of the expenses. Class specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service, Transfer Agency and Service and Shareholder Administration fees. Expenses included in the accompanying financial statements reflect the expenses of the Fund and do not include any expenses associated with the Underlying Funds. Because the Underlying Funds have varied expense and fee levels and the Fund may own different proportions of the Underlying Funds at different times, the amount of fees and expenses incurred indirectly by the Fund will vary.

  

24     

GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND

 

 

 

 

 

 

 

 

2. SIGNIFICANT ACCOUNTING POLICIES (continued)

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

Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.

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

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

F. In-Kind Transactions — The Fund may allow investors, under certain circumstances, to purchase shares with securities instead of cash. In addition, the Trust reserves the right to redeem an investor’s shares by distributing securities instead of cash. These are known as in-kind transactions. Securities included as part of in-kind purchases and redemptions of Fund shares are valued in the same manner as they are valued for purposes of computing the Fund’s NAV, in accordance with the Fund’s Valuation Procedures, and such valuations are as of the date the trade is submitted pursuant to the procedures specified in the Fund’s prospectus.

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS

U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the Fund’s policy is to use the market approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:

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

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

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

  

    25

GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND

 

 

Notes to Financial Statements (continued)

December 31, 2023

 

 

3.  INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Fund, including investments for which market quotations are not readily available. With respect to the Fund’s investments that do not have readily available market quotations, the Trustees have designated GSAM as the valuation designee to perform fair valuations pursuant to Rule 2a-5 under the Investment Company Act of 1940 (the “Valuation Designee”). GSAM has day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Fund’s investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.

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

Underlying Funds (including Money Market Funds) — Underlying Funds include exchange-traded funds (“ETFs”) and other investment companies. Investments in the Underlying Funds (except ETFs) are valued at the NAV per share on the day of valuation. ETFs are valued daily at the last sale price or official closing price on the principal exchange or system on which the investment is traded. Because the Fund invests in Underlying Funds that fluctuate in value, the Fund’s shares will correspondingly fluctuate in value. Underlying Funds are generally classified as Level 1 of the fair value hierarchy. To the extent that underlying ETFs are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2. For information regarding an Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.

Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. The Fund enters into derivative transactions to hedge against changes in interest rates, securities prices, and/or currency exchange rates, to increase total return, or to gain access to certain markets or attain exposure to other underliers. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund and cash collateral received, if any, is reported separately on the Statement of Assets and Liabilities as either due to broker/receivable for collateral on certain derivative contracts. Non-cash collateral pledged by the Fund, if any, is noted in the Schedule of Investments.

Exchange-traded derivatives, including futures and options contracts, are generally valued at the last sale or settlement price on the exchange where they are principally traded. Exchange-traded options without settlement prices are generally valued at the midpoint of the bid and ask prices on the exchange where they are principally traded (or, in the absence of two-way trading, at the last bid price for long positions and the last ask price for short positions). Exchange-traded derivatives including future contracts typically fall within Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.

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

  

26

GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND

 

 

 

 

 

 

 

 

3.  INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

A forward foreign currency exchange contract is a forward contract in which the Fund agrees to receive or deliver a fixed quantity of one currency for another, at a pre-determined price at a future date. All forward foreign currency exchange contracts are marked to market daily by using the outright forward rates or interpolating based upon maturity dates, where available. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency.

ii. Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security. Upon entering into a futures contract, the Fund deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by the Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.

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

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

B. Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Fund’s investments may be determined under the Valuation Procedures. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining the Fund’s NAV. To the extent investments are valued using single source broker quotations obtained directly from the broker or passed through from third party pricing vendors, such investments are classified as Level 3 investments.

C. Fair Value Hierarchy — The following is a summary of the Fund’s investments and derivatives classified in the fair value hierarchy as of December 31, 2023:

Investment Type	Level 1		Level 2		Level 3
Assets
Underlying Funds
Equity	$	99,341,316	$	—	$	—
Exchange Traded Funds		197,079,916		—		—
Investment Company		20,123,440		—		—
Total	$	316,544,672	$	—	$	—
Derivative Type
Assets
Forward Foreign Currency Exchange Contracts(a)	$	—	$	26,342	$	—
Futures Contracts(a)		1,532,337		—		—
Purchased option contracts		818,219		—		—
Total	$	2,350,556	$	26,342	$	—

  

  27

GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND

 

 

Notes to Financial Statements (continued)

December 31, 2023

 

 

3.  INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

Derivative Type	Level 1			Level 2			Level 3
Liabilities
Forward Foreign Currency Exchange Contracts(a)	$	—		$	(369,358	)	$	—
Written option contracts		(263,380	)		—			—
Total	$	(263,380	)	$	(369,358	)	$	—

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

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

4. INVESTMENTS IN DERIVATIVES

The following table sets forth, by certain risk types, the gross value of derivative contracts (not considered to be hedging instruments for accounting disclosure purposes) as of December 31, 2023. These instruments were used as part of the Fund’s investment strategies and to obtain and/or manage exposure related to the risks below. The values in the tables below exclude the effects of cash collateral received or posted pursuant to these derivative contracts, and therefore are not representative of the Fund’s net exposure.

Risk	Statement of Assets and Liabilities	Assets			Statement of Assets and Liabilities	Liabilities
Currency	Receivable for unrealized gain on forward foreign currency exchange contracts	$	26,342		Payable for unrealized loss on forward foreign currency exchange contracts	$	(369,358	)
Equity	Variation margin on futures contracts		1,532,337	(a)	Written options, at value		(263,380	)
Interest rate	Purchased options, at value		818,219		—		—
Total		$	2,376,898			$	(632,738	)

(a) Includes unrealized gain (loss) on futures contracts described in the Additional Investment Information sections of the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Financial Condition.

The following table sets forth, by certain risk types, the Fund’s gains (losses) related to these derivatives and their indicative volumes for the fiscal year ended December 31, 2023. These gains (losses) should be considered in the context that these derivative contracts may have been executed to create investment opportunities and/or economically hedge certain investments, and accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statement of Operations:

Risk	Statement of Operations	Net Realized Gain (Loss)			Net Change in Unrealized Gain (Loss)
Currency	Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts		$ 10,685			$ (73,219	)
Equity	Net realized gain (loss) from futures contracts and written options/Net change in unrealized gain (loss) on futures contracts and written options		4,640,520			2,786,060
Interest rate	Net realized gain (loss) from purchased options /Net change in unrealized gain (loss) on purchased options		(774,596	)		262,413
Total			$3,876,609			$2,975,254

  

28

GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND

 

 

 

 

 

 

 

 

4. INVESTMENTS IN DERIVATIVES (continued)

For the fiscal year ended December 31, 2023, the relevant values for each derivative type were as follows:

	Average Number of Contracts, Notional Amounts, or Shares/Units(a)
Fund	Futures Contracts	Forward Contracts	Purchased Options	Written Options
Dynamic Global Equity	203	$16,174,594	2,475,000	11,417

(a) Amounts disclosed represent average number of contracts for futures contracts, notional amounts for forward contracts, purchased and written swaptions, or shares/units outstanding for purchased options and written options, based on absolute values, which is indicative of volume for this derivative type, for the months that each Fund held such derivatives during the fiscal year ended December 31, 2023.

5. AGREEMENTS AND AFFILIATED TRANSACTIONS

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

As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Fund’s business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of the Fund’s average daily net assets of 0.15%.

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

The Trust, on behalf of Class C Shares of the Fund, has adopted a Distribution Plan subject to Rule 12b-1 under the Act. Under the Distribution Plan, Goldman Sachs as Distributor is entitled to a fee accrued daily and paid monthly for distribution services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class C Shares of the Fund, as set forth below.

The Trust, on behalf of Service Shares of the Fund, has adopted a Service Plan subject to Rule 12b-1 under the Act to allow Service Shares to compensate service organizations (including Goldman Sachs) for providing personal and account maintenance services to their customers who are beneficial owners of such shares. The Service Plan provides for compensation to the service organizations equal to an annual percentage rate of the average daily net assets attributable to Service Shares of the Fund, as set forth below.

	Distribution and/or Service Plan Rates
	Class A*	Class C	Service	Class R*
Distribution and/or Service Plan	0.25%	0.75%	0.25%	0.50%

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

C. Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Fund pursuant to a Distribution Agreement, may retain a portion of the Class A Shares’ front end sales charge and Class C Shares’ CDSC. During the fiscal year ended December 31, 2023, Goldman Sachs retained $3,345 of the front end sales charges and $760 of the CDSC for the Fund.

D. Service and Shareholder Administration Plans — The Trust, on behalf of the Fund, has adopted a Service Plan to allow Class C Shares and a Shareholder Administration Plan to allow Service Shares, respectively, to compensate service organizations (including Goldman Sachs) for providing varying levels of personal and account maintenance or shareholder administration

  

  29

GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND

 

 

Notes to Financial Statements (continued)

December 31, 2023

 

 

 

5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

services to their customers who are beneficial owners of such shares. The Service and Shareholder Administration Plans each provide for compensation to the service organizations equal to an annual percentage rate of 0.25% of the average daily net assets attributable to Class C and Service Shares of the Fund, respectively.

E. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Fund for a fee pursuant to the Transfer Agency Agreement. The fees charged for such transfer agency services are accrued daily and paid monthly at annual rates as follows: 0.15% of the average daily net assets of Class A, Class C, Investor and Class R Shares; 0.03% of the average daily net assets of Class R6 and Class P Shares; and 0.04% of the average daily net assets of Institutional and Service Shares. Prior to July 1, 2023, the fees charged for such transfer agency services were 0.16% of the average daily net assets of Class A, Class C, Investor and Class R Shares.

F. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to reduce or limit certain “Other Expenses” of the Fund (excluding acquired fund fees and expenses, transfer agency fees and expenses, service fees and shareholder administration fees (as applicable), taxes, interest, brokerage fees, expenses of shareholder meetings, litigation and indemnification, and extraordinary expenses) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of the Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Fund is not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. The Other Expense limitation as an annual percentage rate of average daily net assets for the Fund is 0.004%. These Other Expense limitations will remain in place through at least April 28, 2024, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. In addition, the Fund has entered into certain offset arrangements with the transfer agent, which may result in a reduction of the Fund’s expenses and are received irrespective of the application of the “Other Expense” limitations described above.

For the fiscal year ended December 31, 2023, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:

Transfer Agency Waivers/Credits	Other Expense Reimbursements	Total Expense Reductions
$754	$416,297	$417,051

G. Line of Credit Facility — As of December 31, 2023, the Fund participated in a $1,110,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Fund based on the amount of the commitment that has not been utilized. For the fiscal year ended December 31, 2023, the Fund did not have any borrowings under the facility. Prior to April 19, 2023, the facility was $1,250,000,000.

H. Other Transactions with Affiliates — The Fund invests primarily in Class R6 Shares of the Underlying Funds (except certain Underlying Funds that are ETFs). These Underlying Funds are considered to be affiliated with the Fund. The table below shows the transactions in and earnings from investments in these Underlying Funds for the fiscal year ended December 31, 2023 (in thousands):

Dynamic Global Equity Fund
Underlying Fund	Beginning Value as of 12/31/22		Purchases at Cost		Proceeds from Sales			Net Realized Gain (Loss)			Change In Unrealized Gain (Loss)		Ending Value as of 12/31/23		Shares as of 12/31/23		Dividend Income		Capital Gain Distributions
Goldman Sachs ActiveBeta Emerging Markets Equity ETF		$ 17,415		$  5,875		$ (15,552	)		$   (281	)		$ 1,501		$  8,958		292		$  563		$   —
Goldman Sachs ActiveBeta International Equity ETF		41,035		—		(25,630	)		3,496			1,757		20,658		633		1,178		—

  

30

GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND

 

 

 

 

 

 

 

 

5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

Dynamic Global Equity Fund (continued)
Underlying Fund	Beginning Value as of 12/31/22		Purchases at Cost		Proceeds from Sales			Net Realized Gain (Loss)			Change In Unrealized Gain (Loss)			Ending Value as of 12/31/23		Shares as of 12/31/23		Dividend Income		Capital Gain Distributions
Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF		$ 81,568		$   —		$ (44,962	)		$16,921			$ (1,221	)		$ 52,306		558		$1,012		$   —
Goldman Sachs Emerging Markets Equity Insights Fund — Class R6		8,654		1,836		(2,300	)		(336	)		1,032			8,886		1,097		335		—
Goldman Sachs Financial Square Government Fund — Institutional Shares		16,640		64,164		(60,681	)		—			—			20,123		20,123		946		—
Goldman Sachs Global Infrastructure Fund — Class R6		3,084		3,079		(1,614	)		182			97			4,828		388		65		—
Goldman Sachs Global Real Estate Securities Fund — Class R6		—		4,707		—			4			203			4,914		500		7		—
Goldman Sachs International Equity Insights Fund — Class R6		22,488		2,670		(8,300	)		969			3,078			20,905		1,509		570		—
Goldman Sachs International Small Cap Insights Fund—Class R6		1,615		879		—			—			181			2,675		219		79		—
Goldman Sachs Large Cap Growth Insights Fund — Class R6		21,997		1,803		(2,927	)		(723	)		6,639			26,789		966		27		1,750
Goldman Sachs Large Cap Value Insights Fund — Class R6		30,401		2,035		(8,200	)		334			1,707			26,277		1,167		499		736
Goldman Sachs MarketBeta Emerging Markets Equity ETF		9,745		7,998		—			—			830			18,573		438		351		—
Goldman Sachs MarketBeta International Equity ETF		21,833		19,154		(1,856	)		251			2,875			42,257		786		669		—
Goldman Sachs MarketBeta U.S. Equity ETF		—		52,407		—			—			1,922			54,329		831		306		—
Goldman Sachs Small Cap Equity Insights Fund — Class R6		6,761		59		(4,000	)		238			1,009			4,067		155		59		—
Total		$283,236		$166,666		$(176,022	)		$21,055			$21,610			$316,545				$6,666		$2,486

6. PORTFOLIO SECURITIES TRANSACTIONS

The cost of purchases and proceeds from sales and maturities of long-term securities for the fiscal year ended December 31, 2023, were $104,320,025 and $116,609,916, respectively.

  

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GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND

 

 

Notes to Financial Statements (continued)

December 31, 2023

 

 

7. TAX INFORMATION

The tax character of distributions paid during the fiscal year ended December 31, 2023 was as follows:

Distributions paid from:
Ordinary income	$	5,500,175
Net long-term capital gains		10,726,007
Total taxable distributions	$	16,226,182

The tax character of distributions paid during the fiscal year ended December 31, 2022 was as follows:

Distributions paid from:
Ordinary income	$	8,909,837
Net long-term capital gains		8,898,499
Total taxable distributions	$	17,808,336
Tax return of capital	$	591,316

As of the Fund’s most recent fiscal year end, December 31, 2023, the Fund’s capital loss carryforwards and certain timing differences on a tax basis were as follows:

Undistributed ordinary income — net	$	277,124
Undistributed long-term capital gains		11,604,757
Total Undistributed Earnings	$	11,881,881
Capital loss carryforwards(1):
Timing differences (Late Year Loss Deferral and Straddle Loss Deferral)	$	(766,544	)
Unrealized gains (loss) — net		42,194,417
Total accumulated earnings (loss) net	$	53,309,754

(1) The Fund utilized $6,651,127 of capital losses in the current fiscal year.

As of December 31, 2023, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:

Tax Cost	$	276,352,551
Gross unrealized gain		43,506,953
Gross unrealized loss		(1,312,536	)
Net unrealized gain	$	42,194,417

The difference between GAAP-basis and tax basis unrealized gains (losses) is attributable primarily to wash sales, net mark to market gains/(losses) on regulated futures and options contracts and net mark to market gains/(losses) on foreign currency contracts.

In order to present certain components of the Funds’ capital accounts on a tax-basis, certain reclassifications have been recorded to the Funds’ accounts. These reclassifications have no impact on the net asset value of the Funds’ and result primarily from return of capital distributions.

The Fund reclassed $14,018 from distributable earnings to paid in capital for the year ending December 31, 2023. GSAM has reviewed the Fund’s tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Fund’s financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.

  

32

GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND

 

 

 

 

 

 

 

 

8. OTHER RISKS

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

Asset Allocation Risk— The Fund’s allocations to the various asset classes and to the Underlying Managers may cause the Fund to underperform other funds with a similar investment objective.

Derivatives Risk— The Fund’s use of derivatives and other similar instruments (collectively referred to in this paragraph as “derivatives”) may result in loss, including due to adverse market movements. Derivatives, which may pose risks in addition to and greater than those associated with investing directly in securities, currencies or other assets and instruments, may increase market exposure and be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in the value of the underlying assets or instruments may produce disproportionate losses to the Fund. Certain derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not, or lacks the capacity or authority to, fulfill its contractual obligations, liquidity risk, which includes the risk that the Fund will not be able to exit the derivative when it is advantageous to do so, and risks arising from margin requirements, which include the risk that the Fund will be required to pay additional margin or set aside additional collateral to maintain open derivative positions. The use of derivatives is a highly specialized activity that involves investment techniques and risks different from those associated with investments in more traditional securities and instruments. Losses from derivatives can also result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.

Expenses Risk— By investing in the Underlying Funds indirectly through the Fund, the investor will incur not only a proportionate share of the expenses of the Underlying Funds held by the Fund (including operating costs and investment management fees), but also the expenses of the Fund.

Foreign and Emerging Countries Risk— Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of more or less foreign government regulation; less public information; less stringent investor protections; less stringent accounting, corporate governance, financial reporting and disclosure standards; and less economic, political and social stability in the countries in which the Fund invests. The imposition of sanctions, exchange controls (including repatriation restrictions), confiscation of assets and property, trade restrictions (including tariffs) and other government restrictions by the U.S. or other governments, or from problems in registration, settlement or custody, may also result in losses. The type and severity of sanctions and other similar measures, including counter sanctions and other retaliatory actions, that may be imposed could vary broadly in scope, and their impact is impossible to predict. For example, the imposition of sanctions and other similar measures could, among other things, cause a decline in the value and/or liquidity of securities issued by the sanctioned country or companies located in or economically tied to the sanctioned country and increase market volatility and disruption in the sanctioned country and throughout the world. Sanctions and other similar measures could limit or prevent the Fund from buying and selling securities (in the sanctioned country and other markets), significantly delay or prevent the settlement of securities transactions, and significantly impact the Fund’s liquidity and performance. Foreign risk also involves the risk of negative foreign currency exchange rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which the Fund has exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time. To the extent that the Fund also invests in securities of issuers located in, or economically tied to, emerging markets, these risks may be more pronounced.

Investments in the Underlying Funds Risk— The investments of the Fund may be concentrated in one or more Underlying Funds (including ETFs and other registered investment companies) subject to statutory limitations prescribed by the Act or exemptive relief or regulations thereunder. The Fund’s investment performance is directly related to the investment performance of the Underlying Funds it holds. The Fund is subject to the risk factors associated with the investments of the Underlying Funds and will be affected by the investment policies and practices of the Underlying Funds in direct proportion to the amount of assets allocated to each. If the Fund has a relative concentration of its portfolio in a single Underlying Fund, it may be more susceptible to adverse developments affecting that Underlying Fund, and may be more susceptible to losses because of these developments. A strategy used by the Underlying Funds may fail to produce the intended results.

  

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GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND

 

 

Notes to Financial Statements (continued)

December 31, 2023

 

 

8. OTHER RISKS (continued)

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

Liquidity Risk— The Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that the Fund will not be able to pay redemption proceeds within the allowable time period or without significant dilution to remaining investors’ interests because of unusual market conditions, declining prices of the securities sold, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, the Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions. If the Fund is forced to sell securities at an unfavorable time and/or under unfavorable conditions, such sales may adversely affect the Fund’s NAV and dilute remaining investors’ interests. Liquidity risk may be the result of, among other things, the reduced number and capacity of traditional market participants to make a market in fixed income securities or the lack of an active market. The potential for liquidity risk may be magnified by a rising interest rate environment or other circumstances where investor redemptions from fixed income funds may be higher than normal, potentially causing increased supply in the market due to selling activity. These risks may be more pronounced in connection with the Fund‘s investments in securities of issuers located in emerging market countries. Redemptions by large shareholders may have a negative impact on the Fund’s liquidity.

Market Risk— The value of the securities in which the Fund invests may go up or down in response to the prospects of individual companies, particular sectors or governments and/or general economic conditions throughout the world due to increasingly interconnected global economies and financial markets. Events such as war, military conflict, acts of terrorism, social unrest, natural disasters, recessions, inflation, rapid interest rate changes, supply chain disruptions, sanctions, the spread of infectious illness or other public health threats could also significantly impact the Fund and its investments.

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

10.  OTHER MATTERS

Pursuant to an effort to consolidate the membership of the Board of Trustees of the Trust (the “Board”) with the Board of Trustees of each of Goldman Sachs ETF Trust, Goldman Sachs ETF Trust II, Goldman Sachs Real Estate Diversified Income Fund, Goldman Sachs Trust II and Goldman Sachs Variable Insurance Trust, in July 2023, the Board voted to nominate Cheryl K. Beebe, John G. Chou, Eileen H. Dowling, Lawrence Hughes, John F. Killian, Steven D. Krichmar, Michael Latham, Lawrence W. Stranghoener and Paul C. Wirth (the “Nominees”) for election as Trustees of the Trust. Messrs. Chou and Wirth and Ms. Dowling were serving as Trustees of the Trust at the time of their nominations. At a virtual special joint meeting of shareholders held on November 16, 2023, each of the Nominees (except Messrs. Chou and Wirth and Ms. Dowling) was elected to serve as Trustees

  

34

GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND

 

 

 

 

 

 

 

 

10. OTHER MATTERS (continued)

alongside the then current Trustees of the Trust, effective January 1, 2024. Each of Messrs. Chou and Wirth and Ms. Dowling was also elected at the meeting and continue to serve as Trustees of the Trust.

11. SUBSEQUENT EVENTS

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

  

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GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND

 

 

Notes to Financial Statements (continued)

December 31, 2023

 

 

12. SUMMARY OF SHARE TRANSACTIONS

Share activity is as follows:

	Dynamic Global Equity Fund
	For the Fiscal Year Ended December 31, 2023						For the Fiscal Year Ended December 31, 2022
	Shares			Dollars			Shares			Dollars
Class A Shares
Shares sold		242,174		$	4,603,700			236,183		$	4,530,644
Reinvestment of distributions		358,829			6,978,690			446,499			7,930,440
Shares redeemed		(848,866	)		(16,092,103	)		(681,861	)		(13,025,872	)
		(247,863	)		(4,509,713	)		821			(564,788	)
Class C Shares
Shares sold		16,466			299,431			19,722			368,742
Reinvestment of distributions		15,001			278,828			21,189			363,516
Shares redeemed		(92,450	)		(1,697,944	)		(110,476	)		(2,050,980	)
		(60,983	)		(1,119,685	)		(69,565	)		(1,318,722	)
Institutional Shares
Shares sold		162,544			3,098,330			268,088			5,355,557
Reinvestment of distributions		42,390			840,868			52,598			948,328
Shares redeemed		(226,925	)		(4,399,257	)		(292,753	)		(5,615,010	)
		(21,991	)		(460,059	)		27,933			688,875
Service Shares
Shares sold		174			3,246			392			8,293
Reinvestment of distributions		536			10,386			689			12,230
Shares redeemed		(2,055	)		(39,815	)		(588	)		(11,153	)
		(1,345	)		(26,183	)		493			9,370
Investor Shares
Shares sold		57,552			1,088,035			64,270			1,205,229
Reinvestment of distributions		15,388			294,543			18,112			316,148
Shares redeemed		(67,864	)		(1,254,952	)		(53,481	)		(1,055,430	)
		5,076			127,626			28,901			465,947
Class R6 Shares
Shares sold		47,832			942,907			37,681			811,416
Reinvestment of distributions		8,320			165,675			9,024			163,187
Shares redeemed in connection with in-kind transactions		—			—			(23,298,598	)		(532,139,980	)
Shares redeemed		(20,072	)		(378,243	)		(124,536	)		(2,776,611	)
		36,080			730,339			(23,376,429	)		(533,941,988	)
Class R Shares
Shares sold		26,834			503,470			35,626			688,910
Reinvestment of distributions		14,489			277,760			18,193			319,613
Shares redeemed		(49,391	)		(948,612	)		(37,732	)		(710,778	)
		(8,068	)		(167,382	)		16,087			297,745
Class P Shares
Shares sold		269,430			5,258,492			256,415			5,317,200
Reinvestment of distributions		340,567			6,762,450			422,752			7,631,483
Shares redeemed		(680,393	)		(12,995,347	)		(927,836	)		(17,325,921	)
		(70,396	)		(974,405	)		(248,669	)		(4,377,238	)
NET DECREASE		(369,490	)	$	(6,399,462	)		(23,620,428	)	$	(538,740,799	)

  

36

 

 

 

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Goldman Sachs Trust and Shareholders of Goldman Sachs Dynamic Global Equity Fund

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Goldman Sachs Dynamic Global Equity Fund (one of the funds constituting Goldman Sachs Trust, referred to hereafter as the “Fund”) as of December 31, 2023, the related statement of operations for the year ended December 31, 2023, the statements of changes in net assets for each of the two years in the period ended December 31, 2023, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2023 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2023, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2023 and the financial highlights for each of the five years in the period ended December 31, 2023 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2023 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ PricewaterhouseCoopers LLP

Boston, Massachusetts

February 23, 2024

We have served as the auditor of one or more investment companies in the Goldman Sachs fund complex since 2000.

  

  37

GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND

 

 

 Fund Expenses — Six Month Period Ended December 31, 2023 (Unaudited)

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

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2023 through December 31, 2023, which represents a period of 184 days of a 365-day year.

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

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

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

	Dynamic Global Equity Fund
Share Class	Beginning  Account Value 7/1/23		Ending  Account Value 12/31/23			Expenses Paid for the  6 months ended  12/31/23*
Class A
Actual		$1,000.00		$1,062.80			$2.88
Hypothetical 5% return		1,000.00		1,022.40	+		2.82
Class C
Actual		1,000.00		1,058.90			6.77
Hypothetical 5% return		1,000.00		1,018.60	+		6.63
Institutional
Actual		1,000.00		1,064.80			1.01
Hypothetical 5% return		1,000.00		1,024.20	+		0.99
Service
Actual		1,000.00		1,062.10			3.61
Hypothetical 5% return		1,000.00		1,021.70	+		3.54
Investor
Actual		1,000.00		1,064.40			1.58
Hypothetical 5% return		1,000.00		1,023.70	+		1.55
Class R6
Actual		1,000.00		1,064.70			0.96
Hypothetical 5% return		1,000.00		1,024.30	+		0.94
Class R
Actual		1,000.00		1,061.80			4.17
Hypothetical 5% return		1,000.00		1,021.10	+		4.09
Class P
Actual		1,000.00		1,064.80			0.96
Hypothetical 5% return		1,000.00		1,024.30	+		0.94

* Expenses for each share class are calculated using the Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended December 31, 2023. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows:

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

Fund	Class A			Class C			Institutional			Service			Investor			Class R6			Class R			Class P
Dynamic Global Equity		0.56	%		1.31	%		0.20	%		0.70	%		0.31	%		0.19	%		0.81	%		0.19	%

  

38  

GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND

 

 

 

Voting Results of Special Meeting of Shareholders (Unaudited)

A Special Meeting of Shareholders (the “Meeting”) of the Goldman Sachs Trust (the “Trust”) was held on November 16, 2023 to consider and elect nominees to the Trust’s Board of Trustees. At the Meeting, Cheryl K. Beebe, Lawrence Hughes, John F. Killian, Steven D. Krichmar, Michael Latham and Lawrence W. Stranghoener were elected to the Trust’s Board of Trustees. In addition, at the Meeting, John G. Chou, Eileen H. Dowling and Paul C. Wirth, each of whom was previously appointed to the Trust’s Board of Trustees rather than elected by shareholders, were elected. In electing the nominees, the Trust’s shareholders voted as follows:

Proposal
Election of Trustees	For		Withheld
Cheryl K. Beebe	169,452,067,796		5,900,273,020
John G. Chou	173,279,757,273		2,072,583,543
Eileen H. Dowling	173,287,456,218		2,064,884,598
Lawrence Hughes	173,486,691,901		1,865,648,915
John F. Killian	173,511,167,174		1,841,173,642
Steven D. Kirchmar	173,484,256,228		1,868,084,588
Michael Latham	173,498,020,286		1,854,320,530
Lawrence W. Stranghoener	173,455,949,165		1,896,391,651
Paul C. Wirth	173,324,070,424		2,028,270,391

  

  39

GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND

 

 

Trustees and Officers (Unaudited)

Independent Trustees

Name, Address and Age1	Position(s) Held with the Trust	Term of Office and Length of Time Served2	Principal Occupations During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee3	Other Directorships Held by Trustee4
Gregory G. Weaver Age: 72	Chair of the Board of Trustees	Since 2023 (Trustee since 2015)	Mr. Weaver is retired. He is Director, Verizon Communications Inc. (2015-Present); and was formerly Chairman and Chief Executive Officer, Deloitte & Touche LLP (a professional services firm) (2001-2005 and 2012-2014); and Member of the Board of Directors, Deloitte & Touche LLP (2006-2012). Chair of the Board of Trustees — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	102	Verizon Communications, Inc.
Dwight L. Bush Age: 66	Trustee	Since 2020	The Honorable Dwight Bush is President and CEO of D.L. Bush & Associates (a financial advisory and private investment firm) (2002-2014 and 2017-Present); Director of MoneyLion, Inc. (an operator of a data-driven, digital financial platform) (2021-Present); and was formerly U.S. Ambassador to the Kingdom of Morocco (2014-2017) and a Member of the Board of Directors of Santander Bank, N.A. (2018-2019). Previously, he served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (October 2019-January 2020). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	102	MoneyLion, Inc. (an operator of a data-driven, digital financial platform)
Kathryn A. Cassidy Age: 69	Trustee	Since 2015	Ms. Cassidy is retired. She is Director, Vertical Aerospace Ltd. (an aerospace and technology company) (2021-Present). Formerly, Ms. Cassidy was Advisor to the Chairman (May 2014-December 2014); and Senior Vice President and Treasurer (2008-2014), General Electric Company & General Electric Capital Corporation (technology and financial services companies). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	102	Vertical Aerospace Ltd. (an aerospace and technology company)
John G. Chou Age: 67	Trustee	Since 2022	Mr. Chou is retired. Formerly, he was Executive Vice President and Special Advisor to the Chairman and CEO (2021-2022); Executive Vice President and Chief Legal Officer (2019-2021); Executive Vice President and Chief Legal & Business Officer (2017-2019); and Executive Vice President and General Counsel (2011-2017) of Cencora, Inc. (a pharmaceutical and healthcare company). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	102	None
Joaquin Delgado Age: 63	Trustee	Since 2020	Dr. Delgado is retired. He is Director, Stepan Company (a specialty chemical manufacturer) (2011–Present); and was formerly Director, Hexion Inc. (a specialty chemical manufacturer) (2019–2022); Executive Vice President, Consumer Business Group of 3M Company (July 2016–July 2019); and Executive Vice President, Health Care Business Group of 3M Company (October 2012–July 2016). Previously, Dr. Delgado served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (October 2019– January 2020). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	102	Stepan Company (a specialty chemical manufacturer)
Eileen H. Dowling Age: 61	Trustee	Since 2021	Ms. Dowling is retired. Formerly, she was Senior Advisor (April 2021-September 2021); and Managing Director (2013-2021), BlackRock, Inc. (a financial services firm). As Managing Director, she held senior management positions, including Global Head of Global Consultant Relations (2017–2021), Multinational Corporations (2019–2021), the Institutional Product Group (2015–2019) and Institutional Marketing (2013–2016). Ms. Dowling was a member of the Global Operating Committee and Product Executive Committee of BlackRock. Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	102	None

  

40  

GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND

 

 

Trustees and Officers (Unaudited) (continued)

Independent Trustees

Name, Address and Age1	Position(s) Held with the Trust	Term of Office and Length of Time Served2	Principal Occupations During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee3	Other Directorships Held by Trustee4
Paul C. Wirth Age: 66	Trustee	Since 2022	Mr. Wirth is retired. He is Executive Advisor, My Next Season LLC (a career transition advisory firm) (2023-Present). Formerly, he was Deputy Chief Financial Officer and Principal Accounting Officer (2011-2020); Finance Director and Principal Accounting Officer (2010-2011); and Managing Director, Global Controller, and Chief Accounting Officer (2005-2010) of Morgan Stanley. Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	102	None
Interested Trustee*
Name, Address and Age1	Position(s) Held with the Trust	Term of Office and Length of Time Served2	Principal Occupations During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee3	Other Directorships Held by Trustee4
James A. McNamara Age: 61	President and Trustee	Since 2007	Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998- December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998). President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs ETF Trust; Goldman Sachs ETF Trust II; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund.	192	None

* Mr. McNamara is considered to be an “Interested Trustee” because he holds positions with Goldman Sachs and owns securities issued by The Goldman Sachs Group, Inc. Mr. McNamara holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor.

¹  Each Trustee may be contacted by writing to the Trustee, c/o Goldman Sachs, 200 West Street, New York, New York, 10282, Attn: Robert Griffith. Information is provided as of December 31, 2023.

²  Subject to such policies as may be adopted by the Board from time-to-time, each Trustee holds office for an indefinite term, until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board or shareholders, in accordance with the Trust’s Declaration of Trust; or (c)the termination of the Trust. The Board has adopted policies which provide that each Independent Trustee shall retire as of December 31st of the calendar year in which he or she reaches (a) his or her 75th birthday or (b) the 15th anniversary of the date he or she became a Trustee, whichever is earlier, unless a waiver of such requirements shall have been adopted by a majority of the other Trustees. These policies may be changed by the Trustees without shareholder vote.

³  The Goldman Sachs Fund Complex includes certain other companies listed above for each respective Trustee. As of December 31, 2023, Goldman Sachs Trust consisted of 87 portfolios; Goldman Sachs Variable Insurance Trust consisted of 15 portfolios (11 of which offered shares to the public); Goldman Sachs Trust II consisted of 18 portfolios (7 of which offered shares to the public); Goldman Sachs ETF Trust consisted of 68 portfolios (37 of which offered shares to the public); Goldman Sachs ETF Trust II consisted of 2 portfolios; and Goldman Sachs Credit Income Fund and Goldman Sachs Real Estate Diversified Income Fund each consisted of one portfolio. Goldman Sachs Credit Income Fund did not offer shares to the public.

⁴  This column includes only directorships of companies required to report to the Securities and Exchange Commission under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act.

Information as of the date of this shareholder report. Additional information about the Trustees is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384.

  

  41

GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND

 

 

Trustees and Officers (Unaudited) (continued)

Officers of the Trust*

Name, Address and Age1	Position(s) Held with the Trust	Term of Office and Length of Time Served2	Principal Occupations During Past 5 Years
James A. McNamara 200 West Street New York, NY 10282 Age: 61	President and Trustee	Since 2007	Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998). President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs ETF Trust; Goldman Sachs ETF Trust II; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund.
Joseph F. DiMaria 30 Hudson Street Jersey City, NJ 07302 Age: 55	Treasurer, Principal Financial Officer and Principal Accounting Officer	Since 2017 (Treasurer and Principal Financial Officer since 2019)	Managing Director, Goldman Sachs (November 2015-Present) and Vice President — Mutual Fund Administration, Columbia Management Investment Advisers, LLC (May 2010-October 2015). Treasurer, Principal Financial Officer and Principal Accounting Officer — Goldman Sachs Trust (previously Assistant Treasurer (2016)); Goldman Sachs Variable Insurance Trust (previously Assistant Treasurer (2016)); Goldman Sachs Trust II (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust II; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund.
Robert Griffith 200 West Street New York, NY 10282 Age: 49	Secretary	Since 2023	Managing Director, Goldman Sachs (September 2022 – Present); General Counsel, Exchange Traded Concepts, LLC (October 2021 – September 2022); Vice President, Goldman Sachs (August 2011 – October 2021); Associate General Counsel, Goldman Sachs (December 2014 – Present); Assistant General Counsel, Goldman Sachs (August 2011 – December 2014); Vice President and Counsel, Nomura Holding America, Inc. (2010 – 2011); and Associate, Simpson Thacher & Bartlett LLP (2005 – 2010). Secretary — Goldman Sachs Trust (previously Assistant Secretary (2022)); Goldman Sachs Variable Insurance Trust (previously Assistant Secretary (2022)); Goldman Sachs Trust II (previously Assistant Secretary (2022)); Goldman Sachs ETF Trust (previously Assistant Secretary (2022)); Goldman Sachs ETF Trust II (previously Assistant Secretary (2022)); and Goldman Sachs Real Estate Diversified Income Fund (previously Assistant Secretary (2022)).

* Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-526-7384.

¹  Information is provided as of December 31, 2023.

²  Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor.

Goldman Sachs Trust – Dynamic Global Equity - Tax Information (Unaudited)

For the year ended December 31, 2023, 26.63% of the dividends paid from net investment company taxable income by Dynamic Global Equity Fund qualifies for the dividends received deduction available to corporations.

Pursuant to Section 852 of the Internal Revenue Code, the Dynamic Global Equity Fund designates $ 10,726,007, or if different, the maximum amount allowable, as capital gain dividends paid during the fiscal year ended December 31, 2023.

For the year end December 31, 2023, the Dynamic Global Equity Fund has elected to pass through a credit for taxes paid to foreign jurisdictions. The total amount of income received by the Fund from sources within foreign countries and possessions of the United States was $0.2080 per share, all of which is attributable to qualified passive income. The percentage of net investment income dividends paid by the Fund during the year ended December 31, 2023, from foreign sources was 41.36%. The total amount of foreign taxes paid by the Fund was $0.0157 per share.

For the year ended December 31, 2023, 83.30% of the dividends paid from net investment company taxable income by the Dynamic Global Equity Fund qualifies for the reduced tax rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003.

  

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FUNDS PROFILE

 

 

Goldman Sachs Funds

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

Today, the Asset Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $2.54 trillion in assets under supervision as of December 31, 2023, Goldman Sachs Asset Management has portfolio management teams located around the world and our investment professionals bring firsthand knowledge of local markets to every investment decision. Assets under supervision includes assets under management and other client assets for which Goldman Sachs does not have full discretion. Goldman Sachs Asset Management leverages the resources of Goldman Sachs & Co. LLC subject to legal, internal and regulatory restrictions.

Money Market

Financial Square Funds^SM

∎ Financial Square Treasury Solutions Fund¹

∎ Financial Square Government Fund¹

∎ Financial Square Money Market Fund²

∎ Financial Square Prime Obligations Fund²

∎ Financial Square Treasury Instruments Fund¹

∎ Financial Square Treasury Obligations Fund¹

∎ Financial Square Federal Instruments Fund¹

Investor Funds^SM

∎ Investor Money Market Fund³

∎ Investor Tax-Exempt Money Market Fund³

Fixed Income

Short Duration and Government

∎ Enhanced Income Fund

∎ Short-Term Conservative Income Fund

∎ Short Duration Government Fund

∎ Short Duration Bond Fund

∎ Government Income Fund

∎ Inflation Protected Securities Fund

∎ U.S. Mortgages Fund

Multi-Sector

∎ Bond Fund

∎ Core Fixed Income Fund

∎ Global Core Fixed Income Fund

∎ Strategic Income Fund

∎ Income Fund

Municipal and Tax-Free

∎ High Yield Municipal Fund

∎ Dynamic Municipal Income Fund

∎ Short Duration Tax-Free Fund

∎ Municipal Income Completion Fund

Single Sector

∎ Investment Grade Credit Fund

∎ High Yield Fund

∎ High Yield Floating Rate Fund

∎ Emerging Markets Debt Fund

∎ Emerging Markets Credit Fund⁴

Fixed Income Alternatives

∎ Long Short Credit Strategies Fund

Fundamental Equity

∎ Equity Income Fund

∎ Small Cap Growth Fund

∎ Small Cap Value Fund

∎ Small/Mid Cap Value Fund

∎ Mid Cap Value Fund

∎ Large Cap Value Fund

∎ Focused Value Fund

∎ Large Cap Core Fund

∎ Strategic Growth Fund

∎ Small/Mid Cap Growth Fund

∎ Enhanced Core Equity Fund⁶

∎ Concentrated Growth Fund

∎ Technology Opportunities Fund

∎ Mid Cap Growth Fund

∎ Rising Dividend Growth Fund

∎ U.S. Equity ESG Fund

∎ Income Builder Fund

Tax-Advantaged Equity

∎ U.S. Tax-Managed Equity Fund

∎ International Tax-Managed Equity Fund

∎ U.S. Equity Dividend and Premium Fund

∎ International Equity Dividend and Premium Fund

Equity Insights

∎ Small Cap Equity Insights Fund

∎ U.S. Equity Insights Fund

∎ Small Cap Growth Insights Fund

∎ Large Cap Growth Insights Fund

∎ Large Cap Value Insights Fund

∎ Small Cap Value Insights Fund

∎ International Small Cap Insights Fund

∎ International Equity Insights Fund

∎ Emerging Markets Equity Insights Fund

Fundamental Equity International

∎ International Equity Income Fund

∎ International Equity ESG Fund

∎ China Equity Fund

∎ Emerging Markets Equity Fund

∎ Emerging Markets Equity ex. China Fund

∎ ESG Emerging Markets Equity Fund

Alternative

∎ Clean Energy Income Fund

∎ Real Estate Securities Fund

∎ Commodity Strategy Fund

∎ Global Real Estate Securities Fund

∎ Absolute Return Tracker Fund

∎ Managed Futures Strategy Fund

∎ MLP Energy Infrastructure Fund

∎ Energy Infrastructure Fund

∎ Multi-Strategy Alternatives Fund⁵

∎ Global Infrastructure Fund

Total Portfolio Solutions

∎ Global Managed Beta Fund

∎ Multi-Manager Non-Core Fixed Income Fund

∎ Multi-Manager Global Equity Fund

∎ Multi-Manager International Equity Fund

∎ Tactical Tilt Overlay Fund

∎ Balanced Strategy Portfolio

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

∎ Multi-Manager Real Assets Strategy Fund

∎ Growth and Income Strategy Portfolio

∎ Growth Strategy Portfolio

∎ Dynamic Global Equity Fund

∎ Enhanced Dividend Global Equity Portfolio

∎ Tax-Advantaged Global Equity Portfolio

∎ Strategic Factor Allocation Fund

∎ Strategic Volatility Premium Fund

∎ GQG Partners International Opportunities Fund

¹  You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a bank account or a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor is not required to reimburse the Fund for losses, and you should not expect that the sponsor will provide financial support to the Fund at any time, including during periods of market stress.

²  You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares. Effective October 2, 2024, the Fund generally must impose a fee when net sales of Fund shares exceed certain levels. An investment in the Fund is not a bank account or a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor is not required to reimburse the Fund for losses, and you should not expect that the sponsor will provide financial support to the Fund at any time, including during periods of market stress.

³  You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares. An investment in the Fund is not a bank account or a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor is not required to reimburse the Fund for losses, and you should not expect that the sponsor will provide financial support to the Fund at any time, including during periods of market stress.

⁴  Effective after the close of business on October 31, 2023, the Goldman Sachs Local Emerging Markets Debt Fund was renamed the Goldman Sachs Emerging Markets Credit Fund.

⁵  Effective after the close of business on September 22, 2023, the Goldman Sachs Multi-Manager Alternatives Fund was renamed the Goldman Sachs Multi-Strategy Alternatives Fund.

⁶  Effective after the close of business on February 13, 2024, the Goldman Sachs Flexible Cap Fund was renamed the Goldman Sachs Enhanced Core Equity Fund.

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

* This list covers open-end funds only. Please visit our website at www.GSAMFUNDS.com to learn about our closed-end funds and exchange-traded funds.

  

TRUSTEES OFFICERS Gregory G. Weaver, Chair James A. McNamara, President Cheryl K. Beebe* Joseph F. DiMaria, Principal Financial Officer, Principal Dwight L. Bush Accounting Officer and Treasurer Kathryn A. Cassidy Robert Griffith, Secretary John G. Chou Joaquin Delgado Eileen H. Dowling Lawrence Hughes* John F. Killian* Steven D. Krichmar* Michael Latham* James A. McNamara Lawrence W. Stranghoener* PaulC.Wirth *Effective January 1, 2024 GOLDMAN SACHS & CO. LLC GOLDMAN SACHS ASSET MANAGEMENT, L.P. Distributor and Transfer Agent Investment Adviser 1 You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a bank account or a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor is not required to reimburse the Fund for losses, and you should not expect that the sponsor will provide financial support to the Fund at any time, including during periods of market stress. 2 You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares. Effective October 2, 2024, the Fund generally must impose a fee when net sales of Fund shares exceed certain levels. An investment in the Fund is not a bank account or a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor is not required to reimburse the Fund for losses, and you should not expect that the sponsor will provide financial support to the Fund at any time, including during periods of market stress. 3 You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares. An investment in the Fund is not a bank account or a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor is not required to reimburse the Fund for losses, and you should not expect that the sponsor will provide financial support to the Fund at any time, including during periods of market stress. 4 Effective after the close of business on October 31, 2023, the Goldman Sachs Local Emerging Markets Debt Fund was renamed the Goldman Sachs Emerging Markets Credit Fund. 5 Effective after the close of business on September 22, 2023, the Goldman Sachs Multi-Manager Alternatives Fund was renamed the Goldman Sachs Multi-Strategy Alternatives Fund. 6 Effective after the close of business on February 13, 2024, the Goldman Sachs Flexible Cap Fund was renamed the Goldman Sachs Enhanced Core Equity Fund. Financial Square FundsSM and Investor FundsSM are registered service marks of Goldman Sachs & Co. LLC. *This list covers open-end funds only. Please visit our website at www.GSAMFUNDS.com to learn about our closed-end funds and exchange-traded funds. Visit our website at www.GSAMFUNDS.com to obtain the most recent month-end returns. Goldman Sachs Asset Management, L.P. 200 West Street, New York, New York 10282 Neither MSCI nor any other party involved in or related to compiling, computing, or creating the MSCI data makes any express or implied warranties or representations with respect to such data (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability, or fitness for a particular purpose with respect to any of such data. Without limiting any of the foregoing, in no event shall MSCI, any of its affiliates or any third party involved in or related to compiling, computing or creating the data have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages. No further distribution or dissemination of the MSCI data is permitted without MSCI’s express written consent. The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk. The reports concerning the Fund included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Fund in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Fund, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Fund. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed. Diversification does not protect an investor from market risk and does not ensure a profit. Views and opinions expressed are for informational purposes only and do not constitute a recommendation by GSAM to buy, sell, or hold any security. Views and opinions are current as of the date of this presentation and may be subject to change. They should not be construed as investment advice. A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (ii) on the Securities and Exchange Commission (“SEC”) web site at http://www.sec.gov. References to indices, benchmarks or other measures of relative market performance over a specified period of time are provided for your information only and do not imply that the portfolio will achieve similar results. The index composition may not reflect the manner in which a portfolio is constructed. While an adviser seeks to design a portfolio which reflects appropriate risk and return features, portfolio characteristics may deviate from those of the benchmark. The Fund will file its portfolio holdings information for each month in a fiscal quarter within 60 days after the end of the relevant fiscal quarter on Form N-PORT. Portfolio holdings information for the third month of each fiscal quarter will be made available on the SEC’s web site at http://www.sec.gov. Portfolio holdings information may be obtained upon request and without charge by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders). Holdings and allocations shown are as of December 31, 2023 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk. This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus or summary prospectus, if applicable. Investors should consider the Fund objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the prospectus carefully before investing or sending money. The summary prospectus, if available, and the Prospectus contain this and other information about the Fund may be obtained from your authorized dealer or from Goldman Sachs & Co. LLC by calling (retail – 1-800-526-7384) (institutional – 1-800-621-2550). Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds. © 2024 Goldman Sachs. All rights reserved. 356276-OTU-1967047 DYNGLEQAR-24

Goldman Sachs Funds
Annual Report
December 31, 2023
Real Estate Securities and Global Infrastructure Funds
Global Infrastructure
Global Real Estate Securities
Real Estate Securities

 

 

 

 

Goldman Sachs Real Estate Securities and Global Infrastructure Funds

∎   GLOBAL INFRASTRUCTURE

∎   GLOBAL REAL ESTATE SECURITIES

∎   REAL ESTATE SECURITIES

TABLE OF CONTENTS

Portfolio Management Discussions and Performance Summaries	1
Index Definitions	23
Schedules of Investments	24
Financial Statements	30
Financial Highlights	34
Global Infrastructure	34
Global Real Estate Securities	40
Real Estate Securities	46
Notes to Financial Statements	54
Report of Independent Registered Public Accounting Firm	69
Other Information	70

Effective January 24, 2023, open-end mutual funds and exchange traded funds will be required to provide shareholders with streamlined annual and semi-annual shareholder reports (“Tailored Shareholder Reports”). Funds will be required to prepare a separate Tailored Shareholder Report for each share class of a fund that highlights key information to investors. Other information, including financial statements, will no longer appear in a fund’s shareholder report, but will be available online, delivered free of charge upon request, and filed with the SEC on a semi-annual basis on Form N-CSR. The new requirements have a compliance date of July 24, 2024.

NOT  FDIC-INSURED  May Lose Value  No Bank Guarantee 

  

   

PORTFOLIO RESULTS

 

 

Goldman Sachs Global Infrastructure Fund

Investment Objective

The Fund seeks total return comprised of long-term growth of capital and income.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Global Infrastructure Team discusses the Goldman Sachs Global Infrastructure Fund’s (the “Fund”) performance and positioning for the 12-month period ended December 31, 2023 (the “Reporting Period”).

Q How did the Fund perform during the Reporting Period?

A During the Reporting Period, the Fund’s Class A, Class C, Institutional, Investor, Class R6 and Class P Shares generated average annual total returns, without sales charges, of 4.78%, 3.95%, 5.13%, 5.00%, 5.09% and 5.17%, respectively. These returns compare to the 4.51% average annual total return of the Dow Jones Brookfield Global Infrastructure Index (Net, USD, Unhedged) (the “Index”). The Index is intended to measure all sectors of the infrastructure market.

  Effective July 14, 2023, Class R Shares of the Fund were terminated. In anticipation of the termination, effective June 15, 2023, Class R Shares of the Fund were no longer sold to new investors or existing shareholders (except through reinvested dividends) or eligible for exchanges with other Goldman Sachs Funds. In addition, Class R Shares of the Fund were closed to all new accounts effective on June 15, 2023.

Q What economic and market factors most influenced global infrastructure securities during the Reporting Period?

A Global infrastructure securities generated positive returns during the Reporting Period, with investor sentiment most influenced by inflation trends and macroeconomic data, central bank monetary policy, rising interest rates and geopolitical concerns.

  During the first quarter of 2023, global infrastructure securities, as measured by the Index, returned 2.49%. The broad global equity market posted comparatively stronger gains, bolstered by a rally in growth-oriented stocks. In January, global equities advanced on the back of expectations around peaking inflation in the U.S. and Europe, the slowing pace of central bank interest rate hikes and receding concerns about recession. China finally lifted its stringent zero-COVID policy, which increased global hopes around the resolution of supply-chain disruptions and

  economic recovery driven by strong domestic consumption. The international tourism industry seemed poised to benefit from the country’s reopening, as Chinese citizens would be able to travel abroad after nearly three years. February proved to be a setback for the disinflation path, as Japan saw its highest level of inflation in 40 years. In the U.S., the release of January inflation data indicated the largest monthly increase since mid-2022, illustrating that more work was needed to combat inflation. Additionally, U.S. payrolls demonstrated the largest job growth in six months, and the unemployment rate fell to a 53-year low, pushing market forecasts for the Federal Reserve’s (“Fed”) terminal rate up. During March, global equity markets saw a short-lived dip amid concerns about asset liquidity and deposit safety in the U.S. and European banking sectors. Swift response from U.S. and European policymakers quickly calmed nerves, but the turmoil made the Fed’s decisions regarding interest rates more complex given its objective of mitigating downside risks to economic growth while combating persistent inflation amid a tight labor market. At their March meeting, Fed officials implemented a 25 basis point rate hike, the second increase of the quarter. (A basis point is 1/100th of a percentage point.) On the geopolitical front, the Russia/Ukraine war continued into a second year, as several governments across the globe geared up to impose a new set of sanctions on trade with Russia and to arrange military aid for Ukraine. U.S./China tensions re-escalated after President Biden criticized the Chinese government for intervening in the Russia/Ukraine war.

  In the second quarter of 2023, global infrastructure securities returned -1.09%. However, global equities continued to advance, with notable gains by both information technology stocks, which benefited from enthusiasm around artificial intelligence (“AI”), and the strong performance of consumer-oriented stocks, which benefited from optimism about China’s economic reopening and easing global recessionary concerns. High inflation rates persisted during the quarter,

 

  1

PORTFOLIO RESULTS

 

 

 

 

 

 

 

  while sustained wage growth raised concerns around peak central bank policy rates potentially being higher than consensus expected. In the U.K., inflation hit a 31-year high in May, leading the Bank of England (“BoE”) to hike interest rates more than consensus expected in June. China’s recovery-fueled momentum slowed. Concerns surrounding the U.S. debt ceiling loomed over the markets mid-quarter, though a deal was eventually reached, which was a source of relief to the markets.

  Global infrastructure securities returned -8.05% during the third quarter of 2023. The broad global equity market also declined, though to a lesser degree. The market environment was marked by persistent inflation, surging energy prices, contractionary economic concerns, particularly in Europe, and further interest rate hikes by central banks. In Europe, concerns persisted around the contractionary effect of elevated interest rates on the economy, as the European Central Bank raised rates twice in the quarter. The BoE raised rates more than consensus expected in July and once more in August before ending its run of 14 consecutive rate hikes in September. Meanwhile, there was apprehension about the Fed’s next policy move. In August, Fed Chair Powell’s speech at the Jackson Hole Economic Symposium left investors wondering if there could be a prolonged period of high interest rates. Although the Fed held rates steady in September, its Summary of Economic Projections median dot plot, which shows the interest rate projections of the members of the Federal Open Market Committee, suggested another rate hike would come before the end of the year. In China, lower economic growth and stress in the property sector weighed on market sentiment despite rate cuts by the country’s central bank and new stimulus policies by its government.

  During the fourth quarter of 2023, global infrastructure securities rallied, generating a positive return of 12.13%. The broad global equity market also rallied, though it modestly underperformed global infrastructure securities. When the quarter began, global equity performance was weak amid investor fears about “higher for longer” interest rates. However, market sentiment gradually improved as the disinflation theme continued to gain more traction and market participants grew increasingly optimistic about the possibility of central bank rate cuts in 2024. Indeed, near the end of the fourth quarter of 2023, there was a shift in the Fed’s policy path expectations, with the Summary of

¹ Sector and subsector allocations are defined by Goldman Sachs Asset Management and may differ from sector allocations used by the Index.

  Economic Projections median dot plot signaling 75 basis points of rate cuts in 2024. In Japan, the equity market performed well in the fourth calendar quarter on the back of an improving investment landscape, as many Japanese companies were expected to benefit from bettering corporate governance and refined government tax-refund incentives. On the geopolitical front, the Chinese and U.S. Presidents met during November and agreed to certain arrangements on energy transition and climate change. The agreement was positive for investor sentiment, as it raised hopes of a drop in tensions between the two countries, which many expected to help the growth of global markets.

  For the Reporting Period overall, the global infrastructure securities market, as measured by the Index, generated an average annual total return of 4.51%. In terms of absolute return, Germany, Spain and France were the best performing markets in the Index. The worst performing market, and the only one to post a negative absolute return, was Hong Kong. Among market sectors, transportation infrastructure recorded double-digit positive absolute returns. Energy infrastructure, utilities and communications infrastructure were comparatively weaker but also produced positive absolute returns during the Reporting Period.¹

  

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

A During the Reporting Period, the Fund recorded positive returns on an absolute basis. In relative terms, the Fund outperformed the Index in all but one share class. Security selection added most to relative performance. Stock picks in the transportation infrastructure sector and communications infrastructure sector contributed positively. Conversely, the Fund was hampered by stock selection in the utilities sector.

  The Fund also benefited from our allocation decisions during the Reporting Period. Specifically, the Fund’s underweight position versus the Index in the utilities sector was advantageous.

  Among countries, the Fund was helped by overweight positions and security selection in Spain and France. On the other hand, an underweight position in Italy detracted from relative returns. Stock selection in Canada and Italy also had a negative impact on performance during the Reporting Period.

Q What individual holdings added most to the Fund’s relative performance during the Reporting Period?

A During the Reporting Period, the Fund’s best-performing investments were Ferrovial, Aena and Engie.

  Ferrovial, a global operator of sustainable infrastructure, was the Fund’s top contributor. The Spanish company performed well during the Reporting Period, as toll roads and leisure airports experienced increased demand amid strong recovery of road and air traffic following the pandemic, a trend we expected to continue in the medium term. Additionally, in early 2023, Ferrovial announced plans for a reverse merger in which it would be absorbed by its wholly-owned Dutch subsidiary, Ferrovial International, and would then later apply for a U.S. listing. After the move was approved at Ferrovial’s annual general meeting, the company’s shares gained, given that access to a deeper and more liquid capital market seemed likely to benefit the stock.

  Aena is an operator of Spanish airport networks. Its stock’s gains were largely the result of a stronger than consensus expected recovery in air traffic after the pandemic as well as of pent-up consumer demand because of Spain’s attractiveness as a tourist destination. In addition, Aena had successfully renegotiated retail contracts with duty-free operators, which increased the stock’s momentum.

  Engie, a French integrated utility company that conducts business in regulated networks, renewables and traditional generation, was an out-of-benchmark Fund position. During the Reporting Period, Engie reported robust results due mainly to earnings strength driven by the profitability of its global energy management and sales division and an improved growth outlook for its renewable business. At the end of the Reporting Period, we held a constructive view on Engie and continued to believe the stock would benefit from long-term secular growth tailwinds.

Q What individual holdings detracted most from the Fund’s relative performance during the Reporting Period?

A The top detractors from the Fund’s relative returns during the Reporting Period were its positions in NextEra Energy, ENN Energy Holdings and Northland Power.

  NextEra Energy (“NextEra”), one of the largest renewable energy generators in the world, detracted most from the Fund’s relative performance, as higher interest rates put pressure on renewable developers and as investors grew more concerned about the returns on renewable projects. Additionally, NextEra Energy Partners, a subsidiary of NextEra, announced it was lowering its distribution growth rate from 12% to 6%, which led to a sell-off in both stocks despite the minimal impact of this decision on NextEra’s earnings and growth outlook. At the end of the Reporting Period, the Fund continued to hold a position in the stock, as we considered NextEra a best-in-class regulated utility, with the majority of its earnings coming from its utilities business and because of the company’s exposure to the renewables growth story in the U.S.

  ENN Energy Holdings (“ENN Energy”), a Chinese city gas² distributor, reported weaker than consensus expected results in the first half of 2023 due to high gas procurement costs. However, ENN Energy’s other businesses and earnings drivers remained healthy, including the company’s gas sales margins, sales volumes to households/commercial users and new household gas connections. In August, its stock fell significantly after company management decided to lower full-year 2023 guidance based on lower year-over-year trading profits from liquefied natural gas and uncertain gas margins for the 2023-2024 winter quarter. In our view, the new downward guidance was conservative because we saw evidence of increased gas sales volumes and gas margins that were better than management had indicated. Therefore,

² City gas distribution refers to the transportation or distribution of natural gas to consumers in domestic, commercial or industrial and transport sectors through a network of pipelines.

  

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  at the end of the Reporting Period, we maintained conviction in the stock, though we continued to watch for signs of a further industrial slowdown in China. Even adjusting for management’s lower earnings expectations, we thought shares of ENN Energy were trading at an attractive valuation at the end of the Reporting Period.

  Shares of Northland Power, which engages in the development, building, owning and management of offshore wind facilities, weakened amid supply-chain issues and cost increases that delayed final investment decisions on two large offshore wind projects, which were ultimately made by year-end 2023. We believed supply-chain issues had been resolved and higher costs were offset by higher revenues, with costs locked in. Thus, at the end of the Reporting Period, we maintained a constructive view of the stock.

Q Were there any notable purchases or sales during the Reporting Period?

A During the Reporting Period, we initiated a Fund position in Exelon, a utility holding company that distributes electricity to customers in Illinois, Pennsylvania and several other northeastern states. We believe Exelon is well positioned because of its scale as a pure-play transmission and distribution company, its differentiated cash flow streams provided by operating in several jurisdictions, and its strong history of working with regulators in difficult jurisdictions toward favorable outcomes.

  We also established a position in Severn Trent, a regulated water utility in the U.K., during the Reporting Period. In our opinion, the company is a best-in-class water utility, as it regularly tops regulators’ rankings. Additionally, we believe Severn Trent is well positioned overall based on a capital investment plan that should drive multi-year earnings growth, in our view.

  Notable sales during the Reporting Period included the Fund’s investment in Digital Realty, a real estate investment trust that owns and operates data centers around the world. We exited the position largely because of issues related to the company’s balance sheet. Although we thought Digital Realty had good growth potential, we considered its valuation quite high, and we decided to step to the sidelines until we saw an attractive entry point for reinvestment.

  We also eliminated the Fund’s position in Martin Marietta Materials, a supplier of aggregates and heavy building materials, as market concerns about the U.S. debt ceiling extension arose. We believed underlying demand and the

  U. S.’ focus on infrastructure would be strong over the long term, but we thought the near-term outlook could be challenging given the headline risks.

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

A The Fund did not use derivatives or similar instruments within its investment process during the Reporting Period.

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

A In constructing the Fund’s portfolio, we focus on picking securities rather than on making sector, subsector or country bets. We seek to outpace the Index by overweighting securities we expect to outperform and underweighting those that we think may lag. Consequently, changes in the Fund’s sector or country weights are generally the direct result of individual security selection and/or the appreciation or depreciation of particular Fund holdings. That said, during the Reporting Period, the Fund became slightly less overweight in the communications infrastructure sector as we trimmed its exposure to telecommunication towers. The Fund remained underweight utilities, though we reduced its exposure to gas utilities and slightly increased its exposure to water utilities. In energy infrastructure, the Fund remained underweight, with a continued emphasis on “C” corporations. The Fund stayed relatively neutral versus the Index in transportation infrastructure, focused mainly on toll roads, during the Reporting Period.

  From a country perspective, compared to the Index, the Fund shifted from an overweight in France to a relatively neutral position. The Fund’s underweight in Hong Kong decreased. In addition, the Fund moved from a slight underweight in the U. K. to a rather neutral position and from a neutral position in Japan to an underweight position. Further, at the beginning of the Reporting Period, the Fund had modest exposure to Germany, but it was eliminated as we exited investments in that country.

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

A At the end of the Reporting Period, the Fund was underweight relative to the Index in the utilities and energy infrastructure sectors. It was overweight the communications infrastructure sector and rather neutrally positioned compared to the Index in the transportation infrastructure sector. In geographic terms, the Fund was overweight relative

  

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PORTFOLIO RESULTS

 

 

 

 

 

 

 

  to the Index in the U.S. and Spain. It was underweight in Canada, Hong Kong and Italy at the end of the Reporting Period.

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

A At the end of the Reporting Period, we noted that the environment for global infrastructure securities has been challenging. However, we believed the stabilization of interest rates should act as a catalyst for the re-rating of these companies, which generally operate with contracted/ regulated cash flows, and for a rebound in their share prices. In our view, the long-term growth story remained intact at the end of the Reporting Period, as the need for critical infrastructure had not subsided. Instead, we thought global infrastructure securities continued to present several attractive opportunities, including:

  1.   Defensive asset class qualities. Because of relatively inelastic demand drivers, higher barriers to entry and relatively long-term contracts, global infrastructure securities generally have less sensitivity to broader equity market volatility. In addition, their performance tends to be less cyclical than some other asset classes given that global infrastructure companies provide access to essential and, at times, critical assets that keep society moving forward. We would also note that over the last ten years, global infrastructure securities have been resilient and defensive in down markets, capturing only 70% of declines versus the broader equity market. ³

  2.   Substantial growth opportunities. A critical need for global grid investment, increased investment into AI and smart components, and a focus on the discovery of renewable sources of energy are some of the long-term secular growth drivers within global infrastructure, in our view.

  3.   Inflation hedging benefits. Infrastructure companies’ cash flows and values tend to increase with inflation due to their ability to reset their revenues, with some of their contracts linked to inflation.

  4.   Potential beneficiary of the global focus on sustainability. Since infrastructure is comprised of essential assets that allow our economy and society to function,

³ Source: Goldman Sachs Asset Management, as of December 31, 2023. Global Infrastructure securities represented by the Index and global equities represented by the MSCI World Index. MSCI World Index is a broad global equity index that represents large and mid-cap equity performance across 23 developed markets countries. It is not possible to invest directly in an unmanaged index. Source: MSCI

  especially when one considers recent global energy market volatility, there can be significant alpha, or value added, opportunities in the energy transition, in our view.

  5.   Potential beneficiary of global fiscal stimulus. Global infrastructure securities may be at the cusp of a multi-year investment cycle amid large, broad fiscal stimulus across most forms of infrastructure. Among the efforts are the $1.2 trillion U.S. Infrastructure Investment and Jobs Act; the European “Green Deal,” which aims to spend between €3-7 trillion on climate neutrality and sustainability by 2050; and spending driven by the U.S. Inflation Reduction Act.

  From an investment perspective, we continued to find attractive opportunities across the asset class, as various property sectors and geographies offered wide dispersion in returns. As fundamental, bottom-up investors, we saw opportunities beyond the headline risks associated with certain regions and continued to focus our approach on companies that we considered to have well-capitalized balance sheets, robust business models, high quality assets, and strong management teams with sound capital allocation strategies.

  Overall, the Fund remained focused on sectors we thought were driven by durable secular demand. We favored infrastructure companies that we believed to be on the “right side” of disruption. In our opinion, rapid disruption is dramatically changing the world and increasing the investment opportunity set within the global infrastructure universe. Within digital infrastructure, we noted that technology breakthroughs have increased demand for storing and transporting data. This, coupled with current pricing power, high barriers to entry and overall increasing mobile data usage, has created an environment wherein data center rent growth is expected to be positive in the medium to long term. Additionally, telecommunication towers appeared to us to have durable growth, backed by long-term contracts for these critical infrastructure assets. Regarding energy infrastructure, we believed the future of energy was likely to be a combination of both traditional and renewable sources. We maintained a positive outlook on energy-related equities based on long-term fundamentals, attractive valuations, healthy corporate balance sheets and the strong free cash flow generation of energy-related companies. Furthermore, we believed addressing the “energy trilemma,” which refers to the global need for reliable, sustainable and affordable energy, would create investment opportunities across the broad energy sector for decades to come. Among utilities, we had a preference for select, innovative utilities that have

  

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  experienced increased demand due to the ongoing energy transition and the electrification of networks and processes, as we thought they were well positioned to drive strong multi-year returns. In particular, we favored companies with low power price exposure, such as electricity networks. We believed power price volatility would be difficult to predict, and the amount of investment needed in the networks to transition the energy mix away from traditional carbon heavy generation to renewable energy would drive durable growth. Within transportation infrastructure at the end of the Reporting Period, we noted that younger consumers—digital natives with different lifestyles and values from previous generations—were driving rapid adoption of e-commerce and fueling demand for experiences over things. In addition, toll roads and leisure airports should continue to experience increased demand in the medium term, in our view.

  At the end of the Reporting Period, we continued to believe that global infrastructure securities offered compelling investment opportunities. In our view, the asset class should continue to offer strong defensive cash flow growth and attractive yield potential, especially compared to the broader global equity market.

  

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FUND BASICS

 

 

Goldman Sachs Global Infrastructure Fund

as of December 31, 2023

TOP TEN HOLDINGS AS OF 12/31/23¹

Holding	% of Net Assets	Line of Business	Country
American Tower Corp. REIT	8.3%	Real Estate	United States
Vinci SA	6.5	Industrials	France
National Grid PLC	5.7	Utilities	United Kingdom
Enbridge, Inc.	5.4	Energy	Canada
Cheniere Energy, Inc.	4.3	Energy	United States
Sempra	4.1	Utilities	United States
Transurban Group	3.8	Industrials	Australia
SBA Communications Corp. REIT	3.5	Real Estate	United States
Cellnex Telecom SA	3.1	Communication Services	Spain
Targa Resources Corp.	2.7	Energy	United States

¹  The top 10 holdings may not be representative of the Fund’s future investments.

FUND VS. BENCHMARK SECTOR ALLOCATIONS²

As of December 31, 2023

²  The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector. allocations may differ from the percentages contained in the graph above. The graph categorizes investments using the Global Industry Classification Standard (“GICS”); however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). Underlying sector allocations of exchange traded funds and other investment companies held by the Fund are not reflected in the graph above. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments.

  For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.

 

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GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND

 

 

Performance Summary

December 31, 2023

The following graph shows the value, as of December 31, 2023 of a $1,000,000 investment made on June 27, 2016 (commencement of operations) in Class R6 Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the Dow Jones Brookfield Global Infrastructure Index (Net, USD, Unhedged) (“the Index”) is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.

Global Infrastructure Fund’s Lifetime Performance

Performance of a $1,000,000 investment, with distributions reinvested, from June 27, 2016 through December 31, 2023.

Average Annual Total Returns through December 31, 2023*	One Year	Five Years	Since Inception
Class A (Commenced on June 27, 2016)
Excluding sales charges	4.78%	7.21%	5.09%
Including sales charges	(0.95)%	6.01%	4.31%
Class C (Commenced on June 27, 2016)
Excluding contingent deferred sales charges	3.95%	6.39%	4.30%
Including contingent deferred sales charges	2.94%	6.39%	4.30%
Institutional (Commenced on June 27, 2016)	5.13%	7.58%	5.48%
Investor (Commenced on June 27, 2016)	5.00%	7.45%	5.34%
Class R6 (Commenced on June 27, 2016)	5.09%	7.57%	5.48%
Class P (Commenced on April 17, 2018)	5.17%	7.60%	5.49%

* These returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.50% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Investor, Class R6 and Class P Shares do not involve sales charge, such a charge is not applied to their Average Annual Total Returns.

  

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PORTFOLIO RESULTS

 

 

Goldman Sachs Global Real Estate Securities Fund

Investment Objective

The Fund seeks total return comprised of long-term growth of capital and dividend income.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Real Estate Securities Investment Team discusses the Goldman Sachs Global Real Estate Securities Fund’s (the “Fund”) performance and positioning for the 12-month period ended December 31, 2023 (the “Reporting Period”).

Q How did the Fund perform during the Reporting Period?

A During the Reporting Period, the Fund’s Class A, Class C, Institutional, Investor, Class R6 and Class P Shares generated average annual total returns, without sales charges, of 12.92%, 12.03%, 13.21%, 13.18%, 13.38% and 13.39%, respectively. These returns compare to the 9.87% average annual total return of the Fund’s benchmark, the FTSE EPRA Nareit Developed Index (USD, net) (the “FTSE Index”) during the same period.

  Effective July 14, 2023, Class R Shares of the Fund were terminated. In anticipation of the termination, effective June 15, 2023, Class R Shares of the Fund were no longer sold to new investors or existing shareholders (except through reinvested dividends) or were eligible for exchanges from other Goldman Sachs Funds. In addition, Class R Shares of the Fund were closed to all new accounts effective on June 15, 2023.

Q What economic and market factors most influenced the global real estate securities market as a whole during the Reporting Period?

A For the Reporting Period overall, the global real estate securities market, as measured by the FTSE Index, rebounded strongly following weakness in 2022.

  The FTSE Index returned 1.0% during the first quarter of 2023, starting the year relatively flat. Stocks remained resilient, benefiting from a dovish shift in expectations for the U.S. Federal Reserve’s (“Fed”) interest rate hiking path, reduced European energy risk and strong economic momentum in China’s reopening. (Dovish tends to suggest lower interest rates; opposite of hawkish.) A decline in yields contributed to growth stocks significantly outperforming value stocks during the quarter, with big technology firms and semiconductor companies leading the way. However,

  turmoil in the banking sector, both in the U.S. and Europe, in March 2023, elevated downside risk to the economic outlook and increased fears about a potential recession.

  During the second quarter of 2023, the FTSE Index returned 0.3%, again remaining relatively flat. The broader global equities market gained more during the quarter, remaining resilient amid an environment of ongoing interest rate hikes. Technology stocks rose on the back of growing interest in artificial intelligence (“AI”), while consumer-oriented stocks remained strong, driven by China’s reopening and dampening global recessionary concerns. Topics front of mind for investors were the potential broad impact of banks tightening lending stands, disinflationary data signaling a potential soft landing, the Fed’s rate hikes slowing down, and resilient consumer spending. (A soft landing, in economics, is a cyclical downturn that avoids recession. It typically describes attempts by central banks to raise interest rates just enough to stop an economy from overheating and experiencing high inflation, without causing a significant increase in unemployment, or a hard landing.)

  The FTSE Index returned -5.8% during the third quarter of 2023. Global equities broadly declined, as most of the world’s largest economies struggled due to rising interest rates, higher than desired inflation and slowed economic growth. Investors became cautious, as the reality of higher for longer interest rates became increasingly likely. Additionally, real estate faced some challenges of its own, impacted by concerns about refinancing in select subsectors. These concerns caused an indiscriminate sell-off within the commercial real estate market, putting downward pressure on sub-sectors with longer duration assets.

  The global real estate securities market rallied strongly in the fourth quarter of 2023, with the FTSE Index posting a return of 15.3%. After the decline in the prior quarter, global equities broadly rebounded, with market sentiment improving

 

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  gradually as the apprehensions around the Fed’s next move slowly shifted to optimism for the potential peaking of interest rates. Return momentum especially picked up in November 2023 after the release of inflation readings, which came in cooler than consensus expected both in the U.S. and the U.K.

  Amid this backdrop, there was wide dispersion of returns across companies and property types during the Reporting Period. While all but one subsector of the FTSE Index posted positive absolute returns, the technology subsector was by far the strongest on a relative basis. The technology subsector was strongest, following tough performance in 2022, due in part to interest rate increases during the Reporting Period. Data centers saw steady growth and tight supply, which led to strong pricing. Additionally, technology REITs benefited from tailwinds stemming from increasing focus on AI innovation. The self-storage and industrial subsectors also performed well during the Reporting Period, significantly outperforming the FTSE Index. On the other hand, the triple net subsector was the only one in the FTSE Index to post a negative absolute return during the Reporting Period. (Triple net properties are typically single-tenant retail properties leased to tenants with high credit ratings on “net, net, net” terms, meaning the tenant is responsible for real estate taxes, insurance, and all maintenance.) Triple net properties tend to be externally-driven vehicles with a focus on buying high yielding assets, i.e., higher than their cost of capital, and, in our view, can be risky investments in a rising cost of capital environment, especially since they tend to have low internal growth. The office and diversified subsectors posted positive, albeit modest, returns but were also among the weakest within the FTSE Index during the Reporting Period.¹

  From a regional perspective, the European real estate market in the FTSE Index was strongest during the Reporting Period, while Asia ex-Japan was weakest. At an individual country level, Germany was the strongest real estate market in the FTSE Index during the Reporting Period, advancing on the back of commentary that values in the German residential subsector were stabilizing, while underlying demand and rental growth remained robust. The real estate markets of Spain, the U.K. and the U.S. also performed strongly during the Reporting Period. Conversely, Hong Kong was the weakest performing real estate market in the FTSE Index and the only one to post a negative absolute return during the Reporting Period. Its weakness was based on investor concerns about ongoing pressure on the Hong Kong economy and real estate market from the persistent weakness of China’s export trade and consumption as well

  as Hong Kong interest rates staying higher for longer. Japan and Singapore’s real estate markets posted positive, albeit modest, returns but were also among the weakest within the FTSE Index during the Reporting Period.

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

A The Fund posted double-digit positive absolute returns that outperformed the FTSE Index during the Reporting Period. Stock selection and subsector allocation overall contributed most positively. Country allocation decisions as a whole also contributed positively, albeit modestly.

  From a country perspective, stock selection in the U.S., Hong Kong and the U.K. contributed most positively to relative results. Only partially offsetting these positive contributors was stock selection in Germany, which detracted. Having underweighted allocations to France and Sweden, which each outperformed the FTSE Index during the Reporting Period, also hurt.

  From a subsector perspective, stock selection in diversified, residential and health care contributed most positively to the Fund’s relative results during the Reporting Period. Having an underweighted allocation to triple net, the weakest subsector in the FTSE Index during the Reporting Period, also added value. On the other hand, stock selection in self-storage, retail and technology detracted from the Fund’s relative results during the Reporting Period. Having a position in cash, although modest, during a Reporting Period when the FTSE Index rallied, also dampened the Fund’s relative results.

Q What were some of the Fund’s best-performing individual holdings?

A Link Real Estate Investment Trust (“Link”), a Hong Kong-based shopping center owner, contributed most positively to the Fund’s results during the Reporting Period. A new position for the Fund during the Reporting Period, the Fund held a significant underweight position in Link until the end of August 2023, when we brought it to a neutral position. We increased the position after reviewing its valuation, which had reached a reasonably low level, in our analysis. Also, the company had experienced resilient tenant sales within its retail portfolio despite a slowdown in outbound travel. Additionally, having completed its Singapore retail asset

¹ Sector and subsector allocations are defined by Goldman Sachs Asset Management and may differ from sector and subsector allocations used by the FTSE Index.

  

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  acquisition by fiscal year 2023, the company reported a pickup in demand, as tenant sales there had largely recovered to pre-pandemic levels across its malls.

  The Fund’s position in Digital Realty Trust, a leading U.S.-based global provider of data center, colocation and interconnection solutions, was also a top contributor to relative results during the Reporting Period. Digital Realty Trust performed well on the back of its stock being flagged as a beneficiary of the computing requirements necessary to drive AI. The company noted an increasing appreciation of the benefit data centers would see from the proliferation of AI technology adoption—the servers that are needed to perform the computing would likely be housed in data centers, resulting in an increase in pricing growth for the REIT’s stock.

  Shaftesbury Capital, a U.K.-based property investment manager, contributed positively to the Fund’s relative results as well. The company performed well during the Reporting Period as a strong recovery within the central London retail space enabled the West End of London-focused property manager to increase rents.

Q Which positions detracted significantly from the Fund’s performance during the Reporting Period?

A The Fund’s position in Hongkong Land Holdings, a Hong Kong-based property manager, detracted most from relative results during the Reporting Period. Hong Kong dollar deposits and interbank rates finally caught up to the U.S., rising from 3.5% since the beginning of May 2023 to 5% at the end of June 2023, reflecting a sign of portfolio capital flight after China’s economy evidently slowed. These concerns weighed on the market and caused a further tightening in Hong Kong monetary policies, which, in turn, impacted Hongkong Land Holdings and other Hong Kong-based real estate securities during the Reporting Period. Hongkong Land Holdings’ weak performance was also driven by high vacancies in prime office space in Hong Kong.

  UDR, a self-administered U.S. REIT focused on owning, operating and developing apartment communities, was a new purchase for the Fund during the Reporting Period. UDR has an extensive portfolio of modern apartments, houses and residential properties across the U.S. We initiated the position based on its diversified portfolio, with exposure to both coastal and Sunbelt regions, and its ability to maintain stable margins. However, UDR detracted from the Fund’s relative returns during the Reporting Period, adversely impacted by slower revenue growth due to lower levels of job growth

  and higher levels of new supply within the Sunbelt region. Growing expense pressures from higher real estate taxes, utilities and insurance also pressured UDR’s stock during the Reporting Period.

  An overweight position in Nippon Prologis REIT, a Japanese large-scale logistics warehouse REIT backed by Prologis, also detracted from the Fund’s relative results during the Reporting Period. While the REIT’s portfolio remained healthy, the market appeared concerned about rising vacancy rates in the logistics market due to new supply. Additionally, the market became cautious on potential equity offerings by logistics Japanese REITs.

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

A The Fund did not use derivatives during the Reporting Period.

Q Did the Fund make any significant purchases or sales during the Reporting Period?

A In addition to those new purchases already mentioned, we re-initiated a Fund position in CubeSmart, a U.S. self-storage facility REIT, during the Reporting Period. Self-storage is one of the best long-term businesses among REITs, in our opinion, and we believe CubeSmart has a solid portfolio composed of newer products that should be optimized during the next two to three years. Its market exposure in New York City is a niche in the self-storage space, which should prove beneficial, as we believe supply will likely start to decrease in 2024.

  We established a Fund position in Kimco Realty, a U.S.- based REIT focused on investing in shopping centers, during the Reporting Period. We initiated the position in late 2023 given what we saw as its attractive valuation, since it had underperformed its peers and the overall REIT market through most of the calendar year. Investors had been concerned about Kimco Realty’s planned acquisition of RPT Realty, announced in September 2023. We thought the acquisition would prove to be more accretive to Kimco Realty’s cash flow than the market was forecasting.

  Conversely, we eliminated the Fund’s position in Terreno Realty during the Reporting Period. Terreno Realty is a U.S. REIT focused on the acquisition, management and ownership of industrial properties. Regionally, it focuses exclusively on six major U.S. coastal markets. Such a concentration drove us to be concerned about the underlying fundamentals in some of its markets. We chose to rotate instead into other industrial REITs.

  

  11

PORTFOLIO RESULTS

 

 

 

 

 

 

 

  We exited the Fund’s position in Public Storage, a U.S.-based self-storage operator, due to what we saw as its unfavorable valuation. We decided to reallocate to more attractive names, in our view, within the self-storage sector, such as CubeSmart.

Q Were there any changes made in the Fund’s investment strategy during the Reporting Period?

A In constructing the Fund’s portfolio, we focus on picking securities rather than on making regional, country or subsector bets. We seek to outpace the benchmark index by overweighting stocks that we expect to outperform and underweighting those that we think may lag. Consequently, changes in its regional or subsector weights are generally the direct result of individual stock selection or of real estate securities’ appreciation or depreciation. That said, the Fund’s exposure to Canada, Spain and the U.K. increased relative to the FTSE Index and its exposure to Ireland was eliminated during the Reporting Period.

Q How was the Fund positioned relative to its benchmark index at the end of the Reporting Period?

A From a country perspective, the Fund was overweighted relative to the FTSE Index in the U.K. and Spain and rather neutrally weighted compared to the FTSE Index in the other constituent countries of the FTSE Index at the end of December 2023.

Q Were there any changes to the Fund’s portfolio management team during the Reporting Period?

A There were no changes to the Fund’s portfolio management team during the Reporting Period.

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

A While the global real estate securities market had a tough start to 2023, the sector ended the year strongly. At the end of the Reporting Period, we believed there were several upcoming catalysts that should buoy performance going forward. These include stabilization of the interest rate environment, which should be key for the telecommunications tower stocks, which were already trading at compelling valuations at the end of the calendar year. Clarity into when we will see rate hikes end also provides insight into financing for real estate, which should add stabilization in real asset prices, in our view. When looking at historical data, real estate tends to outperform other asset classes after the end of a target hiking period. Additionally,

  with some estimates showing interest rate cuts beginning as early as the second quarter of 2024, the yield real estate can provide will likely become more attractive, in our opinion.

  From a valuation perspective, real estate was attractively valued compared to the broader U.S. equity market at the end of the Reporting Period, in our view. We believed this, coupled with the forward performance at the completion of rate hikes, makes it a compelling opportunity to gain access to the real estate market at a discount. Public markets were still more attractively valued than private markets at the end of the Reporting Period. Also, several of the subsectors in the U.S. REIT market, like lab office, data centers, towers, self-storage and more, have become a bigger piece of the public real estate market and maintain stronger underlying fundamentals, in our analysis.

  All that said, not all companies and property types will perform equally, making a compelling case, we believe, for active management. For example, less business is taking place in brick and mortar retail stores, offices and business-oriented hotels. More is being done digitally, which the towers and digital storage REITS are helping facilitate. Net Zero ambitions, aging grid systems, and an increased need for grid capacity have been highlighting the critical need for global grid infrastructure. Innovation trends underpinning biotechnology are driving demand for life science office space. The definition of “home” has become expansive and is now captured across each stage of life—student housing, multi-family, single family rental, manufactured housing and senior housing.

  Given the market environment seen at the end of the Reporting Period, we viewed real estate as increasingly attractive based on the asset class offering historically strong performance after a period of interest rate hikes and historically strong performance during economic recoveries. Select REITs, in our view, stand to benefit in an inflationary environment, unlike bonds, since rents and leases can be re-set higher to reflect higher consumer prices so long as the inflation is tied to an improving economy. Additionally, rising inflation leads to increased input costs to manufacturing, labor and construction. This limits the amount of new development projects—redirecting demand to existing assets and making them more valuable and driving rents higher still.

  Going forward, we intend to stay true to our quality-first investment approach and seek to invest in businesses with healthy balance sheets, relatively stable cash flows and differentiated business models aligned to secular tailwinds.

  

12  

PORTFOLIO RESULTS

 

 

 

 

 

 

 

  We continue to test our models and re-evaluate our assumptions with increasing information, staying focused on the long-term investment horizon. We believe this fundamental approach can generate strong returns in the long term.

  Overall, we believe global REITs can continue to offer attractive liquidity and risk-adjusted total returns given the yield, growth, diversification and inflation-hedging benefits the asset class has historically exhibited. On a stock level, we believe attractive opportunities may be found across the sector, as various property subsectors and geographies could offer wide dispersions in returns. As fundamental, bottom-up investors, we see opportunities beyond the headline risks associated with certain regions and intend to continue to focus our approach on those companies that have well-capitalized balance sheets and that possess quality attributes, such as a robust business model, a high quality asset exposure and a strong management team with a sound capital allocation strategy.

  

  13

FUND BASICS

 

 

Goldman Sachs Global Real Estate Securities Fund

as of December 31, 2023

TOP TEN HOLDINGS AS OF 12/31/23¹

Holding	% of Net Assets	Line of Business	Country
Prologis, Inc. REIT	8.4%	Real Estate	United States
Equinix, Inc. REIT	5.1	Real Estate	United States
Welltower, Inc. REIT	3.4	Real Estate	United States
VICI Properties, Inc. REIT	2.8	Real Estate	United States
CubeSmart REIT	2.8	Real Estate	United States
AvalonBay Communities, Inc. REIT	2.7	Real Estate	United States
Extra Space Storage, Inc. REIT	2.6	Real Estate	United States
Alexandria Real Estate Equities, Inc. REIT	2.3	Real Estate	United States
Invitation Homes, Inc. REIT	2.2	Real Estate	United States
Mitsui Fudosan Co. Ltd.	2.0	Real Estate	Japan

¹  The top 10 holdings may not be representative of the Fund’s future investments.

FUND VS. BENCHMARK COUNTRY ALLOCATIONS²

As of December 31, 2023

²  The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall country allocations may differ from percentages contained in the graph above. The percentage shown for each country reflects the value of investments in that country as a percentage of market value. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities. Sector, subsector, region and country allocations throughout this shareholder report are defined by Goldman Sachs Asset Management and may differ from sector, subsector, region and country allocations used by the FTSE Index.

  For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.

  

14  

GOLDMAN SACHS GLOBAL REAL ESTATE SECURITIES FUND

 

 

Performance Summary

December 31, 2023

The following graph shows the value as of December 31, 2023, of a $1,000,000 investment made on August 31, 2015 (commencement of operations) in Class R6 Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the FTSE EPRA Nareit Developed Index (Net, USD, Unhedged) (with dividends reinvested), is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www. GSAMFUNDS.com to obtain the most recent month-end returns.

Global Real Estate Securities Fund’s Lifetime Performance

Performance of a $1,000,000 investment, with distributions reinvested, from August 31, 2015 through December 31, 2023.

Average Annual Total Returns through December 31, 2023*	One Year	Five Years	Since Inception
Class A (Commenced on August 31, 2015)
Excluding sales charges	12.92%	3.20%	2.96%
Including sales charges	6.66%	2.04%	2.27%
Class C (Commenced on August 31, 2015)
Excluding contingent deferred sales charges	12.03%	2.41%	2.19%
Including contingent deferred sales charges	11.02%	2.41%	2.19%
Institutional (Commenced on August 31, 2015)	13.21%	3.56%	3.35%
Investor (Commenced on August 31, 2015)	13.18%	3.45%	3.21%
Class R6 (Commenced on August 31, 2015)	13.38%	3.60%	3.37%
Class P (Commenced on April 17, 2018)	13.39%	3.58%	2.64%

* These returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.50% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Investor, Class R6 and Class P Shares do not involve sales charge, such a charge is not applied to their Average Annual Total Returns.

For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.

 

  15

PORTFOLIO RESULTS

 

 

Goldman Sachs Real Estate Securities Fund

Investment Objective

The Fund seeks total return comprised of long-term growth of capital and dividend income.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Real Estate Securities Investment Team discusses the Goldman Sachs Real Estate Securities Fund’s (the “Fund”) performance and positioning for the 12-month period ended December 31, 2023 (the “Reporting Period”).

Q How did the Fund perform during the Reporting Period?

A During the Reporting Period, the Fund’s Class A, Class C, Institutional, Service, Investor, Class R6, Class R and Class P Shares generated average annual total returns, without sales charges, of 16.58%, 15.63%, 16.92%, 16.34%, 16.91%, 17.04%, 16.26% and 16.94%, respectively. These returns compare to the 16.19% average annual total return of the Fund’s benchmark, the Wilshire Real Estate Securities Index (with dividends reinvested) (the “Wilshire Index”) during the same period.

Q What economic and market factors most influenced the U.S. real estate securities market as a whole during the Reporting Period?

A The U.S. real estate securities market, as represented by the Wilshire Index, posted a return of 16.19% for the Reporting Period, outperforming bonds but lagging U.S. equities broadly, as measured by the Bloomberg U.S. Aggregate Bond Index and S&P 500 Index, respectively.

  Following a weak 2022, the U.S. real estate investment trusts (“REITs”) market rallied strongly in 2023 but was pressured by its sensitivity to the cost of borrowing and refinancing rates amid the U.S. Federal Reserve’s (“Fed”) tightening cycle.

  During the first quarter of 2023, the Wilshire Index returned 3.4%, rebounding from 2022 though underperforming the broader U.S. equity market. The REIT market performed well early in the quarter, largely on the back of heightened optimism surrounding disinflationary signals in economic data. However, gains from January and February were somewhat given back in March after concerns surfaced around potential spillover effects to commercial real estate from the regional bank crisis.

  The Wilshire Index returned 3.3% during the second quarter of 2023. During the quarter, the listed U.S. real estate market was focused on heightened support around disinflation and soft landing narratives, enhanced artificial intelligence (“AI”) optimism and resilient consumer spending. (A soft landing, in economics, is a cyclical downturn that avoids recession. It typically describes attempts by central banks to raise interest rates just enough to stop an economy from overheating and experiencing high inflation, without causing a significant increase in unemployment, or a hard landing.) Housing data pivoted from an obstacle to a tailwind for the soft landing theme, with housing starts and builder confidence reaching their highest respective levels in more than a year.

  During the third quarter of 2023, the Wilshire Index returned -6.4%. Although economic activity remained resilient, the listed U.S. real estate market declined predominantly due to a pickup in soft landing concerns, surging energy prices and disinflationary pressures on corporate earnings. Firms continued to juggle challenges regarding margin compression and top-line growth from rising costs, a reduction in consumer spending and an increase in interest expenses.

  The Wilshire Index rose 16.3% during the fourth quarter of 2023, outperforming the broader U.S. equity market for the first time in the calendar year. U.S. equity markets began the quarter with negative momentum, as investors digested a more resilient than consensus expected U.S. economy and a higher for longer Fed interest rate regime. The U.S. equity market then shifted direction in November and December to end the year with gains. The month of November saw the most significant easing in financial conditions of any month in more than four decades. Market sentiment took a positive turn on the back of an overall shift in tonality from Fed officials, who signaled potential easing of monetary policy in 2024, a gradual cooldown in economic activity while the labor market remained resilient, and a rally across U.S. Treasuries that marked one of the best monthly

  

16  

PORTFOLIO RESULTS

 

 

 

 

 

 

 

  performances on record, all underpinning soft landing and disinflation traction themes. The Fed held interest rates unchanged throughout the quarter, maintaining the target range for the federal funds rate between 5.25% and 5.50%, as growth of the U.S. economy slowed, unemployment remained low despite abating job gains, and inflationary pressures continued to trend downward. Near the end of the quarter, there was a major shift in the Fed’s policy path expectations, with the Summary of Economic Projections median dot plot signaling 75 basis points of rate cuts in 2024. (The Fed’s dot plot shows the interest rate projections of the members of the Federal Open Market Committee. A basis point is 1/100th of percentage point.)

  For the Reporting Period overall, the technology, hotel and industrial subsectors were strongest. The technology subsector was strongest, following tough performance in 2022, due in part to interest rate increases during the Reporting Period. Data centers saw steady growth and tight supply, which led to strong pricing. Additionally, technology REITs benefited from tailwinds stemming from increasing focus on AI innovation. Conversely, the office and residential subsectors were weakest and the only two subsectors to underperform the Wilshire Index during the Reporting Period. Office REITs were weakest, declining based on market concerns about tightening credit/financing conditions and vacancy/occupancy levels.

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

A Most share classes of the Fund outperformed the Wilshire Index during the Reporting Period, attributable to a combination of allocation decisions and stock selection overall.

  Contributing most positively to the Fund’s relative results was effective individual stock selection in the residential, hotel and industrial subsectors. Having underweighted allocations to the residential and office subsectors, which each lagged the Wilshire Index during the Reporting Period, and an overweighted allocation to the hotel subsector, which outperformed the Wilshire Index during the Reporting Period, also helped. Only partially offsetting these positive contributors was weak stock selection in the self-storage, retail and technology subsectors, which detracted. Having an underweighted allocation to the retail subsector, which outperformed the Wilshire Index during the Reporting Period, also hurt.

  From a subsector perspective, stock selection in diversified, retail and health care detracted most from the Fund’s relative results during the Reporting Period. Having underweighted allocations to the diversified, triple net and retail subsectors, which each outperformed the FTSE Index during the Reporting Period, also hurt. Contributing most positively to relative results was having an overweighted allocation to the hotel subsector, the only subsector to boost the Fund’s relative results during the Reporting Period. Having a position in cash, although modest, during a Reporting Period when the FTSE Index sharply declined, also buoyed the Fund’s relative results.

Q What were some of the Fund’s best-performing individual holdings?

A The Fund’s position in Camden Property Trust, a REIT focused on the ownership, management and development of multifamily apartment communities, was the top contributor to the Fund’s relative results during the Reporting Period. We had exited the Fund’s position in the REIT toward the beginning of 2023 given our concerns around increasing and new supply coming to market. We redeployed the proceeds of the sale into single-family rental and coastal multifamily residential REITs, where the fundamental backdrop appeared, in our view, to be stronger. This disciplined stock selection strategy proved beneficial, as Camden Property Trust subsequently underperformed the residential sector by 15% and the overall REIT market by approximately 18% during the Reporting Period.

  Similarly, the Fund’s underweighted position in Mid-America Apartment Communities, a real estate developer of quality apartment communities in high growth Sunbelt and Midwest regions of the U.S., contributed positively to its relative results during the Reporting Period. The Fund benefited from the underweight position, as the REIT was impacted negatively by slower revenue growth, due, in turn, to lower levels of job growth and higher levels of new supply within the Sunbelt region as well as growing expense pressures from higher real estate taxes, utilities and insurance.

  The Fund’s overweight position in Ryman Hospitality Properties, a leading lodging and hospitality REIT that specializes in upscale convention center resorts and country music entertainment experiences, was also a top contributor to relative results during the Reporting Period. Its shares posted a robust double-digit gain during the Reporting Period, outperforming both the hotel REIT subsector and the broader U.S. REIT market. Throughout 2023, Ryman Hospitality Properties generated earnings results that were

  

  17

PORTFOLIO RESULTS

 

 

 

 

 

 

 

  better than its peers given its outsized exposure to the group hotel segment, which continued to outperform both leisure and corporate travel.

Q What were some of the Fund’s weakest- performing individual holdings?

A The Fund’s overweight position in CubeSmart, a self-storage facility REIT and a new purchase for the Fund, detracted most from the Fund’s results during the Reporting Period. Self-storage REITs broadly faced cyclical headwinds stemming from higher interest rates, which, in turn, reduced housing turnover. This low turnover impacted CubeSmart given that approximately 30% of its customers come from this cohort. Additionally, CubeSmart faced a decline in occupancy and move-in rents and an increase in expenses. Although the stock experienced a few headwinds, at the end of the Reporting Period, we believed the company continued to trade at an attractive valuation.

  Alexandria Real Estate Equities, the largest owner of life science office space, also detracted from the Fund’s relative performance during the Reporting Period. The REIT was affected by the broader office REIT downturn in 2023, but we believed the demand for life science space would continue to be strong during the coming years, fueled by drug research and innovation. Indeed, at the end of the Reporting Period, we believed the life science office space was relatively immune to the work-from-home trends, as it is not possible to collaborate with others to research and create new drugs from one’s home. New permits and new builds had essentially stopped during the Reporting Period given the rising cost of capital. Thus, with vacancies in three primary life science clusters remaining low, we believed rents should remain relatively firm going forward.

  UDR, a self-administered REIT focused on owning, operating and developing apartment communities, was a new purchase for the Fund during the Reporting Period. UDR has an extensive portfolio of modern apartments, houses and residential properties across the U.S. We initiated the position based on its diversified portfolio, with exposure to both coastal and Sunbelt regions, and its ability to maintain stable margins. However, UDR detracted from the Fund’s relative returns during the Reporting Period, adversely impacted by slower revenue growth due to lower levels of job growth and higher levels of new supply within the Sunbelt region. Growing expense pressures from higher real estate taxes, utilities and insurance also pressured UDR’s stock during the Reporting Period.

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

A The Fund did not use derivatives during the Reporting Period.

Q Did the Fund make any significant purchases or sales during the Reporting Period?

A In addition to those new purchases already mentioned, we established a Fund position in Kimco Realty, a REIT focused on investing in shopping centers, during the Reporting Period. We initiated the position in late 2023 given what we saw as its attractive valuation, since it had underperformed its peers and the overall REIT market through most of the calendar year. Investors had been concerned about Kimco Realty’s planned acquisition of RPT Realty, announced in September 2023. We thought the acquisition would prove to be more accretive to Kimco Realty’s cash flow than the market was forecasting.

  Conversely, in addition to the sale of Camden Property Trust, mentioned earlier, we eliminated the Fund’s position in Terreno Realty during the Reporting Period. Terreno Realty is a REIT focused on the acquisition, management and ownership of industrial properties. Regionally, it focuses exclusively on six major U.S. coastal markets. Such a concentration drove us to be concerned about the underlying fundamentals in some of its markets. We chose to rotate instead into other industrial REITs.

  We sold the Fund’s position in HealthCare Realty Trust, a health care REIT, during the Reporting Period. We exited the name to consolidate the Fund’s positions into health care REITs in which we held more conviction.

Q Were there any changes made in the Fund’s investment strategy during the Reporting Period?

A In constructing the Fund’s portfolio, we focus on picking securities rather than on making real estate subsector bets. We seek to outpace the benchmark index by overweighting stocks that we expect to outperform and underweighting those that we think may lag. Consequently, changes in its real estate subsector weights are generally the direct result of individual stock selection or of real estate securities’ appreciation or depreciation. That said, during the Reporting Period, the Fund’s exposure to the retail, office and residential subsectors increased relative to the Wilshire Index and its exposure to the technology and health care subsectors decreased relative to the Wilshire Index. The Fund’s position in cash also decreased during the Reporting Period.

  

18  

PORTFOLIO RESULTS

 

 

 

 

 

 

 

Q How was the Fund positioned relative to its benchmark index at the end of the Reporting Period?

A From a subsector perspective, the Fund had overweighted exposure compared to the Wilshire Index in the technology and hotel subsectors and had underweighted exposure compared to the Wilshire Index in the retail and health care subsectors. The Fund was rather neutrally weighted in the self-storage, industrials, office and residential subsectors of the Wilshire Index at the end of the Reporting Period.

Q Were there any changes to the Fund’s portfolio management team during the Reporting Period?

A There were no changes to the Fund’s portfolio management team during the Reporting Period.

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

A While the U.S. listed real estate market had a tough start to 2023, the sector ended the year strongly. At the end of the Reporting Period, we believed there were several upcoming catalysts that should buoy performance going forward. These include stabilization of the interest rate environment, which should be key for the telecommunications tower stocks, which were already trading at compelling valuations at the end of the calendar year. Clarity into when we will see rate hikes end also provides insight into financing for real estate, which should add stabilization in real asset prices, in our view. When looking at historical data, real estate tends to outperform other asset classes after the end of a target hiking period. Additionally, with some estimates showing interest rate cuts beginning as early as the second quarter of 2024, the yield real estate can provide will likely become more attractive, in our opinion.

  From a valuation perspective, real estate was attractively valued compared to the broader U.S. equity market at the end of the Reporting Period, in our view. We believed this, coupled with the forward performance at the completion of rate hikes, makes it a compelling opportunity to gain access to the real estate market at a discount. Public markets were still more attractively valued than private markets at the end of the Reporting Period. Also, several of the subsectors in the U.S. REIT market, like lab office, data centers, towers, self-storage and more, have become a bigger piece of the public real estate market and maintain stronger underlying fundamentals, in our analysis.

  All that said, not all companies and property types will perform equally, making a compelling case, we believe, for active management. For example, less business is taking place in brick and mortar retail stores, offices and business-oriented hotels. More is being done digitally, which the towers and digital storage REITS are helping facilitate. Net Zero ambitions, aging grid systems, and an increased need for grid capacity have been highlighting the critical need for global grid infrastructure. Innovation trends underpinning biotechnology are driving demand for life science office space. The definition of “home” has become expansive and is now captured across each stage of life—student housing, multi-family, single family rental, manufactured housing and senior housing.

  Given the market environment seen at the end of the Reporting Period, we viewed real estate as increasingly attractive based on the asset class offering historically strong performance after a period of interest rate hikes and historically strong performance during economic recoveries. Select REITs, in our view, stand to benefit in an inflationary environment, unlike bonds, since rents and leases can be re-set higher to reflect higher consumer prices so long as the inflation is tied to an improving economy. Additionally, rising inflation leads to increased input costs to manufacturing, labor and construction. This limits the amount of new development projects—redirecting demand to existing assets and making them more valuable and driving rents higher still.

  Going forward, we intend to stay true to our quality-first investment approach and seek to invest in businesses with healthy balance sheets, relatively stable cash flows and differentiated business models aligned to secular tailwinds. We continue to test our models and re-evaluate our assumptions with increasing information, staying focused on the long-term investment horizon. We believe this fundamental approach can generate strong returns in the long term.

  Overall, we believe REITs can continue to offer attractive liquidity and risk-adjusted total returns given the yield, growth, diversification and inflation-hedging benefits the asset class has historically exhibited. On a stock level, we believe attractive opportunities may be found across the sector, as various property subsectors could offer wide dispersions in returns. As fundamental, bottom-up investors, we see opportunities beyond the headline risks associated with certain regions and intend to continue to focus our approach on those companies that have well-capitalized

  

  19

PORTFOLIO RESULTS

 

 

 

 

 

 

 

  balance sheets and that possess quality attributes, such as a robust business model, a high quality asset exposure and a strong management team with a sound capital allocation strategy.

  Sector and subsector allocations throughout this shareholder report are defined by Goldman Sachs Asset Management and may differ from sector and subsector allocations used by the FTSE Index.

  

20  

FUND BASICS

 

 

Goldman Sachs Real Estate Securities Fund

as of December 31, 2023

TOP TEN HOLDINGS AS OF 12/31/23¹

Holding	% of Net Assets	Line of Business	Country
Prologis, Inc. REIT	15.9%	Real Estate	United States
Equinix, Inc. REIT	9.9	Real Estate	United States
Welltower, Inc. REIT	6.1	Real Estate	United States
Extra Space Storage, Inc. REIT	5.6	Real Estate	United States
AvalonBay Communities, Inc. REIT	4.4	Real Estate	United States
Simon Property Group, Inc. REIT	4.3	Real Estate	United States
Alexandria Real Estate Equities, Inc. REIT	3.7	Real Estate	United States
Digital Realty Trust, Inc. REIT	3.5	Real Estate	United States
Public Storage REIT	3.3	Real Estate	United States
Invitation Homes, Inc. REIT	3.3	Real Estate	United States

¹  The top 10 holdings may not be representative of the Fund’s future investments.

FUND VS. BENCHMARK SECTOR ALLOCATIONS²

As of December 31, 2023

²  The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the graph above. The graph categorizes investments using Global Industry Classification Standard (“GICS”); however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities.

  For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.

 

  21

GOLDMAN SACHS REAL ESTATE SECURITIES FUND

 

 

Performance Summary

December 31, 2023

The following graph shows the value as of December 31, 2023, of a $1,000,000 investment made on January 1, 2014 in Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the Wilshire U.S. Real Estate Securities Index, is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.

Real Estate Securities Fund’s 10 Year Performance

Performance of a $1,000,000 investment, with distributions reinvested, from January 1, 2014 through December 31, 2023.

Average Annual Total Returns through December 31, 2023*	One Year	Five Years	Ten Years	Since Inception
Class A
Excluding sales charges	16.58%	6.95%	6.65%	—
Including sales charges	10.12%	5.75%	6.06%	—
Class C
Excluding contingent deferred sales charges	15.63%	6.15%	5.86%	—
Including contingent deferred sales charges	14.59%	6.15%	5.86%	—
Institutional	16.92%	7.33%	7.06%	—
Service	16.34%	6.82%	6.53%	—
Investor	16.91%	7.22%	6.93%	—
Class R6 (Commenced on July 31, 2015)	17.04%	7.34%	—	5.12%
Class R	16.26%	6.67%	6.39%	—
Class P (Commenced on April 17, 2018)	16.94%	7.35%	—	6.66%

* These returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.50% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Service, Investor, Class R6, Class R and Class P Shares do not involve sales charge, such a charge is not applied to their Average Annual Total Returns.

  

22  

FUND BASICS

 

 

Index Definitions

 

 

 

The Dow Jones Brookfield Global Infrastructure Index (Net, USD, Unhedged) intends to measure the stock performance of pureplay infrastructure companies domiciled globally. The index covers all sectors of the infrastructure market. Components are required to have more than 70% of cash flows derived from infrastructure lines of business. It is not possible to invest directly in an index.

The FTSE EPRA Nareit Developed Index (Net, USD, Unhedged) is designed to track the performance of listed real estate companies and REITs worldwide. By making the index constituents free-float adjusted, liquidity, size and revenue screened, the series is suitable for use as the basis for investment products, such as derivatives and Exchange Traded Funds (ETFs). The figures do not reflect any fees or expenses. It is not possible to invest directly in an index.

The Wilshire U.S. Real Estate Securities Index is an unmanaged market capitalization-weighted index comprised of publicly traded REITs and real estate operating companies. The figures do not reflect any fees or expenses. It is not possible to invest directly in an index.

  

23

GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND

 

Schedule of Investments

December 31, 2023

 

 

Shares	Description	Value
Common Stocks – 97.9%
Australia – 3.8%
813,395	Transurban Group (Transportation)	$	7,600,675
Canada – 14.1%
302,917	Enbridge, Inc. (Energy)		10,904,601
23,036	Fortis, Inc. (Utilities)		947,657
106,457	Hydro One Ltd. (Utilities)(a)		3,189,572
104,789	Keyera Corp. (Energy)		2,533,030
69,870	Northland Power, Inc. (Utilities)		1,269,213
121,256	Pembina Pipeline Corp. (Energy)		4,174,709
139,092	TC Energy Corp. (Energy)		5,433,306
			28,452,088
China – 1.5%
265,000	ENN Energy Holdings Ltd. (Utilities)		1,956,879
1,254,000	Jiangsu Expressway Co. Ltd., Class H (Transportation)		1,128,343
			3,085,222
France – 7.8%
97,071	Engie SA (Utilities)		1,710,032
30,479	Veolia Environnement SA (Utilities)		963,340
104,977	Vinci SA (Capital Goods)		13,210,860
			15,884,232
Italy – 1.0%
518,610	Enav SpA (Transportation)(a)		1,969,850
Japan – 0.7%
71,600	Osaka Gas Co. Ltd. (Utilities)		1,494,612
Spain – 6.4%
25,335	Aena SME SA (Transportation)(a)		4,598,586
159,713	Cellnex Telecom SA (Telecommunication Services)*(a)		6,288,381
164,889	Iberdrola SA (Utilities)		2,162,813
			13,049,780
United Kingdom – 7.5%
861,749	National Grid PLC (Utilities)		11,608,909
109,617	Severn Trent PLC (Utilities)		3,604,706
			15,213,615
United States – 55.1%
72,584	AES Corp. (The) (Utilities)		1,397,242
20,955	Ameren Corp. (Utilities)		1,515,885
77,560	American Tower Corp. REIT (Equity Real Estate Investment Trusts (REITs))		16,743,653
21,285	American Water Works Co., Inc. (Utilities)		2,809,407
29,782	Atmos Energy Corp. (Utilities)		3,451,734
130,752	CenterPoint Energy, Inc. (Utilities)		3,735,585
51,312	Cheniere Energy, Inc. (Energy)		8,759,472
41,599	CMS Energy Corp. (Utilities)		2,415,654

Shares	Description	Value
Common Stocks – (continued)
United States – (continued)
22,155	Consolidated Edison, Inc. (Utilities)	$	2,015,440
46,409	Crown Castle, Inc. REIT (Equity Real Estate Investment Trusts (REITs))		5,345,853
60,124	DT Midstream, Inc. (Energy)		3,294,795
33,766	Edison International (Utilities)		2,413,931
1,232	Equinix, Inc. REIT (Equity Real Estate Investment Trusts (REITs))		992,240
66,914	Eversource Energy (Utilities)		4,129,932
101,331	Exelon Corp. (Utilities)		3,637,783
131,272	Ferrovial SE (Capital Goods)		4,791,544
122,314	Kinder Morgan, Inc. (Energy)		2,157,619
61,272	Kodiak Gas Services, Inc. (Energy)		1,230,342
2,349	Linde PLC (Materials)		964,758
40,425	NextEra Energy, Inc. (Utilities)		2,455,414
49,371	ONEOK, Inc. (Energy)		3,466,832
226,603	PG&E Corp. (Utilities)		4,085,652
27,876	SBA Communications Corp. REIT (Equity Real Estate Investment Trusts (REITs))		7,071,862
111,597	Sempra (Utilities)		8,339,644
63,583	Targa Resources Corp. (Energy)		5,523,455
24,252	WEC Energy Group, Inc. (Utilities)		2,041,291
136,263	Williams Cos., Inc. (The) (Energy)		4,746,040
32,147	Xcel Energy, Inc. (Utilities)		1,990,221
			111,523,280
TOTAL COMMON STOCKS (Cost $157,033,822)			198,273,354
Shares	Dividend Rate	Value
Investment Company – 0.9%(b)
Goldman Sachs Financial Square Government Fund - Institutional Shares
1,751,375	5.248%		1,751,375
(Cost $1,751,375)
TOTAL INVESTMENTS – 98.8% (Cost $158,785,197)		$	200,024,729
OTHER ASSETS IN EXCESS OF LIABILITIES – 1.2%			2,400,166
NET ASSETS – 100.0%		$	202,424,895

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
*	Non-income producing security.
(a)	Exempt from registration under Rule 144A of the Securities Act of 1933.
(b)	Represents an affiliated issuer.

  

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

GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND

 

 

 

 

 

 

Investment Abbreviations:
PLC	—Public Limited Company
REIT	—Real Estate Investment Trust

Sector Name	% of Market Value
Utilities		37.7	%
Energy		26.1
Industrials		16.6
Real Estate		15.1
Communication Services		3.1
Investment Company		0.9
Materials		0.5
TOTAL INVESTMENTS		100.0	%

 

  

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

GOLDMAN SACHS GLOBAL REAL ESTATE SECURITIES FUND

 

Schedule of Investments

December 31, 2023

 

 

Shares	Description	Value
Common Stocks – 98.1%
Australia – 3.3%
226,140	Dexus REIT (Equity Real Estate Investment Trusts (REITs))	$	1,181,841
64,341	Goodman Group REIT (Equity Real Estate Investment Trusts (REITs))		1,107,750
593,604	Region RE Ltd. REIT (Equity Real Estate Investment Trusts (REITs))		913,276
539,835	Stockland REIT (Equity Real Estate Investment Trusts (REITs))		1,637,122
			4,839,989
Canada – 2.5%
38,026	Canadian Apartment Properties REIT (Equity Real Estate Investment Trusts (REITs))		1,400,452
90,576	Dream Industrial Real Estate Investment Trust REIT (Equity Real Estate Investment Trusts (REITs))		954,259
93,177	RioCan Real Estate Investment Trust REIT (Equity Real Estate Investment Trusts (REITs))		1,309,351
			3,664,062
France – 1.3%
15,349	Gecina SA REIT (Equity Real Estate Investment Trusts (REITs))		1,868,574
Germany – 2.3%
72,599	Instone Real Estate Group SE (Real Estate Management & Development)(a)		585,057
90,626	Vonovia SE (Real Estate Management & Development)		2,847,624
			3,432,681
Hong Kong – 4.3%
167,000	CK Asset Holdings Ltd. (Real Estate Management & Development)		838,189
266,500	Hongkong Land Holdings Ltd. (Real Estate Management & Development)		926,902
219,800	Link REIT (Equity Real Estate Investment Trusts (REITs))		1,234,189
1,527,879	Sino Land Co. Ltd. (Real Estate Management & Development)		1,661,540
156,500	Sun Hung Kai Properties Ltd. (Real Estate Management & Development)		1,693,545
			6,354,365
Japan – 10.0%
571	Comforia Residential REIT, Inc. REIT (Equity Real Estate Investment Trusts (REITs))		1,282,542

Shares	Description	Value
Common Stocks – (continued)
Japan – (continued)
3,575	Invincible Investment Corp. REIT (Equity Real Estate Investment Trusts (REITs))	$	1,545,179
1,541	Japan Metropolitan Fund Invest REIT (Equity Real Estate Investment Trusts (REITs))		1,112,296
29,000	Kyoritsu Maintenance Co. Ltd. (Consumer Services)		1,229,881
47,800	Mitsubishi Estate Co. Ltd. (Real Estate Management & Development)		655,246
123,400	Mitsui Fudosan Co. Ltd. (Real Estate Management & Development)		3,017,093
127	Nippon Accommodations Fund, Inc. REIT (Equity Real Estate Investment Trusts (REITs))		543,616
448	Nippon Building Fund, Inc. REIT (Equity Real Estate Investment Trusts (REITs))		1,939,340
700	Nippon Prologis REIT, Inc. REIT (Equity Real Estate Investment Trusts (REITs))		1,345,948
72,000	Sumitomo Realty & Development Co. Ltd. (Real Estate Management & Development)		2,133,650
			14,804,791
Netherlands – 0.7%
65,141	CTP NV (Real Estate Management & Development)(a)		1,100,497
Singapore – 3.4%
504,100	CapitaLand Ascendas REIT (Equity Real Estate Investment Trusts (REITs))		1,155,687
947,400	Capitaland India Trust (Real Estate Management & Development)		818,364
2,544,300	Far East Hospitality Trust (Equity Real Estate Investment Trusts (REITs))		1,282,030
549,100	Frasers Logistics & Commercial Trust REIT (Equity Real Estate Investment Trusts (REITs))		478,030
2,799,409	Lendlease Global Commercial REIT (Equity Real Estate Investment Trusts (REITs))		1,367,149
			5,101,260
Spain – 1.9%
39,931	Cellnex Telecom SA (Telecommunication Services)*(a)		1,572,204
116,063	Merlin Properties Socimi SA REIT (Equity Real Estate Investment Trusts (REITs))		1,288,657
			2,860,861

  

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

GOLDMAN SACHS GLOBAL REAL ESTATE SECURITIES FUND

 

 

 

 

 

 

Shares	Description	Value
Common Stocks – (continued)
Sweden – 1.2%
120,642	Castellum AB (Real Estate Management & Development)*	$	1,712,965
United Kingdom – 6.0%
123,587	Big Yellow Group PLC REIT (Equity Real Estate Investment Trusts (REITs))		1,923,943
35,475	Derwent London PLC REIT (Equity Real Estate Investment Trusts (REITs))		1,066,944
213,347	Segro PLC REIT (Equity Real Estate Investment Trusts (REITs))		2,405,971
1,059,596	Shaftesbury Capital PLC REIT (Equity Real Estate Investment Trusts (REITs))		1,865,048
117,109	UNITE Group PLC (The) REIT (Equity Real Estate Investment Trusts (REITs))		1,555,618
			8,817,524
United States – 61.2%
26,307	Alexandria Real Estate Equities, Inc. REIT (Equity Real Estate Investment Trusts (REITs))		3,334,938
50,858	American Homes 4 Rent, Class A REIT (Equity Real Estate Investment Trusts (REITs))		1,828,854
7,746	American Tower Corp. REIT (Equity Real Estate Investment Trusts (REITs))		1,672,206
68,262	Americold Realty Trust, Inc. REIT (Equity Real Estate Investment Trusts (REITs))		2,066,291
21,547	AvalonBay Communities, Inc. REIT (Equity Real Estate Investment Trusts (REITs))		4,034,029
25,711	Boston Properties, Inc. REIT (Equity Real Estate Investment Trusts (REITs))		1,804,141
7,989	CBRE Group, Inc., Class A (Real Estate Management & Development)*		743,696
31,593	Cousins Properties, Inc. REIT (Equity Real Estate Investment Trusts (REITs))		769,290
89,624	CubeSmart REIT (Equity Real Estate Investment Trusts (REITs))		4,154,072
19,277	Digital Realty Trust, Inc. REIT (Equity Real Estate Investment Trusts (REITs))		2,594,299
10,937	EastGroup Properties, Inc. REIT (Equity Real Estate Investment Trusts (REITs))		2,007,377
9,399	Equinix, Inc. REIT (Equity Real Estate Investment Trusts (REITs))		7,569,861

Shares	Description	Value
Common Stocks – (continued)
United States – (continued)
34,502	Equity LifeStyle Properties, Inc. REIT (Equity Real Estate Investment Trusts (REITs))	$	2,433,771
11,884	Equity Residential REIT (Equity Real Estate Investment Trusts (REITs))		726,825
6,121	Essex Property Trust, Inc. REIT (Equity Real Estate Investment Trusts (REITs))		1,517,641
24,397	Extra Space Storage, Inc. REIT (Equity Real Estate Investment Trusts (REITs))		3,911,571
20,527	Federal Realty Investment Trust REIT (Equity Real Estate Investment Trusts (REITs))		2,115,307
25,615	Healthpeak Properties, Inc. REIT (Equity Real Estate Investment Trusts (REITs))		507,177
3,900	Hilton Worldwide Holdings, Inc. (Consumer Services)		710,151
7,651	Hyatt Hotels Corp., Class A (Consumer Services)		997,767
96,578	Invitation Homes, Inc. REIT (Equity Real Estate Investment Trusts (REITs))		3,294,276
101,937	Kimco Realty Corp. REIT (Equity Real Estate Investment Trusts (REITs))		2,172,277
4,447	Mid-America Apartment Communities, Inc. REIT (Equity Real Estate Investment Trusts (REITs))		597,944
93,191	Prologis, Inc. REIT (Equity Real Estate Investment Trusts (REITs))		12,422,360
38,578	Realty Income Corp. REIT (Equity Real Estate Investment Trusts (REITs))		2,215,149
38,555	Regency Centers Corp. REIT (Equity Real Estate Investment Trusts (REITs))		2,583,185
13,745	Ryman Hospitality Properties, Inc. REIT (Equity Real Estate Investment Trusts (REITs))		1,512,775
6,690	SBA Communications Corp. REIT (Equity Real Estate Investment Trusts (REITs))		1,697,186
18,460	Simon Property Group, Inc. REIT (Equity Real Estate Investment Trusts (REITs))		2,633,134
7,931	Sun Communities, Inc. REIT (Equity Real Estate Investment Trusts (REITs))		1,059,978
55,678	UDR, Inc. REIT (Equity Real Estate Investment Trusts (REITs))		2,131,911

  

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

GOLDMAN SACHS GLOBAL REAL ESTATE SECURITIES FUND

 

Schedule of Investments (continued)

December 31, 2023

 

 

Shares	Description	Value
Common Stocks – (continued)
United States – (continued)
58,789	Ventas, Inc. REIT (Equity Real Estate Investment Trusts (REITs))	$	2,930,044
131,065	VICI Properties, Inc. REIT (Equity Real Estate Investment Trusts (REITs))		4,178,352
9,024	W.P. Carey, Inc. REIT (Equity Real Estate Investment Trusts (REITs))		584,845
55,274	Welltower, Inc. REIT (Equity Real Estate Investment Trusts (REITs))		4,984,057
			90,496,737
TOTAL COMMON STOCKS (Cost $125,867,834)			145,054,306
Shares	Dividend Rate	Value
Investment Company – 1.0%(b)
Goldman Sachs Financial Square Government Fund - Institutional Shares
1,511,286	5.248%		1,511,286
(Cost $1,511,286)
TOTAL INVESTMENTS – 99.1% (Cost $127,379,120)		$	146,565,592
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.9%			1,334,518
NET ASSETS – 100.0%		$	147,900,110
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
*   Non-income producing security. (a)   Exempt from registration under Rule 144A of the Securities Act of 1933. (b)   Represents an affiliated issuer.
Investment Abbreviations:
PLC	—Public Limited Company
REIT	—Real Estate Investment Trust
Sector Name		% of  Market  Value
Real Estate			95.9%
Consumer Discretionary			2.0
Communication Services			1.1
Investment Company			1.0
TOTAL INVESTMENTS			100.0%

 

  

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

GOLDMAN SACHS REAL ESTATE SECURITIES FUND

 

Schedule of Investments

December 31, 2023

 

 

Shares	Description	Value
Common Stocks – 98.9%
Health Care REITs – 9.6%
26,484	Healthpeak Properties, Inc. REIT	$	524,383
61,893	Ventas, Inc. REIT		3,084,747
68,508	Welltower, Inc. REIT		6,177,366
			9,786,496
Hotel & Resort REITs – 1.9%
17,229	Ryman Hospitality Properties, Inc. REIT		1,896,224
Hotels, Restaurants & Leisure – 2.0%
4,044	Hilton Worldwide Holdings, Inc.		736,372
9,863	Hyatt Hotels Corp., Class A		1,286,234
			2,022,606
Industrial REITs – 19.3%
37,418	Americold Realty Trust, Inc. REIT		1,132,643
12,630	EastGroup Properties, Inc. REIT		2,318,110
121,261	Prologis, Inc. REIT		16,164,091
			19,614,844
Office REITs – 7.0%
29,678	Alexandria Real Estate Equities, Inc. REIT		3,762,280
28,834	Boston Properties, Inc. REIT		2,023,282
56,265	Cousins Properties, Inc. REIT		1,370,053
			7,155,615
Real Estate Management & Development – 0.7%
8,034	CBRE Group, Inc., Class A*		747,885
Residential REITs – 19.0%
58,212	American Homes 4 Rent, Class A REIT		2,093,304
24,069	AvalonBay Communities, Inc. REIT		4,506,198
36,997	Equity LifeStyle Properties, Inc. REIT		2,609,768
21,362	Equity Residential REIT		1,306,500
6,342	Essex Property Trust, Inc. REIT		1,572,436
98,450	Invitation Homes, Inc. REIT		3,358,130
6,135	Mid-America Apartment Communities, Inc. REIT		824,912
6,594	Sun Communities, Inc. REIT		881,288
57,469	UDR, Inc. REIT		2,200,488
			19,353,024
Retail REITs – 10.9%
20,590	Federal Realty Investment Trust REIT		2,121,800
95,195	Kimco Realty Corp. REIT		2,028,605
37,391	Regency Centers Corp. REIT		2,505,197
30,544	Simon Property Group, Inc. REIT		4,356,796
			11,012,398
Specialized REITs – 28.5%
5,092	American Tower Corp. REIT		1,099,261
50,499	CubeSmart REIT		2,340,628
26,516	Digital Realty Trust, Inc. REIT		3,568,523
12,469	Equinix, Inc. REIT		10,042,408
35,832	Extra Space Storage, Inc. REIT		5,744,945

Shares	Description	Value
Common Stocks – (continued)
Specialized REITs – (continued)
11,064	Public Storage REIT	$	3,374,520
5,042	SBA Communications Corp. REIT		1,279,105
55,071	VICI Properties, Inc. REIT		1,755,663
			29,205,053
TOTAL COMMON STOCKS (Cost $63,779,601)			100,794,145

Shares	Dividend Rate	Value
Investment Company – 0.3%(a)
Goldman Sachs Financial Square Government Fund - Institutional Shares
262,850	5.248%		262,850
(Cost $262,850)
TOTAL INVESTMENTS – 99.2% (Cost $64,042,451)		$	101,056,995
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.8%			818,901
NET ASSETS – 100.0%		$	101,875,896
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
*   Non-income producing security. (a)   Represents an affiliated issuer.
Investment Abbreviations:
REIT	—Real Estate Investment Trust

  

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

GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS

 

Statements of Assets and Liabilities

December 31, 2023

 

		Global Infrastructure Fund		Global Real Estate Securities Fund			Real Estate Securities Fund
	Assets:
	Investments in unaffiliated issuers, at value (cost $157,033,822, $125,867,834 and $63,779,601, respectively)	$	198,273,354	$	145,054,306		$	100,794,145
	Investments in affiliated issuers, at value (cost $1,751,375, $1,511,286 and $262,850, respectively)		1,751,375		1,511,286			262,850
	Cash		622,004		653,841			801,329
	Foreign Currency, at value (cost $675,628, $63,042 and $–, respectively)		675,024		63,312			—
	Receivables:
	Dividends		933,357		644,495			397,623
	Investments sold		572,664		1,044,319			—
	Foreign tax reclaims		454,791		135,140			—
	Reimbursement from investment adviser		22,994		11,836			39,566
	Fund shares sold		211		197			2,536
	Other assets		67,832		56,803			49,541
	Total assets		203,373,606		149,175,535			102,347,590
	Liabilities:
	Payables:
	Investments purchased		571,320		—			—
	Management fees		156,067		112,183			71,990
	Fund shares redeemed		89,679		1,028,440			195,138
	Distribution and Service fees and Transfer Agency fees		5,610		4,326			13,395
	Accrued expenses		126,035		130,476			191,171
	Total liabilities		948,711		1,275,425			471,694
	Net Assets:
	Paid-in Capital		171,785,394		164,237,341			65,964,170
	Total distributable earnings (loss)		30,639,501		(16,337,231	)		35,911,726
	NET ASSETS	$	202,424,895	$	147,900,110		$	101,875,896
	Net Assets:
	Class A	$	184,605	$	1,177,811		$	14,174,830
	Class C		257,109		34,983			730,492
	Institutional		8,590,668		1,155,464			26,103,869
	Service		—		—			362,421
	Investor		1,195,375		137,186			843,065
	Class R6		112,269,728		95,977,669			2,563,688
	Class R		—		—			512,188
	Class P		79,927,410		49,416,997			56,585,343
	Total Net Assets	$	202,424,895	$	147,900,110		$	101,875,896
	Shares Outstanding $0.001 par value (unlimited number of shares authorized):
	Class A		14,722		119,862			1,238,955
	Class C		20,761		3,599			69,635
	Institutional		687,494		117,412			2,156,284
	Service		—		—			31,293
	Investor		95,830		13,982			72,372
	Class R6		9,007,567		9,766,253			211,756
	Class R		—		—			45,684
	Class P		6,417,128		5,032,822			4,675,331
	Net asset value, offering and redemption price per share:(a)
	Class A		$12.54		$9.83			$11.44
	Class C		12.38		9.72			10.49
	Institutional		12.50		9.84			12.11
	Service		—		—			11.58
	Investor		12.47		9.81			11.65
	Class R6		12.46		9.83			12.11
	Class R		—		—			11.21
	Class P		12.46		9.82			12.10

(a) Maximum public offering price per share for Class A Shares of the Global Infrastructure, Global Real Estate Securities and Real Estate Securities is $13.27, $10.40 and $12.11, respectively. At redemption, Class C Shares may be subject to a contingent deferred sales charge, assessed on the amount equal to the lesser of the current net asset value (“NAV”) or the original purchase price of the shares.

  

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

GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS

 

Statements of Operations

For the Fiscal Year Ended December 31, 2023

 

 

		Global Infrastructure Fund			Global Real Estate Securities Fund			Real Estate Securities Fund
	Investment income:
	Dividends — unaffiliated issuers (net of foreign withholding taxes of $528,832, $165,242 and $–, respectively)	$	7,829,975		$	4,244,329		$	3,383,915
	Dividends — affiliated issuers		124,003			89,004			27,434
	Securities lending income, net of rebates received or paid to borrowers – affiliated issuer		—			4,521			681
	Total Investment Income		7,953,978			4,337,854			3,412,030
	Expenses:
	Management fees		2,045,608			1,134,756			942,518
	Registration fees		138,280			89,200			109,114
	Professional fees		136,906			176,783			125,430
	Transfer Agency fees(a)		71,669			38,537			55,301
	Custody, accounting and administrative services		56,696			96,338			25,380
	Trustee fees		39,863			21,663			21,644
	Printing and mailing costs		28,582			36,928			10,350
	Distribution and/or Service (12b-1) fees(a)		3,376			3,268			44,030
	Shareholder meeting expense		1,002			1,113			2,327
	Service fees — Class C		893			115			1,953
	Shareholder Administration fees — Service Shares		—			—			835
	Other		22,110			17,014			6,907
	Total expenses		2,544,985			1,615,715			1,345,789
	Less — expense reductions		(304,806	)		(436,105	)		(328,702	)
	Net expenses		2,240,179			1,179,610			1,017,087
	NET INVESTMENT INCOME		5,713,799			3,158,244			2,394,943
	Realized and Unrealized gain (loss):
	Net realized gain (loss) from:
	Investments — unaffiliated issuers		(3,582,313	)		(1,057,340	)		(161,117	)
	Foreign currency transactions		(22,067	)		(26,299	)		—
	Net change in unrealized gain (loss) on:
	Investments — unaffiliated issuers		8,013,954			14,643,359			14,059,042
	Foreign currency translations		13,383			(2,864	)		—
	Net realized and unrealized gain		4,422,957			13,556,856			13,897,925
	NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	10,136,756		$	16,715,100		$	16,292,868

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

	Distribution and/or Service (12b-1) fees								Transfer Agency Fees
Fund	Class A		Class C		Service		Class R		Class A		Class C		Institutional		Service		Investor		Class R6		Class R		Class P
Global Infrastructure Fund		$603		$2,679		$—		$94		$377		$557		$3,336		$—		$2,317		$35,118		$30		$29,934
Global Real Estate Securities Fund		2,847		344		—		77		1,767		71		654		—		397		21,471		24		14,153
Real Estate Securities Fund		34,683		5,858		835		2,654		21,524		1,213		9,903		134		1,590		723		825		19,389

  

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

GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS

 

Statements of Changes in Net Assets

 

 

		Global Infrastructure Fund						Global Real Estate Securities Fund
		For the Fiscal Year Ended  December 31, 2023			For the Fiscal Year Ended  December 31, 2022			For the Fiscal Year Ended  December 31, 2023			For the Fiscal Year Ended  December 31, 2022
	From operations:
	Net investment income	$	5,713,799		$	5,158,237		$	3,158,244		$	2,844,038
	Net realized loss		(3,604,380	)		(1,846,909	)		(1,083,639	)		(15,342,366	)
	Net change in unrealized gain (loss)		8,027,337			(23,635,365	)		14,640,495			(42,260,955	)
	Net increase (decrease) in net assets resulting from operations		10,136,756			(20,324,037	)		16,715,100			(54,759,283	)
	Distributions to shareholders:
	From distributable earnings:
	Class A Shares		(5,096	)		(18,113	)		(18,101	)		(26,148	)
	Class C Shares		(4,554	)		(4,268	)		(422	)		(949	)
	Institutional Shares		(197,215	)		(293,158	)		(21,099	)		(99,057	)
	Investor Shares		(36,232	)		(22,644	)		(5,777	)		(1,436	)
	Class R6 Shares		(2,908,704	)		(2,630,683	)		(1,321,028	)		(1,886,221	)
	Class R Shares		(345	)		(456	)		(247	)		(579	)
	Class P Shares		(2,535,438	)		(2,043,315	)		(885,231	)		(1,346,410	)
	From return of capital:
	Class A Shares		(280	)		(2,427	)		—			(8,203	)
	Class C Shares		(250	)		(572	)		—			(298	)
	Institutional Shares		(10,831	)		(39,281	)		—			(31,075	)
	Investor Shares		(1,990	)		(3,034	)		—			(451	)
	Class R6 Shares		(159,743	)		(352,488	)		—			(591,735	)
	Class R Shares		(19	)		(61	)		—			(182	)
	Class P Shares		(139,244	)		(273,786	)		—			(422,388	)
	Total distributions to shareholders		(5,999,941	)		(5,684,286	)		(2,251,905	)		(4,415,132	)
	From share transactions:
	Proceeds from sales of shares		28,491,197			47,639,483			30,072,029			55,195,029
	Proceeds received in connection with merger		—			—			—			38,550,687
	Reinvestment of distributions		5,999,949			5,676,438			2,251,724			4,414,650
	Cost of shares redeemed		(87,499,024	)		(71,104,641	)		(18,279,651	)		(97,246,189	)
	Net increase (decrease) in net assets resulting from share transactions		(53,007,878	)		(17,788,720	)		14,044,102			914,177
	TOTAL INCREASE (DECREASE)		(48,871,063	)		(43,797,043	)		28,507,297			(58,260,238	)
	Net Assets:
	Beginning of year		251,295,958			295,093,001			119,392,813			177,653,051
	End of year	$	202,424,895		$	251,295,958		$	147,900,110		$	119,392,813

  

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

GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS

 

Statements of Changes in Net Assets (continued)

 

 

		Real Estate Securities Fund.
		For the Fiscal Year Ended  December 31, 2023			For the Fiscal Year Ended  December 31, 2022
	From operations:
	Net investment income	$	2,394,943		$	1,928,842
	Net realized gain (loss)		(161,117	)		2,626,891
	Net change in unrealized gain (loss)		14,059,042			(52,492,372	)
	Net increase (decrease) in net assets resulting from operations		16,292,868			(47,936,639	)
	Distributions to shareholders:
	From distributable earnings:
	Class A Shares		(570,528	)		(711,739	)
	Class C Shares		(30,254	)		(41,004	)
	Institutional Shares		(1,076,826	)		(1,213,081	)
	Service Shares		(13,695	)		(14,637	)
	Investor Shares		(36,541	)		(77,244	)
	Class R6 Shares		(101,579	)		(115,061	)
	Class R Shares		(19,874	)		(39,422	)
	Class P Shares		(2,538,845	)		(3,439,977	)
	Total distributions to shareholders		(4,388,142	)		(5,652,185	)
	From share transactions:
	Proceeds from sales of shares		13,553,220			22,993,292
	Reinvestment of distributions		4,364,052			5,622,085
	Cost of shares redeemed		(42,669,405	)		(36,947,780	)
	Net decrease in net assets resulting from share transactions		(24,752,133	)		(8,332,403	)
	TOTAL DECREASE		(12,847,407	)		(61,921,227	)
	Net Assets:
	Beginning of year		114,723,303			176,644,530
	End of year	$	101,875,896		$	114,723,303

  

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

GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND

 

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Year

 

		Goldman Sachs Global Infrastructure Fund
		Class A Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	12.27			$	13.45			$	11.78			$	12.47			$	9.68
	Net investment income(a)			0.25				0.18				0.15				0.14				0.18
	Net realized and unrealized gain (loss)			0.32				(1.20	)			1.74				(0.64	)			2.83
	Total from investment operations			0.57				(1.02	)			1.89				(0.50	)			3.01
	Distributions to shareholders from net investment income			(0.29	)			(0.14	)			(0.18	)			(0.16	)			(0.19	)
	Distributions to shareholders from net realized gains			–				–				(0.04	)			–				–
	Distributions to shareholders from return of capital			(0.01	)			(0.02	)			–				(0.03	)			(0.03	)
	Total distributions			(0.30	)			(0.16	)			(0.22	)			(0.19	)			(0.22	)
	Net asset value, end of year		$	12.54			$	12.27			$	13.45			$	11.78			$	12.47
	Total Return(b)			4.78	%			(7.62	)%			16.15	%			(3.97	)%			31.22	%
	Net assets, end of year (in 000’s)		$	185			$	296			$	1,302			$	357			$	782
	Ratio of net expenses to average net assets			1.31	%			1.35	%			1.35	%			1.34	%			1.36	%
	Ratio of total expenses to average net assets			1.49	%			1.41	%			1.45	%			1.56	%			1.51	%
	Ratio of net investment income to average net assets			2.06	%			1.44	%			1.14	%			1.17	%			1.53	%
	Portfolio turnover rate(c)			26	%			36	%			50	%			57	%			39	%

(a) Calculated based on the average shares outstanding methodology.

(b) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

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

  

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

GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND

 

Financial Highlights (continued)

Selected Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Global Infrastructure Fund
		Class C Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	12.11			$	13.34			$	11.70			$	12.41			$	9.65
	Net investment income(a)			0.16				0.09				0.05				0.02				0.11
	Net realized and unrealized gain (loss)			0.31				(1.20	)			1.73				(0.62	)			2.80
	Total from investment operations			0.47				(1.11	)			1.78				(0.60	)			2.91
	Distributions to shareholders from net investment income			(0.19	)			(0.11	)			(0.10	)			(0.09	)			(0.13	)
	Distributions to shareholders from net realized gains			–				–				(0.04	)			–				–
	Distributions to shareholders from return of capital			(0.01	)			(0.01	)			–				(0.02	)			(0.02	)
	Total distributions			(0.20	)			(0.12	)			(0.14	)			(0.11	)			(0.15	)
	Net asset value, end of year		$	12.38			$	12.11			$	13.34			$	11.70			$	12.41
	Total Return(b)			3.95	%			(8.29	)%			15.28	%			(4.78	)%			30.31	%
	Net assets, end of year (in 000’s)		$	257			$	454			$	622			$	868			$	2,607
	Ratio of net expenses to average net assets			2.06	%			2.10	%			2.10	%			2.09	%			2.11	%
	Ratio of total expenses to average net assets			2.24	%			2.17	%			2.20	%			2.30	%			2.26	%
	Ratio of net investment income to average net assets			1.35	%			0.71	%			0.39	%			0.21	%			1.01	%
	Portfolio turnover rate(c)			26	%			36	%			50	%			57	%			39	%

(a) Calculated based on the average shares outstanding methodology.

(b) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

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

  

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

GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND

 

Financial Highlights (continued)

Selected Data for a Share Outstanding Throughout Each Year

 

		Goldman Sachs Global Infrastructure Fund
		Institutional Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	12.23			$	13.47			$	11.80			$	12.50			$	9.71
	Net investment income(a)			0.27				0.25				0.19				0.21				0.19
	Net realized and unrealized gain (loss)			0.34				(1.22	)			1.74				(0.68	)			2.87
	Total from investment operations			0.61				(0.97	)			1.93				(0.47	)			3.06
	Distributions to shareholders from net investment income			(0.32	)			(0.23	)			(0.22	)			(0.17	)			(0.24	)
	Distributions to shareholders from net realized gains			–				–				(0.04	)			–				–
	Distributions to shareholders from return of capital			(0.02	)			(0.04	)			–				(0.06	)			(0.03	)
	Total distributions			(0.34	)			(0.27	)			(0.26	)			(0.23	)			(0.27	)
	Net asset value, end of year		$	12.50			$	12.23			$	13.47			$	11.80			$	12.50
	Total Return(b)			5.13	%			(7.24	)%			16.50	%			(3.63	)%			31.66	%
	Net assets, end of year (in 000’s)		$	8,591			$	13,554			$	8,983			$	6,772			$	1,264
	Ratio of net expenses to average net assets			0.99	%			0.99	%			0.99	%			0.99	%			1.00	%
	Ratio of total expenses to average net assets			1.12	%			1.04	%			1.08	%			1.19	%			1.13	%
	Ratio of net investment income to average net assets			2.25	%			1.94	%			1.50	%			1.82	%			1.70	%
	Portfolio turnover rate(c)			26	%			36	%			50	%			57	%			39	%

(a) Calculated based on the average shares outstanding methodology.

(b) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

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

  

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

GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND

 

Financial Highlights (continued)

Selected Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Global Infrastructure Fund
		Investor Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	12.21			$	13.46			$	11.78			$	12.47			$	9.68
	Net investment income(a)			0.29				0.27				0.18				0.10				0.22
	Net realized and unrealized gain (loss)			0.30				(1.27	)			1.75				(0.58	)			2.82
	Total from investment operations			0.59				(1.00	)			1.93				(0.48	)			3.04
	Distributions to shareholders from net investment income			(0.31	)			(0.21	)			(0.21	)			(0.19	)			(0.22	)
	Distributions to shareholders from net realized gains			–				–				(0.04	)			–				–
	Distributions to shareholders from return of capital			(0.02	)			(0.04	)			–				(0.02	)			(0.03	)
	Total distributions			(0.33	)			(0.25	)			(0.25	)			(0.21	)			(0.25	)
	Net asset value, end of year		$	12.47			$	12.21			$	13.46			$	11.78			$	12.47
	Total Return(b)			5.00	%			(7.41	)%			16.49	%			(3.80	)%			31.49	%
	Net assets, end of year (in 000’s)		$	1,195			$	1,720			$	248			$	181			$	929
	Ratio of net expenses to average net assets			1.06	%			1.10	%			1.10	%			1.09	%			1.10	%
	Ratio of total expenses to average net assets			1.24	%			1.16	%			1.20	%			1.29	%			1.26	%
	Ratio of net investment income to average net assets			2.41	%			2.17	%			1.39	%			0.86	%			1.96	%
	Portfolio turnover rate(c)			26	%			36	%			50	%			57	%			39	%

(a) Calculated based on the average shares outstanding methodology.

(b) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

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

  

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

GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND

 

Financial Highlights (continued)

Selected Data for a Share Outstanding Throughout Each Year

 

		Goldman Sachs Global Infrastructure Fund
		Class R6 Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	12.20			$	13.44			$	11.77			$	12.47			$	9.69
	Net investment income(a)			0.31				0.24				0.19				0.18				0.23
	Net realized and unrealized gain (loss)			0.29				(1.21	)			1.74				(0.65	)			2.82
	Total from investment operations			0.60				(0.97	)			1.93				(0.47	)			3.05
	Distributions to shareholders from net investment income			(0.32	)			(0.24	)			(0.22	)			(0.19	)			(0.24	)
	Distributions to shareholders from net realized gains			–				–				(0.04	)			–				–
	Distributions to shareholders from return of capital			(0.02	)			(0.03	)			–				(0.04	)			(0.03	)
	Total distributions			(0.34	)			(0.27	)			(0.26	)			(0.23	)			(0.27	)
	Net asset value, end of year		$	12.46			$	12.20			$	13.44			$	11.77			$	12.47
	Total Return(b)			5.09	%			(7.25	)%			16.55	%			(3.64	)%			31.63	%
	Net assets, end of year (in 000’s)		$	112,270			$	128,064			$	166,430			$	160,304			$	187,335
	Ratio of net expenses to average net assets			0.98	%			0.98	%			0.98	%			0.98	%			0.99	%
	Ratio of total expenses to average net assets			1.12	%			1.04	%			1.07	%			1.18	%			1.11	%
	Ratio of net investment income to average net assets			2.55	%			1.86	%			1.51	%			1.57	%			1.94	%
	Portfolio turnover rate(c)			26	%			36	%			50	%			57	%			39	%

(a) Calculated based on the average shares outstanding methodology.

(b) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

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

  

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

GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND

 

Financial Highlights (continued)

Selected Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Global Infrastructure Fund
		Class P Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	12.19			$	13.44			$	11.76			$	12.47			$	9.68
	Net investment income(a)			0.30				0.24				0.19				0.21				0.23
	Net realized and unrealized gain (loss)			0.31				(1.22	)			1.75				(0.69	)			2.83
	Total from investment operations			0.61				(0.98	)			1.94				(0.48	)			3.06
	Distributions to shareholders from net investment income			(0.32	)			(0.24	)			(0.22	)			(0.17	)			(0.24	)
	Distributions to shareholders from net realized gains			–				–				(0.04	)			–				–
	Distributions to shareholders from return of capital			(0.02	)			(0.03	)			–				(0.06	)			(0.03	)
	Total distributions			(0.34	)			(0.27	)			(0.26	)			(0.23	)			(0.27	)
	Net asset value, end of year		$	12.46			$	12.19			$	13.44			$	11.76			$	12.47
	Total Return(b)			5.17	%			(7.32	)%			16.66	%			(3.72	)%			31.77	%
	Net assets, end of year (in 000’s)		$	79,927			$	107,173			$	117,473			$	12,085			$	3,936
	Ratio of net expenses to average net assets			0.98	%			0.98	%			0.98	%			0.98	%			0.99	%
	Ratio of total expenses to average net assets			1.12	%			1.04	%			1.07	%			1.18	%			1.12	%
	Ratio of net investment income to average net assets			2.50	%			1.87	%			1.51	%			1.77	%			1.99	%
	Portfolio turnover rate(c)			26	%			36	%			50	%			57	%			39	%

(a) Calculated based on the average shares outstanding methodology.

(b) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

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

  

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

GOLDMAN SACHS GLOBAL REAL ESTATE SECURITIES FUND

 

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Year

 

		Goldman Sachs Global Real Estate Securities Fund
		Class A Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	8.85			$	12.65			$	10.25			$	11.14			$	9.79
	Net investment income(a)			0.20				0.19				0.09				0.12				0.17
	Net realized and unrealized gain (loss)			0.93				(3.72	)			2.55				(0.88	)			2.01
	Total from investment operations			1.13				(3.53	)			2.64				(0.76	)			2.18
	Distributions to shareholders from net investment income			(0.15	)			(0.05	)			(0.24	)			(0.10	)			(0.53	)
	Distributions to shareholders from net realized gains			–				(0.13	)			–				(0.02	)			(0.30	)
	Distributions to shareholders from return of capital			–				(0.09	)			–				(0.01	)			–
	Total distributions			(0.15	)			(0.27	)			(0.24	)			(0.13	)			(0.83	)
	Net asset value, end of year		$	9.83			$	8.85			$	12.65			$	10.25			$	11.14
	Total Return(b)			12.92	%			(27.99	)%			25.92	%			(6.63	)%			22.47	%
	Net assets, end of year (in 000’s)		$	1,178			$	1,202			$	54			$	50			$	54
	Ratio of net expenses to average net assets			1.34	%			1.34	%			1.34	%			1.35	%			1.36	%
	Ratio of total expenses to average net assets			1.70	%			1.70	%			1.58	%			1.60	%			1.52	%
	Ratio of net investment income to average net assets			2.17	%			1.93	%			0.80	%			1.21	%			1.55	%
	Portfolio turnover rate(c)			47	%			80	%			52	%			75	%			42	%

(a) Calculated based on the average shares outstanding methodology.

(b) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

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

  

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

GOLDMAN SACHS GLOBAL REAL ESTATE SECURITIES FUND

 

Financial Highlights (continued)

Selected Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Global Real Estate Securities Fund
		Class C Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	8.76			$	12.55			$	10.18			$	11.09			$	9.79
	Net investment income(a)			0.12				0.07				0.01				0.04				0.11
	Net realized and unrealized gain (loss)			0.92				(3.65	)			2.53				(0.87	)			1.98
	Total from investment operations			1.04				(3.58	)			2.54				(0.83	)			2.09
	Distributions to shareholders from net investment income			(0.08	)			(0.03	)			(0.17	)			(0.05	)			(0.49	)
	Distributions to shareholders from net realized gains			–				(0.13	)			–				(0.02	)			(0.30	)
	Distributions to shareholders from return of capital			–				(0.05	)			–				(0.01	)			–
	Total distributions			(0.08	)			(0.21	)			(0.17	)			(0.08	)			(0.79	)
	Net asset value, end of year		$	9.72			$	8.76			$	12.55			$	10.18			$	11.09
	Total Return(b)			12.03	%			(28.55	)%			25.01	%			(7.39	)%			21.60	%
	Net assets, end of year (in 000’s)		$	35			$	52			$	63			$	50			$	66
	Ratio of net expenses to average net assets			2.09	%			2.09	%			2.09	%			2.10	%			2.11	%
	Ratio of total expenses to average net assets			2.46	%			2.41	%			2.33	%			2.34	%			2.29	%
	Ratio of net investment income to average net assets			1.36	%			0.71	%			0.05	%			0.45	%			0.96	%
	Portfolio turnover rate(c)			47	%			80	%			52	%			75	%			42	%

(a) Calculated based on the average shares outstanding methodology.

(b) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

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

  

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

GOLDMAN SACHS GLOBAL REAL ESTATE SECURITIES FUND

 

Financial Highlights (continued)

Selected Data for a Share Outstanding Throughout Each Year

 

		Goldman Sachs Global Real Estate Securities Fund
		Institutional Shares
		Year Ended December 31,
		2023			2022			2021			2020			2019
	Per Share Data
	Net asset value, beginning of year	$	8.86		$	12.65		$	10.25		$	11.13		$	9.82
	Net investment income(a)		0.17			0.22			0.13			0.15			0.22
	Net realized and unrealized gain (loss)		0.98			(3.71	)		2.55			(0.87	)		2.00
	Total from investment operations		1.15			(3.49	)		2.68			(0.72	)		2.22
	Distributions to shareholders from net investment income		(0.17	)		(0.08	)		(0.28	)		(0.13	)		(0.61	)
	Distributions to shareholders from net realized gains		–			(0.13	)		–			(0.02	)		(0.30	)
	Distributions to shareholders from return of capital		–			(0.09	)		–			(0.01	)		–
	Total distributions		(0.17	)		(0.30	)		(0.28	)		(0.16	)		(0.91	)
	Net asset value, end of year	$	9.84		$	8.86		$	12.65		$	10.25		$	11.13
	Total Return(b)		13.21	%		(27.72	)%		26.38	%		(6.26	)%		22.91	%
	Net assets, end of year (in 000’s)	$	1,155		$	4,225		$	411		$	2,150		$	2,131
	Ratio of net expenses to average net assets		0.97	%		0.97	%		0.97	%		0.97	%		0.97	%
	Ratio of total expenses to average net assets		1.32	%		1.32	%		1.21	%		1.22	%		1.15	%
	Ratio of net investment income to average net assets		1.84	%		2.26	%		1.17	%		1.60	%		1.98	%
	Portfolio turnover rate(c)		47	%		80	%		52	%		75	%		42	%

(a) Calculated based on the average shares outstanding methodology.

(b) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

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

  

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

GOLDMAN SACHS GLOBAL REAL ESTATE SECURITIES FUND

 

Financial Highlights (continued)

Selected Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Global Real Estate Securities Fund
		Investor Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	8.83			$	12.62			$	10.23			$	11.11			$	9.80
	Net investment income(a)			0.23				0.19				0.12				0.14				0.21
	Net realized and unrealized gain (loss)			0.91				(3.69	)			2.54				(0.87	)			2.00
	Total from investment operations			1.14				(3.50	)			2.66				(0.73	)			2.21
	Distributions to shareholders from net investment income			(0.16	)			(0.08	)			(0.27	)			(0.12	)			(0.60	)
	Distributions to shareholders from net realized gains			–				(0.13	)			–				(0.02	)			(0.30	)
	Distributions to shareholders from return of capital			–				(0.08	)			–				(0.01	)			–
	Total distributions			(0.16	)			(0.29	)			(0.27	)			(0.15	)			(0.90	)
	Net asset value, end of year		$	9.81			$	8.83			$	12.62			$	10.23			$	11.11
	Total Return(b)			13.18	%			(27.85	)%			26.20	%			(6.37	)%			22.79	%
	Net assets, end of year (in 000’s)		$	137			$	63			$	40			$	32			$	34
	Ratio of net expenses to average net assets			1.09	%			1.09	%			1.09	%			1.10	%			1.11	%
	Ratio of total expenses to average net assets			1.48	%			1.42	%			1.33	%			1.34	%			1.29	%
	Ratio of net investment income to average net assets			2.60	%			1.90	%			1.05	%			1.45	%			1.85	%
	Portfolio turnover rate(c)			47	%			80	%			52	%			75	%			42	%

(a) Calculated based on the average shares outstanding methodology.

(b) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

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

  

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

GOLDMAN SACHS GLOBAL REAL ESTATE SECURITIES FUND

 

Financial Highlights (continued)

Selected Data for a Share Outstanding Throughout Each Year

 

		Goldman Sachs Global Real Estate Securities Fund
		Class R6 Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	8.84			$	12.63			$	10.23			$	11.11			$	9.80
	Net investment income(a)			0.24				0.18				0.14				0.15				0.21
	Net realized and unrealized gain (loss)			0.92				(3.67	)			2.55				(0.87	)			2.01
	Total from investment operations			1.16				(3.49	)			2.69				(0.72	)			2.22
	Distributions to shareholders from net investment income			(0.17	)			(0.11	)			(0.29	)			(0.13	)			(0.61	)
	Distributions to shareholders from net realized gains			–				(0.13	)			–				(0.02	)			(0.30	)
	Distributions to shareholders from return of capital			–				(0.06	)			–				(0.01	)			–
	Total distributions			(0.17	)			(0.30	)			(0.29	)			(0.16	)			(0.91	)
	Net asset value, end of year		$	9.83			$	8.84			$	12.63			$	10.23			$	11.11
	Total Return(b)			13.38	%			(27.76	)%			26.45	%			(6.27	)%			22.97	%
	Net assets, end of year (in 000’s)		$	95,978			$	67,730			$	126,806			$	144,290			$	193,139
	Ratio of net expenses to average net assets			0.96	%			0.96	%			0.96	%			0.96	%			0.96	%
	Ratio of total expenses to average net assets			1.32	%			1.27	%			1.20	%			1.20	%			1.14	%
	Ratio of net investment income to average net assets			2.64	%			1.71	%			1.18	%			1.58	%			1.90	%
	Portfolio turnover rate(c)			47	%			80	%			52	%			75	%			42	%

(a) Calculated based on the average shares outstanding methodology.

(b) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

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

  

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

GOLDMAN SACHS GLOBAL REAL ESTATE SECURITIES FUND

 

Financial Highlights (continued)

Selected Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Global Real Estate Securities Fund
		Class P Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	8.83			$	12.62			$	10.22			$	11.11			$	9.80
	Net investment income(a)			0.23				0.19				0.14				0.15				0.22
	Net realized and unrealized gain (loss)			0.93				(3.68	)			2.55				(0.88	)			2.01
	Total from investment operations			1.16				(3.49	)			2.69				(0.73	)			2.23
	Distributions to shareholders from net investment income			(0.17	)			(0.09	)			(0.29	)			(0.13	)			(0.62	)
	Distributions to shareholders from net realized gains			–				(0.13	)			–				(0.02	)			(0.30	)
	Distributions to shareholders from return of capital			–				(0.08	)			–				(0.01	)			–
	Total distributions			(0.17	)			(0.30	)			(0.29	)			(0.16	)			(0.92	)
	Net asset value, end of year		$	9.82			$	8.83			$	12.62			$	10.22			$	11.11
	Total Return(b)			13.39	%			(27.78	)%			26.48	%			(6.36	)%			22.98	%
	Net assets, end of year (in 000’s)		$	49,417			$	46,093			$	50,241			$	33,176			$	43,099
	Ratio of net expenses to average net assets			0.96	%			0.96	%			0.96	%			0.96	%			0.96	%
	Ratio of total expenses to average net assets			1.32	%			1.28	%			1.20	%			1.20	%			1.14	%
	Ratio of net investment income to average net assets			2.55	%			1.91	%			1.18	%			1.56	%			1.98	%
	Portfolio turnover rate(c)			47	%			80	%			52	%			75	%			42	%

(a) Calculated based on the average shares outstanding methodology.

(b) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

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

  

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

GOLDMAN SACHS REAL ESTATE SECURITIES FUND

 

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Year

 

		Goldman Sachs Real Estate Securities Fund
		Class A Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	10.23			$	14.90			$	11.03			$	13.27			$	12.61
	Net investment income(a)			0.21				0.13				0.07				0.12				0.22
	Net realized and unrealized gain (loss)			1.45				(4.29	)			4.75				(1.22	)			2.92
	Total from investment operations			1.66				(4.16	)			4.82				(1.10	)			3.14
	Distributions to shareholders from net investment income			(0.16	)			(0.15	)			(0.13	)			(0.14	)			(0.22	)
	Distributions to shareholders from net realized gains			(0.29	)			(0.36	)			(0.82	)			(1.00	)			(2.26	)
	Total distributions			(0.45	)			(0.51	)			(0.95	)			(1.14	)			(2.48	)
	Net asset value, end of year		$	11.44			$	10.23			$	14.90			$	11.03			$	13.27
	Total Return(b)			16.58	%			(28.07	)%			44.33	%			(7.85	)%			25.49	%
	Net assets, end of year (in 000’s)		$	14,175			$	14,224			$	23,278			$	19,177			$	27,488
	Ratio of net expenses to average net assets			1.22	%			1.26	%			1.28	%			1.29	%			1.30	%
	Ratio of total expenses to average net assets			1.55	%			1.57	%			1.55	%			1.62	%			1.57	%
	Ratio of net investment income to average net assets			1.94	%			1.03	%			0.55	%			1.06	%			1.51	%
	Portfolio turnover rate(c)			35	%			35	%			37	%			57	%			37	%

(a) Calculated based on the average shares outstanding methodology.

(b) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

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

  

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

GOLDMAN SACHS REAL ESTATE SECURITIES FUND

 

Financial Highlights (continued)

Selected Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Real Estate Securities Fund
		Class C Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	9.44			$	13.82			$	10.31			$	12.50			$	11.99
	Net investment income (loss)(a)			0.12				0.03				(0.02	)			0.03				0.10
	Net realized and unrealized gain (loss)			1.33				(3.96	)			4.41				(1.14	)			2.78
	Total from investment operations			1.45				(3.93	)			4.39				(1.11	)			2.88
	Distributions to shareholders from net investment income			(0.11	)			(0.09	)			(0.06	)			(0.08	)			(0.11	)
	Distributions to shareholders from net realized gains			(0.29	)			(0.36	)			(0.82	)			(1.00	)			(2.26	)
	Total distributions			(0.40	)			(0.45	)			(0.88	)			(1.08	)			(2.37	)
	Net asset value, end of year		$	10.49			$	9.44			$	13.82			$	10.31			$	12.50
	Total Return(b)			15.63	%			(28.54	)%			43.12	%			(8.50	)%			24.62	%
	Net assets, end of year (in 000’s)		$	730			$	807			$	1,540			$	1,332			$	2,615
	Ratio of net expenses to average net assets			1.97	%			2.01	%			2.03	%			2.04	%			2.05	%
	Ratio of total expenses to average net assets			2.30	%			2.32	%			2.29	%			2.37	%			2.32	%
	Ratio of net investment income (loss) to average net assets			1.18	%			0.24	%			(0.20	)%			0.26	%			0.69	%
	Portfolio turnover rate(c)			35	%			35	%			37	%			57	%			37	%

(a) Calculated based on the average shares outstanding methodology.

(b) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

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

  

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

GOLDMAN SACHS REAL ESTATE SECURITIES FUND

 

Financial Highlights (continued)

Selected Data for a Share Outstanding Throughout Each Year

 

		Goldman Sachs Real Estate Securities Fund
		Institutional Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	10.80			$	15.67			$	11.56			$	13.83			$	13.05
	Net investment income(a)			0.27				0.18				0.13				0.17				0.28
	Net realized and unrealized gain (loss)			1.52				(4.51	)			4.97				(1.26	)			3.03
	Total from investment operations			1.79				(4.33	)			5.10				(1.09	)			3.31
	Distributions to shareholders from net investment income			(0.19	)			(0.18	)			(0.17	)			(0.18	)			(0.27	)
	Distributions to shareholders from net realized gains			(0.29	)			(0.36	)			(0.82	)			(1.00	)			(2.26	)
	Total distributions			(0.48	)			(0.54	)			(0.99	)			(1.18	)			(2.53	)
	Net asset value, end of year		$	12.11			$	10.80			$	15.67			$	11.56			$	13.83
	Total Return(b)			16.92	%			(27.77	)%			44.74	%			(7.48	)%			26.01	%
	Net assets, end of year (in 000’s)		$	26,104			$	24,348			$	37,235			$	23,409			$	30,069
	Ratio of net expenses to average net assets			0.89	%			0.91	%			0.91	%			0.91	%			0.92	%
	Ratio of total expenses to average net assets			1.19	%			1.20	%			1.17	%			1.24	%			1.19	%
	Ratio of net investment income to average net assets			2.38	%			1.42	%			0.92	%			1.47	%			1.86	%
	Portfolio turnover rate(c)			35	%			35	%			37	%			57	%			37	%

(a) Calculated based on the average shares outstanding methodology.

(b) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

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

  

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

GOLDMAN SACHS REAL ESTATE SECURITIES FUND

 

Financial Highlights (continued)

Selected Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Real Estate Securities Fund
		Service Shares
		Year Ended December 31,
		2023			2022			2021			2020			2019
	Per Share Data
	Net asset value, beginning of year	$	10.36		$	15.07		$	11.15		$	13.40		$	12.71
	Net investment income(a)		0.20			0.08			0.05			0.11			0.21
	Net realized and unrealized gain (loss)		1.46			(4.30	)		4.80			(1.23	)		2.94
	Total from investment operations		1.66			(4.22	)		4.85			(1.12	)		3.15
	Distributions to shareholders from net investment income		(0.15	)		(0.13	)		(0.11	)		(0.13	)		(0.20	)
	Distributions to shareholders from net realized gains		(0.29	)		(0.36	)		(0.82	)		(1.00	)		(2.26	)
	Total distributions		(0.44	)		(0.49	)		(0.93	)		(1.13	)		(2.46	)
	Net asset value, end of year	$	11.58		$	10.36		$	15.07		$	11.15		$	13.40
	Total Return(b)		16.34	%		(28.12	)%		44.13	%		(7.95	)%		25.40	%
	Net assets, end of year (in 000’s)	$	362		$	312		$	893		$	940		$	1,608
	Ratio of net expenses to average net assets		1.39	%		1.41	%		1.41	%		1.41	%		1.42	%
	Ratio of total expenses to average net assets		1.69	%		1.70	%		1.68	%		1.74	%		1.69	%
	Ratio of net investment income to average net assets		1.84	%		0.66	%		0.42	%		0.95	%		1.43	%
	Portfolio turnover rate(c)		35	%		35	%		37	%		57	%		37	%

(a) Calculated based on the average shares outstanding methodology.

(b) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

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

  

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

GOLDMAN SACHS REAL ESTATE SECURITIES FUND

 

Financial Highlights (continued)

Selected Data for a Share Outstanding Throughout Each Year

 

		Goldman Sachs Real Estate Securities Fund
		Investor Shares
		Year Ended December 31,
		2023			2022			2021			2020			2019
	Per Share Data
	Net asset value, beginning of year	$	10.40		$	15.13		$	11.19		$	13.43		$	12.73
	Net investment income(a)		0.22			0.15			0.11			0.14			0.24
	Net realized and unrealized gain (loss)		1.50			(4.35	)		4.81			(1.22	)		2.97
	Total from investment operations		1.72			(4.20	)		4.92			(1.08	)		3.21
	Distributions to shareholders from net investment income		(0.18	)		(0.17	)		(0.16	)		(0.16	)		(0.25	)
	Distributions to shareholders from net realized gains		(0.29	)		(0.36	)		(0.82	)		(1.00	)		(2.26	)
	Total distributions		(0.47	)		(0.53	)		(0.98	)		(1.16	)		(2.51	)
	Net asset value, end of year	$	11.65		$	10.40		$	15.13		$	11.19		$	13.43
	Total Return(b)		16.91	%		(27.90	)%		44.58	%		(7.59	)%		25.84	%
	Net assets, end of year (in 000’s)	$	843		$	1,428		$	2,678		$	2,289		$	4,532
	Ratio of net expenses to average net assets		0.98	%		1.01	%		1.03	%		1.04	%		1.05	%
	Ratio of total expenses to average net assets		1.31	%		1.32	%		1.30	%		1.36	%		1.32	%
	Ratio of net investment income to average net assets		2.03	%		1.22	%		0.80	%		1.17	%		1.64	%
	Portfolio turnover rate(c)		35	%		35	%		37	%		57	%		37	%

(a) Calculated based on the average shares outstanding methodology.

(b) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

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

  

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

GOLDMAN SACHS REAL ESTATE SECURITIES FUND

 

Financial Highlights (continued)

Selected Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Real Estate Securities Fund
		Class R6 Shares
		Year Ended December 31,
		2023			2022			2021			2020			2019
	Per Share Data
	Net asset value, beginning of year	$	10.79		$	15.67		$	11.56		$	13.83		$	13.05
	Net investment income(a)		0.26			0.30			0.12			0.18			0.30
	Net realized and unrealized gain (loss)		1.54			(4.64	)		4.98			(1.27	)		3.01
	Total from investment operations		1.80			(4.34	)		5.10			(1.09	)		3.31
	Distributions to shareholders from net investment income		(0.19	)		(0.18	)		(0.17	)		(0.18	)		(0.27	)
	Distributions to shareholders from net realized gains		(0.29	)		(0.36	)		(0.82	)		(1.00	)		(2.26	)
	Total distributions		(0.48	)		(0.54	)		(0.99	)		(1.18	)		(2.53	)
	Net asset value, end of year	$	12.11		$	10.79		$	15.67		$	11.56		$	13.83
	Total Return(b)		17.04	%		(27.82	)%		44.74	%		(7.47	)%		26.02	%
	Net assets, end of year (in 000’s)	$	2,564		$	2,385		$	443		$	1,116		$	973
	Ratio of net expenses to average net assets		0.88	%		0.90	%		0.90	%		0.90	%		0.90	%
	Ratio of total expenses to average net assets		1.18	%		1.23	%		1.18	%		1.24	%		1.18	%
	Ratio of net investment income to average net assets		2.31	%		2.47	%		0.93	%		1.52	%		1.98	%
	Portfolio turnover rate(c)		35	%		35	%		37	%		57	%		37	%

(a) Calculated based on the average shares outstanding methodology.

(b) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

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

  

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

GOLDMAN SACHS REAL ESTATE SECURITIES FUND

 

Financial Highlights (continued)

Selected Data for a Share Outstanding Throughout Each Year

 

		Goldman Sachs Real Estate Securities Fund
		Class R Shares
		Year Ended December 31,
		2023			2022			2021			2020			2019
	Per Share Data
	Net asset value, beginning of year	$	10.04		$	14.64		$	10.87		$	13.09		$	12.47
	Net investment income(a)		0.17			0.10			0.04			0.09			0.18
	Net realized and unrealized gain (loss)		1.43			(4.21	)		4.66			(1.19	)		2.88
	Total from investment operations		1.60			(4.11	)		4.70			(1.10	)		3.06
	Distributions to shareholders from net investment income		(0.14	)		(0.13	)		(0.11	)		(0.12	)		(0.18	)
	Distributions to shareholders from net realized gains		(0.29	)		(0.36	)		(0.82	)		(1.00	)		(2.26	)
	Total distributions		(0.43	)		(0.49	)		(0.93	)		(1.12	)		(2.44	)
	Net asset value, end of year	$	11.21		$	10.04		$	14.64		$	10.87		$	13.09
	Total Return(b)		16.26	%		(28.22	)%		43.82	%		(8.00	)%		25.14	%
	Net assets, end of year (in 000’s)	$	512		$	841		$	1,134		$	910		$	1,440
	Ratio of net expenses to average net assets		1.47	%		1.51	%		1.53	%		1.54	%		1.55	%
	Ratio of total expenses to average net assets		1.81	%		1.82	%		1.79	%		1.87	%		1.82	%
	Ratio of net investment income to average net assets		1.63	%		0.84	%		0.93	%		0.79	%		1.22	%
	Portfolio turnover rate(c)		35	%		35	%		37	%		57	%		37	%

(a) Calculated based on the average shares outstanding methodology.

(b) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

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

  

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

GOLDMAN SACHS REAL ESTATE SECURITIES FUND

 

Financial Highlights (continued)

Selected Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs Real Estate Securities Fund
		Class P Shares
		Year Ended December 31,
		2023			2022			2021			2020			2019
	Per Share Data
	Net asset value, beginning of year	$	10.79		$	15.66		$	11.55		$	13.82		$	13.04
	Net investment income(a)		0.25			0.18			0.13			0.17			0.29
	Net realized and unrealized gain (loss)		1.54			(4.51	)		4.97			(1.26	)		3.02
	Total from investment operations		1.79			(4.33	)		5.10			(1.09	)		3.31
	Distributions to shareholders from net investment income		(0.19	)		(0.18	)		(0.17	)		(0.18	)		(0.27	)
	Distributions to shareholders from net realized gains		(0.29	)		(0.36	)		(0.82	)		(1.00	)		(2.26	)
	Total distributions		(0.48	)		(0.54	)		(0.99	)		(1.18	)		(2.53	)
	Net asset value, end of year	$	12.10		$	10.79		$	15.66		$	11.55		$	13.82
	Total Return(b)		16.94	%		(27.78	)%		44.79	%		(7.48	)%		26.04	%
	Net assets, end of year (in 000’s)	$	56,585		$	70,378		$	109,444		$	70,215		$	89,616
	Ratio of net expenses to average net assets		0.88	%		0.90	%		0.90	%		0.90	%		0.90	%
	Ratio of total expenses to average net assets		1.18	%		1.19	%		1.16	%		1.23	%		1.18	%
	Ratio of net investment income to average net assets		2.22	%		1.42	%		0.93	%		1.47	%		1.90	%
	Portfolio turnover rate(c)		35	%		35	%		37	%		57	%		37	%

(a) Calculated based on the average shares outstanding methodology.

(b) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

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

  

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

GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS

 

 

Notes to Financial Statements

December 31, 2023

 

 

 

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
Global Infrastructure	A, C, Institutional, Investor, R6 and P	Non-diversified
Global Real Estate Securities	A, C, Institutional, Investor, R6 and P	Diversified
Real Estate Securities	A, C, Institutional, Service, Investor, R6, R and P	Non-diversified

Class A Shares of the Global Infrastructure, Global Real Estate Securities, and Real Estate Securities Funds are sold with a front-end sales charge of up to 5.50%. Class C Shares are sold with a contingent deferred sales charge (“CDSC”) of 1.00%, which is imposed on redemptions made within 12 months of purchase. Institutional, Service, Investor, Class R6, Class R and Class P Shares are not subject to a sales charge.

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

2. SIGNIFICANT ACCOUNTING POLICIES

The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions. Each Fund is an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies.

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

B. Investment Income and Investments — Investment income includes interest income, dividend income, and securities lending income, if any. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the securities received. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Investment income is recorded net of any foreign withholding taxes, less any amounts reclaimable. The Funds may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. These reclaims, if any, are recorded when the amount is known and there are no significant uncertainties on collectability. Such amounts recovered, if any, are reflected as other income in the Statements of Operations. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments. Distributions received from the Funds’ investments in U.S. real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain and/or a return of capital. A return of capital is recorded by the Funds as a reduction to the cost basis of the REIT.

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

D. Federal Taxes and Distributions to Shareholders — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute each

  

54

GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS

 

 

 

 

 

 

 

 

2. SIGNIFICANT ACCOUNTING POLICIES (continued)

year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, each Fund is not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid according to the following schedule:

Fund	Income Distributions Declared/Paid	Capital Gains Distributions Declared/Paid
Global Infrastructure	Quarterly	Annually
Global Real Estate Securities	Quarterly	Annually
Real Estate Securities	Quarterly	Annually

Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.

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

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

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS

U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the Funds’ policy is to use the market approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:

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

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

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

The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Funds, including investments for which market quotations are not readily available. With respect to the Funds’ investments that do not have readily available market quotations, the Trustees have designated GSAM as the valuation designee to perform fair valuations pursuant to Rule 2a-5 under the Investment Company Act of 1940 (the “Valuation Designee”). GSAM has day-to-day

  

  55

GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS

 

Notes to Financial Statements (continued)

December 31, 2023

 

 

 

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Funds’ investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.

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

Equity Securities — Equity securities traded on a United States (“U.S.”) securities exchange or the NASDAQ system, or those located on certain foreign exchanges, including but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If there is no sale or official closing price or such price is believed by GSAM to not represent fair value, equity securities will be valued at the valid closing bid price for long positions and at the valid closing ask price for short positions (i.e. where there is sufficient volume, during normal exchange trading hours). If no valid bid/ ask price is available, the equity security will be valued pursuant to the Valuation Procedures and consistent with applicable regulatory guidance. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2. Certain equity securities containing unique attributes may be classified as Level 2.

Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price for long positions or the last ask price for short positions, and are generally classified as Level 2. Securities traded on certain foreign securities exchanges are valued daily at fair value determined by an independent fair value service (if available) under the Valuation Procedures and consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchange. These investments are generally classified as Level 2 of the fair value hierarchy.

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

B. Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of a Fund’s investments may be determined under the Valuation Procedures. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining a Fund’s NAV. To the extent investments are valued using single source broker quotations obtained directly from the broker or passed through from third party pricing vendors, such investments are classified as Level 3 investments.

C. Fair Value Hierarchy — The following is a summary of the Funds’ investments classified in the fair value hierarchy as of December 31, 2023:

Global Infrastructure
Investment Type	Level 1		Level 2		Level 3
Assets
Common Stock and/or Other Equity Investments(a)
Asia	$	—	$	4,579,834	$	—
Europe		—		46,117,477		—
North America		135,183,824		4,791,544		—
Oceania		—		7,600,675		—
Investment Company		1,751,375		—		—
Total	$	136,935,199	$	63,089,530	$	—

  

56

GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS

 

 

 

 

 

 

 

 

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

Global Real Estate Securities
Investment Type	Level 1		Level 2		Level 3
Assets
Common Stock and/or Other Equity Investments(a)
Asia	$	2,100,394	$	24,160,022	$	—
Europe		—		19,793,102		—
North America		94,160,799		—		—
Oceania		—		4,839,989		—
Investment Company		1,511,286		—		—
Total	$	97,772,479	$	48,793,113	$	—
Real Estate Securities
Investment Type	Level 1		Level 2		Level 3
Assets
Common Stock and/or Other Equity Investments(a)
North America	$	100,794,145	$	—	$	—
Investment Company		262,850		—		—
Total	$	101,056,995	$	—	$	—

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

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

4. AGREEMENTS AND AFFILIATED TRANSACTIONS

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

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

For the year ended December 31, 2023, contractual and effective net management fees with GSAM were at the following rates:

	Contractual Management Rate
Fund	First $1 billion			Next $1 billion			Next $3 billion			Next $3 billion			Over $8 billion			Effective Rate			Effective Net Management Rate^
Global Infrastructure		0.90	%		0.81	%		0.77	%		0.75	%		0.74	%		0.90	%		0.90%
Global Real Estate Securities		0.93			0.84			0.80			0.78			0.76			0.93			0.93
Real Estate Securities		0.87			0.78			0.74			0.73			0.71			0.87			0.84 *

^ Effective Net Management Rate includes the impact of management fee waivers of affiliated Underlying Funds, if any. The Effective Net Management Rate may not correlate to the Contractual Management Rate as a result of management fee waivers that may be in effect from time to time.

* Effective April 28, 2023 GSAM has agreed to waive a portion of its management fee in order to achieve an effective net management fee rate of 0.83% as an annual percentage of the Fund’s average daily net assets. This arrangement will remain in effect through at least April 28, 2024, and prior to such date, the Investment Adviser may not terminate the arrangement without the approval of the Trustees.

  

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Notes to Financial Statements (continued)

December 31, 2023

 

 

 

4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

The Funds invest in Institutional Shares of the Goldman Sachs Financial Square Government Fund, which is an affiliated Underlying Fund. GSAM has agreed to waive a portion of its management fee payable by the Funds in an amount equal to the management fee it earns as an investment adviser to the affiliated Underlying Fund in which the Funds invest, except those management fees it earns from the Funds’ investments of cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund.

For the fiscal year ended December 31, 2023, GSAM waived $4,119, $3,029 and $970 of the Global Infrastructure, Global Real Estate Securities, and Real Estate Securities Funds’ management fees, respectively.

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

The Trust, on behalf of Class C Shares of each applicable Fund, has adopted a Distribution Plan subject to Rule 12b-1 under the Act. Under the Distribution Plan, Goldman Sachs as Distributor is entitled to a fee accrued daily and paid monthly for distribution services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class C Shares of the Funds, as set forth below.

The Trust, on behalf of Service Shares of each applicable Fund, has adopted a Service Plan subject to Rule 12b-1 under the Act to allow Service Shares to compensate service organizations (including Goldman Sachs) for providing personal and account maintenance services to their customers who are beneficial owners of such shares. The Service Plan provides for compensation to the service organizations equal to an annual percentage rate of the average daily net assets attributable to Service Shares of the Funds, as set forth below.

	Distribution and/or Service Plan Rates
	Class A*	Class C	Service	Class R*
Distribution and/or Service Plan	0.25%	0.75%	0.25%	0.50%

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

C. Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Funds pursuant to a Distribution Agreement, may retain a portion of the Class A Shares’ front end sales charge and Class C Shares’ CDSC. During the fiscal year ended December 31, 2023, Goldman Sachs retained the following amounts:

	Front End Sales Charge		Contingent Deferred Sales Charge
Fund	Class A		Class C
Global Infrastructure	$	45	$	—
Global Real Estate Securities		29		—
Real Estate Securities		482		—

D. Service and/or Shareholder Administration Plans — The Trust, on behalf of each applicable Fund, has adopted Service Plans to allow Class C Shares and Shareholder Administration Plans to allow Service Shares, respectively, to compensate service organizations (including Goldman Sachs) for providing varying levels of personal and account maintenance or shareholder administration services to their customers who are beneficial owners of such shares. The Service and Shareholder Administration Plans each provide for compensation to the service organizations equal to an annual percentage rate of 0.25% of the average daily net assets attributable to Class C and Service Shares of the Funds, respectively.

  

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4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

E. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Funds for a fee pursuant to the Transfer Agency Agreement. The fees charged for such transfer agency services are accrued daily and paid monthly at annual rates as follows: 0.15% of the average daily net assets of Class A, Class C, Investor and Class R Shares; 0.03% of the average daily net assets of Class R6 and Class P Shares; and 0.04% of the average daily net assets of Institutional and Service Shares. Prior to July 1, 2023, the rate for Class A, Class C, Investor and Class R Shares was 0.16%. Goldman Sachs has agreed to waive a portion of its transfer agency fee equal to 0.07% and 0.03% of the average daily net assets attributable to Class A, Class C, Investor and Class R Shares of the Global Infrastructure Fund and the Real Estate Securities Fund, respectively. This arrangement will remain in effect through at least April 28, 2024, and prior to such date, Goldman Sachs may not terminate the arrangement without the approval of the Board of Trustees. Prior to April 28, 2023, Goldman Sachs waived a portion equal to 0.01% of the average daily net assets attributable to class A, class C, Investor and Class R shares of the Global Infrastructure Fund.

F. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to reduce or limit certain “Other Expenses” of the Funds (excluding acquired fund fees and expenses, transfer agency fees and expenses, service fees and shareholder administration fees (as applicable), taxes, interest, brokerage fees, expenses of shareholder meetings, litigation and indemnification, and extraordinary expenses) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of each Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Funds are not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. The Other Expense limitation as an annual percentage rate of average daily net assets for each Fund is 0.004%, except Global Infrastructure which is at 0.054%. These Other Expense limitations will remain in place through at least April 28, 2024, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. In addition, the Funds have entered into certain offset arrangements with the custodian and the transfer agent, which may result in a reduction of the Funds’ expenses and are received irrespective of the application of the “Other Expense” limitations described above.

Goldman Sachs may voluntarily waive a portion of any payments under a Fund’s Distribution and Service Plan, Service Plan and Shareholder Administration Plan, and Transfer Agency Agreement, and these waivers are in addition to what is stipulated in any contractual fee waiver arrangements (as applicable). These temporary waivers may be modified or terminated at any time at the option of Goldman Sachs without shareholder approval.

For the fiscal year ended December 31, 2023, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:

Fund	Management Fee Waiver		Transfer Agency Waiver/Credits		Other Expense Reimbursements		Total Expense Reductions
Global Infrastructure	$	4,119	$	986	$	299,701	$	304,806
Global Real Estate Securities		3,029		–		433,076		436,105
Real Estate Securities		29,302		4,885		294,515		328,702

G. Line of Credit Facility — As of December 31, 2023, the Funds participated in a $1,110,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. For the fiscal year ended December 31, 2023, the Funds did not have any borrowings under the facility. Prior to April 19, 2023, the facility was $1,250,000,000.

H. Other Transactions with Affiliates — For the fiscal year ended December 31, 2023, Goldman Sachs earned $688 and $344 in brokerage commissions from portfolio transactions, on behalf of the Global Real Estate Securities and Real Estate Securities Fund, respectively. The following table provides information about the Funds’ investments in the Goldman Sachs Financial Square Government Fund as of and for the fiscal year ended December 31, 2023:

  

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GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS

 

Notes to Financial Statements (continued)

December 31, 2023

 

 

4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

Global Infrastructure
Underlying Fund	Beginning value as of December 31, 2022		Purchases at Cost		Proceeds from Sales			Ending value as of December 31, 2023		Shares as of December 31, 2023		Dividend Income
Goldman Sachs Financial Square Government Fund - Institutional Shares
	$	2,802,075	$	53,189,918	$	(54,240,618	)	$	1,751,375		1,751,375	$	124,003

Global Real Estate Securities
Underlying Fund	Beginning value as of December 31, 2022		Purchases at Cost		Proceeds from Sales			Ending value as of December 31, 2023		Shares as of December 31, 2023		Dividend Income
Goldman Sachs Financial Square Government Fund - Institutional Shares
	$	1,830,817	$	49,107,228	$	(49,426,759	)	$	1,511,286		1,511,286	$	89,004

Real Estate Securities
Underlying Fund	Beginning value as of December 31, 2022		Purchases at Cost		Proceeds from Sales			Ending value as of December 31, 2023		Shares as of December 31, 2023		Dividend Income
Goldman Sachs Financial Square Government Fund - Institutional Shares
	$	1,144,583	$	21,390,123	$	(22,271,856	)	$	262,850		262,850	$	27,434

As of December 31, 2023, The Goldman Sachs Group, Inc. was the beneficial owner of the following Funds:

Fund	Class C	Investor
Global Real Estate Securities	86%	24%

As of December 31, 2023, the following Goldman Sachs Funds were beneficial owners of 5% or more of total outstanding shares of the following Funds:

Fund	Goldman Sachs Enhanced Dividend Global Equity Portfolio	Goldman Sachs Satellite Strategies Portfolio	Goldman Sachs Tax-Advantaged    Global Equity Portfolio
Global Infrastructure	–%	6%	34%
Global Real Estate Securities	5	–	43

5. PORTFOLIO SECURITIES TRANSACTIONS

The cost of purchases and proceeds from sales and maturities of long-term securities for the fiscal year ended December 31, 2023, were as follows:

Fund	Purchases		Sales
Global Infrastructure	$	58,487,123	$	111,450,764
Global Real Estate Securities		73,619,287		56,194,329
Real Estate Securities		37,608,525		62,242,657

6. SECURITIES LENDING

The Real Estate Securities Fund may lend its securities through a securities lending agent, the Bank of New York Mellon (“BNYM”), to certain qualified borrowers. Pursuant to exemptive relief granted by the Securities and Exchange Commission

  

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6. SECURITIES LENDING (continued)

(“SEC”) and the terms and conditions contained therein, the Global Real Estate Securities Fund may lend its securities through a securities lending agent, Goldman Sachs Agency Lending (“GSAL”), a wholly-owned subsidiary of Goldman Sachs, to certain qualified borrowers including Goldman Sachs and affiliates. In accordance with the Fund’s securities lending procedures, the Fund receives cash collateral at least equal to the market value of the securities on loan. The market value of the loaned securities is determined at the close of business of the Funds, at their last sale price or official closing price on the principal exchange or system on which they are traded, and any additional required collateral is delivered to the Funds on the next business day. As with other extensions of credit, the Funds may experience delay in the recovery of their securities or incur a loss should the borrower of the securities breach its agreement with the Funds or become insolvent at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan. Dividend income received from securities on loan may not be subject to withholding taxes and therefore withholding taxes paid may differ from the amounts listed in the Statements of Operations. Loans of securities are terminable at any time and as such 1) the remaining contractual maturities of the outstanding securities lending transactions are considered to be overnight and continuous and 2) the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.

The Global Real Estate Securities and Real Estate Securities Funds invest the cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund (“Government Money Market Fund”), an affiliated series of the Goldman Sachs Trust. The Government Money Market Fund is registered under the Act as an open end investment company, is subject to Rule 2a-7 under the Act, and is managed by GSAM, for which GSAM may receive a management fee of up to 0.16% on an annualized basis of the average daily net assets of the Government Money Market Fund.

In the event of a default by a borrower with respect to any loan, GSAL will and BNYM may exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If GSAL or BNYM are unable to purchase replacement securities, GSAL and/or BNYM will indemnify the Funds by paying the Funds an amount equal to the market value of the securities loaned minus the value of cash collateral received from the borrower for the loan, subject to an exclusion for any shortfalls resulting from a loss of value in such cash collateral due to reinvestment risk. The Funds’ master netting agreements with certain borrowers provide the right, in the event of a default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate net exposure to the defaulting party or request additional collateral. However, in the event of a default by a borrower, a resolution authority could determine that such rights are not enforceable due to the restrictions or prohibitions against the right of set-off that may be imposed in accordance with a particular jurisdiction’s bankruptcy or insolvency laws. The Funds’ loaned securities were all subject to enforceable Securities Lending Agreements and the value of the collateral was at least equal to the value of the cash received. The amounts of the Funds’ overnight and continuous agreements, which represent the gross amounts of recognized liabilities for securities lending transactions outstanding as of December 31, 2023, are disclosed as “Payable upon return of securities loaned” on the Statements of Assets and Liabilities, where applicable.

The Funds, GSAL, and BNYM received compensation relating to the lending of the Funds’ securities. The amounts earned, if any, by the Funds for the fiscal year ended December 31, 2023, are reported under Investment Income on the Statements of Operations.

The table below details securities lending activity with affiliates of Goldman Sachs:

	For the Fiscal Year Ended December 31, 2023
Fund	Earnings of GSAL Relating to Securities Loaned		Amounts Received by the Funds from Lending to Goldman Sachs		Amounts Payable to Goldman Sachs Upon Return of Securities Loaned as of  December 31, 2023
Global Real Estate Securities	$	483	$	—	$	—

  

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Notes to Financial Statements (continued)

December 31, 2023

 

 

 

6. SECURITIES LENDING (continued)

The following table provides information about the Funds’ investments in the Government Money Market Fund for the fiscal year ended December 31, 2023.

Fund	Beginning value as of December 31, 2022		Purchases at Cost		Proceeds from Sales			Ending value as of December 31, 2023
Global Real Estate Securities	$	1,018,728	$	3,945,338	$	(4,964,066	)	$	—
Real Estate Securities		—		455,907		(455,907	)		—

7. TAX INFORMATION

The tax character of distributions paid during the fiscal year ended December 31, 2023 was as follows:

	Global Infrastructure		Global Real Estate Securities		Real Estate Securities
Distributions paid from:
Ordinary Income	$	5,687,584	$	2,251,905	$	1,806,762
Net long-term capital gains		—		—		2,581,380
Total distributions	$	5,687,584	$	2,251,905	$	4,388,142
Return of Capital	$	312,357	$	—	$	—

The tax character of distributions paid during the fiscal year ended December 31, 2022 was as follows:

	Global Infrastructure		Global Real Estate Securities		Real Estate Securities
Distributions paid from:
Ordinary Income	$	5,012,637	$	3,251,319	$	3,042,606
Net long-term capital gains		—		109,481		2,609,579
Total distributions	$	5,012,637	$	3,360,800	$	5,652,185
Return of Capital	$	671,649	$	1,054,332	$	—

As of December 31, 2023, the components of accumulated earnings (losses) on a tax basis were as follows:

	Global Infrastructure			Global Real Estate Securities			Real Estate Securities
Undistributed ordinary income — net	$	—		$	1,643,776		$	541,959
Capital loss carryforwards:
Perpetual Short-Term		(378,718	)		(10,281,353	)		(541,863)
Perpetual Long-Term		(3,294,571	)		(18,286,346	)		—
Total capital loss carryforwards		(3,673,289	)		(28,567,699	)		(541,863)
Timing differences — (Real Estate Investment Trusts, Qualified Late Year Ordinary Loss Deferral and Post October Capital Loss Deferral)		(177,728	)		(273,341	)		57,851
Unrealized gains (losses) — net		34,490,518			10,860,033			35,853,779
Total accumulated earnings (losses) — net	$	30,639,501		$	(16,337,231	)	$	35,911,726

As of December 31, 2023, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:

  

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7. TAX INFORMATION (continued)

	Global Infrastructure			Global Real Estate Securities			Real Estate   Securities
Tax Cost	$	165,546,042		$	135,705,863		$	65,203,216
Gross unrealized gain		39,731,068			13,944,716			36,964,622
Gross unrealized loss		(5,240,550	)		(3,084,683	)		(1,110,843)
Net unrealized gain (loss)	$	34,490,518		$	10,860,033		$	35,853,779

The difference between GAAP-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales and differences related to the tax treatment of partnership investments and passive foreign investment companies.

The Global Infrastructure Fund reclassified $527 from paid-in capital to distributable earnings for the year ending December 31, 2023. In order to present certain components of the Fund’s capital accounts on a tax-basis, certain reclassifications have been recorded to the Fund’s accounts. These reclassifications have no impact on the net asset value of the Fund and result primarily from return of capital distributions.

The Global Real Estate Securities Fund reclassified $99,670 from distributable earnings to paid-in capital for the year ending December 31, 2023. In order to present certain components of the Fund’s capital accounts on a tax-basis, certain reclassifications have been recorded to the Fund’s accounts. These reclassifications have no impact on the net asset value of the Fund and result primarily from return of capital distributions.

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

8. OTHER RISKS

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

Dividend-Paying Investments Risk — A Fund’s investments in dividend-paying securities could cause a Fund to underperform other funds. Securities that pay dividends, as a group, can fall out of favor with the market, causing such securities to underperform securities that do not pay dividends. Depending upon market conditions and political and legislative responses to such conditions, dividend-paying securities that meet a Fund’s investment criteria may not be widely available and/or may be highly concentrated in only a few market sectors. In addition, issuers that have paid regular dividends or distributions to shareholders may not continue to do so at the same level or at all in the future. This may limit the ability of a Fund to produce current income.

Foreign and Emerging Countries Risk — Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of more or less foreign government regulation; less public information; less stringent investor protections; less stringent accounting, corporate governance, financial reporting and disclosure standards; and less economic, political and social stability in the countries in which a Fund invests. The imposition of sanctions, exchange controls (including repatriation restrictions), confiscation of assets and property, trade restrictions (including tariffs) and other government restrictions by the U.S. or other governments, or from problems in registration, settlement or custody, may also result in losses. The type and severity of sanctions and other similar measures, including counter sanctions and other retaliatory actions, that may be imposed could vary broadly in scope, and their impact is impossible to predict. For example, the imposition of sanctions and other similar measures could, among other things, cause a decline in the value and/or liquidity of securities issued by the sanctioned country or companies located in or economically tied to the sanctioned country and increase market volatility and disruption in the sanctioned country and throughout the world. Sanctions and other similar measures could limit or prevent a Fund from buying and selling securities (in the sanctioned country and other markets), significantly delay or prevent the settlement of securities transactions, and significantly impact a Fund’s liquidity and performance. Foreign risk also involves the risk of negative foreign currency exchange rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which a Fund has exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time. To the extent that a Fund also invests in securities of issuers located in, or economically tied to, emerging markets, these risks may be more pronounced.

  

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Notes to Financial Statements (continued)

December 31, 2023

 

 

8. OTHER RISKS (continued)

Geographic Risk — If a Fund focuses its investments in securities of issuers located in a particular country or geographic region, the Fund may be subjected, to a greater extent than if its investments were less focused, to the risks of volatile economic cycles and/or conditions and developments that may be particular to that country or region, such as: adverse securities markets; adverse exchange rates; adverse social, political, regulatory, economic, business, environmental or other developments; or natural disasters.

Industry Concentration Risk — Concentrating Fund investments in a limited number of issuers conducting business in the same industry or group of industries will subject a Fund to a greater risk of loss as a result of adverse economic, business, political, environmental or other developments than if its investments were diversified across different industries.

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

Market Risk — The value of the securities in which the Fund invests may go up or down in response to the prospects of individual companies, particular sectors or governments and/or general economic conditions throughout the world due to increasingly interconnected global economies and financial markets. Events such as war, military conflict, acts of terrorism, social unrest, natural disasters, recessions, inflation, rapid interest rate changes, supply chain disruptions, sanctions, the spread of infectious illness or other public health threats could also significantly impact the Fund and its investments.

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

REIT Risk — Risks associated with investments in the real estate industry (such as REITs) include, among others: possible declines in the value of real estate; risks related to general and local economic conditions; possible lack of availability of mortgage financing, variations in rental income, neighborhood values or the appeal of property to tenants; interest rates; overbuilding; extended vacancies of properties; increases in competition, property taxes and operating expenses; and changes in zoning laws. REITs whose underlying properties are concentrated in a particular industry or geographic region are subject to risks affecting such industries and regions. The securities of REITs involve greater risks than those associated with larger, more established companies and may be subject to more abrupt or erratic price movements because of interest rate changes, economic conditions and other factors. Securities of such issuers may lack sufficient market liquidity to enable the Fund to effect sales at an advantageous time or without a substantial drop in price.

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.

  

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10. OTHER MATTERS

Pursuant to an effort to consolidate the membership of the Board of Trustees of the Trust (the “Board”) with the Board of Trustees of each of Goldman Sachs ETF Trust, Goldman Sachs ETF Trust II, Goldman Sachs Real Estate Diversified Income Fund, Goldman Sachs Trust II and Goldman Sachs Variable Insurance Trust, in July 2023, the Board voted to nominate Cheryl K. Beebe, John G. Chou, Eileen H. Dowling, Lawrence Hughes, John F. Killian, Steven D. Krichmar, Michael Latham, Lawrence W. Stranghoener and Paul C. Wirth (the “Nominees”) for election as Trustees of the Trust. Messrs. Chou and Wirth and Ms. Dowling were serving as Trustees of the Trust at the time of their nominations. At a virtual special joint meeting of shareholders held on November 16, 2023, each of the Nominees (except Messrs. Chou and Wirth and Ms. Dowling) was elected to serve as Trustees alongside the then current Trustees of the Trust, effective January 1, 2024. Each of Messrs. Chou and Wirth and Ms. Dowling was also elected at the meeting and continue to serve as Trustees of the Trust.

11. SUBSEQUENT EVENTS

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

12. SUMMARY OF SHARE TRANSACTIONS

Share activity is as follows:

	Global Infrastructure
	For the Fiscal Year Ended						For the Fiscal Year Ended
	December 31, 2023						December 31, 2022
	Shares			Dollars			Shares			Dollars
Class A Shares
Shares sold		9,035		$	113,990			53,821		$	678,391
Reinvestment of distributions		442			5,336			1,664			20,540
Shares redeemed		(18,908	)		(238,555	)		(128,119	)		(1,630,077)
		(9,431	)		(119,229	)		(72,634	)		(931,146)
Class C Shares
Shares sold		421			5,258			226			2,827
Reinvestment of distributions		404			4,805			396			4,839
Shares redeemed		(17,588	)		(210,788	)		(9,695	)		(125,902)
		(16,763	)		(200,725	)		(9,073	)		(118,236)
Institutional Shares
Shares sold		692,396			8,542,051			744,825			9,817,114
Reinvestment of distributions		17,423			208,093			26,992			332,438
Shares redeemed		(1,130,844	)		(13,731,615	)		(329,917	)		(4,066,594)
		(421,025	)		(4,981,471	)		441,900			6,082,958
Investor Shares
Shares sold		13,243			156,319			132,487			1,717,435
Reinvestment of distributions		3,181			38,222			2,105			25,678
Shares redeemed		(61,481	)		(740,655	)		(12,126	)		(153,253)
		(45,057	)		(546,114	)		122,466			1,589,860

  

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GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS

 

Notes to Financial Statements (continued)

December 31, 2023

 

 

12. SUMMARY OF SHARE TRANSACTIONS (continued)

	Global Infrastructure
	For the Fiscal Year Ended December 31, 2023						For the Fiscal Year Ended December 31, 2022
	Shares			Dollars			Shares			Dollars
Class R6 Shares
Shares sold		1,246,217		$	14,228,398			606,873		$	7,979,849
Reinvestment of distributions		255,933			3,068,447			241,433			2,983,172
Shares redeemed		(2,992,554	)		(35,921,599	)		(2,730,028	)		(35,474,324)
		(1,490,404	)		(18,624,754	)		(1,881,722	)		(24,511,303)
Class R Shares*
Shares sold		—			—			—			—
Reinvestment of distributions		30			364			42			517
Shares redeemed		(2,824	)		(34,908	)		—			—
		(2,794	)		(34,544	)		42			517
Class P Shares
Shares sold		444,587			5,445,181			2,127,621			27,443,867
Reinvestment of distributions		223,630			2,674,682			187,346			2,309,254
Shares redeemed		(3,042,255	)		(36,620,904	)		(2,267,472	)		(29,654,491)
		(2,374,038	)		(28,501,041	)		47,495			98,630
NET DECREASE IN SHARES		(4,359,512	)	$	(53,007,878	)		(1,351,526	)	$	(17,788,720)
*   Class R shares liquidated on July 14, 2023.
	Global Real Estate Securities
	For the Fiscal Year Ended December 31, 2023						For the Fiscal Year Ended December 31, 2022
	Shares			Dollars			Shares			Dollars
Class A Shares
Shares sold		3,462		$	31,846			7,767		$	76,660
Proceeds received in connection with merger		—			—			135,552			1,602,224
Reinvestment of distributions		2,057			18,019			3,755			34,203
Shares redeemed		(21,474	)		(196,260	)		(15,500	)		(152,222)
		(15,955	)		(146,395	)		131,574			1,560,865
Class C Shares
Shares sold		69			615			47			611
Proceeds received in connection with merger		—			—			983			11,514
Reinvestment of distributions		49			422			139			1,247
Shares redeemed		(2,471	)		(22,319	)		(218	)		(2,058)
		(2,353	)		(21,282	)		951			11,314
Institutional Shares
Shares sold		10,744			99,924			7,686			94,569
Proceeds received in connection with merger		—			—			453,687			5,362,585
Reinvestment of distributions		2,397			20,999			14,233			129,798
Shares redeemed		(372,843	)		(3,508,562	)		(30,937	)		(287,701)
		(359,702	)		(3,387,639	)		444,669			5,299,251

  

66

GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS

 

 

 

 

 

 

 

 

12. SUMMARY OF SHARE TRANSACTIONS (continued)

	Global Real Estate Securities
	For the Fiscal Year Ended December 31, 2023						For the Fiscal Year Ended December 31, 2022
	Shares			Dollars			Shares			Dollars
Investor Shares
Shares sold		58,488		$	529,153			584		$	5,893
Proceeds received in connection with merger		—			—			4,062			47,895
Reinvestment of distributions		656			5,777			206			1,887
Shares redeemed		(52,305	)		(476,040	)		(868	)		(8,379)
		6,839			58,890			3,984			47,296
Class R6 Shares
Shares sold		2,225,762			20,612,967			1,092,123			10,663,966
Proceeds received in connection with merger		—			—			5,184			61,174
Reinvestment of distributions		151,096			1,321,028			265,236			2,477,956
Shares redeemed		(270,955	)		(2,539,047	)		(3,744,828	)		(35,481,477)
		2,105,903			19,394,948			(2,382,285	)		(22,278,381)
Class R Shares*
Shares sold		—			—			—			83
Reinvestment of distributions		28			248			83			761
Shares redeemed		(3,178	)		(29,655	)		—			—
		(3,150	)		(29,407	)		83			844
Class P Shares
Shares sold		977,612			8,797,524			4,622,273			44,353,247
Proceeds received in connection with merger		—			—			2,668,812			31,465,295
Reinvestment of distributions		101,287			885,231			191,737			1,768,798
Shares redeemed		(1,263,706	)		(11,507,768	)		(6,246,636	)		(61,314,352	)
		(184,807	)		(1,825,013	)		1,236,186			16,272,988
NET INCREASE (DECREASE) IN SHARES		1,546,775		$	14,044,102			(564,838	)	$	914,177
*  Class R shares liquidated on July 14, 2023.
	Real Estate Securities
	For the Fiscal Year Ended December 31, 2023						For the Fiscal Year Ended December 31, 2022
	Shares			Dollars			Shares			Dollars
Class A Shares
Shares sold		78,045		$	833,276			91,671		$	1,161,245
Reinvestment of distributions		50,741			552,999			63,944			690,238
Shares redeemed		(279,776	)		(3,001,682	)		(327,913	)		(3,900,137)
		(150,990	)		(1,615,407	)		(172,298	)		(2,048,654)
Class C Shares
Shares sold		6,398			63,049			31,440			371,138
Reinvestment of distributions		3,005			30,256			4,135			41,004
Shares redeemed		(25,243	)		(255,145	)		(61,493	)		(702,574)
		(15,840	)		(161,840	)		(25,918	)		(290,432)

  

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GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS

 

Notes to Financial Statements (continued)

December 31, 2023

 

 

12. SUMMARY OF SHARE TRANSACTIONS (continued)

	Real Estate Securities
	For the Fiscal Year Ended December 31, 2023						For the Fiscal Year Ended December 31, 2022
	Shares			Dollars			Shares			Dollars
Institutional Shares
Shares sold		741,044		$	8,553,213			213,269		$	2,952,959
Reinvestment of distributions		93,602			1,075,478			105,920			1,211,714
Shares redeemed		(933,328	)		(10,271,408	)		(440,179	)		(5,806,996)
		(98,682	)		(642,717	)		(120,990	)		(1,642,323)
Service Shares
Shares sold		4,394			48,430			4,394			56,747
Reinvestment of distributions		1,238			13,675			1,344			14,610
Shares redeemed		(4,468	)		(45,485	)		(34,850	)		(475,167)
		1,164			16,620			(29,112	)		(403,810)
Investor Shares
Shares sold		5,744			64,666			28,120			380,913
Reinvestment of distributions		3,308			36,541			6,986			77,090
Shares redeemed		(73,913	)		(803,948	)		(74,835	)		(902,453)
		(64,861	)		(702,741	)		(39,729	)		(444,450)
Class R6 Shares
Shares sold		11,987			135,720			208,011			2,559,921
Reinvestment of distributions		8,387			96,384			9,529			108,012
Shares redeemed		(29,608	)		(332,739	)		(24,826	)		(299,563)
		(9,234	)		(100,635	)		192,714			2,368,370
Class R Shares
Shares sold		6,871			72,765			13,770			162,618
Reinvestment of distributions		1,856			19,874			3,742			39,440
Shares redeemed		(46,838	)		(490,637	)		(11,142	)		(129,742)
		(38,111	)		(397,998	)		6,370			72,316
Class P Shares
Shares sold		339,457			3,782,101			1,294,182			15,347,751
Reinvestment of distributions		221,476			2,538,845			300,817			3,439,977
Shares redeemed		(2,407,462	)		(27,468,361	)		(2,060,825	)		(24,731,148)
		(1,846,529	)		(21,147,415	)		(465,826	)		(5,943,420)
NET DECREASE IN SHARES		(2,223,083	)	$	(24,752,133	)		(654,789	)	$	(8,332,403	)

  

68

 

 

 

 

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Goldman Sachs Trust and Shareholders of Goldman Sachs Global Infrastructure Fund, Goldman Sachs Global Real Estate Securities Fund and Goldman Sachs Real Estate Securities Fund

Opinions on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Goldman Sachs Global Infrastructure Fund, Goldman Sachs Global Real Estate Securities Fund and Goldman Sachs Real Estate Securities Fund (three of the Funds constituting Goldman Sachs Trust, hereafter collectively referred to as the “Funds”) as of December 31, 2023, the related statements of operations for the year ended December 31, 2023, the statements of changes in net assets for each of the two years in the period ended December 31, 2023, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2023 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2023, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended December 31, 2023 and each of the financial highlights for each of the five years in the period ended December 31, 2023 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinions

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2023 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/ PricewaterhouseCoopers LLP

Boston, Massachusetts

February 23, 2024

We have served as the auditor of one or more investment companies in the Goldman Sachs fund complex since 2000.

  

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GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS

Fund Expenses — Six Month Period Ended December 31, 2023 (Unaudited)

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

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2023, through December 31, 2023, which represents a period of 184 days of a 365 day year.

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

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

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

	Global Infrastructure			Global Real Estate Securities			Real Estate Securities
Share Class	Beginning  Account Value  7/1/23	Ending  Account Value  12/31/23	Expenses  Paid for the 6 months  ended 12/31/23*	Beginning  Account Value  7/1/23	Ending  Account Value  12/31/23	Expenses  Paid for the 6 months  ended 12/31/23*	Beginning  Account Value  7/1/23	Ending  Account Value  12/31/23	Expenses  Paid for the 6 months  ended 12/31/23*
Class A
Actual	$1,000.00	$1,035.50	$6.57	$1,000.00	$1,091.00	$7.01	$1,000.00	$1,081.90	$6.35
Hypothetical 5% return	1,000.00	1,018.75+	6.51	1,000.00	1,018.50+	6.77	1,000.00	1,019.11+	6.16
Class C
Actual	1,000.00	1,031.00	10.39	1,000.00	1,086.00	10.94	1,000.00	1,077.80	10.26
Hypothetical 5% return	1,000.00	1,014.97+	10.31	1,000.00	1,014.72+	10.56	1,000.00	1,015.32+	9.96
Institutional
Actual	1,000.00	1,037.50	5.08	1,000.00	1,092.00	5.11	1,000.00	1,083.80	4.62
Hypothetical 5% return	1,000.00	1,020.21+	5.04	1,000.00	1,020.32+	4.94	1,000.00	1,020.77+	4.48
Service
Actual	N/A	N/A	N/A	N/A	N/A	N/A	1,000.00	1,080.40	7.24
Hypothetical 5% return	N/A	N/A	N/A	N/A	N/A	N/A	1,000.00	1,018.25+	7.02
Investor
Actual	1,000.00	1,036.40	5.29	1,000.00	1,090.60	5.69	1,000.00	1,083.10	5.04
Hypothetical 5% return	1,000.00	1,020.01+	5.24	1,000.00	1,019.76+	5.50	1,000.00	1,020.37+	4.89
Class R6
Actual	1,000.00	1,036.80	5.03	1,000.00	1,092.10	5.06	1,000.00	1,083.80	4.57
Hypothetical 5% return	1,000.00	1,020.27+	4.99	1,000.00	1,020.37+	4.89	1,000.00	1,020.82+	4.43
Class R
Actual	N/A	N/A	N/A	N/A	N/A	N/A	1,000.00	1,080.00	7.65
Hypothetical 5% return	N/A	N/A	N/A	N/A	N/A	N/A	1,000.00	1,017.85+	7.43
Class P
Actual	1,000.00	1,037.60	5.03	1,000.00	1,092.20	5.06	1,000.00	1,082.90	4.57
Hypothetical 5% return	1,000.00	1,020.27+	4.99	1,000.00	1,020.37+	4.89	1,000.00	1,020.82+	4.43

* Expenses are calculated using each Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended December 31, 2023. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year.

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

  The annualized net expense ratios for the period were as follows:

Fund	Class A			Class C			Institutional		Service			Investor			Class R6			Class R			Class P
Global Infrastructure		1.28	%		2.03	%		0.99%		N/A			1.03	%		0.98	%		N/A			0.98	%
Global Real Estate Securities		1.33			2.08			0.97		N/A			1.08			0.96			N/A			0.96
Real Estate Securities		1.21			1.96			0.88		1.38	%		0.96			0.87			1.46	%		0.87

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Voting Results of Special Meeting of Shareholders (Unaudited)

A Special Meeting (the “Meeting”) of the Goldman Sachs Trust (the “Trust”) was held on November 16, 2023 to consider and act upon the proposal below. At the Meeting, Cheryl K. Beebe, John G. Chou, Eileen H. Dowling, Lawrence Hughes, John F. Killian, Steven D. Krichmar, Michael Latham, Lawrence W. Stranghoener and Paul C. Wirth were elected to the Trust’s Board of Trustees. In electing Trustees, the Trust’s shareholders voted as follows:

Proposal Election of Trustees	For	Withheld
Cheryl K. Beebe	169,452,067,796	5,900,273,020
John G. Chou	173,279,757,273	2,072,583,543
Eileen H. Dowling	173,287,456,218	2,064,884,598
Lawrence Hughes	173,486,691,901	1,865,648,915
John F. Killian	173,511,167,174	1,841,173,642
Steven D. Krichmar	173,484,256,228	1,868,084,588
Michael Latham	173,498,020,286	1,854,320,530
Lawrence W. Stranghoener	173,455,949,165	1,896,391,651
Paul C. Wirth	173,324,070,424	2,028,270,391

  

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GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS

 

 

Trustees and Officers (Unaudited)

Independent Trustees

Name,    Address and Age1	Position(s) Held with the Trust	Term of Office and Length of Time Served2	Principal Occupations During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee3	Other Directorships Held by Trustee4
Gregory G. Weaver Age: 72	Chair of the Board of Trustees	Since 2023 (Trustee since 2015)	Mr. Weaver is retired. He is Director, Verizon Communications Inc. (2015-Present); and was formerly Chairman and Chief Executive Officer, Deloitte & Touche LLP (a professional services firm) (2001-2005 and 2012-2014); and Member of the Board of Directors, Deloitte & Touche LLP (2006-2012).  Chair of the Board of Trustees — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	102	Verizon Communications Inc.
Dwight L. Bush Age: 66	Trustee	Since 2020	The Honorable Dwight Bush is President and CEO of D.L. Bush & Associates (a financial advisory and private investment firm) (2002-2014 and 2017-Present); Director of MoneyLion, Inc. (an operator of a data-driven, digital financial platform) (2021-Present); and was formerly U.S. Ambassador to the Kingdom of Morocco (2014-2017) and a Member of the Board of Directors of Santander Bank, N.A. (2018-2019). Previously, he served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (October 2019-January 2020).  Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	102	MoneyLion, Inc. (an operator of a datadriven, digital financial platform)
Kathryn A. Cassidy Age: 69	Trustee	Since 2015	Ms. Cassidy is retired. She is Director, Vertical Aerospace Ltd. (an aerospace and technology company) (2021-Present). Formerly, Ms. Cassidy was Advisor to the Chairman (May 2014-December 2014); and Senior Vice President and Treasurer (2008-2014), General Electric Company & General Electric Capital Corporation (technology and financial services companies).  Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	102	Vertical Aerospace Ltd. (an aerospace and technology company)
John G. Chou Age: 67	Trustee	Since 2022	Mr. Chou is retired. Formerly, he was Executive Vice President and Special Advisor to the Chairman and CEO (2021-2022); Executive Vice President and Chief Legal Officer (2019-2021); Executive Vice President and Chief Legal & Business Officer (2017-2019); and Executive Vice President and General Counsel (2011-2017) of Cencora, Inc. (a pharmaceutical and healthcare company.  Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	102	None
Joaquin Delgado Age: 63	Trustee	Since 2020	Dr. Delgado is retired. He is Director, Stepan Company (a specialty chemical manufacturer) (2011-Present); and was formerly Director, Hexion Inc. (a specialty chemical manufacturer) (2019-2022); Executive Vice President, Consumer Business Group of 3M Company (July 2016-July 2019); and Executive Vice President, Health Care Business Group of 3M Company (October 2012-July 2016). Previously, Dr. Delgado served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (October 2019-January 2020).  Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	102	Stepan Company (a specialty chemical manufacturer)

  

72  

GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS

 

 

Trustees and Officers (Unaudited) (continued)

Independent Trustees

Name,   Address and Age1	Position(s) Held with the Trust	Term of Office and Length of Time Served2	Principal Occupations During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee3	Other Directorships Held by Trustee4
Eileen H. Dowling Age: 61	Trustee	Since 2021	Ms. Dowling is retired. Formerly, she was Senior Advisor (April 2021-September 2021); and Managing Director (2013-2021), BlackRock, Inc. (a financial services firm). As Managing Director, she held senior management positions, including Global Head of Global Consultant Relations (2017-2021), Multinational Corporations (2019-2021), the Institutional Product Group (2015-2019) and Institutional Marketing (2013-2016). Ms. Dowling was a member of the Global Operating Committee and Product Executive Committee of BlackRock.  Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	102	None
Paul C. Wirth Age: 66	Trustee	Since 2022	Mr. Wirth is retired. He is Executive Advisor, My Next Season LLC (a career transition advisory firm) (2023 – Present) Formerly, he was Deputy Chief Financial Officer and Principal Accounting Officer (2011-2020); Finance Director and Principal Accounting Officer (2010-2011); and Managing Director, Global Controller, and Chief Accounting Officer (2005-2010) of Morgan Stanley.  Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	102	None

  

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Trustees and Officers (Unaudited) (continued)

Interested Trustee*

Name,   Address and Age1	Position(s) Held with the Trust	Term of Office and Length of Time Served2	Principal Occupations During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee3	Other Directorships Held by Trustee4
James A. McNamara Age: 61	President and Trustee	Since 2007	Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998- December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).  President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs ETF Trust; Goldman Sachs ETF Trust II; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund.	192	None

* Mr. McNamara is considered to be an “Interested Trustee” because he holds positions with Goldman Sachs and owns securities issued by The Goldman Sachs Group, Inc. Mr. McNamara holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor.

¹  Each Trustee may be contacted by writing to the Trustee, c/o Goldman Sachs, 200 West Street, New York, New York, 10282, Attn: Robert Griffith. Information is provided as of December 31, 2023.

²  Subject to such policies as may be adopted by the Board from time-to-time, each Trustee holds office for an indefinite term, until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board or shareholders, in accordance with the Trust’s Declaration of Trust; or (c) the termination of the Trust. The Board has adopted policies which provide that each Independent Trustee shall retire as of December 31st of the calendar year in which he or she reaches (a) his or her 75th birthday or (b) the 15th anniversary of the date he or she became a Trustee, whichever is earlier, unless a waiver of such requirements shall have been adopted by a majority of the other Trustees. These policies may be changed by the Trustees without shareholder vote.

³  The Goldman Sachs Fund Complex includes certain other companies listed above for each respective Trustee. As of December 31, 2023, Goldman Sachs Trust consisted of 87 portfolios; Goldman Sachs Variable Insurance Trust consisted of 15 portfolios (11 of which offered shares to the public); Goldman Sachs Trust II consisted of 18 portfolios (7 of which offered shares to the public); Goldman Sachs ETF Trust consisted of 68 portfolios (37 of which offered shares to the public); Goldman Sachs ETF Trust II consisted of 2 portfolios; and Goldman Sachs Credit Income Fund and Goldman Sachs Real Estate Diversified Income Fund each consisted of one portfolio. Goldman Sachs Credit Income Fund did not offer shares to the public.

⁴  This column includes only directorships of companies required to report to the Securities and Exchange Commission under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act.

Additional information about the Trustees is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384.

  

74  

GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS

 

 

Trustees and Officers (Unaudited) (continued)

Officers of the Trust*

Name, Address and Age1	Position(s) Held with the Trust	Term of Office and Length of Time Served2	Principal Occupations During Past 5 Years
James A. McNamara 200 West Street New York, NY 10282 Age: 61	Trustee and President	Since 2007	Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).  President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs ETF Trust; Goldman Sachs ETF Trust II; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund.
Joseph F. DiMaria 30 Hudson Street Jersey City, NJ 07302 Age: 55	Treasurer, Principal Financial Officer and Principal Accounting Officer	Since 2017 (Treasurer and Principal Financial Officer since 2019)	Managing Director, Goldman Sachs (November 2015-Present) and Vice President — Mutual Fund Administration, Columbia Management Investment Advisers, LLC (May 2010- October 2015).  Treasurer, Principal Financial Officer and Principal Accounting Officer — Goldman Sachs Trust (previously Assistant Treasurer (2016)); Goldman Sachs Variable Insurance Trust (previously Assistant Treasurer (2016)); Goldman Sachs Trust II (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust II; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund.
Robert Griffith 200 West Street New York, NY 10282 Age: 49	Secretary	Since 2023	Managing Director, Goldman Sachs (September 2022 – Present); General Counsel, Exchange Traded Concepts, LLC (October 2021 – September 2022); Vice President, Goldman Sachs (August 2011 – October 2021); Associate General Counsel, Goldman Sachs (December 2014 – Present); Assistant General Counsel, Goldman Sachs (August 2011 – December 2014); Vice President and Counsel, Nomura Holding America, Inc. (2010 – 2011); and Associate, Simpson Thacher & Bartlett LLP (2005 – 2010).  Secretary—Goldman Sachs Trust (previously Assistant Secretary (2022)); Goldman Sachs Variable Insurance Trust (previously Assistant Secretary (2022)); Goldman Sachs Trust II (previously Assistant Secretary (2022)); Goldman Sachs ETF Trust (previously Assistant Secretary (2022)); Goldman Sachs ETF Trust II; (previously Assistant Secretary (2022)); and Goldman Sachs Real Estate Diversified Income Fund (previously Assistant Secretary (2022)).

* Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-526-7384.

¹  Information is provided as of December 31, 2023.

²  Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor.

Goldman Sachs Trust — Real Estate Securities and Global Infrastructure Funds — Tax Information (Unaudited)

For the year ended December 31, 2023, 45.37%, 0.14%, and 0.38% of the dividends paid from net investment company taxable income by the Global Infrastructure, Global Real Estate Securities, and Real Estate Securities Funds, respectively, qualify for the dividends received deduction available to corporations.

For the year ended December 31, 2023, 79.23% and 98.82% of the dividends paid from net investment company taxable income by the Global Real Estate Securities and Real Estate Securities Funds, respectively, qualify as section 199A dividends.

For the year ended December 31, 2023, 100%, 20.77%, and 1.18% of the dividends paid from net investment company taxable income by the Global Infrastructure, Global Real Estate Securities, and Real Estate Securities Funds, respectively, qualify for the reduced tax rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003.

Pursuant to Section 852 of the Internal Revenue Code, the Real Estate Securities Fund designate $2,581,380, or, if different, the maximum amount allowable, as capital gain dividends paid during the year ended December 31, 2023.

  

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FUNDS PROFILE

 

 

Goldman Sachs Funds

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

Today, the Asset Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $2.54 trillion in assets under supervision as of December 31, 2023, Goldman Sachs Asset Management has portfolio management teams located around the world and our investment professionals bring firsthand knowledge of local markets to every investment decision. Assets under supervision includes assets under management and other client assets for which Goldman Sachs does not have full discretion. Goldman Sachs Asset Management leverages the resources of Goldman Sachs & Co. LLC subject to legal, internal and regulatory restrictions.

Money Market

Financial Square Funds^SM

∎ Financial Square Treasury Solutions Fund¹

∎ Financial Square Government Fund¹

∎ Financial Square Money Market Fund²

∎ Financial Square Prime Obligations Fund²

∎ Financial Square Treasury Instruments Fund¹

∎ Financial Square Treasury Obligations Fund¹

∎ Financial Square Federal Instruments Fund¹

Investor Funds^SM

∎ Investor Money Market Fund³

∎ Investor Tax-Exempt Money Market Fund³

Fixed Income

Short Duration and Government

∎ Enhanced Income Fund

∎ Short-Term Conservative Income Fund

∎ Short Duration Government Fund

∎ Short Duration Bond Fund

∎ Government Income Fund

∎ Inflation Protected Securities Fund

∎ U.S. Mortgages Fund

Multi-Sector

∎ Bond Fund

∎ Core Fixed Income Fund

∎ Global Core Fixed Income Fund

∎ Strategic Income Fund

∎ Income Fund

Municipal and Tax-Free

∎ High Yield Municipal Fund

∎ Dynamic Municipal Income Fund

∎ Short Duration Tax-Free Fund

∎ Municipal Income Completion Fund

Single Sector

∎ Investment Grade Credit Fund

∎ High Yield Fund

∎ High Yield Floating Rate Fund

∎ Emerging Markets Debt Fund

∎ Emerging Markets Credit Fund⁴

Fixed Income Alternatives

∎ Long Short Credit Strategies Fund

Fundamental Equity

∎ Equity Income Fund

∎ Small Cap Growth Fund

∎ Small Cap Value Fund

∎ Small/Mid Cap Value Fund

∎ Mid Cap Value Fund

∎ Large Cap Value Fund

∎ Focused Value Fund

∎ Large Cap Core Fund

∎ Strategic Growth Fund

∎ Small/Mid Cap Growth Fund

∎ Enhanced Core Equity Fund⁶

∎ Concentrated Growth Fund

∎ Technology Opportunities Fund

∎ Mid Cap Growth Fund

∎ Rising Dividend Growth Fund

∎ U.S. Equity ESG Fund

∎ Income Builder Fund

Tax-Advantaged Equity

∎ U.S. Tax-Managed Equity Fund

∎ International Tax-Managed Equity Fund

∎ U.S. Equity Dividend and Premium Fund

∎ International Equity Dividend and Premium Fund

Equity Insights

∎ Small Cap Equity Insights Fund

∎ U.S. Equity Insights Fund

∎ Small Cap Growth Insights Fund

∎ Large Cap Growth Insights Fund

∎ Large Cap Value Insights Fund

∎ Small Cap Value Insights Fund

∎ International Small Cap Insights Fund

∎ International Equity Insights Fund

∎ Emerging Markets Equity Insights Fund

Fundamental Equity International

∎ International Equity Income Fund

∎ International Equity ESG Fund

∎ China Equity Fund

∎ Emerging Markets Equity Fund

∎ Emerging Markets Equity ex. China Fund

∎ ESG Emerging Markets Equity Fund

Alternative

∎ Clean Energy Income Fund

∎ Real Estate Securities Fund

∎ Commodity Strategy Fund

∎ Global Real Estate Securities Fund

∎ Absolute Return Tracker Fund

∎ Managed Futures Strategy Fund

∎ MLP Energy Infrastructure Fund

∎ Energy Infrastructure Fund

∎ Multi-Strategy Alternatives Fund5

∎ Global Infrastructure Fund

Total Portfolio Solutions

∎ Global Managed Beta Fund

∎ Multi-Manager Non-Core Fixed Income Fund

∎ Multi-Manager Global Equity Fund

∎ Multi-Manager International Equity Fund

∎ Tactical Tilt Overlay Fund

∎ Balanced Strategy Portfolio

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

∎ Multi-Manager Real Assets Strategy Fund

∎ Growth and Income Strategy Portfolio

∎ Growth Strategy Portfolio

∎ Dynamic Global Equity Fund

∎ Satellite Strategies Portfolio

∎ Enhanced Dividend Global Equity Portfolio

∎ Tax-Advantaged Global Equity Portfolio

∎ Strategic Factor Allocation Fund

∎ Strategic Volatility Premium Fund

∎ GQG Partners International Opportunities Fund

¹  You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a bank account or deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor is not required to reimburse the Fund for losses, and you should not expect that the sponsor will provide financial support to the Fund at any time, including during periods of market stress.

²  You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares. Effective October 2, 2024, the Fund generally must impose a fee when net sales of Fund shares exceed certain levels. An investment in the Fund is not a bank account or a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor is not required to reimburse the Fund for losses, and you should not expect that the sponsor will provide financial support to the Fund at any time, including during periods of market stress.

³  You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares. An investment in the Fund is not a bank account or deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor is not required to reimburse the Fund for losses, and you should not expect that the sponsor will provide financial support to the Fund at any time, including during periods of market stress.

⁴  Effective after the close of business on October 31, 2023, the Goldman Sachs Local Emerging Markets Debt Fund was renamed the Goldman Sachs Emerging Markets Credit Fund.

⁵  Effective after the close of business on September 22, 2023, the Goldman Sachs Multi-Manager Alternatives Fund was renamed the Goldman Sachs Multi-Strategy Alternatives Fund.

⁶  Effective after the close of business on February 13, 2024, the Goldman Sachs Flexible Cap Fund was renamed the Goldman Sachs Enhanced Core Equity Fund.

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

* This list covers open-end funds only. Please visit our website at www.GSAMFUNDS.com to learn about our closed-end funds and exchange-traded funds.

  

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TRUSTEES TRUSTEES (continued) Gregory G. Weaver, Chair James A. McNamara Cheryl K. Beebe* Lawrence W. Stranghoener* Dwight L. Bush Paul C. Wirth Kathryn A. Cassidy *Effective January 1, 2024 John G. Chou Joaquin Delgado OFFICERS Eileen H. Dowling James A. McNamara, President Lawrence Hughes* Joseph F. DiMaria, Principal Financial Officer, John F. Killian* Principal Accounting Officer and Treasurer Steven D. Krichmar* Robert Griffith, Secretary Michael Latham* GOLDMAN SACHS & CO. LLC GOLDMAN SACHS ASSET MANAGEMENT, L.P. Distributor and Transfer Agent Investment Adviser Visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Goldman Sachs Asset Management, L.P., 200 West Street, New York, New York 10282 Economic and market forecasts presented herein reflect our judgment as of the date of this presentation and are subject to change without notice. These forecasts do not take into account the specific investment objectives, restrictions, tax and financial situation or other needs of any specific client. Actual data will vary and may not be reflected here. These forecasts are subject to high levels of uncertainty that may affect actual performance. Accordingly, these forecasts should be viewed as merely representative of a broad range of possible outcomes. These forecasts are estimated, based on assumptions, and are subject to significant revision and may change materially as economic and market conditions change. Goldman Sachs has no obligation to provide updates or changes to these forecasts. Case studies and examples are for illustrative purposes only. The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk. The reports concerning the Funds included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Funds in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Funds, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Funds. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed. A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information regarding how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (ii) on the Securities and Exchange Commission (“SEC”) web site at http://www.sec.gov. The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of Morgan Stanley Capital International Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P) and is licensed for use by Goldman Sachs. Neither MSCI, S&P nor any other party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages. Neither MSCI nor any other party involved in or related to compiling, computing, or creating the MSCI data makes any express or implied warranties or representations with respect to such data (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability, or fitness for a particular purpose with respect to any of such data. Without limiting any of the foregoing, in no event shall MSCI, any of its affiliates or any third party involved in or related to compiling, computing or creating the data have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages. No further distribution or dissemination of the MSCI data is permitted without MSCI’s express written consent. The Funds will file portfolio holdings information for each month in a fiscal quarter within 60 days after the end of the relevant fiscal quarter on Form N-PORT. Portfolio holdings information for the third month of each fiscal quarter will be made available on the SEC’s web site at http://www.sec.gov. Portfolio holdings information may be obtained upon request and without charge by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders). Holdings and allocations shown are as of December 31, 2023 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk. This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus or summary prospectus, if applicable. Investors should consider a Fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the prospectus carefully before investing or sending money. The summary prospectus, if available, and the prospectus contain this and other information about a Fund and may be obtained from your authorized dealer or from Goldman Sachs & Co. LLC by calling (retail – 1-800-526-7384) (institutional – 1-800-621-2550). 2024 Goldman Sachs. All rights reserved. 356457-OTU-022024 RESAR-24

Goldman Sachs Funds Annual Report December 31, 2023 Tax-Advantaged Equity Funds I International Tax-Managed Equity U.S. Tax-Managed Equity

 

 

 

 

Goldman Sachs Tax-Advantaged Equity Funds

∎   INTERNATIONAL TAX-MANAGED EQUITY

∎   U.S. TAX-MANAGED EQUITY

TABLE OF CONTENTS

Market Review	1
Portfolio Results and Fund Basics	6
Schedules of Investments	16
Financial Statements	27
Financial Highlights
International Tax-Managed Equity Fund	30
U.S. Tax-Managed Equity Fund	36
Notes to Financial Statements	43
Report of Independent Registered Public Accounting Firm	58
Other Information	59

Effective January 24, 2023, open-end mutual funds and exchange traded funds will be required to provide shareholders with streamlined annual and semi-annual shareholder reports (“Tailored Shareholder Reports”). Funds will be required to prepare a separate Tailored Shareholder Report for each share class of a fund that highlights key information to investors. Other information, including financial statements, will no longer appear in a fund’s shareholder report, but will be available online, delivered free of charge upon request, and filed with the SEC on a semi-annual basis on Form N-CSR. The new requirements have a compliance date of July 24, 2024.

NOT  FDIC-INSURED  May Lose Value  No Bank Guarantee 

  

   

MARKET REVIEW

 

 

Goldman Sachs Tax-Advantaged Equity Funds

Market Review

During the 12 months ended December 31, 2023 (the “Reporting Period”), the international and U.S. equity markets recorded double-digit gains. The positive performance was influenced most by inflation trends and macroeconomic data, changing expectations about central bank monetary policy, interest rate volatility and geopolitical events.

International Equities

International equities rallied strongly but lagged the U.S. equity market during the Reporting Period. The MSCI* Europe, Australasia, Far East (EAFE) Index (Net, USD, Unhedged) (the “MSCI EAFE Index”) posted a return of 18.24%.¹

International equities performed well during the first quarter of 2023 overall. Markets gained in January on the back of consensus expectations around peaking inflation in the U.S. and Europe, the slowing pace of central bank interest rate hikes and receding concerns about recession. China finally lifted its stringent zero-COVID policy, which increased global hopes around the resolution of supply-chain disruptions and economic recovery driven by strong domestic consumption. Several companies announced job cuts, but the overall job market remained in good shape, raising optimism around the mild impact of a potential impending global recession. February saw a pullback in international equity market performance, as market sentiment was governed by dampening expectations around potential peaking of interest rate hikes, ongoing geopolitical tensions between Russia and Ukraine, and a re-escalation of U.S./China tensions. Japan saw its highest level of inflation in 40 years. However, international equities rebounded in March, with market sentiment most influenced by speculation around the potential peaking of inflation, the slowing pace of central bank interest rate hikes and receding concerns about a global recession—all despite U.S. and European regional banking tensions.

During the second quarter of 2023, international equities gained, albeit more modestly than in the prior quarter. International equity markets recovered slightly in April from the banking turmoil that plagued March. In Europe, although manufacturing lagged, headline inflation fell sharply as energy prices fell globally. China enjoyed strong economic growth, but geopolitical concerns around U.S./China tensions continued to weaken investor sentiment toward the country. The Japanese equity market rose for the fourth consecutive month, particularly notable in light of the new Bank of Japan governor declaring a commitment to a loose monetary easing policy and famed investor Warren Buffett declaring that he planned to add to his Japanese equity investments. In May, international equities declined. Globally, high inflation rates persisted, dampening market sentiment, while sustained wage growth raised concerns around peak central bank policy rates potentially being higher than consensus expected. In the U.K., inflation hit a 31-year high. Concerns surrounding the U.S. debt ceiling also loomed over the markets during the month. International equities then rebounded in June. The Bank of England (“BoE”) hiked its interest rates more than consensus expected to combat persistent inflation, encouraging other central banks to continue policy tightening. China’s recovery-fueled momentum slowed. In Japan, import prices began to ease along with other inflation drivers.

The third quarter of 2023 was a challenging one for international equities, marked by persistent inflation, contractionary economic concerns, particularly in Europe, and further interest rate hikes. Recession fears were renewed by a steep rise in oil prices. Further, a selloff in global bond markets put increased pressure on risk assets. In Europe, concerns persisted around the contractionary effect of elevated interest rates on the economy as the European Central Bank (“ECB”) raised rates twice in the quarter. However, inflation in Europe fell to a two-year low, and the ECB suggested its September hike may be the last. The U.K. equity market gained modestly for the quarter, largely supported by its energy sector, which benefited from increased oil prices. The market also benefited from sterling, its currency, depreciating relative to the U.S. dollar. Additionally, U.K. markets showed signs of improving consumer confidence. The BoE raised rates more than consensus expected in July and once more in August before ending its run of 14 consecutive rate hikes in September. The Japanese equity market also gained modestly during the quarter, with weakness in the yen and strong domestic demand major tailwinds. In July, the Bank of Japan endorsed higher bond yields and signaled toward a potential end to negative interest rates by calendar year end. In China, lower economic growth and real estate market concerns continued to plague its equity market, despite new stimulus policies.

1 All index returns are expressed in U.S. dollar terms.

*Source: MSCI

  

  1

MARKET REVIEW

 

 

 

 

International equities rallied strongly in the fourth quarter of 2023, fueled by expectations of interest rate cuts in 2024 amid falling inflation numbers and a fizzling out of the “higher for longer” narrative. In Europe, equities were weak in October but then recovered to close out the year. Headline inflation in December ticked up from November; however, core inflation fell. U.K. equities posted positive returns overall but lagged other geographies during the quarter due to sterling appreciation and a large exposure to the underperforming energy sector.

Although U.K. GDP growth entered negative territory during the quarter, markets were buoyed by expectations of an ending rate hike cycle. As a result, domestic small-cap and mid-cap stocks performed especially well. The Japanese equity market similarly posted positive, albeit modest, returns for the quarter. Yen appreciation was a headwind for Japanese equities. Further, expectations of rate cuts and dovish U.S. Federal Reserve moves were positive news for Japanese equities. (Dovish suggests lower interest rates; opposite of hawkish.) The December 2023 Bank of Japan Tankan survey signaled toward improving business sentiment. However, the Bank of Japan’s December meeting, though not featuring any policy or rate changes, slightly dampened consensus expectations of an imminent end to its negative policy rates.

For the Reporting Period overall, all 11 sectors of the MSCI EAFE Index gained, led by information technology, industrials and consumer discretionary. Consumer staples, real estate and health care were the weakest performers on the basis of total return, though still produced positive absolute returns during the Reporting Period.

From a country perspective, Italy, Ireland and Spain were the strongest constituents of the MSCI EAFE Index during the Reporting Period, based on total return. The only individual country constituents of the MSCI EAFE Index to post negative absolute returns during the Reporting Period were Hong Kong, Canada and Finland.

U.S. Equities

In a sharp reversal from 2022, the S&P 500^® Index (the “S&P 500 Index”), representing the U.S. equity market, returned 26.29% during the Reporting Period, closing the 2023 calendar year with the best fourth quarter since 2003. Such strong performance, however, masked volatility and a wide range of challenges.

In the first quarter of 2023, the S&P 500 Index gained 7.53%, marking its second straight quarterly gain. Among the factors behind the market’s strength were disinflation narrative momentum, soft economic landing expectations, and a lowered bar for fourth quarter 2022 corporate earnings. (A soft landing, in economics, is a cyclical downturn that avoids recession. It typically describes attempts by central banks to raise interest rates just enough to stop an economy from overheating and experiencing high inflation, without causing a significant increase in unemployment, or a hard landing.) Following a stellar start to the year, February proved to be a setback for the disinflation path after nonfarm payrolls illustrated the largest job growth in six months, and the unemployment rate fell to a 53-year low, which pushed market forecasts for the Federal Reserve’s (“Fed”) terminal rate up. In addition, January inflation data saw their largest monthly increases since mid-2022, illustrating that more work was needed to combat inflation. While fourth quarter 2022 corporate earnings did disappoint as margins came under pressure by persistently high input costs and weaker demand, the labor market outlook appeared to be positive due to supply-chain enhancements, ongoing consumer resilience and consensus expectations for inflation pressures to diminish as 2023 progressed. Consensus forecasts for the Fed’s interest rate path took a dovish turn in March due to an abrupt banking crisis that escalated the risk of raising rates. (Dovish tends to suggest lower interest rates; opposite of hawkish.) Economic data in March also contributed to the dovish sentiment.

The S&P 500 Index returned 8.74% in the second quarter of 2023. The market’s strength was predominately driven by disinflation momentum, an upswing in soft landing expectations, consumer resilience, a better than consensus expected first quarter corporate earnings season, and persistent enthusiasm around artificial intelligence (“AI”), including the possibility for a boom in AI-related chipmakers. Growth stocks significantly outperformed their value counterparts, as mega-cap technology stocks accounted for the vast majority of the S&P 500 Index’s rally in the quarter. Inflation reached its lowest level in more than two years on the back of lower energy prices. The soft landing narrative took form with a still-tight labor market and robust housing market helping to counteract the possibility of a recession. First quarter corporate earnings metrics, though supported by a lower bar, were well above their one-year averages due to a combination of pricing power, supply-chain normalizations, cost-cutting initiatives and margin expansion. Despite U.S. equity market strength in the quarter, the implacable “higher for longer” messaging from the Fed remained

  

2  

MARKET REVIEW

 

 

 

 

 

 

 

an overhang. Concentrated leadership was another critical concern for investors that raised doubts about the sustainability of the U.S. equity market rally. On the geopolitical front, a slower than consensus expected economic recovery in China presented a setback for the market.

In the third quarter of 2023, the S&P 500 Index returned -3.27%, marking its first quarterly decline of the calendar year. The S&P 500 Index started off strong in the first two months of the quarter, reaching its year-to-date 2023 high at the end of July before a sharp pullback in September. Although economic activity remained resilient, the market declined mostly due to a pickup in soft landing concerns, surging energy prices and disinflationary pressures on corporate earnings. Concerns about a looming threat of a federal government shutdown, consumer impacts from student loan repayments resuming, and a strike against automakers by the United Auto Workers union that began in September further weighed on investor sentiment. The Fed acted in line with consensus forecasts, hiking interest rates by 25 basis points in July and keeping rates unchanged at 5.25%-5.50% in September. (A basis point is 1/100th of a percentage point.) However, the Fed’s “higher for longer” narrative appeared to gain further recognition from investors. On the earnings front, S&P 500 Index companies saw earnings decline by 4.21% in the second calendar quarter from a year earlier, marking the third consecutive quarter of negative earnings growth.

The S&P 500 Index gained 11.69% in the fourth quarter of 2023, finishing the year nearly eclipsing its all-time high. The quarter saw a broadening of market leadership following the mega-cap dominance for most of the calendar year. U.S. equity markets began the quarter with negative momentum, as investors digested a more resilient than consensus expected U.S. economy and a “higher for longer” Fed interest rate regime. The market then shifted direction in November and December. November saw the most significant easing in financial conditions of any month in more than four decades. Market sentiment took a positive turn on the back of an overall shift in tonality from Fed officials signaling potential easing of monetary policy in 2024, a gradual cooldown in economic activity while the labor market remained resilient, and a rally across U.S. Treasuries marking one of the best monthly performances on record—all underpinning soft landing and disinflation traction themes. The Fed held interest rates unchanged throughout the quarter, as growth of the U.S. economy slowed, the unemployment rate remained low despite abating job gains, and inflationary pressures continued to trend downwards. Near the end of the quarter, there was a major shift in the Fed’s policy path expectations, with the Summary of Economic Projections median dot plot signaling 75 basis points of rate cuts in 2024. (The Fed’s dot plot shows the interest rate projections of the members of the Federal Open Market Committee.) U.S. economic data provided further evidence of disinflation momentum, with November’s annualized core Consumer Price Index dropping to its lowest level since September 2021 and core Personal Consumption Expenditure Index increasing 1.9% on a six-month annualized basis, measuring below the Fed’s inflation target of 2% for the first time in more than three years. Market seasonality proved to be another tailwind to equities during the quarter, as November and December historically represent the strongest two-month period for U.S. stocks.

For the Reporting Period overall, nine of the 11 sectors in the S&P 500 Index posted positive absolute returns. Information technology was the best performing sector in the S&P 500 Index, as measured by total return, followed by communication services and consumer discretionary. The weakest performing sectors in the S&P 500 Index during the Reporting Period were utilities and energy—the only two to post negative absolute returns.

Within the U.S. equity market, all capitalization segments posted double-digit positive returns, with large-cap stocks, as measured by the Russell 1000^® Index, performing best. Mid-cap stocks, as measured by the Russell Midcap^® Index, and small-cap stocks, as measured by the Russell 2000^® Index, followed, with these two market segments posting returns similar to each other. From a style perspective, growth-oriented stocks materially outperformed value-oriented stocks across the capitalization spectrum but most significantly within the large-cap segment of the market. (All as measured by the FTSE Russell indices.)

Looking Ahead

In the months ahead, we expect less expensive stocks to outpace more expensive stocks. We also believe that stocks with good momentum are likely to outperform those with poor momentum. Our plan is to seek profitable companies with positive fundamentals, sustainable earnings and a track record of using capital to enhance shareholder value. To that end, we anticipate remaining fully invested, with long-term performance likely to be the result of stock selection rather than sector or capitalization allocations.

  

  3

MARKET REVIEW

 

 

 

 

 

 

 

We stand behind our investment philosophy that sound economic investment principles, coupled with a disciplined quantitative approach, can provide potentially strong, uncorrelated returns over the long term. Our research agenda is robust, and we continue to enhance our existing models, add new proprietary forecasting signals and improve our trading execution as we seek to provide the most value to our shareholders.

Enhancements Made to Proprietary Quantitative Model during the 12-Month Period Ended December 31, 2023

We continuously look for ways to improve our investment process. Accordingly, we implemented a number of enhancements to our proprietary quantitative model during the 12-month period ended December 31, 2023 (the “Reporting Period”).

International Regions

Within our Sentiment Analysis investment theme, we implemented an enhancement across all regions except Japan that aims to improve our sentiment identification in earnings call reports by utilizing many of the latest developments in machine learning and natural language processing (“NLP”). In our High Quality Business Models investment theme, we implemented a new signal across all regions that aims to apply U.S. consumer spending data to non-U.S. companies to help predict their future returns. Across all regions, we implemented two new signals within our Market Themes & Trends investment theme. The first signal leverages advanced machine learning algorithms to capture nuanced behavior of our existing suite of more than a hundred alpha factors. The second signal aims to apply NLP techniques to account for fine-grained linguistic meaning of documents when quantifying company linkages for text-based cross-stock momentum factors.

In fact, we introduced several new signals and enhancements during the Reporting Period that leverage machine learning techniques, such as NLP as well as those that are based on different types of alternative data sources. The new NLP-based signals utilize the transformer architecture to be able to extract insights from different bodies of text. For example, within the Sentiment Analysis investment theme, we introduced a suite of signals that seeks to identify changes in sentiment within company regulatory filings and documents by using advanced NLP models to synthesize the context of the language used within the document. In addition to the NLP-based signals, we also introduced a new signal that seeks to capture the level of attention stocks receive as a result of being mentioned in news articles and blog posts. We believe companies that receive outsized attention in the media experience positive, but temporary, price trends that ultimately revert over the longer term. We also introduced new signals within the Market Themes & Trends investment theme. The first signal introduced in all regions except Japan leverages NLP and topic modeling techniques to identify economic linkages between companies based on their current descriptions. Additionally, we implemented a suite of signals that leverage word embedding techniques to capture the meanings of the words and language used with employer reviews in order to identify the economic linkages between companies mentioned.

Lastly, we extended a signal from our U.S. regional models to the U.K. and Europe regional models that focuses on consumers’ spending growth trends, as we believe companies with exposure to segments of the market that are exhibiting changes in consumer spending trends may also experience a similar impact to their expected sales growth.

U.S. Region

Within our Sentiment Analysis investment theme, we implemented two new signals during the Reporting Period. The first enhancement implemented aims to improve our sentiment identification in earnings call reports by utilizing many of the latest developments in machine learning and natural language processing (“NLP”). The second signal implemented aims to capitalize upon price dislocations that are caused by uninformed exchange-traded fund trading. Finally, we implemented two new signals within our Market Themes & Trends investment theme. The first signal leverages advanced machine learning algorithms to capture nuanced behavior of our existing suite of more than a hundred alpha factors. The second signal aims to apply NLP techniques to account for fine-grained linguistic meaning of documents when quantifying company linkages for text-based cross-stock momentum factors

  

4  

MARKET REVIEW

 

 

 

 

 

 

 

In fact, we introduced several new signals and enhancements during the Reporting Period that leverage machine learning techniques, such as NLP as well as those that are based on different types of alternative data sources. The new NLP-based signals utilize the transformer architecture to be able to extract insights from different bodies of text. For example, within the Sentiment Analysis investment theme, we introduced a suite of signals that seeks to identify changes in sentiment within company regulatory filings and documents by using advanced NLP models to synthesize the context of the language used within the document. In addition to the NLP-based signals, we also introduced a new signal that seeks to capture the level of attention stocks receive as a result of being mentioned in news articles and blog posts. We believe companies that receive outsized attention in the media experience positive, but temporary, price trends that ultimately revert over the longer term. We also introduced new signals within the Market Themes & Trends investment theme. The first signal introduced leverages NLP and topic modeling techniques to identify economic linkages between companies based on their current descriptions. Additionally, we implemented a suite of signals that leverage word embedding techniques to capture the meanings of the words and language used with employer reviews in order to identify the economic linkages between companies mentioned.

Lastly, within our High Quality Business Models investment theme, we introduced two suites of signals within the U.S. that are both based on jobs posting data. The first signals focus on the duration that jobs postings remain outstanding. We believe companies that are appealing to prospective employees can fulfill jobs postings quicker and are therefore better positioned for growth over the long term. The second suite of signals focus on the types of roles the company is trying to hire for, as we believe companies seeking to employ for high-in-demand roles will have to pay increased costs for the set of skills required and thus have their prospects for future growth be more challenged.

  

  5

PORTFOLIO RESULTS

 

 

International Tax-Managed Equity Fund

Investment Objective

The Fund seeks to provide long-term after-tax growth of capital through tax-sensitive participation in a broadly diversified portfolio of international equity securities.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Goldman Sachs International Tax-Managed Equity Fund’s (the “Fund”) performance and positioning for the 12-month period ended December 31, 2023 (the “Reporting Period”).

Q How did the Fund perform during the Reporting Period?

A During the Reporting Period, the Fund’s Class A, Class C, Institutional, Investor, Class R6 and Class P Shares generated average annual total returns, without sales charges, of 19.96%, 18.98%, 20.23%, 20.26%, 20.30% and 20.28%, respectively. This compares to the 18.24% average annual total return of the Fund’s benchmark, the MSCI* EAFE Index (Net, USD, Unhedged) (the “Index”), during the same time period.

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

A During the Reporting Period, the Fund outperformed the Index, with all four of our quantitative model’s investment themes adding to performance. Stock selection driven by these investment themes also contributed positively.

Q What impact did the Fund’s investment themes have on performance during the Reporting Period?

A The Fund uses a quantitative style of management, in combination with a qualitative overlay, that emphasizes fundamentally based stock selection, careful portfolio construction and efficient implementation. The Fund’s investments are selected using fundamental research and a variety of quantitative techniques based on certain investment themes, including Fundamental Mispricings, High Quality Business Models, Sentiment Analysis and Market Themes & Trends.

  In keeping with our investment approach, we use our quantitative model and four investment themes to take a long-term view of market patterns and look for inefficiencies, selecting stocks for the Fund and

overweighting or underweighting the ones chosen by the model. Over time and by design, the performance of any one of the model’s investment themes tends to have a low correlation with the model’s other themes, demonstrating the diversification benefit of the Fund’s theme-driven quantitative model. The variance in performance supports our research indicating that the diversification provided by our different investment themes is a significant investment advantage over the long term, even though the Fund may experience underperformance in the short term. Of course, diversification does not protect an investor from market risk nor does it ensure a profit.

  During the Reporting Period, all four of our investment themes contributed positively to the Fund’s relative performance. Sentiment Analysis was the Fund’s best performing theme. Sentiment Analysis seeks to identify stocks experiencing improvements in their overall market sentiment. Fundamental Mispricings, High Quality Business Models and Market Themes & Trends also bolstered the Fund’s relative returns during the Reporting Period. Fundamental Mispricings seeks to identify high quality businesses trading at a fair price, which we believe may lead to strong performance over the long run. High Quality Business Models seeks to identify companies that are generating high quality revenues with sustainable business models and aligned management incentives. Market Themes & Trends seeks to identify companies positively positioned to benefit from themes and trends in the market and macroeconomic environment.

Q How did the Fund’s sector and industry allocations affect relative performance?

A In constructing the Fund’s portfolio, we focus on picking stocks rather than on making sector or industry bets. Consequently, the Fund tends to be similar to the Index

*Source: MSCI

  

6  

PORTFOLIO RESULTS

 

 

 

 

 

 

 

  in terms of its sector and industry allocations and style. Changes in its sector or industry weights generally do not have a meaningful impact on relative performance.

Q How successful was your stock selection during the Reporting Period?

A The Fund seeks to provide investors with a tax-efficient means for maintaining broadly diversified exposure to the Index, ranging from large- to small-cap stocks. During the Reporting Period, the Fund benefited from stock selection in the industrials sector and, to a lesser extent, in the information technology and consumer discretionary sectors. Investments in only two sectors—materials and energy—detracted from the Fund’s relative performance during the Reporting Period.

Q Which individual stock holdings contributed most positively to the Fund’s relative results?

A Compared to the Index, the Fund benefited from its overweight positions in UniCredit, an Italy-headquartered international banking group; SCREEN Holdings, a Japanese semiconductor and electronics company; and Mitsubishi, Japan’s largest trading company. Our Fundamental Mispricings and High Quality Business Models investment themes drove the Fund’s overweight in UniCredit. The overweights in SCREEN Holdings and Mitsubishi were largely due to our Fundamental Mispricings and Sentiment Analysis investment themes.

Q Which individual stock holdings detracted significantly from relative performance during the Reporting Period?

A During the Reporting Period, the Fund was hampered by its overweight positions in U.K.-headquarter tobacco company British American Tobacco, Anglo-Australian mining company Rio Tinto and Danish biotechnology company Genmab. The overweight in British American Tobacco was based on all four of our investment themes. Our High Quality Business Models and Market Themes & Trends investment themes led to the Fund’s overweight in Rio Tinto. The overweight in Genmab was mostly because of our High Quality Business Models and Sentiment Analysis investment themes.

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

A During the Reporting Period, we did not use derivatives as part of an active management strategy to add value to the Fund’s results. However, we used equity index futures, on an opportunistic basis, to equitize the Fund’s excess

cash holdings. In other words, we put the Fund’s excess cash holdings to work by using them as collateral for the purchase of equity index futures. Equity index futures did not have a significant impact on Fund performance during the Reporting Period.

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

A As mentioned previously, we focus on picking stocks rather than on making industry or sector bets. The Fund is similar to the Index in terms of its sector allocation and style. That said, at the end of the Reporting Period, the Fund was overweight relative to the Index in the financials, information technology and real estate sectors. It was underweight compared to the Index in the consumer staples and health care sectors. The Fund was relatively neutral versus the Index in the communication services, consumer discretionary, energy, industrials, materials and utilities sectors at the end of the Reporting Period.

  At the end of the Reporting Period, the Fund was overweight compared to the Index in Italy, Norway, Japan, Germany and Denmark. It was underweight Australia, Spain and the U.K. In relative terms, the Fund was rather neutrally weighted in the remaining country constituents of the Index at the end of the Reporting Period.

  

  7

FUND BASICS

 

 

International Tax-Managed Equity Fund

as of December 31, 2023

TOP TEN HOLDINGS AS OF 12/31/23¹

Holding	% of Net Assets	Line of Business	Country
Novo Nordisk A/S, Class B	2.7%	Pharmaceuticals	Denmark
Nestle SA	2.4	Food Products	United States
ASML Holding NV	2.4	Semiconductors & Semiconductor Equipment	Netherlands
Novartis AG	2.0	Pharmaceuticals	Switzerland
SAP SE	1.6	Software	Germany
Airbus SE	1.4	Aerospace & Defense	France
Siemens AG	1.4	Industrial Conglomerates	Germany
UBS Group AG	1.3	Capital Markets	Switzerland
Air Liquide SA	1.3	Chemicals	France
AIA Group Ltd.	1.2	Insurance	Hong Kong

¹ The top 10 holdings may not be representative of the Fund’s future investments.

FUND VS. BENCHMARK SECTOR ALLOCATIONS²

As of December 31, 2023

² The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the graph above. The graph categorizes investments using Global Industry Classification Standard (“GICS”); however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). Investments in the securities lending reinvestment vehicle represented 0.1% of the Fund’s net assets at December 31, 2023. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. Figures in the above table may not sum to 100% due to the exclusion of other assets and liabilities.

*Source: MSCI

  

8  

FUND BASICS

 

 

 

 

 

 

 

For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.

  

  9

GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND

 

 

Performance Summary

December 31, 2023

The following graph shows the value as of December 31, 2023, of a $1,000,000 investment made on January 1, 2014, in Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the MSCI* EAFE Index (Net, USD, Unhedged), is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.

International Tax-Managed Equity Fund’s 10 Year Performance

Performance of a $1,000,000 Investment, with distributions reinvested, from January 1, 2014 through December 31, 2023.

Average Annual Total Returns through December 31, 2023*	One Year	Five Years	Ten Years	Since Inception
Class A
Excluding sales charges	19.96%	8.18%	4.59%	—
Including sales charges	13.32%	6.96%	4.00%	—
Class C
Excluding contingent deferred sales charges	18.98%	7.35%	3.80%	—
Including contingent deferred sales charges	17.97%	7.35%	3.80%	—
Institutional	20.23%	8.52%	4.96%	—
Investor	20.26%	8.45%	4.84%	—
Class R6 (Commenced on April 30, 2018)	20.30%	8.54%	—	4.00%
Class P (Commenced on April 17, 2018)	20.28%	8.53%	—	3.74%

* These returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.50% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Investor, Class R6 and Class P Shares do not involve sales charge, such a charge is not applied to their Average Annual Total Returns.

*Source: MSCI

  

10  

PORTFOLIO RESULTS

 

 

U.S. Tax-Managed Equity Fund

Investment Objective

The Fund seeks to provide long-term after-tax growth of capital through tax-sensitive participation in a broadly diversified portfolio of U.S. equity securities.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Goldman Sachs U.S. Tax-Managed Equity Fund’s (the “Fund”) performance and positioning for the 12-month period ended December 31, 2023 (the “Reporting Period”).

Q How did the Fund perform during the Reporting Period?

A During the Reporting Period, the Fund’s Class A, Class C, Institutional, Service, Investor, Class R6 and Class P Shares generated average annual total returns, without sales charges, of 23.41%, 22.50%, 23.81%, 23.17%, 23.71%, 23.85% and 23.84%, respectively. This compares to the 25.96% average annual total return of the Fund’s benchmark, the Russell 3000^® Index (the “Index”), over the same time period.

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

A During the Reporting Period, the Fund posted double-digit positive absolute returns but underperformed the Index, with three of our quantitative model’s four investment themes detracting from relative performance. Stock selection driven by these investment themes hampered returns.

Q What impact did the Fund’s investment themes have on performance during the Reporting Period?

A The Fund uses a quantitative style of management, in combination with a qualitative overlay, that emphasizes fundamentally based stock selection, careful portfolio construction and efficient implementation. The Fund’s investments are selected using fundamental research and a variety of quantitative techniques based on certain investment themes, including Fundamental Mispricings, High Quality Business Models, Sentiment Analysis and Market Themes & Trends.

  In keeping with our investment approach, we use our quantitative model and four investment themes to take a long-term view of market patterns and look for inefficiencies, selecting stocks for the Fund and overweighting or underweighting the ones chosen by the model. Over time and by design, the performance of any

one of the model’s investment themes tends to have a low correlation with the model’s other themes, demonstrating the diversification benefit of the Fund’s theme-driven quantitative model. The variance in performance supports our research indicating that the diversification provided by our different investment themes is a significant investment advantage over the long term, even though the Fund may experience underperformance in the short term. Of course, diversification does not protect an investor from market risk nor does it ensure a profit.

  During the Reporting Period, three of our investment themes detracted from the Fund’s relative performance. Market Themes & Trends and Sentiment Analysis were the Fund’s worst performing themes, followed at some distance by the High Quality Business Models investment theme. Market Themes & Trends seeks to identify companies positively positioned to benefit from themes and trends in the market and macroeconomic environment. Sentiment Analysis seeks to identify stocks experiencing improvements in their overall market sentiment. High Quality Business Models seeks to identify companies that are generating high quality revenues with sustainable business models and aligned management incentives.

  Our Fundamental Mispricings investment theme had a rather neutral impact on the Fund’s performance during the Reporting Period. Fundamental Mispricings seeks to identify high quality businesses trading at a fair price, which we believe may lead to strong performance over the long run.

Q How did the Fund’s sector and industry allocations affect relative performance?

A In constructing the Fund’s portfolio, we focus on picking stocks rather than on making sector or industry bets. Consequently, the Fund tends to be similar to the Index

  

  11

PORTFOLIO RESULTS

 

 

 

 

 

 

 

  in terms of its sector and industry allocations and style. Changes in its sector or industry weights generally do not have a meaningful impact on relative performance.

Q How successful was your stock selection during the Reporting Period?

A The Fund seeks to provide investors with a tax-efficient means for maintaining broadly diversified exposure to the Index, ranging from large- to small-cap stocks. During the Reporting Period, the Fund was hampered by stock selection in the real estate, communication services and industrials sectors. Conversely, the Fund benefited from its investments in the utilities and consumer staples sectors during the Reporting Period.

Q Which individual stock holdings detracted significantly from relative performance during the Reporting Period?

A Compared to the Index, the Fund was hurt by its underweight positions in Meta Platforms and Tesla during the Reporting Period. An overweight in Elevance Health also hindered relative returns. The Fund was underweight social media platform conglomerate Meta Platforms mainly because of our High Quality Business Models investment theme and, to a lesser degree, our Fundamental Mispricings and Market Themes & Trends investment themes. Our Market Themes & Trends and Sentiment Analysis investment themes resulted in the Fund’s underweight in Tesla, an electric vehicle and clean energy company. The overweight in health insurance provider Elevance Health was largely based on our Sentiment Analysis and High Quality Business Models investment themes.

Q Which individual stock holdings contributed most positively to the Fund’s relative results?

A During the Reporting Period, the Fund was helped by its overweight positions in information technology company Super Micro Computer, home builder M/I Homes and fast casual restaurant chain Chipotle Mexican Grill. The overweight in Super Micro Computer was driven by our High Quality Business Models investment theme and, to a lesser extent, by our Sentiment Analysis and Market Themes & Trends investment themes. The Fund’s overweights in M/I Homes and Chipotle Mexican Grill were mostly due to our High Quality Business Models and Sentiment Analysis investment themes.

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

A During the Reporting Period, we did not use derivatives as part of an active management strategy to add value to the Fund’s results. However, we used equity index futures, on an opportunistic basis, to equitize the Fund’s excess cash holdings. In other words, we put the Fund’s excess cash holdings to work by using them as collateral for the purchase of equity index futures. Equity index futures did not have a significant impact on Fund performance during the Reporting Period.

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

A As mentioned previously, we focus on picking stocks rather than on making industry or sector bets. The Fund is similar to the Index in terms of its sector allocation and style. That said, at the end of the Reporting Period, the Fund was overweight relative to the Index in the information technology and consumer discretionary sectors. It was underweight compared to the Index in the utilities and consumer staples sectors. The Fund was relatively neutral versus the Index in the health care, real estate, industrials, energy, materials, communication services and financials sectors at the end of the Reporting Period.

  

12  

FUND BASICS

 

 

U.S. Tax-Managed Equity Fund

as of December 31, 2023

TOP TEN HOLDINGS AS OF 12/31/23¹

Holding	% of Net Assets	Line of Business
Microsoft Corp.	7.1%	Information Technology
Apple, Inc.	5.9	Information Technology
Amazon.com, Inc.	3.8	Consumer Discretionary
NVIDIA Corp.	2.5	Information Technology
Alphabet, Inc., Class A	2.0	Communication Services
Visa, Inc., Class A	1.9	Financials
UnitedHealth Group, Inc.	1.9	Health Care
Meta Platforms, Inc., Class A	1.8	Communication Services
Berkshire Hathaway, Inc., Class B	1.7	Financials
Adobe, Inc.	1.6	Information Technology

¹ The top 10 holdings may not be representative of the Fund’s future investments.

FUND VS. BENCHMARK SECTOR ALLOCATIONS²

As of December 31, 2023

² The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the graph above. The graph categorizes investments using Global Industry Classification Standard (“GICS”); however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). Figures in the above table may not sum to 100% due to the exclusion of other assets and liabilities.

  For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.

  

  13

GOLDMAN SACHS U.S. TAX-MANAGED EQUITY FUND

 

 

Performance Summary

December 31, 2023

The following graph shows the value as of December 31, 2023, of a $10,000 investment made on January 1, 2014, in Class A Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the Russell 3000^® Index, is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www. GSAMFUNDS.com to obtain the most recent month-end returns.

U.S. Tax-Managed Equity Fund’s 10 Year Performance

Performance of a $10,000 Investment, with distributions reinvested, from January 1, 2014 through December 31, 2023.

Average Annual Total Returns through December 31, 2023*	One Year	Five Years	Ten Years	Since Inception
Class A
Excluding sales charges	23.41%	13.16%	9.68%	—
Including sales charges	16.64%	11.89%	9.06%	—
Class C
Excluding contingent deferred sales charges	22.50%	12.33%	8.86%	—
Including contingent deferred sales charges	21.50%	12.33%	8.86%	—
Institutional	23.81%	13.54%	10.08%	—
Service	23.17%	12.98%	9.53%	—
Investor	23.71%	13.46%	9.95%	—
Class R6 (Commenced on April 30, 2018)	23.85%	13.56%	—	10.08%
Class P (Commenced on April 17, 2018)	23.84%	13.56%	—	9.61%

* These returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.50% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Service, Investor, Class R6 and Class P Shares do not involve sales charge, such a charge is not applied to their Average Annual Total Returns.

  

14  

FUND BASICS

 

 

Index Definitions

Definitions of Non-Benchmark Related Indices

Russell 1000^® Index measures the performance of the large-cap segment of the U.S. equity universe. The Russell 1000^® Index is a subset of the Russell 3000^® Index and includes approximately 1000 of the largest securities based on a combination of their market cap and current index membership. The Russell 1000^® Index represents approximately 92% of the U.S. market. The Russell 1000^® Index is constructed to provide a comprehensive and unbiased barometer for the large-cap segment and is completely reconstituted annually to ensure new and growing equities are reflected.

Russell Midcap^® Index measures the performance of the mid-cap segment of the U.S. equity universe. The Russell Midcap^® Index is a subset of the Russell 1000^® Index. The Russell Midcap^® Index includes approximately 800 of the smallest securities based on a combination of their market cap and current index membership. The Russell Midcap^® Index represents approximately 31% of the total market capitalization of the Russell 1000^® Index companies. The Russell Midcap^® Index is constructed to provide a comprehensive and unbiased barometer for the mid-cap segment. The Russell Midcap^® Index is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true mid-cap opportunity set.

Russell 2000^® Index measures the performance of the small-cap segment of the U.S. equity universe. The Russell 2000^® Index is a subset of the Russell 3000^® Index representing approximately 10% of the total market capitalization of that index. The Russell 2000^® Index includes approximately 2000 of the smallest securities based on a combination of their market cap and current index membership. The Russell 2000^® Index is constructed to provide a comprehensive and unbiased small-cap barometer and is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true small-cap opportunity set.

Russell 3000^® Index is a market capitalization weighted equity index maintained by the FTSE Russell that provides exposure to the entire U.S. stock market. The index tracks the performance of the 3,000 largest U.S.-traded stocks which represent about 98% of all U.S incorporated equity securities. It is not possible to invest directly in an index.

MSCI* EAFE^® Index is a market capitalization-weighted composite of securities in 21 developed markets. The MSCI EAFE^® Index approximates the minimum possible dividend reinvestment. The dividend is reinvested after deduction for withholding tax, applying the rate to non-resident individuals who do not benefit from double taxation treaties. MSCI^® Inc. uses withholding tax rates applicable to Luxembourg holding companies, as Luxembourg applies the highest rates. The MSCI EAFE^® Index is unmanaged and the figures for the MSCI EAFE^® Index do not include any deduction for fees or expenses.

S&P 500^® Index is a U.S. stock market index based on the market capitalizations of 500 large companies having common stock listed on the New York Stock Exchange or NASDAQ. The S&P 500^® Index components and their weightings are determined by S&P Dow Jones Indices.

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

*Source: MSCI

  

  15

GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND

 

Schedule of Investments

December 31, 2023

 

	Shares	Description	Value
	Common Stocks – 97.2%
	Australia – 4.7%
	174,123	BHP Group Ltd. (Materials)	$	5,948,846
	233,315	BlueScope Steel Ltd. (Materials)		3,719,618
	599,512	Brambles Ltd. (Commercial & Professional Services)		5,556,810
	29,512	Cochlear Ltd. (Health Care Equipment & Services)		6,004,094
	3,371	Commonwealth Bank of Australia (Banks)		256,928
	29,106	Goodman Group REIT (Equity Real Estate Investment Trusts (REITs))		501,114
	877,716	Insurance Australia Group Ltd. (Insurance)		3,392,699
	45,719	Macquarie Group Ltd. (Financial Services)		5,723,187
	283,064	Scentre Group REIT (Equity Real Estate Investment Trusts (REITs))		576,434
	1,226,940	Stockland REIT (Equity Real Estate Investment Trusts (REITs))		3,720,861
	133,901	Telstra Group Ltd. (Telecommunication Services)		361,838
	61,074	Woolworths Group Ltd. (Consumer Staples Distribution & Retail)		1,549,444
				37,311,873
	Austria – 0.3%
	46,695	Erste Group Bank AG (Banks)		1,891,378
	50,417	UNIQA Insurance Group AG (Insurance)		415,026
				2,306,404
	Belgium – 1.1%
	7,418	D’ieteren Group (Consumer Discretionary Distribution & Retail)		1,451,053
	26,662	Euronav NV (Energy)		470,053
	54,145	Fagron (Health Care Equipment & Services)		994,467
	65,157	UCB SA (Pharmaceuticals, Biotechnology & Life Sciences)		5,679,843
				8,595,416
	China – 0.9%
	224,513	Prosus NV (Consumer Discretionary Distribution & Retail)*		6,688,264
	Denmark – 4.3%
	16,772	Genmab A/S (Pharmaceuticals, Biotechnology & Life Sciences)*		5,347,803
	60,747	Jyske Bank A/S (Banks)		4,355,981
	203,399	Novo Nordisk A/S, Class B (Pharmaceuticals,
		Biotechnology & Life Sciences)		21,078,480

	Shares	Description	Value
	Common Stocks – (continued)
	Denmark – (continued)
	22,499	Pandora A/S (Consumer Durables & Apparel)	$	3,110,602
	5,194	Per Aarsleff Holding A/S (Capital Goods)		248,056
				34,140,922
	Finland – 0.9%
	131,110	Nokia OYJ (Technology Hardware & Equipment)		446,552
	548,711	Nordea Bank Abp (Banks)		6,811,918
				7,258,470
	France – 11.2%
	92,278	Adevinta ASA (Media & Entertainment)*		1,019,471
	51,065	Air Liquide SA (Materials)		9,942,123
	71,229	Airbus SE (Capital Goods)		11,004,055
	2,419	Christian Dior SE (Consumer Durables & Apparel)		1,894,272
	100,989	Cie de Saint-Gobain SA (Capital Goods)		7,447,668
	27,437	Dassault Aviation SA (Capital Goods)		5,436,099
	93,463	Dassault Systemes (Software & Services)		4,574,764
	2,337	Edenred SE (Financial Services)		139,857
	37,698	Eiffage SA (Capital Goods)		4,046,905
	203,252	Engie SA (Utilities)		3,580,549
	3,929	Hermes International SCA (Consumer Durables & Apparel)		8,351,151
	8,559	Ipsen SA (Pharmaceuticals, Biotechnology & Life Sciences)		1,020,997
	59,336	Legrand SA (Capital Goods)		6,179,032
	3,343	LVMH Moet Hennessy Louis Vuitton SE (Consumer Durables & Apparel)		2,716,312
	72,358	Publicis Groupe SA (Media & Entertainment)		6,722,917
	82,118	Rexel SA (Capital Goods)		2,253,830
	42,906	Safran SA (Capital Goods)		7,564,776
	71,226	SCOR SE (Insurance)		2,086,996
	18,775	Thales SA (Capital Goods)		2,780,067
				88,761,841
	Georgia – 0.2%
	49,057	TBC Bank Group PLC (Banks)		1,769,615
	Germany – 9.5%
	18,190	Allianz SE (Insurance)		4,861,120
	26,170	Brenntag SE (Capital Goods)		2,405,219
	25,583	Deutsche Boerse AG (Financial Services)		5,268,431
	354,790	Deutsche Telekom AG (Telecommunication Services)		8,530,325
	17,816	DWS Group GmbH & Co. KGaA (Financial Services)(a)		684,743
	480,206	E.ON SE (Utilities)		6,451,599
	14,058	GEA Group AG (Capital Goods)		584,450

  

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

GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND

 

 

 

 

 

 

 

	Shares	Description	Value
	Common Stocks – (continued)
	Germany – (continued)
	19,421	Hannover Rueck SE (Insurance)	$	4,643,638
	220,694	Infineon Technologies AG (Semiconductors & Semiconductor Equipment)		9,216,760
	18,163	Muenchener Rueckversicherungs- Gesellschaft AG in Muenchen (Insurance)		7,534,264
	5,319	Nemetschek SE (Software & Services)		459,214
	1,094	Rheinmetall AG (Capital Goods)		346,947
	83,568	SAP SE (Software & Services)		12,862,922
	1,538	Scout24 SE (Media & Entertainment)(a)		108,754
	57,514	Siemens AG (Capital Goods)		10,790,164
	14,782	TeamViewer SE (Software & Services)*(a)		229,602
				74,978,152
	Hong Kong – 1.2%
	1,125,000	AIA Group Ltd. (Insurance)		9,790,743
	Italy – 2.7%
	9,200	Azimut Holding SpA (Financial Services)		240,492
	11,581	Banca Mediolanum SpA (Financial Services)		109,382
	981,229	Banco BPM SpA (Banks)		5,199,480
	1,157,547	BPER Banca (Banks)		3,880,980
	67,620	Leonardo SpA (Capital Goods)		1,117,293
	21,979	Prysmian SpA (Capital Goods)		1,001,914
	3,877	Recordati Industria Chimica e Farmaceutica SpA (Pharmaceuticals, Biotechnology & Life Sciences)		209,059
	358,745	UniCredit SpA (Banks)		9,768,517
				21,527,117
	Japan – 24.2%
	17,600	Air Water, Inc. (Materials)		240,140
	14,500	Aisan Industry Co. Ltd. (Automobiles & Components)		120,789
	142,400	Aisin Corp. (Automobiles & Components)		4,964,243
	9,000	Alfresa Holdings Corp. (Health Care Equipment & Services)		152,786
	24,200	Aoyama Trading Co. Ltd. (Consumer Discretionary Distribution & Retail)		253,713
	15,600	Brother Industries Ltd. (Technology Hardware & Equipment)		248,430
	24,700	Canon Marketing Japan, Inc. (Technology Hardware & Equipment)		747,424
	75,100	Central Japan Railway Co. (Transportation)		1,906,059

	Shares	Description	Value
	Common Stocks – (continued)
	Japan – (continued)
	5,700	Central Security Patrols Co. Ltd. (Commercial & Professional Services)	$	102,792
	34,800	Chubu Electric Power Co., Inc. (Utilities)		449,315
	33,700	Dai Nippon Printing Co. Ltd. (Commercial & Professional Services)		995,195
	6,400	Daiichi Jitsugyo Co. Ltd. (Capital Goods)		89,017
	158,200	Dai-ichi Life Holdings, Inc. (Insurance)		3,355,885
	44,900	Daiwa House Industry Co. Ltd. (Real Estate Management & Development)		1,357,345
	267,500	Daiwa Securities Group, Inc. (Financial Services)		1,795,508
	1,034,300	ENEOS Holdings, Inc. (Energy)		4,102,278
	7,600	Fujitsu Ltd. (Software & Services)		1,143,752
	14,500	Fuso Pharmaceutical Industries Ltd. (Pharmaceuticals, Biotechnology & Life Sciences)		194,295
	7,000	Heiwa Real Estate Co. Ltd. (Real Estate Management & Development)		186,675
	673,900	Honda Motor Co. Ltd. (Automobiles & Components)		6,951,425
	486,600	Hulic Co. Ltd. (Real Estate Management & Development)		5,083,077
	162,200	Isuzu Motors Ltd. (Automobiles & Components)		2,079,352
	17,100	ITOCHU Corp. (Capital Goods)		696,651
	6,200	Itoham Yonekyu Holdings, Inc. (Food, Beverage & Tobacco)		169,447
	34,500	Itoki Corp. (Commercial & Professional Services)		328,284
	16,100	J Front Retailing Co. Ltd. (Consumer Discretionary Distribution & Retail)		146,209
	180,300	Japan Post Bank Co. Ltd. (Banks)		1,834,900
	346,600	JFE Holdings, Inc. (Materials)		5,362,322
	7,900	J-Oil Mills, Inc. (Food, Beverage & Tobacco)		108,228
	3,800	Kaga Electronics Co. Ltd. (Technology Hardware & Equipment)		164,664
	26,700	Kandenko Co. Ltd. (Capital Goods)		260,453
	135,000	KDDI Corp. (Telecommunication Services)		4,281,998
	51,300	Keiyo Bank Ltd. (The) (Banks)		247,085
	8,300	Kobayashi Pharmaceutical Co. Ltd. (Household & Personal Products)		399,280
	463,300	Kobe Steel Ltd. (Materials)		5,971,688

  

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

GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND

 

Schedule of Investments (continued)

December 31, 2023

 

	Shares	Description	Value
	Common Stocks – (continued)
	Japan – (continued)
	5,100	Kohnan Shoji Co. Ltd. (Consumer Discretionary Distribution & Retail)	$	141,825
	39,200	Kurita Water Industries Ltd. (Capital Goods)		1,529,003
	16,400	Kyoto Financial Group, Inc. (Banks)		254,816
	108,600	Kyowa Kirin Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences)		1,822,193
	140,700	Marubeni Corp. (Capital Goods)		2,215,257
	60,700	Marusan Securities Co. Ltd. (Financial Services)		361,796
	492,500	Mazda Motor Corp. (Automobiles & Components)		5,264,375
	122,400	Mitsubishi Corp. (Capital Goods)		1,949,742
	193,000	Mitsubishi Electric Corp. (Capital Goods)		2,729,808
	306,200	Mitsubishi Estate Co. Ltd. (Real Estate Management & Development)		4,197,412
	942,400	Mitsubishi HC Capital, Inc. (Financial Services)		6,313,895
	53,800	Mitsubishi Shokuhin Co. Ltd. (Consumer Staples Distribution & Retail)		1,831,482
	65,100	Mitsui Fudosan Co. Ltd. (Real Estate Management & Development)		1,591,676
	383,700	Mizuho Financial Group, Inc. (Banks)		6,545,084
	13,700	Mizuho Leasing Co. Ltd. (Financial Services)		469,115
	144,200	MS&AD Insurance Group Holdings, Inc. (Insurance)		5,669,776
	67,800	NEC Corp. (Software & Services)		4,006,042
	13,100	NGK Insulators Ltd. (Capital Goods)		156,229
	51,400	Nippn Corp. (Food, Beverage & Tobacco)		810,025
	239,500	Nippon Steel Corp. (Materials)		5,471,085
	5,000	Nisshin Oillio Group Ltd. (The) (Food, Beverage & Tobacco)		152,043
	101,200	Nisshin Seifun Group, Inc. (Food, Beverage & Tobacco)		1,362,874
	186,400	Nomura Real Estate Holdings, Inc. (Real Estate Management & Development)		4,891,220
	21,900	Oki Electric Industry Co. Ltd. (Technology Hardware & Equipment)		141,153
	48,200	Ono Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences)		857,455

	Shares	Description	Value
	Common Stocks – (continued)
	Japan – (continued)
	70,800	Otsuka Holdings Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences)	$	2,647,708
	5,900	Paramount Bed Holdings Co. Ltd. (Health Care Equipment & Services)		115,722
	329,600	Santen Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences)		3,279,250
	72,800	SCREEN Holdings Co. Ltd. (Semiconductors & Semiconductor Equipment)		6,136,370
	117,700	SCSK Corp. (Software & Services)		2,330,272
	229,500	Sekisui House Ltd. (Consumer Durables & Apparel)		5,087,149
	72,800	Shikoku Electric Power Co., Inc. (Utilities)		522,947
	5,400	Showa Sangyo Co. Ltd. (Food, Beverage & Tobacco)		121,074
	103,200	SoftBank Group Corp. (Telecommunication Services)		4,555,090
	42,000	Sojitz Corp. (Capital Goods)		946,214
	114,500	Sompo Holdings, Inc. (Insurance)		5,602,299
	279,300	Subaru Corp. (Automobiles & Components)		5,094,268
	59,500	Sumitomo Corp. (Capital Goods)		1,294,818
	7,500	Sumitomo Electric Industries Ltd. (Automobiles & Components)		95,164
	18,200	Sumitomo Mitsui Financial Group, Inc. (Banks)		885,609
	183,800	Sumitomo Realty & Development Co. Ltd. (Real Estate Management & Development)		5,446,733
	68,900	Suntory Beverage & Food Ltd. (Food, Beverage & Tobacco)		2,265,425
	13,400	Suzuken Co. Ltd. (Health Care Equipment & Services)		443,149
	31,400	Taisho Pharmaceutical Holdings Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences)		1,918,902
	108,500	Takashimaya Co. Ltd. (Consumer Discretionary Distribution & Retail)		1,476,416
	14,100	Toho Holdings Co. Ltd. (Health Care Equipment & Services)		321,878
	173,900	Tokai Tokyo Financial Holdings, Inc. (Financial Services)		647,295
	241,400	Tokio Marine Holdings, Inc. (Insurance)		6,011,100
	459,200	Tokyo Century Corp. (Financial Services)		4,958,112

  

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

GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND

 

 

 

 

 

 

 

	Shares	Description	Value
	Common Stocks – (continued)
	Japan – (continued)
	8,000	Tokyo Electron Ltd. (Semiconductors & Semiconductor Equipment)	$	1,421,919
	11,200	Tokyo Seimitsu Co. Ltd. (Semiconductors & Semiconductor Equipment)		686,889
	35,600	Tokyo Steel Manufacturing Co. Ltd. (Materials)		435,325
	62,700	Tokyo Tatemono Co. Ltd. (Real Estate Management & Development)		936,258
	6,700	Tokyo Tekko Co. Ltd. (Materials)		195,340
	780,700	Tokyu Fudosan Holdings Corp. (Real Estate Management & Development)		4,974,945
	43,400	Toyo Tire Corp. (Automobiles & Components)		723,996
	44,100	Toyota Motor Corp. (Automobiles & Components)		808,076
	27,000	Trend Micro, Inc. (Software & Services)		1,440,991
				191,052,788
	Luxembourg – 0.1%
	9,983	Eurofins Scientific SE (Pharmaceuticals, Biotechnology & Life Sciences)		651,215
	Netherlands – 3.7%
	25,283	ASML Holding NV (Semiconductors & Semiconductor Equipment)		19,085,820
	16,381	BE Semiconductor Industries NV (Semiconductors & Semiconductor Equipment)		2,473,138
	243,461	Shell PLC (Energy)		8,010,669
				29,569,627
	New Zealand – 0.4%
	372,513	Spark New Zealand Ltd. (Telecommunication Services)		1,219,808
	25,083	Xero Ltd. (Software & Services)*		1,913,546
				3,133,354
	Norway – 1.7%
	249,322	Aker BP ASA (Energy)		7,242,208
	4,235	DNB Bank ASA (Banks)		90,041
	91,715	Kongsberg Gruppen ASA (Capital Goods)		4,198,802
	34,386	Orkla ASA (Food, Beverage & Tobacco)		267,033
	1,037,184	PGS ASA (Energy)*		871,792
	4,831	Schibsted ASA, Class B (Media & Entertainment)		131,522
	32,737	SpareBank 1 SR-Bank ASA (Banks)		415,171

	Shares	Description	Value
	Common Stocks – (continued)
	Norway – (continued)
	25,782	Wallenius Wilhelmsen ASA (Transportation)	$	225,849
				13,442,418
	Portugal – 0.6%
	193,619	Jeronimo Martins SGPS SA (Consumer Staples Distribution & Retail)		4,927,707
	Singapore – 0.7%
	191,282	Hafnia Ltd. (Energy)		1,320,422
	75,700	Keppel Corp. Ltd. (Capital Goods)		405,056
	179,400	Oversea-Chinese Banking Corp. Ltd. (Banks)		1,765,190
	1,444,037	Seatrium Ltd. (Capital Goods)*		128,941
	91,100	Singapore Exchange Ltd. (Financial Services)		677,728
	59,600	United Overseas Bank Ltd. (Banks)		1,286,359
				5,583,696
	South Africa – 0.3%
	77,689	Anglo American PLC (Materials)		1,944,301
	Spain – 2.1%
	53,417	Amadeus IT Group SA (Consumer Services)		3,836,493
	370,607	Bankinter SA (Banks)		2,376,940
	215,532	Industria de Diseno Textil SA (Consumer Discretionary Distribution & Retail)		9,404,536
	80,371	Merlin Properties Socimi SA REIT (Equity Real Estate Investment Trusts (REITs))		892,366
				16,510,335
	Sweden – 2.7%
	132,841	Fortnox AB (Software & Services)		794,726
	28,394	Saab AB, Class B (Capital Goods)		1,711,126
	260,948	Skandinaviska Enskilda Banken AB, Class A (Banks)		3,601,266
	68,177	SKF AB, Class B (Capital Goods)		1,366,305
	652,161	SSAB AB, Class B (Materials)		4,993,288
	28,510	Swedbank AB, Class A (Banks)		576,405
	37,844	Trelleborg AB, Class B (Capital Goods)		1,270,199
	280,017	Volvo AB, Class B (Capital Goods)		7,286,044
				21,599,359
	Switzerland – 6.8%
	202,270	ABB Ltd. (Capital Goods)		8,980,416
	131,310	Aryzta AG (Food, Beverage & Tobacco)*		242,516

  

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

GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND

 

Schedule of Investments (continued)

December 31, 2023

 

	Shares	Description	Value
	Common Stocks – (continued)
	Switzerland – (continued)
	10	Chocoladefabriken Lindt & Spruengli AG (Food, Beverage & Tobacco)	$	1,213,187
	11	Chocoladefabriken Lindt & Spruengli AG (Food, Beverage & Tobacco)		132,040
	8,439	Galenica AG (Health Care Equipment & Services)(a)		730,009
	119,111	IWG PLC (Real Estate Management & Development)*		287,405
	51,280	Logitech International SA (Technology Hardware & Equipment)		4,876,133
	3,011	Lonza Group AG (Pharmaceuticals, Biotechnology & Life Sciences)		1,269,397
	155,129	Novartis AG (Pharmaceuticals, Biotechnology & Life Sciences)		15,669,656
	10,554	Sandoz Group AG (Pharmaceuticals, Biotechnology & Life Sciences)*		339,565
	12,265	Temenos AG (Software & Services)		1,142,953
	332,155	UBS Group AG (Financial Services)		10,317,261
	16,456	Zurich Insurance Group AG (Insurance)		8,603,644
				53,804,182
	United Kingdom – 9.5%
	36,991	AstraZeneca PLC ADR (Pharmaceuticals, Biotechnology & Life Sciences)		2,491,344
	665,010	Aviva PLC (Insurance)		3,679,791
	246,605	BAE Systems PLC (Capital Goods)		3,490,693
	64,716	BP PLC ADR (Energy)		2,290,946
	4,268	British American Tobacco PLC (Food, Beverage & Tobacco)		124,878
	144,955	British American Tobacco PLC ADR (Food, Beverage & Tobacco)		4,245,732
	1,389,911	Centrica PLC (Utilities)		2,491,700
	684,000	CK Hutchison Holdings Ltd. (Capital Goods)		3,674,861
	299,227	Compass Group PLC (Consumer Services)		8,187,854
	121,501	HSBC Holdings PLC (Banks)		982,940
	68,600	Imperial Brands PLC (Food, Beverage & Tobacco)		1,579,708
	110,404	Informa PLC (Media & Entertainment)		1,098,124
	274,775	Investec PLC (Financial Services)		1,858,286
	1,203,347	M&G PLC (Financial Services)		3,405,612
	1,596,116	Marks & Spencer Group PLC (Consumer Staples Distribution & Retail)		5,531,516

	Shares	Description	Value
	Common Stocks – (continued)
	United Kingdom – (continued)
	58,379	Melrose Industries PLC (Capital Goods)	$	421,986
	156,204	National Grid PLC (Utilities)		2,104,276
	21,344	National Grid PLC ADR (Utilities)(b)(c)		1,451,179
	5,032	Next PLC (Consumer Discretionary Distribution & Retail)		520,183
	107,108	Pearson PLC (Consumer Services)		1,315,602
	66,949	Pearson PLC ADR (Consumer Services)		822,803
	2,054,458	Rolls-Royce Holdings PLC (Capital Goods)*		7,836,468
	277,229	Sage Group PLC (The) (Software & Services)		4,138,704
	171,106	Smiths Group PLC (Capital Goods)		3,840,550
	100,072	SSE PLC (Utilities)		2,362,301
	771,641	Taylor Wimpey PLC (Consumer Durables & Apparel)		1,444,449
	838,160	Tesco PLC (Consumer Staples Distribution & Retail)		3,105,156
	10,302	Unilever PLC (Household & Personal Products)		498,731
				74,996,373
	United States – 7.4%
	110,311	CRH PLC (Materials)		7,629,109
	40,474	GSK PLC ADR (Pharmaceuticals, Biotechnology & Life Sciences)		1,499,966
	235,089	Haleon PLC ADR (Household & Personal Products)		1,934,783
	42,117	Holcim AG (Materials)*		3,307,929
	165,766	Nestle SA (Food, Beverage & Tobacco)		19,215,575
	12,688	Roche Holding AG (Pharmaceuticals, Biotechnology & Life Sciences)		3,688,320
	39,000	Samsonite International SA (Consumer Durables & Apparel)*(a)		128,670
	72,983	Sanofi SA (Pharmaceuticals, Biotechnology & Life Sciences)		7,252,523
	367,173	Stellantis NV (Automobiles & Components)		8,603,103
	299,133	Tenaris SA (Energy)		5,202,873
				58,462,851
	TOTAL COMMON STOCKS (Cost $624,948,247)			768,807,023

	Shares		Description	Rate	Value
	Preferred Stocks – 0.7%
	Germany – 0.7%
		6,518	FUCHS SE (Materials)	2.65%		289,986

  

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

GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND

 

 

 

 

 

 

 

	Shares		Description	Rate	Value
	Preferred Stocks – (continued)
	Germany – (continued)
		69,881	Henkel AG & Co. KGaA (Household & Personal Products)	2.54%	$	5,621,371
	TOTAL PREFERRED STOCKS (Cost $5,461,795)					5,911,357
	TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE (Cost $630,410,042)					774,718,380
	Shares		Dividend Rate		Value
	Securities Lending Reinvestment Vehicle – 0.0%(d)
	Goldman Sachs Financial Square Government Fund – Institutional Shares
		258,075	5.248%			258,075
	(Cost $258,075)
	TOTAL INVESTMENTS – 97.9% (Cost $630,668,117)				$	774,976,455
	OTHER ASSETS IN EXCESS OF LIABILITIES – 2.1%					16,381,165
	NET ASSETS – 100.0%				$	791,357,620

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
*	Non-income producing security.
(a)	Exempt from registration under Rule 144A of the Securities Act of 1933.
(b)	All or a portion of security is on loan.

(c)	All or portion of security is pledged as collateral for futures contracts. Total market value of securities pledged as collateral on futures contracts amounts to $1,182,346, which represents approximately 0.1% of net assets as of December 31, 2023.
(d)	Represents an affiliated issuer.

Investment Abbreviations:
ADR	—American Depositary Receipt
PLC	—Public Limited Company
REIT	—Real Estate Investment Trust

Sector Name	% of  Market  Value
Financials		21.1	%
Industrials		16.6
Consumer Discretionary		11.8
Health Care		11.1
Information Technology		10.4
Consumer Staples		7.5
Materials		7.1
Real Estate		4.5
Energy		3.8
Communication Services		3.6
Utilities		2.5
Securities Lending Reinvestment Vehicle		0.0
TOTAL INVESTMENTS		100.0	%

ADDITIONAL INVESTMENT INFORMATION

FUTURES CONTRACTS — At December 31, 2023, the Fund had the following futures contracts:

Description	Number of Contracts		Expiration Date		Notional  Amount		Unrealized Appreciation/  (Depreciation)
Long position contracts:
EURO STOXX 50 Index		85		03/15/24	$	4,262,959	$	(32,147	)
FTSE 100 Index		14		03/15/24		1,384,156		32,605
MSCI Singapore Index		5		01/30/24		108,998		5,239
SPI 200 Index		5		03/21/24		646,100		4,212
TOPIX Index		13		03/07/24		2,181,418		6,324
Total Futures Contracts							$	16,233

  

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

GOLDMAN SACHS U.S. TAX-MANAGED EQUITY FUND

 

Schedule of Investments

December 31, 2023

 

	Shares	Description	Value
	Common Stocks – 98.8%
	Aerospace & Defense – 1.5%
	3,982	Curtiss-Wright Corp.	$	887,150
	6,878	HEICO Corp., Class A		979,702
	12,658	Hexcel Corp.		933,528
	111,232	Howmet Aerospace, Inc.		6,019,876
	12,408	Lockheed Martin Corp.		5,623,802
	32,459	Northrop Grumman Corp.		15,195,356
	149,820	RTX Corp.		12,605,855
				42,245,269
	Automobile Components – 0.2%
	16,119	Autoliv, Inc. (Sweden)		1,776,153
	279,774	Goodyear Tire & Rubber Co. (The)*		4,006,364
				5,782,517
	Automobiles – 1.5%
	97,923	General Motors Co.		3,517,394
	159,038	Tesla, Inc.*		39,517,762
				43,035,156
	Banks – 1.4%
	406,778	Bank of America Corp.		13,696,215
	1	Cadence Bank		29
	77,539	Cullen/Frost Bankers, Inc.		8,412,206
	11,346	East West Bancorp, Inc.		816,345
	40,192	First BanCorp. (Puerto Rico)		661,158
	777	First Citizens BancShares, Inc., Class A		1,102,540
	19,845	International Bancshares Corp.		1,077,980
	40,827	JPMorgan Chase & Co.		6,944,673
	19,795	OFG Bancorp (Puerto Rico)		741,917
	5,054	PNC Financial Services Group, Inc. (The)		782,612
	87,133	Prosperity Bancshares, Inc.		5,901,518
				40,137,193
	Beverages – 0.1%
	279,525	Primo Water Corp.		4,206,851
	Biotechnology – 3.8%
	279,233	AbbVie, Inc.		43,272,738
	11,499	Biogen, Inc.*		2,975,596
	160,006	Gilead Sciences, Inc.		12,962,086
	132,083	Moderna, Inc.*		13,135,655
	4,775	Regeneron Pharmaceuticals, Inc.*		4,193,835
	76,297	Vertex Pharmaceuticals, Inc.*		31,044,486
				107,584,396
	Broadline Retail – 4.2%
	696,858	Amazon.com, Inc.*		105,880,604
	34,974	eBay, Inc.		1,525,566
	6,782	MercadoLibre, Inc. (Brazil)*		10,658,184
				118,064,354
	Building Products – 0.7%
	3,357	AAON, Inc.		247,981
	21,989	Johnson Controls International PLC		1,267,446
	39,269	Lennox International, Inc.		17,573,663
				19,089,090

	Shares	Description	Value
	Common Stocks – (continued)
	Capital Markets – 2.9%
	160,197	CME Group, Inc.	$	33,737,488
	36,239	Coinbase Global, Inc., Class A*		6,302,687
	26,498	Federated Hermes, Inc.		897,222
	31,838	Interactive Brokers Group, Inc., Class A		2,639,370
	107,848	Jefferies Financial Group, Inc.		4,358,138
	9,250	LPL Financial Holdings, Inc.		2,105,485
	82,450	Morgan Stanley		7,688,463
	189,281	Nasdaq, Inc.		11,004,797
	153,054	Northern Trust Corp.		12,914,697
				81,648,347
	Chemicals – 1.4%
	47,477	CF Industries Holdings, Inc.		3,774,421
	8,601	Dow, Inc.		471,679
	71,308	Element Solutions, Inc.		1,650,067
	26,262	Mosaic Co. (The)		938,341
	16,316	Olin Corp.		880,248
	38,322	PPG Industries, Inc.		5,731,055
	2,636	RPM International, Inc.		294,257
	85,742	Sherwin-Williams Co. (The)		26,742,930
				40,482,998
	Commercial Services & Supplies – 0.5%
	23,605	Cintas Corp.		14,225,789
	Communications Equipment – 0.7%
	74,650	Arista Networks, Inc.*		17,580,821
	43,784	Cisco Systems, Inc.		2,211,968
				19,792,789
	Construction Materials – 0.7%
	32,458	Eagle Materials, Inc.		6,583,781
	6,646	Martin Marietta Materials, Inc.		3,315,756
	35,390	Summit Materials, Inc., Class A*		1,361,099
	35,514	Vulcan Materials Co.		8,062,033
				19,322,669
	Consumer Finance – 2.1%
	234,665	Capital One Financial Corp.		30,769,275
	96,351	Discover Financial Services		10,829,852
	131,102	OneMain Holdings, Inc.		6,450,218
	316,003	Synchrony Financial		12,068,155
				60,117,500
	Consumer Staples Distribution & Retail – 0.8%
	8,547	Casey’s General Stores, Inc.		2,348,203
	30,578	Costco Wholesale Corp.		20,183,926
	2,087	Target Corp.		297,231
				22,829,360
	Diversified Consumer Services – 0.7%
	370,165	Coursera, Inc.*		7,170,096
	21,793	Frontdoor, Inc.*		767,550
	1,587	Graham Holdings Co., Class B		1,105,377
	34,371	Grand Canyon Education, Inc.*		4,538,347
	14,814	H&R Block, Inc.		716,553
	63,661	Service Corp. International		4,357,595
	24,298	Strategic Education, Inc.		2,244,406
				20,899,924

  

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

GOLDMAN SACHS U.S. TAX-MANAGED EQUITY FUND

 

 

 

 

 

 

 

	Shares	Description	Value
	Common Stocks – (continued)
	Diversified Telecommunication Services – 0.0%
	9,063	Iridium Communications, Inc.	$	373,033
	Electric Utilities – 0.1%
	79,822	Exelon Corp.		2,865,610
	Electrical Equipment – 2.3%
	195,946	AMETEK, Inc.		32,309,536
	32,336	Atkore, Inc.*		5,173,760
	32,308	Emerson Electric Co.		3,144,538
	85,947	Encore Wire Corp.		18,358,279
	101,799	nVent Electric PLC		6,015,303
	1,996	Powell Industries, Inc.		176,446
				65,177,862
	Electronic Equipment, Instruments & Components – 0.6%
	94,239	Keysight Technologies, Inc.*		14,992,482
	2,989	Teledyne Technologies, Inc.*		1,333,961
	1	Vontier Corp.		35
				16,326,478
	Energy Equipment & Services – 0.5%
	94,650	Schlumberger NV		4,925,586
	476,743	TechnipFMC PLC (United Kingdom)		9,601,604
				14,527,190
	Entertainment – 0.6%
	14,055	Electronic Arts, Inc.		1,922,865
	28,089	Netflix, Inc.*		13,675,972
	3,903	Spotify Technology SA*		733,413
				16,332,250
	Financial Services – 4.6%
	29,759	Banco Latinoamericano de Comercio Exterior SA, Class E (Panama)		736,238
	133,530	Berkshire Hathaway, Inc., Class B*		47,624,810
	343,965	Equitable Holdings, Inc.		11,454,034
	119,426	MGIC Investment Corp.		2,303,728
	119,179	Pagseguro Digital Ltd., Class A (Brazil)*		1,486,162
	73,466	StoneCo Ltd., Class A (Brazil)*		1,324,592
	205,078	Visa, Inc., Class A		53,392,057
	151,167	Voya Financial, Inc.		11,029,144
				129,350,765
	Food Products – 0.9%
	22,882	Cal-Maine Foods, Inc.		1,313,198
	39,594	Darling Ingredients, Inc.*		1,973,365
	14,700	Freshpet, Inc.*		1,275,372
	271,323	General Mills, Inc.		17,673,980
	9,833	Lancaster Colony Corp.		1,636,113
				23,872,028
	Gas Utilities – 0.0%
	8,650	National Fuel Gas Co.		433,970
	Ground Transportation – 0.9%
	94,059	CSX Corp.		3,261,025
	12,022	Norfolk Southern Corp.		2,841,760
	36,542	Ryder System, Inc.		4,204,523

	Shares	Description	Value
	Common Stocks – (continued)
	Ground Transportation – (continued)
	61,767	Union Pacific Corp.	$	15,171,211
				25,478,519
	Health Care Equipment & Supplies – 1.7%
	507,954	Boston Scientific Corp.*		29,364,821
	12,201	IDEXX Laboratories, Inc.*		6,772,165
	35,822	Intuitive Surgical, Inc.*		12,084,910
				48,221,896
	Health Care Providers & Services – 4.9%
	96,982	Centene Corp.*		7,197,034
	21,748	Cigna Group (The)		6,512,439
	71,276	Elevance Health, Inc.		33,610,911
	6,544	Encompass Health Corp.		436,616
	43,802	HCA Healthcare, Inc.		11,856,325
	93,317	HealthEquity, Inc.*		6,186,917
	34,579	Humana, Inc.		15,830,612
	6,269	Molina Healthcare, Inc.*		2,265,052
	101,034	UnitedHealth Group, Inc.		53,191,370
				137,087,276
	Health Care REITs – 0.1%
	28,435	Ventas, Inc. REIT		1,417,200
	Hotel & Resort REITs – 1.5%
	1,485,784	Host Hotels & Resorts, Inc. REIT		28,928,214
	531,112	Park Hotels & Resorts, Inc. REIT		8,126,014
	268,199	RLJ Lodging Trust REIT		3,143,292
	24,877	Ryman Hospitality Properties, Inc. REIT		2,737,963
				42,935,483
	Hotels, Restaurants & Leisure – 2.8%
	58,550	Airbnb, Inc., Class A*		7,970,997
	18,628	Chipotle Mexican Grill, Inc.*		42,601,491
	53,406	International Game Technology PLC		1,463,858
	281,607	Las Vegas Sands Corp.		13,857,880
	14,177	Wingstop, Inc.		3,637,535
	81,196	Wynn Resorts Ltd.		7,397,768
	5,222	Yum! Brands, Inc.		682,307
				77,611,836
	Household Durables – 2.1%
	188,174	D.R. Horton, Inc.		28,598,685
	187,169	M/I Homes, Inc.*		25,780,658
	40,583	PulteGroup, Inc.		4,188,977
				58,568,320
	Household Products – 0.5%
	103,911	Kimberly-Clark Corp.		12,626,226
	8,185	Procter & Gamble Co. (The)		1,199,430
				13,825,656
	Industrial REITs – 0.5%
	62,315	First Industrial Realty Trust, Inc. REIT		3,282,131
	65,403	Prologis, Inc. REIT		8,718,220

  

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

GOLDMAN SACHS U.S. TAX-MANAGED EQUITY FUND

 

Schedule of Investments (continued)

December 31, 2023

 

	Shares	Description	Value
	Common Stocks – (continued)
	Industrial REITs – (continued)
	16,598	Rexford Industrial Realty, Inc. REIT	$	931,148
				12,931,499
	Insurance – 2.7%
	303,068	American Equity Investment Life Holding Co.*		16,911,194
	35,396	American Financial Group, Inc.		4,208,231
	49,985	Arch Capital Group Ltd.*		3,712,386
	41,284	CNO Financial Group, Inc.		1,151,824
	11,633	Globe Life, Inc.		1,415,969
	62,028	Goosehead Insurance, Inc., Class A*		4,701,722
	999	Kinsale Capital Group, Inc.		334,575
	15,650	Marsh & McLennan Cos., Inc.		2,965,206
	32,867	Principal Financial Group, Inc.		2,585,647
	122,680	Progressive Corp. (The)		19,540,470
	6,559	Reinsurance Group of America, Inc.		1,061,115
	65,766	Travelers Cos., Inc. (The)		12,527,765
	65,442	W R Berkley Corp.		4,628,058
				75,744,162
	Interactive Media & Services – 5.4%
	393,518	Alphabet, Inc., Class A*		54,970,529
	315,000	Alphabet, Inc., Class C*		44,392,950
	36,293	Bumble, Inc., Class A*		534,959
	141,176	Meta Platforms, Inc., Class A*		49,970,657
	74,468	Vimeo, Inc.*		291,915
				150,161,010
	IT Services – 2.7%
	5,074	EPAM Systems, Inc.*		1,508,703
	52,678	Gartner, Inc.*		23,763,573
	112,139	International Business Machines Corp.		18,340,333
	13,789	MongoDB, Inc.*		5,637,633
	5,663	Perficient, Inc.*		372,739
	121,344	VeriSign, Inc.*		24,992,010
				74,614,991
	Life Sciences Tools & Services – 1.3%
	7,809	IQVIA Holdings, Inc.*		1,806,846
	67,528	Medpace Holdings, Inc.*		20,699,358
	6,958	Mettler-Toledo International, Inc.*		8,439,776
	3,494	Thermo Fisher Scientific, Inc.		1,854,580
	6,675	West Pharmaceutical Services, Inc.		2,350,401
				35,150,961
	Machinery – 1.4%
	5,761	AGCO Corp.		699,443
	1	Fortive Corp.		74
	97,597	Illinois Tool Works, Inc.		25,564,558
	151,534	Mueller Industries, Inc.		7,144,828
	15,142	Snap-on, Inc.		4,373,615
	17,147	Trinity Industries, Inc.		455,939
				38,238,457

	Shares	Description	Value
	Common Stocks – (continued)
	Media – 1.0%
	538,121	News Corp., Class A	$	13,210,871
	338,717	Paramount Global, Class B		5,009,624
	130,537	Trade Desk, Inc. (The), Class A*		9,393,442
				27,613,937
	Metals & Mining – 0.5%
	185,942	Carpenter Technology Corp.		13,164,694
	Multi-Utilities – 0.0%
	20,817	Avista Corp.		744,000
	Office REITs – 0.0%
	1	Vornado Realty Trust REIT		28
	Oil, Gas & Consumable Fuels – 2.5%
	134,719	Antero Midstream Corp.		1,688,029
	65,325	Antero Resources Corp.*		1,481,571
	89,779	Cheniere Energy, Inc.		15,326,173
	10,708	CONSOL Energy, Inc.		1,076,475
	89,256	EOG Resources, Inc.		10,795,513
	11,147	Exxon Mobil Corp.		1,114,477
	12,264	Hess Corp.		1,767,978
	354,007	Kinder Morgan, Inc.		6,244,684
	14,840	Marathon Petroleum Corp.		2,201,662
	763,677	Nordic American Tankers Ltd.		3,207,444
	8,760	ONEOK, Inc.		615,127
	33,190	Pioneer Natural Resources Co.		7,463,767
	28,683	Scorpio Tankers, Inc. (Monaco)		1,743,927
	108,374	Teekay Tankers Ltd., Class A (Canada)		5,415,449
	31,484	Valero Energy Corp.		4,092,920
	156,754	Williams Cos., Inc. (The)		5,459,742
				69,694,938
	Personal Care Products – 0.5%
	77,714	elf Beauty, Inc.*		11,217,239
	99,538	Herbalife Ltd.*		1,518,950
				12,736,189
	Pharmaceuticals – 1.4%
	2,529	Eli Lilly & Co.		1,474,205
	88,523	Johnson & Johnson		13,875,095
	26,154	Merck & Co., Inc.		2,851,309
	111,485	Zoetis, Inc.		22,003,794
				40,204,403
	Professional Services – 1.1%
	42,630	Equifax, Inc.		10,541,973
	294,208	ExlService Holdings, Inc.*		9,076,317
	28,293	Genpact Ltd.		982,050
	156,109	Parsons Corp.*		9,789,595
	65,046	Upwork, Inc.*		967,234
				31,357,169
	Real Estate Management & Development – 0.3%
	71,280	CoStar Group, Inc.*		6,229,159
	32,161	Zillow Group, Inc., Class C*		1,860,835
				8,089,994
	Residential REITs – 1.0%
	83,486	American Homes 4 Rent, Class A REIT		3,002,157

  

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

GOLDMAN SACHS U.S. TAX-MANAGED EQUITY FUND

 

 

 

 

 

 

 

	Shares	Description	Value
	Common Stocks – (continued)
	Residential REITs – (continued)
	1	Apartment Income REIT Corp. REIT	$	35
	1	Apartment Investment and Management Co., Class A REIT*		8
	49,476	AvalonBay Communities, Inc. REIT		9,262,897
	13,563	Camden Property Trust REIT		1,346,670
	42,893	Equity LifeStyle Properties, Inc. REIT		3,025,672
	26,815	Equity Residential REIT		1,640,005
	190,064	Invitation Homes, Inc. REIT		6,483,083
	26,742	Mid-America Apartment Communities, Inc. REIT		3,595,730
				28,356,257
	Retail REITs – 0.1%
	21,275	Brixmor Property Group, Inc. REIT		495,069
	12,469	Kite Realty Group Trust REIT		285,041
	63,218	NNN REIT, Inc. REIT		2,724,696
	2	Simon Property Group, Inc. REIT		285
				3,505,091
	Semiconductors & Semiconductor Equipment – 6.0%
	218,165	Applied Materials, Inc.		35,358,002
	25,132	Axcelis Technologies, Inc.*		3,259,369
	38,684	Broadcom, Inc.		43,181,015
	3,264	KLA Corp.		1,897,363
	4,959	Lam Research Corp.		3,884,186
	143,748	NVIDIA Corp.		71,186,885
	63,128	Texas Instruments, Inc.		10,760,799
				169,527,619
	Software – 11.9%
	75,274	Adobe, Inc.*		44,908,468
	183,165	Fortinet, Inc.*		10,720,647
	38,058	Intuit, Inc.		23,787,392
	9,452	Manhattan Associates, Inc.*		2,035,205
	527,437	Microsoft Corp.(a)		198,337,409
	18,506	Oracle Corp.		1,951,088
	20,331	Palo Alto Networks, Inc.*		5,995,205
	6,145	Qualys, Inc.*		1,206,141
	35,444	Salesforce, Inc.*		9,326,734
	24,029	ServiceNow, Inc.*		16,976,248
	55,448	Splunk, Inc.*		8,447,503
	1,599	SPS Commerce, Inc.*		309,950
	8,354	Varonis Systems, Inc.*		378,269
	43,289	Zscaler, Inc.*		9,591,111
				333,971,370
	Specialized REITs – 0.2%
	5,206	CubeSmart REIT		241,298
	9,634	Lamar Advertising Co., Class A REIT		1,023,901
	16,714	SBA Communications Corp. REIT		4,240,175
				5,505,374

	Shares	Description	Value
	Common Stocks – (continued)
	Specialty Retail – 1.4%
	1,486	Asbury Automotive Group, Inc.*	$	334,305
	17,213	CarMax, Inc.*		1,320,926
	11,149	Carvana Co.*		590,228
	13,467	Foot Locker, Inc.		419,497
	1,019	Home Depot, Inc. (The)		353,135
	91,859	Lowe’s Cos., Inc.		20,443,220
	5,074	Murphy USA, Inc.		1,809,185
	347	O’Reilly Automotive, Inc.*		329,678
	994	Penske Automotive Group, Inc.		159,547
	78,444	Ross Stores, Inc.		10,855,865
	1	Victoria’s Secret & Co.*		27
	9,118	Williams-Sonoma, Inc.		1,839,830
				38,455,443
	Technology Hardware, Storage & Peripherals – 8.1%
	853,932	Apple, Inc.		164,407,528
	385,943	Dell Technologies, Inc., Class C		29,524,639
	42,942	NetApp, Inc.		3,785,767
	5,355	Seagate Technology Holdings PLC		457,156
	103,433	Super Micro Computer, Inc.*		29,401,865
				227,576,955
	Textiles, Apparel & Luxury Goods – 1.1%
	3,902	Deckers Outdoor Corp.*		2,608,214
	38,986	G-III Apparel Group Ltd.*		1,324,744
	280,291	Levi Strauss & Co., Class A		4,636,013
	31,898	Lululemon Athletica, Inc.*		16,309,129
	7,992	Ralph Lauren Corp.		1,152,446
	75,785	Skechers USA, Inc., Class A*		4,724,437
				30,754,983
	Trading Companies & Distributors – 0.4%
	39,394	Ferguson PLC		7,605,800
	5,515	United Rentals, Inc.		3,162,411
				10,768,211
	TOTAL INVESTMENTS – 98.8% (Cost $1,560,734,992)		$	2,772,737,309
	OTHER ASSETS IN EXCESS OF LIABILITIES – 1.2%			33,868,203
	NET ASSETS – 100.0%		$	2,806,605,512

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
*	Non-income producing security.
(a)	All or portion of security is pledged as collateral for futures contracts. Total market value of securities pledged as collateral on futures contracts amounts to $627,987, which represents approximately 0.0% of net assets as of December 31, 2023.

Investment Abbreviations:
PLC	—Public Limited Company
REIT	—Real Estate Investment Trust

  

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

GOLDMAN SACHS U.S. TAX-MANAGED EQUITY FUND

 

Schedule of Investments (continued)

December 31, 2023

 

ADDITIONAL INVESTMENT INFORMATION

FUTURES CONTRACTS — At December 31, 2023, the Fund had the following futures contracts:

Description	Number of Contracts		Expiration Date		Notional  Amount		Unrealized Appreciation/  (Depreciation)
Long position contracts:
Russell 2000 E-Mini Index		2		03/15/24	$	204,770	$	14,535
S&P 500 E-Mini Index		10		03/15/24		2,410,000		79,948
Total Futures Contracts							$	94,483

  

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

GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS

 

Statements of Assets and Liabilities

December 31, 2023

		International Tax- Managed Equity Fund				U.S. Tax-Managed Equity Fund
	Assets:
	Investments, at value (cost $630,410,042 and $1,560,734,992, respectively)(a)	$	774,718,380			$	2,772,737,309
	Investments in affiliated securities lending reinvestment vehicle, at value which equals cost		258,075				—
	Cash		3,881,723				31,900,901
	Foreign Currency, at value (cost $12,485,780 and $–, respectively)		8,716,127				—
	Receivables:
	Foreign tax reclaims		4,014,987				3,732
	Dividends		650,685				4,010,122
	Reimbursement from investment adviser		86,625				—
	Fund shares sold		26,640				169,731
	Securities lending income		2,764				—
	Variation margin on futures contracts		7,461				—
	Other assets		34,670				58,456
	Total assets		792,398,137				2,808,880,251
	Liabilities:
	Variation margin on futures contracts		—				9,285
	Payables:
	Management fees		574,312				1,511,437
	Payable upon return of securities loaned		258,075				—
	Fund shares redeemed		100,732				121,965
	Distribution and Service fees and Transfer Agency fees		23,083				126,103
	Accrued expenses		84,315				505,949
	Total liabilities		1,040,517				2,274,739
	Net Assets:
	Paid-in Capital		718,256,093				1,608,269,798
	Total distributable earnings (loss)		73,101,527				1,198,335,714
	NET ASSETS	$	791,357,620			$	2,806,605,512
	Net Assets:
	Class A	$	4,851,940			$	87,893,464
	Class C		696,378				15,603,949
	Institutional		12,638,103				55,767,102
	Service		—				3,499,224
	Investor		11,560,425				19,127,068
	Class R6		692,951,937				2,407,117,985
	Class P		68,658,837				217,596,720
	Total Net Assets	$	791,357,620			$	2,806,605,512
	Shares Outstanding $0.001 par value (unlimited number of shares authorized):
	Class A		409,787				2,354,435
	Class C		60,054				450,574
	Institutional		1,065,198				1,455,973
	Service		—				93,308
	Investor		973,820				503,921
	Class R6		58,846,362				63,416,697
	Class P		5,826,573				5,731,188
	Net asset value, offering and redemption price per share:(b)
	Class A	$	11.84			$	37.33
	Class C		11.60				34.63
	Institutional		11.86				38.30
	Service		—				37.50
	Investor		11.87				37.96
	Class R6		11.78				37.96
	Class P		11.78				37.97

(a) Includes loaned securities having a market value of $251,563 and $–, respectively.

(b) Maximum public offering price per share for Class A Shares of the International Tax-Managed Equity Fund and U.S. Tax-Managed Equity Fund is $12.53 and $39.50, respectively. At redemption, Class C Shares may be subject to a contingent deferred sales charge, assessed on the amount equal to the lesser of the current net asset value (“NAV”) or the original purchase price of the shares.

  

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

GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS

 

Statements of Operations

For the Fiscal Year Ended December 31, 2023

 

		International Tax- Managed Equity Fund			U.S. Tax-Managed Equity Fund
	Investment income:
	Dividends — unaffiliated issuers (net of foreign withholding taxes of $1,994,501 and $15,775, respectively)	$	24,187,644		$	33,620,452
	Securities lending income, net of rebates received or paid to borrowers – affiliated issuer		39,269			—
	Dividends — affiliated issuers		—			28,873
	Total Investment Income		24,226,913			33,649,325
	Expenses:
	Management fees		6,162,287			16,547,244
	Custody, accounting and administrative services		360,677			72,520
	Transfer Agency fees(a)		238,740			915,711
	Professional fees		165,876			105,979
	Registration fees		88,367			91,910
	Printing and mailing costs		34,265			59,100
	Trustee fees		28,517			23,830
	Distribution and/or Service (12b-1) fees(a)		18,403			337,543
	Service fees — Class C		1,751			39,683
	Shareholder meeting expense		1,630			2,818
	Shareholder Administration fees — Service Shares		—			7,503
	Other		30,431			22,207
	Total expenses		7,130,944			18,226,048
	Less — expense reductions		(616,730	)		(48,236	)
	Net expenses		6,514,214			18,177,812
	NET INVESTMENT INCOME		17,712,699			15,471,513
	Realized and Unrealized gain (loss):
	Net realized gain (loss) from:
	Investments — unaffiliated issuers		12,247,908			(8,157,218	)
	In-kind redemptions		27,221,319			61,617,366
	Futures contracts		1,092,277			311,486
	Foreign currency transactions		(106,807	)		31
	Net change in unrealized gain (loss) on:
	Investments — unaffiliated issuers		76,563,266			480,823,901
	Futures contracts		203,924			486,347
	Foreign currency translations		157,972			—
	Net realized and unrealized gain		117,379,859			535,081,913
	NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	135,092,558		$	550,553,426

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

	Distribution and/or Service (12b-1) fees						Transfer Agency Fees
Fund	Class A		Class C		Service		Class A		Class C		Institutional		Service		Investor		Class R6		Class P
International Tax-Managed Equity Fund		$13,151		$5,252		$–		$8,156		$1,087		$4,537		$–		$15,640		$189,861		$19,459
U.S. Tax-Managed Equity Fund		210,992		119,048		7,503		130,870		24,619		23,569		1,200		26,977		650,459		58,017

  

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

GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS

 

Statements of Changes in Net Assets

 

		International Tax-Managed Equity Fund						U.S. Tax-Managed Equity Fund
		For the Fiscal Year Ended December 31, 2023			For the Fiscal Year Ended December 31, 2022			For the Fiscal Year Ended December 31, 2023			For the Fiscal Year Ended December 31, 2022
	From operations:
	Net investment income	$	17,712,699		$	22,095,228		$	15,471,513		$	14,667,256
	Net realized gain (loss)		40,454,697			19,642,836			53,771,665			(2,089,993	)
	Net change in unrealized gain (loss)		76,925,162			(168,486,250	)		481,310,248			(539,122,981	)
	Net increase (decrease) in net assets resulting from operations		135,092,558			(126,748,186	)		550,553,426			(526,545,718	)
	Distributions to shareholders:
	From distributable earnings:
	Class A Shares		(94,610	)		(162,210	)		(202,802	)		(342,379	)
	Class C Shares		(8,889	)		(17,250	)		–			–
	Institutional Shares		(291,337	)		(346,285	)		(293,294	)		(421,368	)
	Service Shares		–			–			(3,951	)		(7,142	)
	Investor Shares		(258,344	)		(300,562	)		(89,406	)		(97,323	)
	Class R6 Shares		(15,920,795	)		(21,935,527	)		(13,036,248	)		(14,183,905	)
	Class P Shares		(1,586,920	)		(2,154,500	)		(1,179,388	)		(1,252,858	)
	Total distributions to shareholders		(18,160,895	)		(24,916,334	)		(14,805,089	)		(16,304,975	)
	From share transactions:
	Proceeds from sales of shares		17,872,937			81,602,420			72,656,637			423,239,765
	Proceeds paid in connection with in-kind transactions		(65,000,000	)		(40,000,055	)		(75,750,000	)		–
	Reinvestment of distributions		18,160,808			24,916,127			14,704,015			16,142,013
	Cost of shares redeemed		(13,706,369	)		(36,436,968	)		(75,518,598	)		(107,632,492	)
	Net increase (decrease) in net assets resulting from share transactions		(42,672,624	)		30,081,524			(63,907,946	)		331,749,286
	TOTAL INCREASE (DECREASE)		74,259,039			(121,582,996	)		471,840,391			(211,101,407	)
	Net Assets:
	Beginning of year		717,098,581			838,681,577			2,334,765,121			2,545,866,528
	End of year	$	791,357,620		$	717,098,581		$	2,806,605,512		$	2,334,765,121

  

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

GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND

 

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs International Tax-Managed Equity Fund
		Class A Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	10.07			$	12.28			$	11.32			$	10.43			$	8.93
	Net investment income(a)			0.24	(b),(c)			0.29				0.28				0.10				0.18
	Net realized and unrealized gain (loss)			1.76				(2.18	)			1.07				0.92				1.49
	Total from investment operations			2.00				(1.89	)			1.35				1.02				1.67
	Distributions to shareholders from net investment income			(0.23	)			(0.32	)			(0.39	)			(0.13	)			(0.17	)
	Net asset value, end of year		$	11.84			$	10.07			$	12.28			$	11.32			$	10.43
	Total Return(d)			19.96	%			(15.36	)%			12.02	%			9.75	%			18.66	%
	Net assets, end of year (in 000’s)		$	4,852			$	5,139			$	7,235			$	6,662			$	8,419
	Ratio of net expenses to average net assets			1.22	%			1.22	%			1.22	%			1.23	%			1.25	%
	Ratio of total expenses to average net assets			1.35	%			1.32	%			1.33	%			1.36	%			1.37	%
	Ratio of net investment income to average net assets			2.15	%(b),(c)			2.74	%			2.33	%			1.07	%			1.81	%
	Portfolio turnover rate(e)			132	%			226	%			162	%			177	%			231	%

(a) Calculated based on the average shares outstanding methodology.

(b) Reflects income recognized from special dividends which amounts to $0.04 per share and 0.34% of average net assets.

(c) Reflects income recognized from withholding tax reclaims which amounted to $0.01 per share and 0.12% of average net assets.

(d) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

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

  

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

GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND

 

Financial Highlights (continued)

Selected Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs International Tax-Managed Equity Fund
		Class C Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	9.87			$	12.03			$	11.04			$	10.18			$	8.68
	Net investment income(a)			0.16	(b),(c)			0.21				0.20				0.03				0.12
	Net realized and unrealized gain (loss)			1.72				(2.13	)			1.03				0.88				1.42
	Total from investment operations			1.88				(1.92	)			1.23				0.91				1.54
	Distributions to shareholders from net investment income			(0.15	)			(0.24	)			(0.24	)			(0.05	)			(0.04	)
	Net asset value, end of year		$	11.60			$	9.87			$	12.03			$	11.04			$	10.18
	Total Return(d)			18.98	%			(15.96	)%			11.19	%			8.89	%			17.74	%
	Net assets, end of year (in 000’s)		$	696			$	728			$	1,009			$	1,060			$	1,308
	Ratio of net expenses to average net assets			1.97	%			1.97	%			1.96	%			1.98	%			2.01	%
	Ratio of total expenses to average net assets			2.10	%			2.07	%			2.07	%			2.11	%			2.12	%
	Ratio of net investment income to average net assets			1.46	%(b),(c)			2.01	%			1.59	%			0.33	%			1.25	%
	Portfolio turnover rate(e)			132	%			226	%			162	%			177	%			231	%

(a) Calculated based on the average shares outstanding methodology.

(b) Reflects income recognized from special dividends which amounts to $0.04 per share and 0.34% of average net assets.

(c) Reflects income recognized from withholding tax reclaims which amounted to $0.01 per share and 0.12% of average net assets.

(d) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

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

  

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

GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND

 

Financial Highlights (continued)

Selected Data for a Share Outstanding Throughout Each Year

 

 

	Goldman Sachs International Tax-Managed Equity Fund
	Institutional Shares
	Year Ended December 31,
	2023				2022				2021				2020				2019
Per Share Data
Net asset value, beginning of year		$	10.10			$	12.31			$	11.29			$	10.40			$	8.91
Net investment income(a)			0.27	(b),(c)			0.32				0.32				0.13				0.21
Net realized and unrealized gain (loss)			1.77				(2.17	)			1.07				0.92				1.48
Total from investment operations			2.04				(1.85	)			1.39				1.05				1.69
Distributions to shareholders from net investment income			(0.28	)			(0.36	)			(0.37	)			(0.16	)			(0.20	)
Net asset value, end of year		$	11.86			$	10.10			$	12.31			$	11.29			$	10.40
Total Return(d)			20.23	%			(15.02	)%			12.42	%			10.11	%			19.01	%
Net assets, end of year (in 000’s)		$	12,638			$	9,934			$	11,247			$	9,998			$	15,783
Ratio of net expenses to average net assets			0.90	%			0.90	%			0.90	%			0.90	%			0.90	%
Ratio of total expenses to average net assets			0.99	%			0.95	%			0.96	%			0.99	%			0.99	%
Ratio of net investment income to average net assets			2.45	%(b),(c)			3.01	%			2.65	%			1.36	%			2.11	%
Portfolio turnover rate(e)			132	%			226	%			162	%			177	%			231	%

(a) Calculated based on the average shares outstanding methodology.

(b) Reflects income recognized from special dividends which amounts to $0.04 per share and 0.34% of average net assets.

(c) Reflects income recognized from withholding tax reclaims which amounted to $0.01 per share and 0.12% of average net assets.

(d) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

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

  

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

GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND

 

Financial Highlights (continued)

Selected Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs International Tax-Managed Equity Fund
		Investor Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of year		$	10.10			$	12.32			$	11.30			$	10.40			$	8.91
	Net investment income(a)			0.26	(b),(c)			0.32				0.31				0.13				0.20
	Net realized and unrealized gain (loss)			1.78				(2.19	)			1.07				0.92				1.48
	Total from investment operations			2.04				(1.87	)			1.38				1.05				1.68
	Distributions to shareholders from net investment income			(0.27	)			(0.35	)			(0.36	)			(0.15	)			(0.19	)
	Net asset value, end of year		$	11.87			$	10.10			$	12.32			$	11.30			$	10.40
	Total Return(d)			20.26	%			(15.15	)%			12.31	%			10.09	%			18.90	%
	Net assets, end of year (in 000’s)		$	11,560			$	8,699			$	7,290			$	9,085			$	18,290
	Ratio of net expenses to average net assets			0.97	%			0.97	%			0.97	%			0.98	%			1.00	%
	Ratio of total expenses to average net assets			1.10	%			1.08	%			1.08	%			1.11	%			1.12	%
	Ratio of net investment income to average net assets			2.33	%(b),(c)			3.08	%			2.58	%			1.38	%			2.06	%
	Portfolio turnover rate(e)			132	%			226	%			162	%			177	%			231	%

(a) Calculated based on the average shares outstanding methodology.

(b) Reflects income recognized from special dividends which amounts to $0.04 per share and 0.34% of average net assets.

(c) Reflects income recognized from withholding tax reclaims which amounted to $0.01 per share and 0.12% of average net assets.

(d) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

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

  

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

GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND

 

Financial Highlights (continued)

Selected Data for a Share Outstanding Throughout Each Year

 

 

	Goldman Sachs International Tax-Managed Equity Fund
	Class R6 Shares
	Year Ended December 31,
	2023				2022				2021				2020				2019
Per Share Data
Net asset value, beginning of year		$	10.02			$	12.23			$	11.22			$	10.33			$	8.85
Net investment income(a)			0.27	(b),(c)			0.32				0.32				0.14				0.21
Net realized and unrealized gain (loss)			1.77				(2.17	)			1.06				0.92				1.47
Total from investment operations			2.04				(1.85	)			1.38				1.06				1.68
Distributions to shareholders from net investment income			(0.28	)			(0.36	)			(0.37	)			(0.17	)			(0.20	)
Net asset value, end of year		$	11.78			$	10.02			$	12.23			$	11.22			$	10.33
Total Return(d)			20.30	%			(15.11	)%			12.43	%			10.20	%			19.05	%
Net assets, end of year (in 000’s)		$	692,952			$	630,799			$	730,126			$	640,212			$	660,555
Ratio of net expenses to average net assets			0.89	%			0.89	%			0.89	%			0.89	%			0.89	%
Ratio of total expenses to average net assets			0.98	%			0.94	%			0.95	%			0.97	%			0.98	%
Ratio of net investment income to average net assets			2.44	%(b),(c)			3.06	%			2.66	%			1.42	%			2.12	%
Portfolio turnover rate(e)			132	%			226	%			162	%			177	%			231	%

(a) Calculated based on the average shares outstanding methodology.

(b) Reflects income recognized from special dividends which amounts to $0.04 per share and 0.34% of average net assets.

(c) Reflects income recognized from withholding tax reclaims which amounted to $0.01 per share and 0.12% of average net assets.

(d) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

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

  

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

GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND

 

Financial Highlights (continued)

Selected Data for a Share Outstanding Throughout Each Year

 

 

	Goldman Sachs International Tax-Managed Equity Fund
	Class P Shares
	Year Ended December 31,
	2023				2022				2021				2020				2019
Per Share Data
Net asset value, beginning of year		$	10.03			$	12.23			$	11.22			$	10.34			$	8.86
Net investment income(a)			0.27	(b),(c)			0.33				0.32				0.14				0.21
Net realized and unrealized gain (loss)			1.76				(2.17	)			1.06				0.91				1.47
Total from investment operations			2.03				(1.84	)			1.38				1.05				1.68
Distributions to shareholders from net investment income			(0.28	)			(0.36	)			(0.37	)			(0.17	)			(0.20	)
Net asset value, end of year		$	11.78			$	10.03			$	12.23			$	11.22			$	10.34
Total Return(d)			20.28	%			(15.03	)%			12.42	%			10.09	%			19.02	%
Net assets, end of year (in 000’s)		$	68,659			$	61,800			$	81,775			$	68,788			$	67,038
Ratio of net expenses to average net assets			0.89	%			0.89	%			0.89	%			0.89	%			0.89	%
Ratio of total expenses to average net assets			0.98	%			0.94	%			0.95	%			0.98	%			0.98	%
Ratio of net investment income to average net assets			2.47	%(b),(c)			3.10	%			2.66	%			1.45	%			2.15	%
Portfolio turnover rate(e)			132	%			226	%			162	%			177	%			231	%

(a) Calculated based on the average shares outstanding methodology.

(b) Reflects income recognized from special dividends which amounts to $0.04 per share and 0.34% of average net assets.

(c) Reflects income recognized from withholding tax reclaims which amounted to $0.01 per share and 0.12% of average net assets.

(d) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

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

  

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

GOLDMAN SACHS U.S. TAX-MANAGED EQUITY FUND

 

Financial Highlights (continued)

Selected Data for a Share Outstanding Throughout Each Year

 

 

	Goldman Sachs U.S. Tax-Managed Equity Fund
	Class A Shares
	Year Ended December 31,
	2023				2022				2021				2020				2019
Per Share Data
Net asset value, beginning of year		$	30.32			$	38.29			$	29.78			$	25.54			$	20.43
Net investment income(a)			0.10				0.10				0.05				0.06				0.11
Net realized and unrealized gain (loss)			7.00				(7.95	)			8.52				4.31				5.09
Total from investment operations			7.10				(7.85	)			8.57				4.37				5.20
Distributions to shareholders from net investment income			(0.09	)			(0.12	)			(0.06	)			(0.09	)			(0.09	)
Distributions to shareholders from net realized gains			–				–				–				(0.04	)			–
Total distributions			(0.09	)			(0.12	)			(0.06	)			(0.13	)			(0.09	)
Net asset value, end of year		$	37.33			$	30.32			$	38.29			$	29.78			$	25.54
Total Return(b)			23.41	%			(20.51	)%			28.80	%			17.06	%			25.48	%
Net assets, end of year (in 000’s)		$	87,893			$	90,164			$	111,821			$	75,584			$	68,427
Ratio of net expenses to average net assets			1.03	%			1.03	%			1.06	%			1.08	%			1.10	%
Ratio of total expenses to average net assets			1.07	%			1.10	%			1.11	%			1.12	%			1.13	%
Ratio of net investment income to average net assets			0.29	%			0.29	%			0.16	%			0.24	%			0.47	%
Portfolio turnover rate(c)			184	%			246	%			116	%			177	%			205	%

(a) Calculated based on the average shares outstanding methodology.

(b) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

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

  

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

GOLDMAN SACHS U.S. TAX-MANAGED EQUITY FUND

 

Financial Highlights (continued)

Selected Data for a Share Outstanding Throughout Each Year

 

 

	Goldman Sachs U.S. Tax-Managed Equity Fund
	Class C Shares
	Year Ended December 31,
	2023				2022				2021				2020				2019
Per Share Data
Net asset value, beginning of year		$	28.27			$	35.84			$	28.04			$	24.11			$	19.36
Net investment loss(a)			(0.14	)			(0.14	)			(0.19	)			(0.13	)			(0.06	)
Net realized and unrealized gain (loss)			6.50				(7.43	)			7.99				4.06				4.81
Total from investment operations			6.36				(7.57	)			7.80				3.93				4.75
Net asset value, end of year		$	34.63			$	28.27			$	35.84			$	28.04			$	24.11
Total Return(b)			22.50	%			(21.12	)%			27.82	%			16.25	%			24.54	%
Net assets, end of year (in 000’s)		$	15,604			$	16,096			$	21,720			$	19,502			$	18,341
Ratio of net expenses to average net assets			1.78	%			1.78	%			1.81	%			1.83	%			1.85	%
Ratio of total expenses to average net assets			1.82	%			1.85	%			1.86	%			1.87	%			1.88	%
Ratio of net investment loss to average net assets			(0.46	)%			(0.46	)%			(0.59	)%			(0.53	)%			(0.28	)%
Portfolio turnover rate(c)			184	%			246	%			116	%			177	%			205	%

(a) Calculated based on the average shares outstanding methodology.

(b) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

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

  

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

GOLDMAN SACHS U.S. TAX-MANAGED EQUITY FUND

 

Financial Highlights (continued)

Selected Data for a Share Outstanding Throughout Each Year

 

 

	Goldman Sachs U.S. Tax-Managed Equity Fund
	Institutional Shares
	Year Ended December 31,
	2023				2022				2021				2020				2019
Per Share Data
Net asset value, beginning of year		$	31.10			$	39.28			$	30.53			$	26.16			$	20.91
Net investment income(a)			0.21				0.21				0.17				0.15				0.20
Net realized and unrealized gain (loss)			7.19				(8.17	)			8.74				4.43				5.23
Total from investment operations			7.40				(7.96	)			8.91				4.58				5.43
Distributions to shareholders from net investment income			(0.20	)			(0.22	)			(0.16	)			(0.17	)			(0.18	)
Distributions to shareholders from net realized gains			–				–				–				(0.04	)			–
Total distributions			(0.20	)			(0.22	)			(0.16	)			(0.21	)			(0.18	)
Net asset value, end of year		$	38.30			$	31.10			$	39.28			$	30.53			$	26.16
Total Return(b)			23.81	%			(20.26	)%			29.23	%			17.48	%			25.90	%
Net assets, end of year (in 000’s)		$	55,767			$	60,342			$	56,035			$	47,997			$	45,718
Ratio of net expenses to average net assets			0.71	%			0.70	%			0.74	%			0.74	%			0.74	%
Ratio of total expenses to average net assets			0.71	%			0.72	%			0.75	%			0.75	%			0.75	%
Ratio of net investment income to average net assets			0.62	%			0.64	%			0.48	%			0.56	%			0.83	%
Portfolio turnover rate(c)			184	%			246	%			116	%			177	%			205	%

(a) Calculated based on the average shares outstanding methodology.

(b) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

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

  

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

GOLDMAN SACHS U.S. TAX-MANAGED EQUITY FUND

 

Financial Highlights (continued)

Selected Data for a Share Outstanding Throughout Each Year

 

 

	Goldman Sachs U.S. Tax-Managed Equity Fund
	Service Shares
	Year Ended December 31,
	2023				2022				2021				2020				2019
Per Share Data
Net asset value, beginning of year		$	30.48			$	38.52			$	29.96			$	25.70			$	20.57
Net investment income(a)			0.04				0.04				–	(b)			0.02				0.08
Net realized and unrealized gain (loss)			7.02				(7.99	)			8.56				4.33				5.13
Total from investment operations			7.06				(7.95	)			8.56				4.35				5.21
Distributions to shareholders from net investment income			(0.04	)			(0.09	)			–	(b)			(0.05	)			(0.08	)
Distributions to shareholders from return of capital			–				–				–				(0.04	)			–
Total distributions			(0.04	)			(0.09	)			–	(b)			(0.09	)			(0.08	)
Net asset value, end of year		$	37.50			$	30.48			$	38.52			$	29.96			$	25.70
Total Return(c)			23.17	%			(20.65	)%			28.58	%			16.87	%			25.31	%
Net assets, end of year (in 000’s)		$	3,499			$	2,568			$	2,476			$	1,932			$	1,649
Ratio of net expenses to average net assets			1.21	%			1.22	%			1.23	%			1.24	%			1.24	%
Ratio of total expenses to average net assets			1.21	%			1.25	%			1.24	%			1.25	%			1.25	%
Ratio of net investment income to average net assets			0.12	%			0.13	%			0.01	%			0.08	%			0.33	%
Portfolio turnover rate(d)			184	%			246	%			116	%			177	%			205	%

(a) Calculated based on the average shares outstanding methodology.

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

(c) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

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

  

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

GOLDMAN SACHS U.S. TAX-MANAGED EQUITY FUND

 

Financial Highlights (continued)

Selected Data for a Share Outstanding Throughout Each Year

 

 

	Goldman Sachs U.S. Tax-Managed Equity Fund
	Investor Shares
	Year Ended December 31,
	2023				2022				2021				2020				2019
Per Share Data
Net asset value, beginning of year		$	30.83			$	38.93			$	30.26			$	25.93			$	20.73
Net investment income(a)			0.19				0.18				0.14				0.12				0.17
Net realized and unrealized gain (loss)			7.12				(8.09	)			8.67				4.40				5.18
Total from investment operations			7.31				(7.91	)			8.81				4.52				5.35
Distributions to shareholders from net investment income			(0.18	)			(0.19	)			(0.14	)			(0.15	)			(0.15	)
Distributions to shareholders from net realized gains			–				–				–				(0.04	)			–
Total distributions			(0.18	)			(0.19	)			(0.14	)			(0.19	)			(0.15	)
Net asset value, end of year		$	37.96			$	30.83			$	38.93			$	30.26			$	25.93
Total Return(b)			23.71	%			(20.31	)%			29.13	%			17.38	%			25.82	%
Net assets, end of year (in 000’s)		$	19,127			$	15,645			$	20,599			$	15,938			$	21,591
Ratio of net expenses to average net assets			0.78	%			0.78	%			0.82	%			0.83	%			0.85	%
Ratio of total expenses to average net assets			0.82	%			0.85	%			0.87	%			0.87	%			0.88	%
Ratio of net investment income to average net assets			0.54	%			0.54	%			0.40	%			0.46	%			0.72	%
Portfolio turnover rate(c)			184	%			246	%			116	%			177	%			205	%

(a) Calculated based on the average shares outstanding methodology.

(b) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

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

  

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

GOLDMAN SACHS U.S. TAX-MANAGED EQUITY FUND

 

Financial Highlights (continued)

Selected Data for a Share Outstanding Throughout Each Year

 

 

	Goldman Sachs U.S. Tax-Managed Equity Fund
	Class R6 Shares
	Year Ended December 31,
	2023				2022				2021				2020				2019
Per Share Data
Net asset value, beginning of year		$	30.82			$	38.93			$	30.26			$	25.93			$	20.73
Net investment income(a)			0.21				0.21				0.17				0.15				0.20
Net realized and unrealized gain (loss)			7.14				(8.10	)			8.67				4.40				5.18
Total from investment operations			7.35				(7.89	)			8.84				4.55				5.38
Distributions to shareholders from net investment income			(0.21	)			(0.22	)			(0.17	)			(0.18	)			(0.18	)
Distributions to shareholders from net realized gains			–				–				–				(0.04	)			–
Total distributions			(0.21	)			(0.22	)			(0.17	)			(0.22	)			(0.18	)
Net asset value, end of year		$	37.96			$	30.82			$	38.93			$	30.26			$	25.93
Total Return(b)			23.85	%			(20.26	)%			29.24	%			17.49	%			25.96	%
Net assets, end of year (in 000’s)		$	2,407,118			$	1,975,694			$	2,111,315			$	1,536,722			$	1,575,990
Ratio of net expenses to average net assets			0.70	%			0.69	%			0.73	%			0.73	%			0.73	%
Ratio of total expenses to average net assets			0.70	%			0.72	%			0.74	%			0.74	%			0.74	%
Ratio of net investment income to average net assets			0.63	%			0.65	%			0.49	%			0.57	%			0.84	%
Portfolio turnover rate(c)			184	%			246	%			116	%			177	%			205	%

(a) Calculated based on the average shares outstanding methodology.

(b) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

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

  

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

GOLDMAN SACHS U.S. TAX-MANAGED EQUITY FUND

 

Financial Highlights (continued)

Selected Data for a Share Outstanding Throughout Each Year

 

 

	Goldman Sachs U.S. Tax-Managed Equity Fund
	Class P Shares
	Year Ended December 31,
	2023				2022				2021				2020				2019
Per Share Data
Net asset value, beginning of year		$	30.83			$	38.94			$	30.27			$	25.94			$	20.74
Net investment income(a)			0.21				0.21				0.17				0.15				0.20
Net realized and unrealized gain (loss)			7.14				(8.10	)			8.67				4.40				5.18
Total from investment operations			7.35				(7.89	)			8.84				4.55				5.38
Distributions to shareholders from net investment income			(0.21	)			(0.22	)			(0.17	)			(0.18	)			(0.18	)
Distributions to shareholders from net realized gains			–				–				–				(0.04	)			–
Total distributions			(0.21	)			(0.22	)			(0.17	)			(0.22	)			(0.18	)
Net asset value, end of year		$	37.97			$	30.83			$	38.94			$	30.27			$	25.94
Total Return(b)			23.84	%			(20.25	)%			29.23	%			17.48	%			25.94	%
Net assets, end of year (in 000’s)		$	217,597			$	174,254			$	221,902			$	152,775			$	138,399
Ratio of net expenses to average net assets			0.70	%			0.69	%			0.73	%			0.73	%			0.73	%
Ratio of total expenses to average net assets			0.70	%			0.72	%			0.74	%			0.74	%			0.74	%
Ratio of net investment income to average net assets			0.63	%			0.64	%			0.49	%			0.59	%			0.83	%
Portfolio turnover rate(c)			184	%			246	%			116	%			177	%			205	%

(a) Calculated based on the average shares outstanding methodology.

(b) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

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

  

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

GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS

 

Notes to Financial Statements

December 31, 2023

 

 

 

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
International Tax-Managed Equity Fund	A, C, Institutional, Investor, R6 and P	Diversified
U.S. Tax-Managed Equity Fund	A, C, Institutional, Service, Investor, R6 and P	Diversified

Class A Shares are sold with a front-end sales charge of up to 5.50%. Class C Shares are sold with a contingent deferred sales charge (“CDSC”) of 1.00%, which is imposed on redemptions made within 12 months of purchase. Institutional, Service, Investor, Class R6 and Class P Shares are not subject to a sales charge.

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

2. SIGNIFICANT ACCOUNTING POLICIES

The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions. Each Fund is an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies.

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

B. Investment Income and Investments — Investment income includes interest income, dividend income, and securities lending income, if any. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the securities received. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Investment income is recorded net of any foreign withholding taxes, less any amounts reclaimable. The Funds may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. These reclaims, if any, are recorded when the amount is known and there are no significant uncertainties on collectability. Such amounts recovered, if any, are reflected as other income in the Statements of Operations. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments. Distributions received from the Funds’ investments in U.S. real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain and/or a return of capital. A return of capital is recorded by the Funds as a reduction to the cost basis of the REIT.

For derivative contracts, unrealized gains and losses are recorded daily and become realized gains and losses upon disposition or termination of the contract.

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

  

43

GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS

 

Notes to Financial Statements (continued)

December 31, 2023

 

 

 

2. SIGNIFICANT ACCOUNTING POLICIES (continued)

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

Fund	Income Distributions Declared/Paid	Capital Gains Distributions Declared/Paid
International Tax-Managed Equity Fund	Annually	Annually
U.S. Tax-Managed Equity Fund	Annually	Annually

Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.

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

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

F. In-Kind Transactions — Each Fund may allow investors, under certain circumstances, to purchase shares with securities instead of cash. In addition, the Trust reserves the right to redeem an investor’s shares by distributing securities instead of cash. These are known as in-kind transactions. Securities included as part of in-kind purchases and redemptions of Fund shares are valued in the same manner as they are valued for purposes of computing a Fund’s NAV, in accordance with each Fund’s Valuation Procedures, and such valuations are as of the date the trade is submitted pursuant to the procedures specified in the Funds’ prospectus.

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS

U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the Funds’ policy is to use the market approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:

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

Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable

  

44

GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS

 

 

 

 

 

 

 

 

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

(including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;

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

The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Funds, including investments for which market quotations are not readily available. With respect to the Funds’ investments that do not have readily available market quotations, the Trustees have designated the Adviser as the valuation designee to perform fair valuations pursuant to Rule 2a-5 under the Investment Company Act of 1940 (the “Valuation Designee”). GSAM has day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Funds’ investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.

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

Equity Securities — Equity securities traded on a United States (“U.S.”) securities exchange or the NASDAQ system, or those located on certain foreign exchanges, including but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If there is no sale or official closing price or such price is believed by GSAM to not represent fair value, equity securities will be valued at the valid closing bid price for long positions and at the valid closing ask price for short positions (i.e. where there is sufficient volume, during normal exchange trading hours). If no valid bid/ask price is available, the equity security will be valued pursuant to the Valuation Procedures and consistent with applicable regulatory guidance. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2. Certain equity securities containing unique attributes may be classified as Level 2.

Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price for long positions or the last ask price for short positions, and are generally classified as Level 2. Securities traded on certain foreign securities exchanges are valued daily at fair value determined by an independent fair value service (if available) under the Valuation Procedures and consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchange. These investments are generally classified as Level 2 of the fair value hierarchy.

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

Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. A Fund enters into derivative transactions to hedge against changes in interest rates, securities prices, and/or currency exchange rates, to increase total return, or to gain access to certain markets or attain exposure to other underliers. For financial reporting purposes, cash collateral that has been pledged to cover obligations of a Fund and cash collateral received, if any, is reported separately on the Statements of Assets and Liabilities as either due to broker/receivable for collateral on certain derivative contracts. Non-cash collateral pledged by a Fund, if any, is noted in the Schedules of Investments.

Exchange-traded derivatives, including futures and options contracts, are generally valued at the last sale or settlement price on the exchange where they are principally traded. Exchange-traded options without settlement prices are generally valued at the midpoint of the bid and ask prices on the exchange where they are principally traded (or, in the absence of two-way trading, at the last bid price for long positions and the last ask price for short positions). Exchange-traded derivatives typically fall within Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations,

  

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Notes to Financial Statements (continued)

December 31, 2023

 

 

 

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.

i. Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security. Upon entering into a futures contract, a Fund deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by a Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.

B. Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of a Fund’s investments may be determined under the Valuation Procedures. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining a Fund’s NAV. To the extent investments are valued using single source broker quotations obtained directly from the broker or passed through from third party pricing vendors, such investments are classified as Level 3 investments.

C. Fair Value Hierarchy — The following is a summary of the Funds’ investments and derivatives classified in the fair value hierarchy as of December 31, 2023:

International Tax-Managed Equity Fund
Investment Type	Level 1			Level 2		Level 3
Assets
Common Stock and/or Other Equity Investments(a)
Africa	$	—		$	1,944,301	$	—
Asia		8,457,879			206,427,227		—
Europe		16,247,091			442,733,804		—
North America		11,063,858			47,398,993		—
Oceania		1,219,808			39,225,419		—
Securities Lending Reinvestment Vehicle		258,075			—		—
Total	$	37,246,711		$	737,729,744	$	—
Derivative Type
Assets
Futures Contracts(b)	$	48,380		$	—	$	—
Liabilities
Futures Contracts(b)	$	(32,147	)	$	—	$	—

  

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3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

U.S. Tax-Managed Equity Fund
Investment Type	Level 1		Level 2		Level 3
Assets
Common Stock and/or Other Equity Investments(a)
Europe	$	13,121,684	$	—	$	—
North America		2,746,146,687		—		—
South America		13,468,938		—		—
Total	$	2,772,737,309	$	—	$	—
Derivative Type
Assets
Futures Contracts(b)	$	94,483	$	—	$	—

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

^(b)  Amount shown represents unrealized gain (loss) at fiscal year end.

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

4. INVESTMENTS IN DERIVATIVES

The following tables set forth, by certain risk types, the gross value of derivative contracts (not considered to be hedging instruments for accounting disclosure purposes) as of December 31, 2023. These instruments were used as part of the Funds’ investment strategies and to obtain and/or manage exposure related to the risks below. The values in the tables below exclude the effects of cash collateral received or posted pursuant to these derivative contracts, and therefore are not representative of the Funds’ net exposure:

International Tax-Managed Equity Fund
Risk	Statements for Assets and Liabilities	Assets1		Statements for Assets and Liabilities	Liabilities1
Equity	Variation margin on futures contracts	$	48,380	Variation margin on futures contracts	$	(32,147	)
U.S. Tax-Managed Equity Fund
Risk	Statements for Assets and Liabilities	Assets1		Statements for Assets and Liabilities	Liabilities1
Equity	Variation margin on futures contracts	$	94,483		$	—

¹  Includes unrealized gain (loss) on futures contracts described in the Additional Investment Information sections of the Schedules of Investments. Only the variation margin as of December 31, 2023 is reported within the Statements of Assets and Liabilities.

The following tables set forth, by certain risk types, the Funds’ gains (losses) related to these derivatives and their indicative volumes for the year ended December 31, 2023. These gains (losses) should be considered in the context that these derivative contracts may have been executed to create investment opportunities and/or economically hedge certain investments, and

  

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Notes to Financial Statements (continued)

December 31, 2023

 

 

 

4. INVESTMENTS IN DERIVATIVES (continued)

accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statements of Operations:

International Tax-Managed Equity Fund
Risk	Statement of Operations	Net Realized Gain (Loss)		Net Change in Unrealized Gain (Loss)
Equity	Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts	$	1,092,277	$	203,924
U.S. Tax-Managed Equity Fund
Risk	Statement of Operations	Net Realized Gain (Loss)		Net Change in Unrealized Gain (Loss)
Equity	Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts		311,486		486,347

For the year ended December 31, 2023, the relevant values for each derivative type was as follows:

	Average number of Contracts(a)
Fund	Futures Contracts
International Tax-Managed Equity Fund	122
U.S. Tax-Managed Equity Fund	52

(a) Amounts disclosed represent average number of contracts for futures contracts, based on absolute values, which is indicative of volume of this derivative type, for the months that the Fund held such derivatives during the fiscal year ended December 31, 2023.

5. AGREEMENTS AND AFFILIATED TRANSACTIONS

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

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

For the fiscal year ended December 31, 2023, contractual and effective net management fees with GSAM were at the following rates:

	Contractual Management Rate
Fund	First $1 billion	Next $1 billion	Next $3 billion	Next $3 billion	Over $8 billion	Effective Rate	Effective Net Management Rate^
International Tax-Managed Equity Fund	0.85%	0.77%	0.73%	0.72%	0.71%	0.85%	0.85%
U.S. Tax-Managed Equity Fund	0.70	0.63	0.60	0.59	0.58	0.65	0.65

^ Effective Net Management Rate includes the impact of management fee waivers of affiliated Underlying Funds, if any. The Effective Net Management Rate may not correlate to the Contractual Management Rate as a result of management fee waivers that may be in effect from time to time.

The U.S. Tax-Managed Equity Fund invest in Institutional Shares of the Goldman Sachs Financial Square Government Fund, which is an affiliated Underlying Fund. GSAM has agreed to waive a portion of its management fee payable by the Funds in an amount equal to the management fee it earns as an investment adviser to the affiliated Underlying Fund in which the Funds invest,

  

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5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

except those management fees it earns from the Fund’s investments of cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund. For the fiscal year ended December 31, 2023, GSAM waived $1,157 of the U.S. Tax-Managed Equity Fund’s management fees.

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

The Trust, on behalf of Class C Shares of each applicable Fund, has adopted a Distribution Plan subject to Rule 12b-1 under the Act. Under the Distribution Plan, Goldman Sachs as Distributor is entitled to a fee accrued daily and paid monthly for distribution services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class C Shares of the Funds, as set forth below.

The Trust, on behalf of Service Shares of each applicable Fund, has adopted a Service Plan subject to Rule 12b-1 under the Act to allow Service Shares to compensate service organizations (including Goldman Sachs) for providing personal and account maintenance services to their customers who are beneficial owners of such shares. The Service Plan provides for compensation to the service organizations equal to an annual percentage rate of the average daily net assets attributable to Service Shares of the Funds, as set forth below.

	Distribution and/or Service Plan Rates
	Class A*	Class C	Service
Distribution and/or Service Plan	0.25%	0.75%	0.25%

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

C. Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Funds pursuant to a Distribution Agreement, may retain a portion of the Class A Shares’ front-end sales charge and Class C Shares’ CDSC. During the fiscal year ended December 31, 2023, Goldman Sachs retained the following amounts:

	Front End  Sales Charge	Contingent Deferred Sales Charge
Fund	Class A	Class C
International Tax-Managed Equity Fund	$   125		$    —
U.S. Tax-Managed Equity Fund	4,370		—

D. Service and Shareholder Administration Plans — The Trust, on behalf of each applicable Fund, has adopted Service Plans to allow Class C Shares and Shareholder Administration Plans to allow Service Shares, respectively, to compensate service organizations (including Goldman Sachs) for providing varying levels of personal and account maintenance or shareholder administration services to their customers who are beneficial owners of such shares. The Service and Shareholder Administration Plans each provide for compensation to the service organizations equal to an annual percentage rate of 0.25% of the average daily net assets attributable to Class C and Service Shares of the Funds, respectively.

E. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Funds for a fee pursuant to the Transfer Agency Agreement. The fees charged for such transfer agency services are accrued daily and paid monthly at annual rates as follows: 0.15% of the average daily net assets of Class A, Class C and Investor Shares; 0.03% of the average daily net assets of

  

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Notes to Financial Statements (continued)

December 31, 2023

 

 

 

5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

Class R6 and Class P Shares; and 0.04% of the average daily net assets of Institutional and Service Shares. Prior to July 1, 2023, the rate for Class A, Class C, Investor and Class R Shares was 0.16%. Goldman Sachs has agreed to waive a portion of its transfer agency fee equal to 0.05% and 0.04% as an annual percentage rate of the average daily net assets attributable to the Class A, Class C and Investor Shares of the International Tax-Managed Equity Fund and the U.S. Tax-Managed Equity Fund, respectively. This arrangement will remain in effect through at least April 28, 2024, and prior to such date, Goldman Sachs may not terminate the arrangement without the approval of the Board of Trustees.

F. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to reduce or limit certain “Other Expenses” of the Funds (excluding acquired fund fees and expenses, transfer agency fees and expenses, service fees and shareholder administration fees (as applicable), taxes, interest, brokerage fees, expenses of shareholder meetings, litigation and indemnification, and extraordinary expenses) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of each Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Funds are not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. The Other Expense limitations as an annual percentage rate of average daily net assets for the International Tax-Managed Equity Fund and the U.S. Tax-Managed Equity Fund are 0.014% and 0.044%, respectively. These Other Expense limitations will remain in place through at least April 28, 2024, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. In addition, the Funds have entered into certain offset arrangements with the custodian and the transfer agent, which may result in a reduction of the Funds’ expenses and are received irrespective of the application of the “Other Expense” limitations described above.

Goldman Sachs may voluntarily waive a portion of any payments under a Fund’s Distribution and Service Plan and Transfer Agency Agreement, and these waivers are in addition to what is stipulated in any contractual fee waiver arrangements (as applicable). These temporary waivers may be modified or terminated at any time at the option of Goldman Sachs without shareholder approval.

For the fiscal year ended December 31, 2023, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:

Fund	Management Fee Waiver		Transfer Agency Waiver/Credits		Other Expense Reimbursements		Total Expense Reductions
International Tax-Managed Equity Fund	$	–	$	8,035	$	608,695	$	616,730
U.S. Tax-Managed Equity Fund		1,157		47,079		—		48,236

G. Line of Credit Facility — As of December 31, 2023, the Funds participated in a $1,110,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. For the fiscal year ended December 31, 2023, the Funds did not have any borrowings under the facility. Prior to April 19, 2023, the facility was $1,250,000,000.

H. Other Transactions with Affiliates — For the fiscal year ended December 31, 2023, Goldman Sachs did not earn any brokerage commissions from portfolio transactions on behalf of the International Tax-Managed Equity Fund and the U.S. Tax-Managed Equity Fund, respectively.

  

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5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

The following table provides information about the Funds’ investments in the Goldman Sachs Financial Square Government Fund as of and for the fiscal year ended December 31, 2023:

U.S. Tax-Managed Equity Fund
Underlying Fund	Beginning value as of December 31, 2022		Purchases at Cost		Proceeds from Sales			Ending value as of December 31, 2023		Shares as of December 31, 2023		Dividend Income
Goldman Sachs Financial Square Government Fund - Institutional Shares
	$	151,297	$	115,348,690	$	(115,499,987	)	$	–		–	$	28,873

As of December 31, 2023, the Goldman Sachs Global Tax-Aware Equity Portfolio was beneficial owner of 5% or more of total outstanding shares of the following Funds:

Fund	Goldman Sachs Global Tax-Aware Equity Portfolio
International Tax-Managed Equity Fund	87%
U.S. Tax-Managed Equity Fund	86

6. PORTFOLIO SECURITIES TRANSACTIONS

The cost of purchases and proceeds from sales and maturities of long-term securities for the fiscal year ended December 31, 2023, were as follows:

Fund	Purchases		Sales		Sales In-Kind
International Tax-Managed Equity Fund	$	957,954,979	$	936,968,621	$	64,785,003
U.S. Tax-Managed Equity Fund		4,662,695,568		4,648,824,342		73,035,695

7. SECURITIES LENDING

Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) and the terms and conditions contained therein, the Goldman Sachs International Tax-Managed Equity Fund and the Goldman Sachs U.S. Tax-Advantaged Equity Fund may lend their securities through a securities lending agent, Goldman Sachs Agency Lending (“GSAL”), a wholly-owned subsidiary of Goldman Sachs, to certain qualified borrowers including Goldman Sachs and affiliates. In accordance with the Funds’ securities lending procedures, the Funds receive cash collateral at least equal to the market value of the securities on loan. The market value of the loaned securities is determined at the close of business of the Funds, at their last sale price or official closing price on the principal exchange or system on which they are traded, and any additional required collateral is delivered to the Funds on the next business day. As with other extensions of credit, the Funds may experience delay in the recovery of their securities or incur a loss should the borrower of the securities breach its agreement with the Funds or become insolvent at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan. Dividend income received from securities on loan may not be subject to withholding taxes and therefore withholding taxes paid may differ from the amounts listed in the Statements of Operations. Loans of securities are terminable at any time and as such 1) the remaining contractual maturities of the outstanding securities lending transactions are considered to be overnight and continuous and 2) the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.

The Goldman Sachs International Tax-Managed Equity Fund and the Goldman Sachs U.S. Tax-Advantaged Equity Fund invest the cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund (“Government Money Market Fund”), an affiliated series of the Goldman Sachs Trust. The Government Money Market Fund

  

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Notes to Financial Statements (continued)

December 31, 2023

 

 

 

7. SECURITIES LENDING (continued)

is registered under the Act as an open end investment company, is subject to Rule 2a-7 under the Act, and is managed by GSAM, for which GSAM may receive a management fee of up to 0.16% on an annualized basis of the average daily net assets of the Government Money Market Fund.

In the event of a default by a borrower with respect to any loan, GSAL will exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If GSAL is unable to purchase replacement securities, GSAL will indemnify the Funds by paying the Funds an amount equal to the market value of the securities loaned minus the value of cash collateral received from the borrower for the loan, subject to an exclusion for any shortfalls resulting from a loss of value in such cash collateral due to reinvestment risk. The Funds’ master netting agreements with certain borrowers provide the right, in the event of a default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate net exposure to the defaulting party or request additional collateral. However, in the event of a default by a borrower, a resolution authority could determine that such rights are not enforceable due to the restrictions or prohibitions against the right of set-off that may be imposed in accordance with a particular jurisdiction’s bankruptcy or insolvency laws. The Funds’ loaned securities were all subject to enforceable Securities Lending Agreements and the value of the collateral was at least equal to the value of the cash received. The amounts of the Funds’ overnight and continuous agreements, which represent the gross amounts of recognized liabilities for securities lending transactions outstanding as of December 31, 2023, are disclosed as “Payable upon return of securities loaned” on the Statements of Assets and Liabilities, where applicable.

Each of the Funds and GSAL received compensation relating to the lending of the Funds’ securities. The amounts earned, if any, by the Funds for the fiscal year ended December 31, 2023, are reported under Investment Income on the Statements of Operations.

The table below details securities lending activity with affiliates of Goldman Sachs:

	For the Fiscal Year Ended December 31, 2023
Fund	Earnings of GSAL Relating to Securities Loaned		Amounts Received by the Funds from Lending to Goldman Sachs		Amounts Payable to Goldman Sachs Upon Return of Securities Loaned as of December 31, 2023
International Tax-Managed Equity Fund	$	4,329	$	4,784	$	—

The following table provides information about the Funds’ investments in the Government Money Market Fund for the fiscal year ended December 31, 2023:

Fund	Beginning value as of December 31, 2022		Purchases   at Cost		Proceeds   from Sales			Ending value as of December 31, 2023
International Tax-Managed Equity Fund	$	828,871	$	16,697,746	$	(17,268,542	)	$	258,075

8. TAX INFORMATION

The tax character of distributions paid during the fiscal year ended December 31, 2023 was as follows:

	International Tax- Managed Equity Fund		U.S. Tax-Managed   Equity Fund
Distributions paid from:
Ordinary Income	$	18,160,895	$	14,805,089

  

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8. TAX INFORMATION (continued)

The tax character of distributions paid during the fiscal year ended December 31, 2022, was as follows:

	International Tax- Managed Equity Fund		U.S. Tax-Managed Equity Fund
Distributions paid from:
Ordinary Income	$	24,916,334	$	15,860,542
Net long-term capital gains		—		444,433
Total distributions	$	24,916,334	$	16,304,975

As of December 31, 2023, the components of accumulated earnings (losses) on a tax-basis were as follows:

	International Tax- Managed Equity Fund			U.S. Tax-Managed Equity Fund
Undistributed ordinary income — net	$	1,274,813		$	839,341
Capital loss carryforwards:
Perpetual Short-Term		(71,003,744	)		(4,629,537)
Timing differences — (Real Estate Investment Trusts and post October loss deferral)		—			(9,064,676)
Unrealized gains (losses) — net		142,830,458			1,211,190,586
Total accumulated earnings (losses) — net	$	73,101,527		$	1,198,335,714

For the period ended December 31, 2023, the International Tax-Managed Equity Fund utilized $7,528,105 in Capital Loss Carryforwards.

As of December 31, 2023, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows.

	International Tax- Managed Equity Fund			U.S. Tax-Managed Equity Fund
Tax Cost	$	632,389,834		$	1,561,641,206
Gross unrealized gain		146,995,925			1,212,728,462
Gross unrealized loss		(4,165,467	)		(1,537,876)
Net unrealized gain (loss)	$	142,830,458		$	1,211,190,586

The difference between GAAP-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales, net mark to market gains/(losses) on regulated futures contracts, and differences in the tax treatment of passive foreign investment company investments and underlying fund investments.

The International Tax-Managed Equity and US Tax-Managed Equity Funds reclassified $27,221,319 and $61,698,171, respectively, from distributable earnings to paid in capital for the year ending December 31, 2023. In order to present certain components of the Fund’s capital accounts on a tax-basis, certain reclassifications have been recorded to the Fund’s accounts. These reclassifications have no impact on the net asset value of the Fund and result primarily from redemptions in-kind transactions.

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

  

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Notes to Financial Statements (continued)

December 31, 2023

 

 

 

9. OTHER RISKS

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

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

Foreign and Emerging Countries Risk — Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of more or less foreign government regulation; less public information; less stringent investor protections; less stringent accounting, corporate governance, financial reporting and disclosure standards; and less economic, political and social stability in the countries in which the Fund invests. The imposition of sanctions, exchange controls (including repatriation restrictions), confiscation of assets and property, trade restrictions (including tariffs) and other government restrictions by the U.S. or other governments, or from problems in registration, settlement or custody, may also result in losses. The type and severity of sanctions and other similar measures, including counter sanctions and other retaliatory actions, that may be imposed could vary broadly in scope, and their impact is impossible to predict. For example, the imposition of sanctions and other similar measures could, among other things, cause a decline in the value and/or liquidity of securities issued by the sanctioned country or companies located in or economically tied to the sanctioned country and increase market volatility and disruption in the sanctioned country and throughout the world. Sanctions and other similar measures could limit or prevent the Fund from buying and selling securities (in the sanctioned country and other markets), significantly delay or prevent the settlement of securities transactions, and significantly impact a Fund’s liquidity and performance. Foreign risk also involves the risk of negative foreign currency exchange rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which the Fund has exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time. To the extent that the Fund also invests in securities of issuers located in, or economically tied to, emerging markets, these risks may be more pronounced.

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

Management Risk — A strategy used by the Investment Adviser may fail to produce the intended results.

Market Risk — The value of the securities in which the Fund invests may go up or down in response to the prospects of individual companies, particular sectors or governments and/or general economic conditions throughout the world due to increasingly interconnected global economies and financial markets. Events such as war, military conflict, acts of terrorism, social unrest, natural disasters, recessions, inflation, rapid interest rate changes, supply chain disruptions, sanctions, the spread of infectious illness or other public health threats could also significantly impact the Fund and its investments.

Tax-Managed Investment Risk — Because the Investment Adviser balances investment considerations and tax considerations, the pre-tax performance of the Goldman Sachs Tax-Advantaged Global Equity Portfolio may be lower than the performance of similar funds that are not tax-managed. This is because the Investment Adviser may choose not to make certain investments that may result in taxable distributions to the Goldman Sachs Tax-Advantaged Global Equity Portfolio. Even though tax managed

  

54

GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS

 

 

 

 

 

 

 

 

9. OTHER RISKS (continued)

strategies are being used, they may not reduce the amount of taxable income and capital gains distributed by the Goldman Sachs Tax-Advantaged Global Equity Portfolio to shareholders.

10. 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.

11. OTHER MATTERS

Pursuant to an effort to consolidate the membership of the Board of Trustees of the Trust (the “Board”) with the Board of Trustees of each of Goldman Sachs ETF Trust, Goldman Sachs ETF Trust II, Goldman Sachs Real Estate Diversified Income Fund, Goldman Sachs Trust II and Goldman Sachs Variable Insurance Trust, in July 2023, the Board voted to nominate Cheryl K. Beebe, John G. Chou, Eileen H. Dowling, Lawrence Hughes, John F. Killian, Steven D. Krichmar, Michael Latham, Lawrence W. Stranghoener and Paul C. Wirth (the “Nominees”) for election as Trustees of the Trust. Messrs. Chou and Wirth and Ms. Dowling were serving as Trustees of the Trust at the time of their nominations. At a virtual special joint meeting of shareholders held on November 16, 2023, each of the Nominees (except Messrs. Chou and Wirth and Ms. Dowling) was elected to serve as Trustees alongside the then current Trustees of the Trust, effective January 1, 2024. Each of Messrs. Chou and Wirth and Ms. Dowling was also elected at the meeting and continue to serve as Trustees of the Trust.

12. 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.

13. SUMMARY OF SHARE TRANSACTIONS

Share activity is as follows:

	International Tax-Managed Equity Fund
	For the Fiscal Year Ended December 31, 2023						For the Fiscal Year Ended December 31, 2022
	Shares			Dollars			Shares			Dollars
Class A Shares
Shares sold		39,765		$	437,162			79,392		$	830,279
Reinvestment of distributions		8,191			94,610			16,140			162,210
Shares redeemed		(148,274	)		(1,611,524	)		(174,490	)		(1,818,871)
		(100,318	)		(1,079,752	)		(78,958	)		(826,382)

  

  55

GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS

 

Notes to Financial Statements (continued)

December 31, 2023

 

 

 

13. SUMMARY OF SHARE TRANSACTIONS (continued)

	International Tax-Managed Equity Fund
	For the Fiscal Year Ended December 31, 2023						For the Fiscal Year Ended December 31, 2022
	Shares			Dollars			Shares			Dollars
Class C Shares
Shares sold		4,224		$	46,057			3,667		$	37,902
Reinvestment of distributions		785			8,889			1,751			17,250
Shares redeemed		(18,672	)		(200,149	)		(15,530	)		(157,634)
		(13,663	)		(145,203	)		(10,112	)		(102,482)
Institutional Shares
Shares sold		186,496			2,052,357			164,985			1,752,311
Reinvestment of distributions		25,151			291,250			34,368			346,078
Shares redeemed		(130,139	)		(1,464,199	)		(128,928	)		(1,364,822)
		81,508			879,408			70,425			733,567
Investor Shares
Shares sold		287,861			3,183,834			626,918			6,852,125
Reinvestment of distributions		22,310			258,344			29,817			300,562
Shares redeemed		(197,230	)		(2,173,352	)		(387,470	)		(3,947,483)
		112,941			1,268,826			269,265			3,205,204
Class R6 Shares
Shares sold		889,773			9,525,227			6,465,095			65,731,507
Reinvestment of distributions		1,385,622			15,920,795			2,193,553			21,935,527
Shares redeemed		(42,160	)		(464,727	)		(1,389,237	)		(15,547,544)
Shares redeemed in connection with in-kind transactions		(6,310,680	)		(65,000,000	)		(4,052,691	)		(40,000,055)
		(4,077,445	)		(40,018,705	)		3,216,720			32,119,435
Class P Shares
Shares sold		237,205			2,628,300			607,521			6,398,296
Reinvestment of distributions		137,993			1,586,920			215,235			2,154,500
Shares redeemed		(709,510	)		(7,792,418	)		(1,345,989	)		(13,600,614)
		(334,312	)		(3,577,198	)		(523,233	)		(5,047,818)
NET INCREASE (DECREASE) IN SHARES		(4,331,289	)	$	(42,672,624	)		2,944,107		$	30,081,524
	U.S. Tax-Managed Equity Fund
	For the Fiscal Year Ended December 31, 2023						For the Fiscal Year Ended December 31, 2022
	Shares			Dollars			Shares			Dollars
Class A Shares
Shares sold		185,487		$	6,252,891			414,966		$	13,329,198
Reinvestment of distributions		5,256			193,480			10,768			325,726
Shares redeemed		(809,867	)		(26,316,008	)		(372,296	)		(11,726,564)
		(619,124	)		(19,869,637	)		53,438			1,928,360
Class C Shares
Shares sold		31,176			965,454			85,536			2,572,479
Shares redeemed		(149,896	)		(4,677,611	)		(122,269	)		(3,676,334)
		(118,720	)		(3,712,157	)		(36,733	)		(1,103,855)

  

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GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS

 

 

 

 

 

 

 

 

13. SUMMARY OF SHARE TRANSACTIONS (continued)

	U.S. Tax-Managed Equity Fund
	For the Fiscal Year Ended December 31, 2023						For the Fiscal Year Ended December 31, 2022
	Shares			Dollars			Shares			Dollars
Institutional Shares
Shares sold		479,052		$	15,945,500			931,634		$	31,212,600
Reinvestment of distributions		5,341			201,655			8,880			275,453
Shares redeemed		(968,545	)		(32,832,489	)		(427,054	)		(14,120,423)
		(484,152	)		(16,685,334	)		513,460			17,367,630
Service Shares
Shares sold		17,271			582,408			30,211			929,113
Reinvestment of distributions		107			3,951			235			7,142
Shares redeemed		(8,337	)		(281,968	)		(10,452	)		(346,170)
		9,041			304,391			19,994			590,085
Investor Shares
Shares sold		58,696			1,953,761			52,280			1,759,876
Reinvestment of distributions		2,386			89,293			3,152			96,929
Shares redeemed		(64,681	)		(2,201,547	)		(77,086	)		(2,497,408)
		(3,599	)		(158,493	)		(21,654	)		(640,603)
Class R6 Shares
Shares sold		1,064,557			36,406,797			10,664,975			345,473,590
Reinvestment of distributions		348,377			13,036,248			461,415			14,183,905
Shares redeemed		(11,187	)		(369,466	)		(1,266,443	)		(44,311,354)
Shares redeemed in connection with in-kind transactions		(2,079,300	)		(75,750,000	)		—			—
		(677,553	)		(26,676,421	)		9,859,947			315,346,141
Class P Shares
Shares sold		309,593			10,549,826			850,031			27,962,909
Reinvestment of distributions		31,509			1,179,388			40,743			1,252,858
Shares redeemed		(261,503	)		(8,839,509	)		(937,999	)		(30,954,239)
		79,599			2,889,705			(47,225	)		(1,738,472)
NET INCREASE (DECREASE) IN SHARES		(1,814,508	)	$	(63,907,946	)		10,341,227		$	331,749,286

  

  57

 

 

 

Report of Independent Registered Public

Accounting Firm

To the Board of Trustees of Goldman Sachs Trust and Shareholders of Goldman Sachs International Tax-Managed Equity Fund and Goldman Sachs U.S. Tax-Managed Equity Fund

Opinions on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Goldman Sachs International Tax-Managed Equity Fund and Goldman Sachs U.S. Tax-Managed Equity Fund (two of the funds constituting Goldman Sachs Trust, hereafter collectively referred to as the “Funds”) as of December 31, 2023, the related statements of operations for the year ended December 31, 2023, the statements of changes in net assets for each of the two years in the period ended December 31, 2023, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2023 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2023, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended December 31, 2023 and each of the financial highlights for each of the five years in the period ended December 31, 2023 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinions

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2023 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/ PricewaterhouseCoopers LLP

Boston, Massachusetts

February 23, 2024

We have served as the auditor of one or more investment companies in the Goldman Sachs fund complex since 2000.

  

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GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS

Fund Expenses — Six Month Period Ended December 31, 2023 (Unaudited)

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

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2023, through December 31, 2023, which represents a period of 184 days of a 365 day year.

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

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

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

	International Tax-Managed Equity Fund			U.S. Tax-Managed Equity Fund
Share Class	Beginning   Account Value  7/1/23	Ending  Account Value  12/31/23	Expenses  Paid for the 6 months  ended 12/31/23*	Beginning   Account Value  7/1/23	Ending  Account Value  12/31/23	Expenses  Paid for the 6 months  ended 12/31/23*
Class A
Actual	$1,000.00	$1,069.00	$6.31	$1,000.00	$1,069.70	$5.32
Hypothetical 5% return	1,000.00	1,019.11+	6.16	1,000.00	1,020.06+	5.19
Class C
Actual	1,000.00	1,064.70	10.20	1,000.00	1,065.50	9.21
Hypothetical 5% return	1,000.00	1,015.32+	9.96	1,000.00	1,016.28+	9.00
Institutional
Actual	1,000.00	1,070.80	4.70	1,000.00	1,071.30	3.65
Hypothetical 5% return	1,000.00	1,020.67+	4.58	1,000.00	1,021.68+	3.57
Service
Actual	N/A	N/A	N/A	1,000.00	1,068.70	6.26
Hypothetical 5% return	N/A	N/A	N/A	1,000.00	1,019.16+	6.11
Investor
Actual	1,000.00	1,071.10	5.01	1,000.00	1,071.00	4.02
Hypothetical 5% return	1,000.00	1,020.37+	4.89	1,000.00	1,021.32+	3.92
Class R6
Actual	1,000.00	1,070.50	4.64	1,000.00	1,071.60	3.60
Hypothetical 5% return	1,000.00	1,020.72+	4.53	1,000.00	1,021.73+	3.52
Class P
Actual	1,000.00	1,071.40	4.65	1,000.00	1,071.60	3.60
Hypothetical 5% return	1,000.00	1,020.72+	4.53	1,000.00	1,021.73+	3.52

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

* Expenses are calculated using each Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended December 31, 2023. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year.

  The annualized net expense ratios for the period were as follows:

Fund	Class A			Class C			Institutional			Service			Investor			Class R6			Class P
International Tax-Managed Equity Fund		1.21	%		1.96	%		0.90	%		N/A			0.96	%		0.89	%		0.89	%
U.S. Tax-Managed Equity Fund		1.02			1.77			0.70			1.20	%		0.77			0.69			0.69

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GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS

 

 

Voting Results of Special Meeting of Shareholders (Unaudited)

A Special Meeting of Shareholders (the “Meeting”) of the Goldman Sachs Trust (the “Trust”) was held on November 16, 2023 to consider and elect nominees to the Trust’s Board of Trustees. At the Meeting, Cheryl K. Beebe, Lawrence Hughes, John F. Killian, Steven D. Krichmar, Michael Latham and Lawrence W. Stranghoener were elected to the Trust’s Board of Trustees. In addition, at the Meeting, John G. Chou, Eileen H. Dowling and Paul C. Wirth, each of whom was previously appointed to the Trust’s Board of Trustees rather than elected by shareholders, were elected. In electing the nominees, the Trust’s shareholders voted as follows:

Proposal Election of Trustees	For	Withheld
Cheryl K. Beebe	169,452,067,796	5,900,273,020
John G. Chou	173,279,757,273	2,072,583,543
Eileen H. Dowling	173,287,456,218	2,064,884,598
Lawrence Hughes	173,486,691,901	1,865,648,915
John F. Killian	173,511,167,174	1,841,173,642
Steven D. Krichmar	173,484,256,228	1,868,084,588
Michael Latham	173,498,020,286	1,854,320,530
Lawrence W. Stranghoener	173,455,949,165	1,896,391,651
Paul C. Wirth	173,324,070,424	2,028,270,391

  

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GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS

 

 

Trustees and Officers (Unaudited)

Independent Trustees

Name, Address and Age1	Position(s) Held with the Trust	Term of Office and Length of Time Served2	Principal Occupations During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee3	Other Directorships Held by Trustee4
Gregory G. Weaver Age: 72	Chair of the Board of Trustees	Since 2023 (Trustee since 2015)	Mr. Weaver is retired. He is Director, Verizon Communications Inc. (2015-Present); and was formerly Chairman and Chief Executive Officer, Deloitte & Touche LLP (a professional services firm) (2001-2005 and 2012-2014); and Member of the Board of Directors, Deloitte & Touche LLP (2006-2012). Chair of the Board of Trustees — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	102	Verizon Communications Inc.
Dwight L. Bush Age: 66	Trustee	Since 2020	The Honorable Dwight Bush is President and CEO of D.L. Bush & Associates (a financial advisory and private investment firm) (2002-2014 and 2017-Present); Director of MoneyLion, Inc. (an operator of a data-driven, digital financial platform) (2021-Present); and was formerly U.S. Ambassador to the Kingdom of Morocco (2014- 2017) and a Member of the Board of Directors of Santander Bank, N.A. (2018-2019). Previously, he served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (October 2019-January 2020). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	102	MoneyLion, Inc. (an operator of a datadriven, digital financial platform)
Kathryn A. Cassidy Age: 69	Trustee	Since 2015	Ms. Cassidy is retired. She is Director, Vertical Aerospace Ltd. (an aerospace and technology company) (2021-Present). Formerly, Ms. Cassidy was Advisor to the Chairman (May 2014- December 2014); and Senior Vice President and Treasurer (2008-2014), General Electric Company & General Electric Capital Corporation (technology and financial services companies). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	102	Vertical Aerospace Ltd. (an aerospace and technology company)
John G. Chou Age: 67	Trustee	Since 2022	Mr. Chou is retired. Formerly, he was Executive Vice President and Special Advisor to the Chairman and CEO (2021-2022); Executive Vice President and Chief Legal Officer (2019-2021); Executive Vice President and Chief Legal & Business Officer (2017-2019); and Executive Vice President and General Counsel (2011-2017) of Cencora, Inc. (a pharmaceutical and healthcare company. Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	102	None
Joaquin Delgado Age: 63	Trustee	Since 2020	Dr. Delgado is retired. He is Director, Stepan Company (a specialty chemical manufacturer) (2011-Present); and was formerly Director, Hexion Inc. (a specialty chemical manufacturer) (2019-2022); Executive Vice President, Consumer Business Group of 3M Company (July 2016-July 2019); and Executive Vice President, Health Care Business Group of 3M Company (October 2012-July 2016). Previously, Dr. Delgado served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (October 2019-January 2020). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	102	Stepan Company (a specialty chemical manufacturer)

  

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GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS

 

 

Trustees and Officers (Unaudited) (continued)

Independent Trustees

Name, Address and Age1	Position(s) Held with the Trust	Term of Office and Length of Time Served2	Principal Occupations During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee3	Other Directorships Held by Trustee4
Eileen H. Dowling Age: 61	Trustee	Since 2021	Ms. Dowling is retired. Formerly, she was Senior Advisor (April 2021-September 2021); and Managing Director (2013-2021), BlackRock, Inc. (a financial services firm). As Managing Director, she held senior management positions, including Global Head of Global Consultant Relations (2017-2021), Multinational Corporations (2019-2021), the Institutional Product Group (2015-2019) and Institutional Marketing (2013- 2016). Ms. Dowling was a member of the Global Operating Committee and Product Executive Committee of BlackRock. Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	102	None
Paul C. Wirth Age: 66	Trustee	Since 2022	Mr. Wirth is retired. He is Executive Advisor, My Next Season LLC (a career transition advisory firm) (2023 – Present) Formerly, he was Deputy Chief Financial Officer and Principal Accounting Officer (2011-2020); Finance Director and Principal Accounting Officer (2010-2011); and Managing Director, Global Controller, and Chief Accounting Officer (2005-2010) of Morgan Stanley. Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	102	None

  

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GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS

 

 

Trustees and Officers (Unaudited) (continued)

Interested Trustee*

Name, Address and Age1	Position(s) Held with the Trust	Term of Office and Length of Time Served2	Principal Occupations During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee3	Other Directorships Held by Trustee4
James A. McNamara Age: 61	President and Trustee	Since 2007	Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998). President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs ETF Trust; Goldman Sachs ETF Trust II; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund.	192	None

* Mr. McNamara is considered to be an “Interested Trustee” because he holds positions with Goldman Sachs and owns securities issued by The Goldman Sachs Group, Inc. Mr. McNamara holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor.

¹  Each Trustee may be contacted by writing to the Trustee, c/o Goldman Sachs, 200 West Street, New York, New York, 10282, Attn: Robert Griffith. Information is provided as of December 31, 2023.

²  Subject to such policies as may be adopted by the Board from time-to-time, each Trustee holds office for an indefinite term, until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board or shareholders, in accordance with the Trust’s Declaration of Trust; or (c) the termination of the Trust. The Board has adopted policies which provide that each Independent Trustee shall retire as of December 31st of the calendar year in which he or she reaches (a) his or her 75th birthday or (b) the 15th anniversary of the date he or she became a Trustee, whichever is earlier, unless a waiver of such requirements shall have been adopted by a majority of the other Trustees. These policies may be changed by the Trustees without shareholder vote.

³  The Goldman Sachs Fund Complex includes certain other companies listed above for each respective Trustee. As of November 30, 2023, Goldman Sachs Trust consisted of 87 portfolios; Goldman Sachs Variable Insurance Trust consisted of 15 portfolios (11 of which offered shares to the public); Goldman Sachs Trust II consisted of 18 portfolios (7 of which offered shares to the public); Goldman Sachs ETF Trust consisted of 68 portfolios (37 of which offered shares to the public); Goldman Sachs ETF Trust II consisted of 2 portfolios; and Goldman Sachs Credit Income Fund and Goldman Sachs Real Estate Diversified Income Fund each consisted of one portfolio. Goldman Sachs Credit Income Fund did not offer shares to the public.

⁴  This column includes only directorships of companies required to report to the Securities and Exchange Commission under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act.

Additional information about the Trustees is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384.

  

  63

GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS

 

 

Trustees and Officers (Unaudited) (continued)

Officers of the Trust*

Name, Address and Age1	Position(s) Held with the Trust	Term of Office and Length of Time Served2	Principal Occupations During Past 5 Years
James A. McNamara 200 West Street New York, NY 10282 Age: 61	Trustee and President	Since 2007	Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).  President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs ETF Trust; Goldman Sachs ETF Trust II; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund.
Robert Griffith 200 West Street New York, NY 10282 Age: 49	Secretary	Since 2023	Managing Director, Goldman Sachs (September 2022 – Present); General Counsel, Exchange Traded Concepts, LLC (October 2021 – September 2022); Vice President, Goldman Sachs (August 2011 – October 2021); Associate General Counsel, Goldman Sachs (December 2014 – Present); Assistant General Counsel, Goldman Sachs (August 2011 – December 2014); Vice President and Counsel, Nomura Holding America, Inc. (2010 – 2011); and Associate, Simpson Thacher & Bartlett LLP (2005 – 2010).  Secretary—Goldman Sachs Trust; (previously Assistant Secretary (2022));Goldman Sachs Variable Insurance Trust (previously Assistant Secretary (2022)); Goldman Sachs Trust II (previously Assistant Secretary (2022)); Goldman Sachs ETF Trust (previously Assistant Secretary (2022)); Goldman Sachs ETF Trust II; (previously Assistant Secretary (2022));and Goldman Sachs Real Estate Diversified Income Fund (previously Assistant Secretary (2022)).
Joseph F. DiMaria 30 Hudson Street Jersey City, NJ 07302 Age: 55	Treasurer, Principal Financial Officer and Principal Accounting Officer	Since 2017 (Treasurer and Principal Financial Officer since 2019)	Managing Director, Goldman Sachs (November 2015-Present) and Vice President — Mutual Fund Administration, Columbia Management Investment Advisers, LLC (May 2010- October 2015).  Treasurer, Principal Financial Officer and Principal Accounting Officer — Goldman Sachs Variable Insurance Trust (previously Assistant Treasurer (2016)); Goldman Sachs Trust II (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust II; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund.

* Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-526-7384.

¹  Information is provided as of December 31, 2023.

²  Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor.

Goldman Sachs Trust — Tax-Advantaged Equity Funds I — Tax Information (Unaudited)

For the fiscal year ended December 31, 2023, 100% of the dividends paid from net investment company taxable income by the U.S. Tax-Managed Equity Fund qualifies for the dividends received deduction available to corporations.

For the fiscal year ended December 31, 2023, the International Tax-Managed Equity Fund has elected to pass through a credit for taxes paid to foreign jurisdictions. The total amount of income received by the International Tax-Managed Equity Fund from sources within foreign countries and possessions of the United States was $0.3028 per share, all of which is attributable to qualified passive income. The percentage of net investment income dividends paid by the International Tax-Managed Equity Fund during the year from foreign sources was 95.77%. The total amount of taxes paid by the International Tax-Managed Equity Fund to such countries was $0.0302 per share.

For the fiscal year ended December 31, 2023, 100% and 100% of the dividends paid from net investment company taxable income by the International Tax-Managed Equity and U.S. Tax-Managed Equity Funds respectively, qualify for the reduced tax rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003.

  

64  

FUNDS PROFILE

 

 

Goldman Sachs Funds

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

Today, the Asset Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $2.54 trillion in assets under supervision as of December 31, 2023, Goldman Sachs Asset Management has portfolio management teams located around the world and our investment professionals bring firsthand knowledge of local markets to every investment decision. Assets under supervision includes assets under management and other client assets for which Goldman Sachs does not have full discretion. Goldman Sachs Asset Management leverages the resources of Goldman Sachs & Co. LLC subject to legal, internal and regulatory restrictions.

Money Market

Financial Square Funds^SM

∎ Financial Square Treasury Solutions Fund¹

∎ Financial Square Government Fund¹

∎ Financial Square Money Market Fund²

∎ Financial Square Prime Obligations Fund²

∎ Financial Square Treasury Instruments Fund¹

∎ Financial Square Treasury Obligations Fund¹

∎ Financial Square Federal Instruments Fund¹

Investor Funds^SM

∎ Investor Money Market Fund³

∎ Investor Tax-Exempt Money Market Fund³

Fixed Income

Short Duration and Government

∎ Enhanced Income Fund

∎ Short-Term Conservative Income Fund

∎ Short Duration Government Fund

∎ Short Duration Bond Fund

∎ Government Income Fund

∎ Inflation Protected Securities Fund

∎ U.S. Mortgages Fund

Multi-Sector

∎ Bond Fund

∎ Core Fixed Income Fund

∎ Global Core Fixed Income Fund

∎ Strategic Income Fund

∎ Income Fund

Municipal and Tax-Free

∎ High Yield Municipal Fund

∎ Dynamic Municipal Income Fund

∎ Short Duration Tax-Free Fund

∎ Municipal Income Completion Fund

Single Sector

∎ Investment Grade Credit Fund

∎ High Yield Fund

∎ High Yield Floating Rate Fund

∎ Emerging Markets Debt Fund

∎ Emerging Markets Credit Fund⁴

Fixed Income Alternatives

∎ Long Short Credit Strategies Fund

Fundamental Equity

∎ Equity Income Fund

∎ Small Cap Growth Fund

∎ Small Cap Value Fund

∎ Small/Mid Cap Value Fund

∎ Mid Cap Value Fund

∎ Large Cap Value Fund

∎ Focused Value Fund

∎ Large Cap Core Fund

∎ Strategic Growth Fund

∎ Small/Mid Cap Growth Fund

∎ Enhanced Core Equity Fund⁶

∎ Concentrated Growth Fund

∎ Technology Opportunities Fund

∎ Mid Cap Growth Fund

∎ Rising Dividend Growth Fund

∎ U.S. Equity ESG Fund

∎ Income Builder Fund

Tax-Advantaged Equity

∎ U.S. Tax-Managed Equity Fund

∎ International Tax-Managed Equity Fund

∎ U.S. Equity Dividend and Premium Fund

∎ International Equity Dividend and Premium Fund

Equity Insights

∎ Small Cap Equity Insights Fund

∎ U.S. Equity Insights Fund

∎ Small Cap Growth Insights Fund

∎ Large Cap Growth Insights Fund

∎ Large Cap Value Insights Fund

∎ Small Cap Value Insights Fund

∎ International Small Cap Insights Fund

∎ International Equity Insights Fund

∎ Emerging Markets Equity Insights Fund

Fundamental Equity International

∎ International Equity Income Fund

∎ International Equity ESG Fund

∎ China Equity Fund

∎ Emerging Markets Equity Fund

∎ Emerging Markets Equity ex. China Fund

∎ ESG Emerging Markets Equity Fund

Alternative

∎ Clean Energy Income Fund

∎ Real Estate Securities Fund

∎ Commodity Strategy Fund

∎ Global Real Estate Securities Fund

∎ Absolute Return Tracker Fund

∎ Managed Futures Strategy Fund

∎ MLP Energy Infrastructure Fund

∎ Energy Infrastructure Fund

∎ Multi-Strategy Alternatives Fund⁵

∎ Global Infrastructure Fund

Total Portfolio Solutions

∎ Global Managed Beta Fund

∎ Multi-Manager Non-Core Fixed Income Fund

∎ Multi-Manager Global Equity Fund

∎ Multi-Manager International Equity Fund

∎ Tactical Tilt Overlay Fund

∎ Balanced Strategy Portfolio

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

∎ Multi-Manager Real Assets Strategy Fund

∎ Growth and Income Strategy Portfolio

∎ Growth Strategy Portfolio

∎ Dynamic Global Equity Fund

∎ Enhanced Dividend Global Equity Portfolio

∎ Tax-Advantaged Global Equity Portfolio

∎ Strategic Factor Allocation Fund

∎ Strategic Volatility Premium Fund

∎ GQG Partners International Opportunities Fund

¹  You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a bank account or deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor is not required to reimburse the Fund for losses, and you should not expect that the sponsor will provide financial support to the Fund at any time, including during periods of market stress.

²  You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares. Effective October 2, 2024, the Fund generally must impose a fee when net sales of Fund shares exceed certain levels. An investment in the Fund is not a bank account or a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor is not required to reimburse the Fund for losses, and you should not expect that the sponsor will provide financial support to the Fund at any time, including during periods of market stress.

³  You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares. An investment in the Fund is not a bank account or deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor is not required to reimburse the Fund for losses, and you should not expect that the sponsor will provide financial support to the Fund at any time, including during periods of market stress.

⁴  Effective after the close of business on October 31, 2023, the Goldman Sachs Local Emerging Markets Debt Fund was renamed the Goldman Sachs Emerging Markets Credit Fund.

⁵  Effective after the close of business on September 22, 2023, the Goldman Sachs Multi-Manager Alternatives Fund was renamed the Goldman Sachs Multi-Strategy Alternatives Fund.

⁶  Effective after the close of business on February 13, 2024, the Goldman Sachs Flexible Cap Fund was renamed the Goldman Sachs Enhanced Core Equity Fund.

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

* This list covers open-end funds only. Please visit our website at www.GSAMFUNDS.com to learn about our closed-end funds and exchange-traded funds.

  

  65

TRUSTEES TRUSTEES (continued) Gregory G. Weaver, Chair James A. McNamara Cheryl K. Beebe* Lawrence W. Stranghoener* Dwight L. Bush Paul C. Wirth Kathryn A. Cassidy *Effective January 1, 2024 John G. Chou Joaquin Delgado OFFICERS Eileen H. Dowling James A. McNamara, President Lawrence Hughes* Joseph F. DiMaria, Principal Financial Officer, John F. Killian* Principal Accounting Officer and Treasurer Steven D. Kirchmar* Robert Griffith, Secretary Michael Latham* GOLDMAN SACHS & CO. LLC GOLDMAN SACHS ASSET MANAGEMENT, L.P. Distributor and Transfer Agent Investment Adviser Visit our website at www.GSAMFUNDS.com to obtain the most recent month-end returns. Goldman Sachs Asset Management, L.P., 200 West Street, New York, New York 10282 The reports concerning the Funds included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Funds in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Funds, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Funds. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed. A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information regarding how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (ii) on the Securities and Exchange Commission (“SEC”) web site at http://www.sec.gov. The Funds will file portfolio holdings information for each month in a fiscal quarter within 60 days after the end of the relevant fiscal quarter on Form N-PORT. Portfolio holdings information for the third month of each fiscal quarter will be made available on the SEC’s web site at http://www.sec.gov. Portfolio holdings information may be obtained upon request and without charge by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders). Goldman Sachs & Co. LLC (‘‘Goldman Sachs’’) does not provide legal, tax or accounting advice. Any statement contained in this communication (including any attachments) concerning U.S. tax matters was not intended or written to be used, and cannot be used, for the purpose of avoiding penalties under the Internal Revenue Code, and was written to support the promotion or marketing of the transaction(s) or matter(s) addressed. Clients of Goldman Sachs should obtain their own independent tax advice based on their particular circumstances. Holdings and allocations shown are as of December 31, 2023 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk. The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of Morgan Stanley Capital International Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P) and is licensed for use by Goldman Sachs. Neither MSCI, S&P nor any other party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages. Neither MSCI nor any other party involved in or related to compiling, computing, or creating the MSCI data makes any express or implied warranties or representations with respect to such data (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability, or fitness for a particular purpose with respect to any of such data. Without limiting any of the foregoing, in no event shall MSCI, any of its affiliates or any third party involved in or related to compiling, computing or creating the data have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages. Neither MSCI nor any other party involved in or related to compiling, computing, or creating the MSCI data makes any express or implied warranties or representations with respect to such data (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability, or fitness for a particular purpose with respect to any of such data. Without limiting any of the foregoing, in no event shall MSCI, any of its affiliates or any third party involved in or related to compiling, computing or creating the data have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages. No further distribution or dissemination of the MSCI data is permitted without MSCI’s express written consent. The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk. This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus or summary prospectus, if applicable. Investors should consider a Fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the Prospectus carefully before investing or sending money. The summary prospectus, if available, and the Prospectus contain this and other information about a Fund and may be obtained from your Intermediary or from Goldman Sachs & Co LLC by calling (Class A Shares or Class C Shares – 1-800-526-7384) (all other share classes – 1-800-621-2550). 2024 Goldman Sachs. All rights reserved. 356271-OTU-1967043 TAXADVAR-24

Goldman Sachs Funds Annual Report December 31, 2023 Tax-Advantaged Equity Funds II International Equity Dividend and Premium U.S. Equity Dividend and Premium

 

 

 

 

Goldman Sachs Tax-Advantaged Equity Funds II

∎ INTERNATIONAL EQUITY DIVIDEND AND PREMIUM

∎ U.S. EQUITY DIVIDEND AND PREMIUM

TABLE OF CONTENTS

Market Review	1
Portfolio Management Discussions and Performance Summaries	4
Index Definitions	12
Schedules of Investments	13
Financial Statements	26
Financial Highlights	29
International Equity Dividend and Premium	29
U.S. Equity Dividend and Premium	35
Notes to Financial Statements	41
Report of Independent Registered Public Accounting Firm	57
Other Information	58
Voting Results	59

Effective January 24, 2023, open-end mutual funds and exchange traded funds will be required to provide shareholders with streamlined annual and semi-annual shareholder reports (“Tailored Shareholder Reports”). Funds will be required to prepare a separate Tailored Shareholder Report for each share class of a fund that highlights key information to investors. Other information, including financial statements, will no longer appear in a fund’s shareholder report, but will be available online, delivered free of charge upon request, and filed with the SEC on a semi-annual basis on Form N-CSR. The new requirements have a compliance date of July 24, 2024.

NOT  FDIC-INSURED  May Lose Value  No Bank Guarantee 

  

   

MARKET REVIEW

 

 

Goldman Sachs Tax-Advantaged Equity Funds II

MARKET REVIEW

During the 12 months ended December 31, 2023 (the “Reporting Period”), the international and U.S. equity markets recorded double-digit gains. The positive performance was driven by inflation trends and macroeconomic data, changing expectations about central bank monetary policy, interest rate volatility and geopolitical events.

International Equities

International equities rallied strongly but lagged the U.S. equity market during the Reporting Period. The MSCI* Europe, Australasia, Far East (EAFE) Index (Net, USD, Unhedged) (the “MSCI EAFE Index”) posted a return of 18.24%.¹

International equities performed well during the first quarter of 2023 overall. Markets gained in January on the back of consensus expectations around peaking inflation in the U.S. and Europe, the slowing pace of central bank interest rate hikes and receding concerns about recession. China finally lifted its stringent zero-COVID policy, which increased global hopes around the resolution of supply-chain disruptions and economic recovery driven by strong domestic consumption. Several companies announced job cuts, but the overall job market remained in good shape, raising optimism around the mild impact of a potential impending global recession. February saw a pullback in international equity market performance, as market sentiment was governed by dampening expectations around potential peaking of interest rate hikes, ongoing geopolitical tensions between Russia and Ukraine, and a re-escalation of U.S./China tensions. Japan saw its highest level of inflation in 40 years. However, international equities rebounded in March, with market sentiment most influenced by speculation around the potential peaking of inflation, the slowing pace of central bank interest rate hikes and receding concerns about a global recession—all despite U.S. and European regional banking tensions.

During the second quarter of 2023, international equities gained, albeit more modestly than in the prior quarter. International equity markets recovered slightly in April from the banking turmoil that plagued March. In Europe, although manufacturing lagged, headline inflation fell sharply as energy prices fell globally. China enjoyed strong economic growth, but geopolitical concerns around U.S./China tensions continued to weaken investor sentiment toward the country. The Japanese equity market rose for the fourth consecutive month, particularly notable in light of the new Bank of Japan governor declaring a commitment to a loose monetary easing policy and famed investor Warren Buffett declaring that he planned to add to his Japanese equity investments. In May, international equities declined. Globally, high inflation rates persisted, dampening market sentiment, while sustained wage growth raised concerns around peak central bank policy rates potentially being higher than consensus expected. In the U.K., inflation hit a 31-year high. Concerns surrounding the U.S. debt ceiling also loomed over the markets during the month. International equities then rebounded in June. The Bank of England (“BoE”) hiked its interest rates more than consensus expected to combat persistent inflation, encouraging other central banks to continue policy tightening. China’s recovery-fueled momentum slowed. In Japan, import prices began to ease along with other inflation drivers.

The third quarter of 2023 was a challenging one for international equities, marked by persistent inflation, contractionary economic concerns, particularly in Europe, and further interest rate hikes. Recession fears were renewed by a steep rise in oil prices. Further, a selloff in global bond markets put increased pressure on risk assets. In Europe, concerns persisted around the contractionary effect of elevated interest rates on the economy as the European Central Bank (“ECB”) raised rates twice in the quarter. However, inflation in Europe fell to a two-year low, and the ECB suggested its September hike may be the last. The U.K. equity market gained modestly for the quarter, largely supported by its energy sector, which benefited from increased oil prices. The market also benefited from sterling, its currency, depreciating relative to the U.S. dollar. Additionally, U.K. markets showed signs of improving consumer confidence. The BoE raised rates more than consensus expected in July and once more in August before ending its run of 14 consecutive rate hikes in September. The Japanese equity market also gained modestly during the quarter, with weakness in the yen and strong domestic demand major tailwinds. In July, the Bank of Japan endorsed higher bond yields and signaled toward a potential end to negative interest rates by calendar year end. In China, lower economic growth and real estate market concerns continued to plague its equity market, despite new stimulus policies.

International equities rallied strongly in the fourth quarter of 2023, fueled by expectations of interest rate cuts in 2024 amid falling inflation numbers and a fizzling out of the “higher for longer” narrative. In Europe, equities were weak in October but then recovered to close out the year. Headline inflation in December ticked up from November; however, core inflation fell. U.K.

* Source: MSCI

¹  All index returns are expressed in U.S. dollar terms.

 

  1

MARKET REVIEW

 

 

 

equities posted positive returns overall but lagged other geographies during the quarter due to sterling appreciation and a large exposure to the underperforming energy sector. Although U.K. GDP growth entered negative territory during the quarter, markets were buoyed by expectations of an ending rate hike cycle. As a result, domestic small-cap and mid-cap stocks performed especially well. The Japanese equity market similarly posted positive, albeit modest, returns for the quarter. Yen appreciation was a headwind for Japanese equities. Further, expectations of rate cuts and dovish U.S. Federal Reserve moves were positive news for Japanese equities. (Dovish suggests lower interest rates; opposite of hawkish.) The December 2023 Bank of Japan Tankan survey signaled toward improving business sentiment. However, the Bank of Japan’s December meeting, though not featuring any policy or rate changes, slightly dampened consensus expectations of an imminent end to its negative policy rates.

For the Reporting Period overall, all 11 sectors of the MSCI* EAFE Index gained, led by information technology, industrials and consumer discretionary. Consumer staples, real estate and health care were the weakest performers on the basis of total return, though still produced positive absolute returns during the Reporting Period.

From a country perspective, Italy, Ireland and Spain were the strongest constituents of the MSCI EAFE Index during the Reporting Period, based on total return. The only individual country constituents of the MSCI EAFE Index to post negative absolute returns during the Reporting Period were Hong Kong, Canada and Finland.

U.S. Equities

In a sharp reversal from 2022, the S&P 500^® Index (the “S&P 500 Index”), representing the U.S. equity market, returned 26.29% during the Reporting Period, closing the 2023 calendar year with the best fourth quarter since 2003. Such strong performance, however, masked volatility and a wide range of challenges.

In the first quarter of 2023, the S&P 500 Index gained 7.53%, marking its second straight quarterly gain. Among the factors behind the market’s strength were disinflation narrative momentum, soft economic landing expectations, and a lowered bar for fourth quarter 2022 corporate earnings. (A soft landing, in economics, is a cyclical downturn that avoids recession. It typically describes attempts by central banks to raise interest rates just enough to stop an economy from overheating and experiencing high inflation, without causing a significant increase in unemployment, or a hard landing.) Following a stellar start to the year, February proved to be a setback for the disinflation path after nonfarm payrolls illustrated the largest job growth in six months, and the unemployment rate fell to a 53-year low, which pushed market forecasts for the Federal Reserve’s (“Fed”) terminal rate up. In addition, January inflation data saw their largest monthly increases since mid-2022, illustrating that more work was needed to combat inflation. While fourth quarter 2022 corporate earnings did disappoint as margins came under pressure by persistently high input costs and weaker demand, the labor market outlook appeared to be positive due to supply-chain enhancements, ongoing consumer resilience and consensus expectations for inflation pressures to diminish as 2023 progressed. Consensus forecasts for the Fed’s interest rate path took a dovish turn in March due to an abrupt banking crisis that escalated the risk of raising rates. Economic data in March also contributed to the dovish sentiment.

The S&P 500 Index returned 8.74% in the second quarter of 2023. The market’s strength was predominately driven by disinflation momentum, an upswing in soft landing expectations, consumer resilience, a better than consensus expected first quarter corporate earnings season, and persistent enthusiasm around artificial intelligence (“AI”), including the possibility for a boom in AI-related chipmakers. Growth stocks significantly outperformed their value counterparts, as mega-cap technology stocks accounted for the vast majority of the S&P 500 Index’s rally in the quarter. Inflation reached its lowest level in more than two years on the back of lower energy prices. The soft landing narrative took form with a still-tight labor market and robust housing market helping to counteract the possibility of a recession. First quarter corporate earnings metrics, though supported by a lower bar, were well above their one-year averages due to a combination of pricing power, supply-chain normalizations, cost-cutting initiatives and margin expansion. Despite U.S. equity market strength in the quarter, the implacable “higher for longer” messaging from the Fed remained an overhang. Concentrated leadership was another critical concern for investors that raised doubts about the sustainability of the U.S. equity market rally. On the geopolitical front, a slower than consensus expected economic recovery in China presented a setback for the market.

* Source: MSCI

  

2  

MARKET REVIEW

 

 

 

In the third quarter of 2023, the S&P 500 Index returned -3.27%, marking its first quarterly decline of the calendar year. The S&P 500 Index started off strong in the first two months of the quarter, reaching its year-to-date 2023 high at the end of July before a sharp pullback in September. Although economic activity remained resilient, the market declined mostly due to a pickup in soft landing concerns, surging energy prices and disinflationary pressures on corporate earnings. Concerns about a looming threat of a federal government shutdown, consumer impacts from student loan repayments resuming, and a strike against automakers by the United Auto Workers union that began in September further weighed on investor sentiment. The Fed acted in line with consensus forecasts, hiking interest rates by 25 basis points in July and keeping rates unchanged at 5.25%-5.50% in September. (A basis point is 1/100th of a percentage point.) However, the Fed’s “higher for longer” narrative appeared to gain further recognition from investors. On the earnings front, S&P 500 Index companies saw earnings decline by 4.21% in the second calendar quarter from a year earlier, marking the third consecutive quarter of negative earnings growth.

The S&P 500 Index gained 11.69% in the fourth quarter of 2023, finishing the year nearly eclipsing its all-time high. The quarter saw a broadening of market leadership following the mega-cap dominance for most of the calendar year. U.S. equity markets began the quarter with negative momentum, as investors digested a more resilient than consensus expected U.S. economy and a “higher for longer” Fed interest rate regime. The market then shifted direction in November and December. November saw the most significant easing in financial conditions of any month in more than four decades. Market sentiment took a positive turn on the back of an overall shift in tonality from Fed officials signaling potential easing of monetary policy in 2024, a gradual cooldown in economic activity while the labor market remained resilient, and a rally across U.S. Treasuries marking one of the best monthly performances on record—all underpinning soft landing and disinflation traction themes. The Fed held interest rates unchanged throughout the quarter, as growth of the U.S. economy slowed, the unemployment rate remained low despite abating job gains, and inflationary pressures continued to trend downwards. Near the end of the quarter, there was a major shift in the Fed’s policy path expectations, with the Summary of Economic Projections median dot plot signaling 75 basis points of rate cuts in 2024. (The Fed’s dot plot shows the interest rate projections of the members of the Federal Open Market Committee.) U.S. economic data provided further evidence of disinflation momentum, with November’s annualized core Consumer Price Index dropping to its lowest level since September 2021 and core Personal Consumption Expenditure Index increasing 1.9% on a six-month annualized basis, measuring below the Fed’s inflation target of 2% for the first time in more than three years. Market seasonality proved to be another tailwind to equities during the quarter, as November and December historically represent the strongest two-month period for U.S. stocks.

For the Reporting Period overall, nine of the 11 sectors in the S&P 500 Index posted positive absolute returns. Information technology was the best performing sector in the S&P 500 Index, as measured by total return, followed by communication services and consumer discretionary. The weakest performing sectors in the S&P 500 Index during the Reporting Period were utilities and energy—the only two to post negative absolute returns.

Within the U.S. equity market, all capitalization segments posted double-digit positive returns, with large-cap stocks, as measured by the Russell 1000^® Index, performing best. Mid-cap stocks, as measured by the Russell Midcap^® Index, and small-cap stocks, as measured by the Russell 2000^® Index, followed, with these two market segments posting returns similar to each other. From a style perspective, growth-oriented stocks materially outperformed value-oriented stocks across the capitalization spectrum but most significantly within the large-cap segment of the market. (All as measured by the FTSE Russell indices.)

Looking Ahead

In the months ahead, we expect less expensive stocks to outpace more expensive stocks. We also believe that stocks with good momentum are likely to outperform those with poor momentum. Our plan is to seek profitable companies with positive fundamentals, sustainable earnings and a track record of using capital to enhance shareholder value. To that end, we anticipate remaining fully invested, with long-term performance likely to be the result of stock selection rather than sector or capitalization allocations.

We stand behind our investment philosophy that sound economic investment principles, coupled with a disciplined quantitative approach, can provide potentially strong, uncorrelated returns over the long term. Our research agenda is robust, and we continue to enhance our existing models, add new proprietary forecasting signals and improve our trading execution as we seek to provide the most value to our shareholders.

  

  3

FUND RESULTS

 

Goldman Sachs International Equity Dividend and Premium Fund

Investment Objective

The Fund seeks to maximize total return with an emphasis on income.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Quantitative Equity Solutions Team discusses the Goldman Sachs International Equity Dividend and Premium Fund’s (the “Fund”) performance and positioning for the 12-month period ended December 31, 2023 (the “Reporting Period”).

Q How did the Fund perform during the Reporting Period?

A During the Reporting Period, the Fund’s Class A, Class C, Institutional, Investor, Class R6 and Class P Shares generated average annual total returns, without sales charges, of 15.91%, 14.99%, 16.15%, 16.13%, 16.17% and 16.14%, respectively. These returns compare to the 18.24% average annual total return of the Fund’s primary benchmark, the MSCI* EAFE Index (Net, USD, Unhedged) (“MSCI EAFE

  Index”). The Bloomberg Global Aggregate Bond Index (Gross, USD, Unhedged), the secondary benchmark, returned 5.72%.

  Although the Fund does not invest in fixed income securities, maximizing income is part of the Fund’s investment objective, and therefore we believe that a comparison of the Fund’s performance to that of the Bloomberg Global Aggregate Bond Index is useful to investors.

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

A The sale of call options on the MSCI EAFE Index detracted from the Fund’s total return during the Reporting Period. A call option is an option that gives the holder the right to buy a certain quantity of an underlying security at an agreed-upon price at any time up to an agreed-upon date.

  The Fund benefited from stock selection, particularly its bias toward stocks with higher dividend yields. On a sector level, stock selection in the information technology and, to a lesser extent, the financials, health care and materials sectors added to relative performance. Stock selection in the real estate, consumer discretionary, industrials and communication services sectors detracted from relative returns during the Reporting Period.

Q How did the Fund’s call writing affect its performance?

A Consistent with our investment approach, we wrote index call options on a portion of the stock portfolio’s market value. When the Fund sells an index call option, it retains the premium it receives from the sale. However, if the purchaser exercises the option, the Fund is obligated to pay the purchaser the difference between the price of the index and the exercise price of the option. While the Fund retains the premium it receives from the sale of the option, the premium may not exceed the difference in the value of the index as call options are exercised. This is what happened during the Reporting Period when the MSCI EAFE Index appreciated, and thus the Fund’s call writing detracted from performance.

  Call option writing has the potential to reduce Fund volatility. However, since its inception, the realized daily volatility of the Fund has been 19.69% compared to the realized volatility of the MSCI EAFE Index of 18.08%. During the Reporting Period, the realized daily volatility of the Fund was 11.68% compared to the realized volatility of the MSCI EAFE Index of 12.77%.¹

Q What was the Fund’s dividend yield during the Reporting Period?

A While maintaining industry and sector weights consistent with the MSCI EAFE Index, we favor stocks with higher dividend yields. The dividend yield of the Fund’s Institutional Share class during the Reporting Period was 4.74% compared to 3.21% for the MSCI EAFE Index.

  (Dividend yield is a ratio that shows how much a company pays out in dividends in a year divided by its share price.) The Fund’s dividend yield served to enhance its quarterly net

*Source: MSCI

¹  The realized daily volatility of the Fund quoted herein is for Institutional Shares, net of fees. Based on Goldman Sachs Asset Management calculations.

4

FUND RESULTS

 

  income distributions. As of December 31, 2023, the Standardized 30-Day Subsidized Yield was 3.15% and the Standardized 30-Day Unsubsidized Yield was 3.00%.²

Q Which individual stock holdings contributed most positively to the Fund’s relative results during the Reporting Period?

A During the Reporting Period, the Fund was helped by its overweight positions versus the MSCI* EAFE Index in Credit Agricole Group, a French international bank holding company; DISCO, a Japanese precision tools maker; and Equinor, a Norwegian state-owned energy company. The attractive dividend yield and/or risk metrics of these three stocks drove the Fund’s positioning.

Q Which individual stock holdings detracted significantly from relative performance?

A Compared to the MSCI EAFE Index, the Fund was hurt by overweights in Hong Kong-based Link Real Estate Investment Trust and Dutch payment company Adyen as well as by its underweight in Swiss multinational investment bank UBS Group. We chose to overweight Link Real Estate Investment Trust and Adyen largely because of their attractive dividend yields and/or risk metrics. The underweight in UBS Group was based on its unattractive dividend yield and/or risk metrics.

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

A During the Reporting Period, we used equity index futures, on an opportunistic basis, to equitize the Fund’s excess cash holdings. In other words, we put the Fund’s excess cash holdings to work by using them as collateral for the purchase of equity index futures. Equity index futures did not have a significant impact on Fund performance during the Reporting Period. Consistent with our investment approach, we also wrote equity index options on a portion of the portfolio’s market value in an effort to generate premiums. Equity index options had a negative impact on performance during the Reporting Period.

Q What changes or enhancements did you make to your quantitative model during the Reporting Period?

A We made no changes to our quantitative model during the Reporting Period.

²  The Standardized 30-Day Subsidized Yield and Standardized 30-Day Unsubsidized Yield of the Fund quoted herein is for Institutional Shares, net of fees. Based on Goldman Sachs Asset Management calculations.

*Source: MSCI

  

5

FUND BASICS

 

 

International Equity Dividend and Premium Fund

as of December 31, 2023

TOP TEN HOLDINGS AS OF 12/31/23‡

Holding	% of Net Assets	Line of Business	Country
Nestle SA	2.6%	Food Products	Switzerland
ASML Holding NV	2.3	Semiconductors & Semiconductor Equipment	Netherlands
Novo Nordisk AS	2.1	Pharmaceuticals	Denmark
LVMH Moet Hennessy Louis Vuitton SE	1.9	Textiles, Apparel & Luxury Goods	France
HSBC Holdings PLC	1.9	Banks	United Kingdom
Shell PLC	1.8	Oil, Gas & Consumable Fuels	United Kingdom
BHP Group Ltd.	1.7	Metals & Mining	Australia
Rio Tinto PLC	1.7	Metals & Mining	United Kingdom
Novartis AG	1.6	Pharmaceuticals	Switzerland
Zurich Insurance Group AG	1.5	Insurance	Switzerland

‡ The top 10 holdings may not be representative of the Fund’s future investments.

FUND VS. BENCHMARK SECTOR ALLOCATION^†

As of December 31, 2023

^† The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. The graph categorizes investments using the Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of the market value. The graph does not depict the investment in the securities lending reinvestment vehicle. The investment in the securities lending reinvestment vehicle represented 0.8% of the Fund’s net assets as of December 31, 2023. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. Figures in the above table may not sum to 100% due to the exclusion of other assets and liabilities.

  For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.

  ^#Source: MSCI

  

6  

GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND

 

 

Performance Summary

December 31, 2023

  The following graph shows the value as of December 31, 2023, of a $1,000,000 investment made on January 1, 2014, in Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s primary and secondary benchmarks, the MSCI# EAFE Index (Net, USD, Unhedged) and the Bloomberg Global Aggregate Bond Index (Gross, USD, Unhedged), respectively, is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.

International Equity Dividend and Premium Fund’s 10 Year Performance

Performance of a $1,000,000 investment, with distributions reinvested, from January 1, 2014 through December 31, 2023.

	Average Annual Total Return through December 31, 2023*	One Year	Five Years	Ten Years	Since Inception
	Class A
	Excluding sales charges	15.91%	5.52%	2.41%	—
	Including sales charges	9.54%	4.34%	1.83%	—
	Class C
	Excluding contingent deferred sales charges	14.99%	4.73%	1.62%	—
	Including contingent deferred sales charges	13.97%	4.73%	1.62%	—
	Institutional	16.15%	5.84%	2.76%	—
	Investor	16.13%	5.75%	2.63%	—
	Class R6 (Commenced April 30, 2018)	16.17%	5.89%	N/A	2.57%
	Class P (Commenced April 17, 2018)	16.14%	5.88%	N/A	2.31%

* These returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.50% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Investor, Class R6 and Class P Shares do not involve a sales charge, such a charge is not applied to their Average Annual Total Return.

For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.

^#Source: MSCI

  

  7

FUND RESULTS

 

Goldman Sachs U.S. Equity Dividend and Premium Fund

December 31, 2023

Investment Objective

The Fund seeks to maximize income and total return.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Quantitative Equity Solutions Team discusses the Goldman Sachs U.S. Equity Dividend and Premium Fund’s (the “Fund”) performance and positioning for the 12-month period ended December 31, 2023 (the “Reporting Period”).

Q How did the Fund perform during the Reporting Period?

A During the Reporting Period, the Fund’s Class A, Class C, Institutional, Investor, Class R6 and Class P Shares generated average annual total returns, without sales charges, of 21.04%, 20.12%, 21.34%, 21.23%, 21.36% and 21.44%, respectively. These returns compare to the 26.29% average annual total return of the Fund’s primary benchmark, the Standard & Poor’s 500® Index (with dividends reinvested) (the “S&P 500® Index”), during the same period. The Bloomberg U.S. Aggregate Bond Index, the secondary benchmark, returned 5.53%.

  Although the Fund does not invest in fixed income securities, maximizing income is part of the Fund’s investment objective, and therefore we believe that a comparison of the Fund’s performance to that of the Bloomberg U.S. Aggregate Bond Index is useful to investors.

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

A During the Reporting Period, security selection detracted from the Fund’s relative performance. In particular, the Fund was hampered by its bias toward stocks with higher dividend yields. On a sector level, investments in industrials, health care and consumer staples hurt relative results. The Fund was helped by stock selection in the utilities, materials and financials sectors.

  The sale of call options on the S&P 500®Index also detracted from the Fund’s total return during the Reporting Period. A call option is an option that gives the holder the right to buy a certain quantity of an underlying security at an agreed-upon price at any time up to an agreed-upon date.

Q How did the Fund’s call writing affect its performance?

A Consistent with our investment approach, we wrote index call options on a portion of the stock portfolio’s market value. When the Fund sells an index call option, it retains the premium it receives from the sale. However, if the purchaser exercises the option, the Fund is obligated to pay the purchaser the difference between the price of the index and the exercise price of the option. Although the Fund retains the premium it receives from the sale of the option, the premium may not exceed the difference in the value of the index as call options are exercised. This is what happened during the Reporting Period when the S&P 500^® Index appreciated, and thus the Fund’s call writing detracted performance.

  Call option writing has the potential to reduce Fund volatility. Since its inception, the realized daily volatility of the Fund has been 18.18% compared to the realized volatility of the S&P 500^® Index of 19.58%. During the Reporting Period, the realized daily volatility of the Fund was 11.16% compared to the realized volatility of the S&P 500^® Index of 13.13%.¹

Q What was the Fund’s dividend yield during the Reporting Period?

A While maintaining industry and sector weights consistent with the S&P 500^® Index, we favor stocks with higher dividend yields. The dividend yield of the Fund’s Institutional Share class during the Reporting Period was 2.02% compared to 1.48% for the S&P 500^® Index. (Dividend yield is a ratio that shows how much a company pays out in dividends in a year divided by its share price.) The Fund’s dividend yield served to enhance its quarterly net

¹  The realized daily volatility of the Fund quoted herein is for Institutional Shares, net of fees. Based on Goldman Sachs Asset Management calculations.

8

FUND RESULTS

 

 

  income distributions. As of December 31, 2023, the Standardized 30-Day Subsidized Yield was 1.36% and the Standardized 30-Day Unsubsidized Yield was 1.25%.²

Q Which individual stock holdings detracted significantly from relative performance during the Reporting Period?

A The Fund was hurt by overweight positions versus the S&P 500^® Index in Truist Financial, a bank holding company; Walgreens Boots Alliance, which owns pharmacy chains and several pharmaceutical manufacturing and distribution companies; and Duke Energy, an electric power and natural gas holding company. The Fund was overweight all three stocks largely because of their attractive dividend yields and/or risk metrics.

Q Which individual stock holdings contributed most positively to the Fund’s relative results during the Reporting Period?

A Relative to the S&P 500^® Index, the Fund benefited from its lack of exposure to clean energy company NextEra Energy as well as from its overweight positions in alternative investments manager Ares Management and hydrocarbon exploration company Pioneer Natural Resources. The Fund did not hold NextEra Energy mostly because of its unattractive dividend yield and/or risk metrics, while it was overweight Ares Management and Pioneer Natural Resources primarily due to their attractive dividend yields and/or risk metrics.

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

A During the Reporting Period, we used equity index futures, on an opportunistic basis, to equitize the Fund’s excess cash holdings. In other words, we put the Fund’s excess cash holdings to work by using them as collateral for the purchase of equity index futures. Equity index futures did not have a significant impact on Fund performance during the Reporting Period. Consistent with our investment approach, we also wrote equity index options on a portion of the portfolio’s market value in an effort to generate premiums. Equity index options had a negative impact on performance during the Reporting Period.

Q What changes or enhancements did you make to your quantitative model during the Reporting Period?

A We made no changes to our quantitative model during the Reporting Period.

²  The Standardized 30-Day Subsidized Yield and Standardized 30-Day Unsubsidized Yield of the Fund quoted herein is for Institutional Shares, net of fees. Based on Goldman Sachs Asset Management calculations.

  

  

  9

FUND BASICS

 

 

U.S. Equity Dividend and Premium Fund

as of December 31, 2023

TOP TEN HOLDINGS AS OF 12/31/23^‡

Holding	% of Net Assets	Line of Business
Microsoft Corp.	7.3%	Software
Apple, Inc.	7.1	Technology Hardware, Storage & Peripherals
Alphabet, Inc.	3.7	Interactive Media & Services
Amazon.com, Inc.	3.4	Broadline Retail
NVIDIA Corp.	3.3	Semiconductors & Semiconductor Equipment
Meta Platforms, Inc.	2.1	Interactive Media & Services
Tesla, Inc.	1.9	Automobiles
UnitedHealth Group, Inc.	1.3	Health Care Providers & Services
Exxon Mobil Corp.	1.3	Oil, Gas & Consumable Fuels
Broadcom, Inc.	1.3	Semiconductors & Semiconductor Equipment

‡ The top 10 holdings may not be representative of the Fund’s future investments.

FUND VS. BENCHMARK SECTOR ALLOCATION^†

As of December 31, 2023

^†  The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. The graph categorizes investments using the Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of the market value. The graph does not depict the investment in the securities lending reinvestment vehicle. The investment in the securities lending reinvestment vehicle represented 0.0% of the Fund’s net assets as of December 31, 2023. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. Figures in the above table may not sum to 100% due to the exclusion of other assets and liabilities.

  For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.

  

10  

GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND

 

 

Performance Summary

December 31, 2023

  The following graph shows the value as of December 31, 2023, of a $1,000,000 investment made on January 1, 2014, in Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s primary and secondary benchmarks, the S&P 500® Index and the Bloomberg U.S. Aggregate Bond Index, respectively, is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.

U.S. Equity Dividend and Premium Fund’s 10 Year Performance

Performance of a $1,000,000 investment, with distributions reinvested, from January 1, 2014 through December 31, 2023.

Average Annual Total Return through December 31, 2023*	One Year	Five Years	Ten Years	Since Inception
Class A
Excluding sales charges	21.04%	12.31%	9.31%	—
Including sales charges	14.42%	11.04%	8.69%	—
Class C
Excluding contingent deferred sales charges	20.12%	11.48%	8.49%	—
Including contingent deferred sales charges	18.94%	11.48%	8.49%	—
Institutional	21.34%	12.70%	9.71%	—
Investor	21.23%	12.60%	9.58%	—
Class R6 (Commenced April 30, 2018)	21.36%	12.72%	N/A	10.17%
Class P (Commenced April 17, 2018)	21.44%	12.71%	N/A	9.70%

* These returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.50% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Investor, Class R6 and Class P Shares do not involve a sales charge, such a charge is not applied to their Average Annual Total Return.

For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.

  

  11

FUND BASICS

 

 

Index Definitions

The S&P 500^® Index is an unmanaged composite index of 500 common stock prices. The Index figures do not include any deduction for fees, expenses or taxes.

The Bloomberg U.S. Aggregate Bond Index represents an unmanaged diversified portfolio of fixed income securities, including U.S. Treasuries, investment-grade corporate bonds, and mortgage backed and asset-backed securities. The Index figures do not reflect any deduction for fees, expenses or taxes.

The MSCI* EAFE Index (net, USD, unhedged) is an unmanaged market capitalization weighted composite of securities in 21 developed markets. The Index figures do not include any deduction for fees or expenses.

The Bloomberg Global Aggregate Bond Index (gross, USD, unhedged) represents an unmanaged diversified portfolio of fixed income securities, including U.S. Treasuries, investment grade corporate bonds, and mortgage-backed and asset-backed securities. The Index figures do not reflect any deduction for fees, expenses or taxes.

The Russell 3000^® Index is an unmanaged index that measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market. Index figures do not reflect any deduction for fees, expenses or taxes.

Russell 1000^® Index measures the performance of the large-cap segment of the U.S. equity universe. The Russell 1000^® Index is a subset of the Russell 3000^® Index and includes approximately 1000 of the largest securities based on a combination of their market cap and current index membership. The Russell 1000^® Index represents approximately 92% of the U.S. market. The Russell 1000^® Index is constructed to provide a comprehensive and unbiased barometer for the large-cap segment and is completely reconstituted annually to ensure new and growing equities are reflected.

Russell Midcap^® Index measures the performance of the mid-cap segment of the U.S. equity universe. The Russell Midcap^® Index is a subset of the Russell 1000^® Index. The Russell Midcap^® Index includes approximately 800 of the smallest securities based on a combination of their market cap and current index membership. The Russell Midcap^® Index represents approximately 31% of the total market capitalization of the Russell 1000^® Index companies. The Russell Midcap^® Index is constructed to provide a comprehensive and unbiased barometer for the mid-cap segment. The Russell Midcap^® Index is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true mid-cap opportunity set.

Russell 2000^® Index measures the performance of the small-cap segment of the U.S. equity universe. The Russell 2000^® Index is a subset of the Russell 3000^® Index representing approximately 10% of the total market capitalization of that index. The Russell 2000^® Index includes approximately 2000 of the smallest securities based on a combination of their market cap and current index membership. The Russell 2000^® Index is constructed to provide a comprehensive and unbiased small-cap barometer and is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true small-cap opportunity set.

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

 *Source: MSCI

  

12  

GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND

 

Schedule of Investments

December 31, 2023

 

 

Shares	Description	Value
Common Stocks – 100.1%
Australia – 8.7%
66,716	ANZ Group Holdings Ltd. (Banks)	$	1,178,740
79,385	APA Group (Gas Utilities)		461,984
34,815	Aurizon Holdings Ltd. (Ground Transportation)		90,134
77,041	BHP Group Ltd. (Metals & Mining)		2,632,076
36,463	Coles Group Ltd. (Consumer Staples Distribution & Retail)		400,548
9,012	Commonwealth Bank of Australia (Banks)		686,867
24	CSL Ltd. (Biotechnology)		4,679
64,958	Fortescue Ltd. (Metals & Mining)		1,280,799
177,918	Medibank Pvt Ltd. (Insurance)		431,944
98,273	National Australia Bank Ltd. (Banks)		2,053,994
27,915	Origin Energy Ltd. (Electric Utilities)		161,089
416	Rio Tinto Ltd. (Metals & Mining)		38,521
9,879	Sonic Healthcare Ltd. (Health Care Providers & Services)		215,863
87,631	Transurban Group (Transportation Infrastructure)		818,857
34,759	Wesfarmers Ltd. (Broadline Retail)		1,351,740
19,438	Westpac Banking Corp. (Banks)		303,281
57,204	Woodside Energy Group Ltd. (Oil, Gas & Consumable Fuels)		1,207,954
			13,319,070
Austria – 0.6%
22,876	OMV AG (Oil, Gas & Consumable Fuels)		1,003,632
Belgium – 0.3%
5,547	Ageas SA (Insurance)		241,131
3,027	KBC Group NV (Banks)		196,450
2,645	Warehouses De Pauw CVA (Industrial REITs)		83,260
			520,841
China(a) –0.1%
50,600	Budweiser Brewing Co. APAC Ltd. (Beverages)		94,860
90,400	ESR Group Ltd. (Real Estate Management & Development)		125,019
			219,879
Denmark – 3.0%
157	AP Moller - Maersk AS Class B (Marine Transportation)		282,604
177	AP Moller - Maersk AS Class A (Marine Transportation)		314,403
4,380	Coloplast AS Class B (Health Care Equipment & Supplies)		500,485
1	Danske Bank AS (Banks)		27
30,996	Novo Nordisk AS Class B (Pharmaceuticals)		3,212,151
2,108	Tryg AS (Insurance)		45,875

Shares	Description	Value
Common Stocks (continued)
Denmark (continued)
9,993	Vestas Wind Systems AS* (Electrical Equipment)	$	316,196
			4,671,741
Finland – 2.6%
20,276	Kesko OYJ Class B (Consumer Staples Distribution & Retail)		401,945
17,606	Kone OYJ Class B (Machinery)		880,671
1,060	Mandatum OYJ* (Insurance)		4,752
28,500	Metso OYJ (Machinery)		289,329
647	Neste OYJ (Oil, Gas & Consumable Fuels)		23,001
167,330	Nordea Bank Abp (Banks)		2,077,300
4,538	Orion OYJ Class B (Pharmaceuticals)		196,638
1,060	Sampo OYJ Class A (Insurance)		46,441
3	Stora Enso OYJ Class R (Paper & Forest Products)		41
			3,920,118
France – 12.1%
11,512	Amundi SA(a) (Capital Markets)		785,228
36,191	AXA SA (Insurance)		1,181,869
31,098	BNP Paribas SA (Banks)		2,159,621
21,873	Bouygues SA (Construction & Engineering)		825,251
1,425	Capgemini SE (IT Services)		297,813
130,141	Credit Agricole SA (Banks)		1,850,170
12,806	Danone SA (Food Products)		830,834
9,273	Dassault Systemes SE (Software)		453,888
1	Edenred SE (Financial Services)		60
81,770	Engie SA (Multi-Utilities)		1,440,484
18,052	Getlink SE (Transportation Infrastructure)		330,620
120	Hermes International SCA (Textiles, Apparel & Luxury Goods)		255,062
974	Kering SA (Textiles, Apparel & Luxury Goods)		431,383
1,669	L’Oreal SA (Personal Products)		831,997
3,617	LVMH Moet Hennessy Louis Vuitton SE (Textiles, Apparel & Luxury Goods)		2,938,946
14,431	Orange SA (Diversified Telecommunication Services)		164,816
3,671	Pernod Ricard SA (Beverages)		648,746
10,227	Sanofi SA (Pharmaceuticals)		1,016,285
548	Sartorius Stedim Biotech (Life Sciences Tools & Services)		145,320
1,743	Schneider Electric SE (Electrical Equipment)		350,877
7,777	TotalEnergies SE (Oil, Gas & Consumable Fuels)		525,193
8,158	Vinci SA (Construction & Engineering)		1,026,645

  

The accompanying notes are an integral part of these financial statements. 13

GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND

 

Schedule of Investments (continued)

December 31, 2023

 

 

Shares	Description	Value
Common Stocks (continued)
France (continued)
1	Vivendi SE (Media)	$	11
			18,491,119
Germany – 7.1%
1,665	Allianz SE (Insurance)		444,957
39,138	BASF SE (Chemicals)		2,107,467
7,180	Bayer AG (Pharmaceuticals)		266,406
1,547	Bayerische Motoren Werke AG (Automobiles)		172,137
4,413	Bechtle AG (IT Services)		221,036
2,013	Carl Zeiss Meditec AG (Health Care Equipment & Supplies)		219,124
13,128	Daimler Truck Holding AG (Machinery)		493,141
11,652	Deutsche Post AG (Air Freight & Logistics)		576,728
101	HelloFresh SE* (Consumer Staples Distribution & Retail)		1,592
28,382	Mercedes-Benz Group AG (Automobiles)		1,958,296
1,426	Nemetschek SE (Software)		123,113
357	Rheinmetall AG (Aerospace & Defense)		113,218
10,338	SAP SE (Software)		1,591,241
7,615	Siemens AG (Industrial Conglomerates)		1,428,645
4,920	Siemens Healthineers AG(a) (Health Care Equipment & Supplies)		285,648
337,545	Telefonica Deutschland Holding AG (Diversified Telecommunication Services)		876,908
			10,879,657
Hong Kong – 1.8%
74,400	AIA Group Ltd. (Insurance)		647,494
28,000	Galaxy Entertainment Group Ltd. (Hotels, Restaurants & Leisure)		156,824
28,000	Hang Lung Properties Ltd. (Real Estate Management & Development)		38,929
98	Hong Kong & China Gas Co. Ltd. (Gas Utilities)		75
14,596	Hong Kong Exchanges & Clearing Ltd. (Capital Markets)		500,647
300	Jardine Matheson Holdings Ltd. (Industrial Conglomerates)		12,349
190,784	Link REIT (Retail REITs)		1,071,262
15,368	MTR Corp. Ltd. (Ground Transportation)		59,648
27,245	Sino Land Co. Ltd. (Real Estate Management & Development)		29,628
500	Sun Hung Kai Properties Ltd. (Real Estate Management & Development)		5,411
400	Swire Properties Ltd. (Real Estate Management & Development)		810

Shares	Description	Value
Common Stocks (continued)
Hong Kong (continued)
16,500	Techtronic Industries Co. Ltd. (Machinery)	$	196,599
			2,719,676
Ireland – 1.1%
23,511	CRH PLC (Construction Materials)		1,626,021
Israel – 0.3%
40,263	Bank Hapoalim BM (Banks)		361,706
281	CyberArk Software Ltd.* (Software)		61,553
6,560	ICL Group Ltd. (Chemicals)		32,981
2,950	Teva Pharmaceutical Industries Ltd.* (Pharmaceuticals)		30,798
285	Wix.com Ltd.* (IT Services)		35,061
			522,099
Italy – 1.8%
274	Amplifon SpA (Health Care Providers & Services)		9,494
1,234	DiaSorin SpA (Health Care Equipment & Supplies)		127,181
43,048	Eni SpA (Oil, Gas & Consumable Fuels)		730,154
18,517	Intesa Sanpaolo SpA (Banks)		54,188
62,695	Mediobanca Banca di Credito Finanziario SpA (Banks)		776,902
10,994	Moncler SpA (Textiles, Apparel & Luxury Goods)		676,893
6,836	Recordati Industria Chimica e Farmaceutica SpA (Pharmaceuticals)		368,616
			2,743,428
Japan – 21.9%
4,800	Advantest Corp. (Semiconductors & Semiconductor Equipment)		161,739
14,400	AGC, Inc. (Building Products)		533,727
1,600	Asahi Group Holdings Ltd. (Beverages)		59,578
4,200	Asahi Intecc Co. Ltd. (Health Care Equipment & Supplies)		85,171
16,600	Asahi Kasei Corp. (Chemicals)		122,514
14,200	Astellas Pharma, Inc. (Pharmaceuticals)		168,884
1,700	BayCurrent Consulting, Inc. (Professional Services)		59,510
22,600	Bridgestone Corp. (Automobile Components)		933,411
31,600	Canon, Inc. (Technology Hardware, Storage & Peripherals)		810,657
11,600	Chugai Pharmaceutical Co. Ltd. (Pharmaceuticals)		438,229
1,500	Dai-ichi Life Holdings, Inc. (Insurance)		31,819
16,700	Daiichi Sankyo Co. Ltd. (Pharmaceuticals)		457,191

  

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

GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND

 

 

 

Shares	Description	Value
Common Stocks (continued)
Japan (continued)
600	Daikin Industries Ltd. (Building Products)	$	97,332
1,000	Daito Trust Construction Co. Ltd. (Real Estate Management & Development)		115,746
1,200	Daiwa House Industry Co. Ltd. (Real Estate Management & Development)		36,276
76,200	Daiwa Securities Group, Inc. (Capital Markets)		511,468
17,600	Denso Corp. (Automobile Components)		264,217
1,900	Disco Corp. (Semiconductors & Semiconductor Equipment)		469,237
4,800	Eisai Co. Ltd. (Pharmaceuticals)		238,998
25,100	FANUC Corp. (Machinery)		736,663
600	Fast Retailing Co. Ltd. (Specialty Retail)		148,367
2,600	Fuji Electric Co. Ltd. (Electrical Equipment)		111,441
700	GMO Payment Gateway, Inc. (Financial Services)		48,513
1,300	Hikari Tsushin, Inc. (Industrial Conglomerates)		214,850
1,916	Hirose Electric Co. Ltd. (Electronic Equipment, Instruments & Components)		216,390
6,500	Hitachi Construction Machinery Co. Ltd. (Machinery)		171,105
1,400	Hitachi Ltd. (Industrial Conglomerates)		100,702
3,100	Hoya Corp. (Health Care Equipment & Supplies)		386,071
2,400	Iida Group Holdings Co. Ltd. (Household Durables)		35,847
20,600	Isuzu Motors Ltd. (Automobiles)		264,085
33,300	ITOCHU Corp. (Trading Companies & Distributors)		1,356,637
2,000	Japan Exchange Group, Inc. (Capital Markets)		42,211
16,700	Japan Post Insurance Co. Ltd. (Insurance)		296,435
18,000	Japan Tobacco, Inc. (Tobacco)		464,854
4,400	JFE Holdings, Inc. (Metals & Mining)		68,073
12,400	Kajima Corp. (Construction & Engineering)		206,760
6,700	Kansai Electric Power Co., Inc. (Electric Utilities)		88,923
1,700	Kao Corp. (Personal Products)		69,879
800	Kawasaki Kisen Kaisha Ltd. (Marine Transportation)		34,237
600	Keyence Corp. (Electronic Equipment, Instruments & Components)		263,614
900	Kikkoman Corp. (Food Products)		54,996
32,500	Kirin Holdings Co. Ltd. (Beverages)		475,804
12,500	Komatsu Ltd. (Machinery)		325,292
2,100	Kose Corp. (Personal Products)		156,965

Shares	Description	Value
Common Stocks (continued)
Japan (continued)
400	Lasertec Corp. (Semiconductors & Semiconductor Equipment)	$	105,011
20,600	Lixil Corp. (Building Products)		256,774
9,700	M3, Inc. (Health Care Technology)		160,072
900	Makita Corp. (Machinery)		24,755
48,500	Marubeni Corp. (Trading Companies & Distributors)		763,610
43,500	Mitsubishi Corp. (Trading Companies & Distributors)		692,923
5,500	Mitsubishi Electric Corp. (Electrical Equipment)		77,792
49,600	Mitsubishi HC Capital, Inc. (Financial Services)		332,310
125,400	Mitsubishi UFJ Financial Group, Inc. (Banks)		1,076,199
12,100	Mitsui & Co. Ltd. (Trading Companies & Distributors)		453,313
11,800	Mitsui OSK Lines Ltd. (Marine Transportation)		377,249
13,700	MS&AD Insurance Group Holdings, Inc. (Insurance)		538,668
20,700	Murata Manufacturing Co. Ltd. (Electronic Equipment, Instruments & Components)		437,432
400	NIDEC Corp. (Electrical Equipment)		16,123
13,100	Nintendo Co. Ltd. (Entertainment)		681,644
1,100	NIPPON EXPRESS HOLDINGS, Inc. (Air Freight & Logistics)		62,414
1,000	Nippon Paint Holdings Co. Ltd. (Chemicals)		8,066
151	Nippon Prologis REIT, Inc. (Industrial REITs)		290,340
7,401	Nippon Steel Corp. (Metals & Mining)		169,067
7,000	Nippon Yusen KK (Marine Transportation)		216,185
400	Nissan Chemical Corp. (Chemicals)		15,575
1,800	Nitto Denko Corp. (Chemicals)		134,325
10,000	Nomura Research Institute Ltd. (IT Services)		290,427
1,100	Obic Co. Ltd. (IT Services)		189,260
300	Odakyu Electric Railway Co. Ltd. (Ground Transportation)		4,568
5,100	Olympus Corp. (Health Care Equipment & Supplies)		73,615
2,800	Open House Group Co. Ltd. (Household Durables)		82,822
5,400	Otsuka Corp. (IT Services)		222,237
34,400	Panasonic Holdings Corp. (Household Durables)		338,757
12,500	Recruit Holdings Co. Ltd. (Professional Services)		522,639
34,000	Resona Holdings, Inc. (Banks)		172,357
13,900	Seiko Epson Corp. (Technology Hardware, Storage & Peripherals)		207,540

  

The accompanying notes are an integral part of these financial statements. 15

GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND

 

Schedule of Investments (continued)

December 31, 2023

 

 

Shares	Description	Value
Common Stocks (continued)
Japan (continued)
7,600	Sekisui Chemical Co. Ltd. (Household Durables)	$	109,311
31,600	Sekisui House Ltd. (Household Durables)		700,452
1,600	Seven & i Holdings Co. Ltd. (Consumer Staples Distribution & Retail)		63,279
3,700	Shimadzu Corp. (Electronic Equipment, Instruments & Components)		103,167
19,500	Shin-Etsu Chemical Co. Ltd. (Chemicals)		815,552
800	Shiseido Co. Ltd. (Personal Products)		24,114
151,400	SoftBank Corp. (Wireless Telecommunication Services)		1,886,706
1,200	SoftBank Group Corp. (Wireless Telecommunication Services)		52,966
900	Sompo Holdings, Inc. (Insurance)		44,036
7,500	Sony Group Corp. (Household Durables)		709,746
2,700	SUMCO Corp. (Semiconductors & Semiconductor Equipment)		40,390
11,800	Sumitomo Corp. (Trading Companies & Distributors)		256,787
20,100	Sumitomo Mitsui Financial Group, Inc. (Banks)		978,062
600	Sumitomo Mitsui Trust Holdings, Inc. (Banks)		11,491
3,600	Sysmex Corp. (Health Care Equipment & Supplies)		200,126
1,100	T&D Holdings, Inc. (Insurance)		17,463
38,200	Takeda Pharmaceutical Co. Ltd. (Pharmaceuticals)		1,095,501
3,000	TDK Corp. (Electronic Equipment, Instruments & Components)		142,273
4,800	Tokio Marine Holdings, Inc. (Insurance)		119,525
7,400	Tokyo Electron Ltd. (Semiconductors & Semiconductor Equipment)		1,315,275
300	Tokyo Gas Co. Ltd. (Gas Utilities)		6,882
6,600	TOTO Ltd. (Building Products)		173,380
128,100	Toyota Motor Corp. (Automobiles)		2,347,267
40,500	USS Co. Ltd. (Specialty Retail)		813,086
4,300	West Japan Railway Co. (Ground Transportation)		179,174
100	Yamaha Corp. (Leisure Products)		2,303
17,400	Yamaha Motor Co. Ltd. (Automobiles)		154,831
200	Yamato Holdings Co. Ltd. (Air Freight & Logistics)		3,691
900	Yaskawa Electric Corp. (Machinery)		37,460
7,500	ZOZO, Inc. (Specialty Retail)		169,268
			33,502,051

Shares	Description	Value
Common Stocks (continued)
Macau* – 0.1%
77,600	Sands China Ltd. (Hotels, Restaurants & Leisure)	$	227,132
Netherlands – 4.8%
3,522	Airbus SE (Aerospace & Defense)		544,108
1	Akzo Nobel NV (Chemicals)		83
414	Argenx SE* (Biotechnology)		157,473
600	ASM International NV (Semiconductors & Semiconductor Equipment)		312,285
4,575	ASML Holding NV (Semiconductors & Semiconductor Equipment)		3,453,610
15,231	ASR Nederland NV (Insurance)		719,511
1,542	BE Semiconductor Industries NV (Semiconductors & Semiconductor Equipment)		232,805
14,709	Ferrovial SE (Construction & Engineering)		536,891
42	Heineken NV (Beverages)		4,267
3,081	Koninklijke Philips NV (Health Care Equipment & Supplies)		72,102
4,249	NN Group NV (Insurance)		167,924
2,731	OCI NV (Chemicals)		79,148
8,536	Prosus NV (Broadline Retail)		254,288
10,222	Randstad NV (Professional Services)		641,534
4,247	Universal Music Group NV (Entertainment)		121,240
			7,297,269
New Zealand – 1.1%
16,592	Fisher & Paykel Healthcare Corp. Ltd. (Health Care Equipment & Supplies)		247,443
36,471	Meridian Energy Ltd. (Independent Power and Renewable Electricity Producers)		127,711
407,585	Spark New Zealand Ltd. (Diversified Telecommunication Services)		1,334,652
			1,709,806
Norway – 1.1%
58	Gjensidige Forsikring ASA (Insurance)		1,070
108,279	Norsk Hydro ASA (Metals & Mining)		727,809
13,704	Telenor ASA (Diversified Telecommunication Services)		157,274
20,786	Yara International ASA (Chemicals)		738,456
			1,624,609
Portugal – 0.1%
9,319	Jeronimo Martins SGPS SA (Consumer Staples Distribution & Retail)		237,173
Singapore – 1.3%
1,500	City Developments Ltd. (Real Estate Management & Development)		7,553
28,646	DBS Group Holdings Ltd. (Banks)		724,424

  

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

GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND

 

 

 

Shares	Description	Value
Common Stocks (continued)
Singapore (continued)
27,900	Keppel Corp. Ltd. (Industrial Conglomerates)	$	149,287
5,580	Keppel REIT (Office REITs)		3,929
1,656	Sea Ltd.* (Entertainment)		67,068
99,242	Seatrium Ltd.* (Machinery)		8,861
17,600	Singapore Exchange Ltd. (Capital Markets)		130,933
208,400	Singapore Technologies Engineering Ltd. (Aerospace & Defense)		613,676
121,600	Singapore Telecommunications Ltd. (Diversified Telecommunication Services)		227,636
			1,933,367
Spain – 2.3%
960	ACS Actividades de Construccion y Servicios SA (Construction & Engineering)		42,638
169	Amadeus IT Group SA (Hotels, Restaurants & Leisure)		12,138
65,098	Enagas SA (Gas Utilities)		1,098,159
67,318	Endesa SA (Electric Utilities)		1,373,361
11,487	Industria de Diseno Textil SA (Specialty Retail)		501,225
117,376	Telefonica SA (Diversified Telecommunication Services)		458,925
			3,486,446
Sweden – 2.0%
7,042	Atlas Copco AB Class A (Machinery)		121,342
40,761	Atlas Copco AB Class B (Machinery)		604,736
6,699	EQT AB (Capital Markets)		189,673
13,850	H & M Hennes & Mauritz AB Class B (Specialty Retail)		242,929
33,132	Nibe Industrier AB Class B (Building Products)		232,667
6,928	Sagax AB Class B (Real Estate Management & Development)		190,690
123,506	Tele2 AB Class B (Wireless Telecommunication Services)		1,061,618
139,600	Telia Co. AB (Diversified Telecommunication Services)		356,179
			2,999,834
Switzerland – 11.8%
2,250	ABB Ltd. (Electrical Equipment)		99,896
13,082	Adecco Group AG (Professional Services)		642,503
2,242	Bachem Holding AG (Life Sciences Tools & Services)		173,623
501	Cie Financiere Richemont SA Class A (Textiles, Apparel & Luxury Goods)		69,200
25,578	Coca-Cola HBC AG (Beverages)		751,045
861	Geberit AG (Building Products)		552,692
38,391	Glencore PLC (Metals & Mining)		230,770

Shares	Description	Value
Common Stocks (continued)
Switzerland (continued)
2,348	Kuehne & Nagel International AG (Marine Transportation)	$	810,287
101	Lonza Group AG (Life Sciences Tools & Services)		42,580
34,392	Nestle SA (Food Products)		3,986,716
24,556	Novartis AG (Pharmaceuticals)		2,480,414
713	Partners Group Holding AG (Capital Markets)		1,030,962
5,448	Roche Holding AG (Pharmaceuticals)		1,583,698
4,911	Sandoz Group AG* (Pharmaceuticals)		158,007
6,900	SGS SA (Professional Services)		595,682
5,513	SIG Group AG (Containers & Packaging)		126,970
219	Sika AG (Chemicals)		71,411
918	Sonova Holding AG (Health Care Equipment & Supplies)		300,230
4,421	Straumann Holding AG (Health Care Equipment & Supplies)		714,446
6,580	Swiss Re AG (Insurance)		740,451
1,211	VAT Group AG(a) (Machinery)		608,234
4,537	Zurich Insurance Group AG (Insurance)		2,372,066
			18,141,883
United Arab Emirates – 0.2%
7,315	Experian PLC (Professional Services)		298,418
United Kingdom – 13.9%
997	Anglo American PLC (Metals & Mining)		24,952
1,429	Ashtead Group PLC (Trading Companies & Distributors)		99,326
17,478	AstraZeneca PLC ADR (Pharmaceuticals)		1,177,143
57,385	BAE Systems PLC (Aerospace & Defense)		812,284
2,733	BP PLC ADR (Oil, Gas & Consumable Fuels)		96,748
15,806	British American Tobacco PLC (Tobacco)		462,471
4,415	Coca-Cola Europacific Partners PLC (Beverages)		294,657
13,945	Diageo PLC (Beverages)		506,136
74,513	Evraz PLC* (Metals & Mining)		—
31,029	GSK PLC ADR (Pharmaceuticals)		1,149,935
228,323	HSBC Holdings PLC(b) (Banks)		2,910,836
21,602	Imperial Brands PLC (Tobacco)		497,446
327,436	M&G PLC (Financial Services)		926,681
43,746	National Grid PLC (Multi-Utilities)		589,316
55,810	Persimmon PLC (Household Durables)		986,507
112,066	Phoenix Group Holdings PLC (Insurance)		763,073
1,916	Reckitt Benckiser Group PLC (Household Products)		132,211
17,073	RELX PLC (Professional Services)		677,351

  

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

GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND

 

Schedule of Investments (continued)

December 31, 2023

 

 

Shares	Description	Value
Common Stocks – (continued)
United Kingdom (continued)
1,647	Rentokil Initial PLC (Commerical Services & Supplies)	$	47,121
1,416	Rio Tinto PLC (Metals & Mining)		105,324
33,779	Rio Tinto PLC ADR (Metals & Mining)		2,515,184
19	Rolls-Royce Holdings PLC* (Aerospace & Defense)		72
15,392	Segro PLC (Industrial REITs)		173,579
82,070	Shell PLC (Oil, Gas & Consumable Fuels)		2,687,242
43,499	SSE PLC (Electric Utilities)		1,026,836
9,344	St. James’s Place PLC (Capital Markets)		81,296
55,000	Taylor Wimpey PLC (Household Durables)		102,955
32,698	Unilever PLC (Personal Products)		1,585,044
95,341	Vodafone Group PLC (Wireless Telecommunication Services)		829,467
			21,261,193
TOTAL COMMON STOCKS (Cost $121,681,981)		$	153,356,462
Shares	Dividend Rate	Value
Perferred Stocks – 1.5%
Germany – 1.5%
Bayerische Motoren Werke AG (Automobiles)
17,427	9.483%	$	1,734,035
Sartorius AG (Life Sciences Tools & Services)
847	0.434		311,036
Volkswagen AG (Automobiles)
1,650	7.837		203,373
TOTAL PREFERRED STOCKS (Cost $1,718,846)		$	2,248,444
Shares	Dividend Rate	Value
Securities Lending Reinvestment Vehicle(c) – 0.8%
Goldman Sachs Financial Square Government Fund — Institutional Shares
1,285,948	5.248%	$	1,285,948
(Cost $1,285,948)
TOTAL INVESTMENTS – 102.4% (Cost $124,686,775)		$	156,890,854
LIABILITIES IN EXCESS OF OTHER ASSETS – (2.4)%			(3,653,532	)
NET ASSETS – 100.0%		$	153,237,322

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
*	Non-income producing security.
(a)	Exempt from registration under Rule 144A of the Securities Act of 1933.
(b)	All or a portion of security is on loan.
(c)	Represents an affiliated Issuer.

SECTOR ALLOCATION AS OF DECEMBER 31, 2023

Sector	% of Total Market Value
Financials		19.9	%
Industrials		16.2
Consumer Discretionary		12.4
Health Care		11.9
Materials		8.8
Consumer Staples		8.4
Information Technology		7.6
Communication Services		5.3
Utilities		4.1
Energy		4.0
Real Estate		1.4
		100.0	%

  

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

GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND

 

 

 

ADDITIONAL INVESTMENT INFORMATION

FUTURES CONTRACTS — At December 31, 2023, the Fund had the following futures contracts:

Description	Number of Contracts	Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Long position contracts:
Euro Stoxx 50 Index	2	03/15/24	$	100,305	$	(748	)

WRITTEN OPTIONS CONTRACTS—At December 31, 2023, the Fund had the following written options contracts:

EXCHANGE TRADED INDEX OPTIONS

Description	Exercise Price		Expiration Date		Number of Contracts			Notional Amount			Market Value			Premiums Paid (Received) by Fund			Unrealized Appreciation/ (Depreciation)
Written option contracts
Calls
Nikkei 225 Index	$	32,750.00		03/08/2024		(68	)	$	(222,700,000	)		$  (663,120	)		$  (535,434	)		$(127,686	)
Euro Stoxx 50 Index		4,625.00		03/15/2024		(667	)		(308,487,500	)		(489,663	)		(754,842	)		265,179
FTSE 100 Index		7,725.00		03/15/2024		(100	)		(77,250,000	)		(212,229	)		(164,267	)		(47,962	)
Total written option contracts						(835	)		(608,437,500	)		$(1,365,012	)		$(1,454,543	)		$   89,531
TOTAL						(835	)	$	(608,437,500	)		$(1,365,012	)		$(1,454,543	)		$   89,531

Investment Abbreviations:
ADR	—American Depositary Receipt
PLC	—Public Limited Company
REIT	—Real Estate Investment Trust

  

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

GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND

 

Schedule of Investments

December 31, 2023

 

 

Shares	Description	Value
Common Stocks – 101.4%
Aerospace & Defense – 1.5%
25,600	Boeing Co.*	$	6,672,896
31,634	Lockheed Martin Corp.		14,337,794
313,330	RTX Corp.		26,363,586
			47,374,276
Air Freight & Logistics – 0.6%
126,998	United Parcel Service, Inc.
	Class B		19,967,896
Automobile Components – 0.1%
23,300	Lear Corp.		3,290,193
6,100	QuantumScape Corp.*		42,395
			3,332,588
Automobiles* – 1.9%
11,500	Lucid Group, Inc.(a)		48,415
238,233	Tesla, Inc.		59,196,136
			59,244,551
Banks – 3.5%
441,079	Bank of America Corp.		14,851,130
168,431	Columbia Banking System, Inc.		4,493,739
6,300	Cullen/Frost Bankers, Inc.		683,487
7,300	First Hawaiian, Inc.		166,878
80,500	First Horizon Corp.		1,139,880
66,000	FNB Corp.		908,820
219,429	JPMorgan Chase & Co.(b)		37,324,873
87,800	PNC Financial Services Group, Inc.		13,595,830
339,600	U.S. Bancorp		14,697,888
600	Webster Financial Corp.		30,456
417,500	Wells Fargo & Co.		20,549,350
			108,442,331
Beverages – 1.8%
568,300	Coca-Cola Co.		33,489,919
127,882	PepsiCo, Inc.		21,719,479
			55,209,398
Biotechnology – 1.9%
173,386	AbbVie, Inc.		26,869,628
49,202	Amgen, Inc.		14,171,160
10,307	Exact Sciences Corp.*		762,512
199,394	Gilead Sciences, Inc.		16,152,908
3,600	Mirati Therapeutics, Inc.*		211,500
3,342	Natera, Inc.*		209,343
974	Sarepta Therapeutics, Inc.*		93,923
			58,470,974
Broadline Retail – 3.4%
695,068	Amazon.com, Inc.*		105,608,632
918	MercadoLibre, Inc.*		1,442,674
1,200	Nordstrom, Inc.		22,140
			107,073,446

Shares	Description	Value
Common Stocks – (continued)
Building Products – 0.5%
1,800	Advanced Drainage Systems, Inc.	$	253,152
250,600	Johnson Controls International PLC		14,444,584
200	Lennox International, Inc.		89,504
			14,787,240
Capital Markets – 2.8%
99,300	ARES Management Corp. Class A		11,808,756
19,500	BlackRock, Inc.		15,830,100
83,600	Blue Owl Capital, Inc.		1,245,640
23,400	Carlyle Group, Inc.		952,146
9,800	Evercore, Inc. Class A		1,676,290
338,600	Franklin Resources, Inc.		10,086,894
296,700	Janus Henderson Group PLC		8,945,505
44,700	Jefferies Financial Group, Inc.		1,806,327
1,138	LPL Financial Holdings, Inc.		259,032
367,264	Morgan Stanley		34,247,368
4,125	Robinhood Markets, Inc. Class A*		52,552
			86,910,610
Chemicals – 1.9%
438,603	Dow, Inc.		24,052,988
67,001	Huntsman Corp.		1,683,735
35,691	Linde PLC		14,658,651
182,600	LyondellBasell Industries NV Class A		17,361,608
			57,756,982
Commerical Services & Supplies – 0.1%
600	MSA Safety, Inc.		101,298
2,674	Tetra Tech, Inc.		446,371
18,475	Veralto Corp.		1,519,753
17,835	Vestis Corp.*		377,032
			2,444,454
Communications Equipment – 0.8%
481,548	Cisco Systems, Inc.		24,327,805
Construction & Engineering – 0.0%
50,500	MDU Resources Group, Inc.		999,900
1,200	Valmont Industries, Inc.		280,212
			1,280,112
Consumer Finance – 0.6%
91,336	American Express Co.		17,110,886
5,600	OneMain Holdings, Inc.		275,520
17,600	SLM Corp.		336,512
18,700	SoFi Technologies, Inc.*		186,065
			17,908,983
Consumer Staples Distribution & Retail – 2.0%
42,561	Costco Wholesale Corp.		28,093,665
110,600	Target Corp.		15,751,652

  

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

GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND

 

 

 

Shares	Description	Value
Common Stocks – (continued)
Consumer Staples Distribution & Retail – (continued)
112,145	Walmart, Inc.	$	17,679,659
			61,524,976
Containers & Packaging – 0.7%
975,800	Amcor PLC		9,406,712
60,800	Packaging Corp. of America		9,904,928
44,400	Sonoco Products Co.		2,480,628
			21,792,268
Diversified Consumer Services – 0.0%
19,674	ADT, Inc.		134,177
24,800	H&R Block, Inc.		1,199,576
4,283	Mister Car Wash, Inc.*		37,005
			1,370,758
Diversified REITs – 0.0%
7,100	WP Carey, Inc.		460,151
Diversified Telecommunication Services – 1.6%
1,201,328	AT&T, Inc.		20,158,284
788,602	Verizon Communications, Inc.(b)		29,730,295
			49,888,579
Electric Utilities – 1.7%
12,600	Avangrid, Inc.		408,366
232,800	Duke Energy Corp.		22,590,912
193,000	OGE Energy Corp.		6,741,490
330,301	Southern Co.		23,160,706
			52,901,474
Electrical Equipment – 0.7%
8,980	ChargePoint Holdings, Inc.*(a)		21,013
68,362	Eaton Corp. PLC		16,462,937
13,922	Hubbell, Inc.		4,579,363
16,930	Plug Power, Inc.*(a)		76,185
13,703	Sunrun, Inc.*		268,990
			21,408,488
Electronic Equipment, Instruments & Components – 0.1%
69,300	Avnet, Inc.		3,492,720
Entertainment* – 0.6%
1,870	AMC Entertainment Holdings, Inc. Class A		11,444
36,117	Netflix, Inc.		17,584,645
12,228	ROBLOX Corp. Class A		559,064
5,480	Roku, Inc.		502,297
			18,657,450
Financial Services – 3.4%
17,776	Affirm Holdings, Inc.*		873,513
45,300	Apollo Global Management, Inc.		4,221,507
77,014	Berkshire Hathaway, Inc. Class B*		27,467,813
8,647	Block, Inc.*		668,846

Shares	Description	Value
Common Stocks – (continued)
Financial Services – (continued)
110,700	Corebridge Financial, Inc.	$	2,397,762
142,600	Equitable Holdings, Inc.		4,748,580
55,627	Mastercard, Inc. Class A		23,725,472
4,800	Shift4 Payments, Inc. Class A*		356,832
136,841	Visa, Inc. Class A		35,626,554
426,999	Western Union Co.		5,089,828
			105,176,707
Food Products – 0.5%
78,000	Flowers Foods, Inc.		1,755,780
340,500	Kraft Heinz Co.		12,591,690
			14,347,470
Ground Transportation – 0.6%
100	Avis Budget Group, Inc.*		17,726
17,300	Ryder System, Inc.		1,990,538
10,500	Uber Technologies, Inc.*		646,485
59,262	Union Pacific Corp.		14,555,933
			17,210,682
Health Care Equipment & Supplies – 2.5%
159,206	Abbott Laboratories		17,523,805
43,102	Intuitive Surgical, Inc.*		14,540,891
323,253	Medtronic PLC		26,629,582
10,738	Novocure Ltd.*		160,318
3,741	Penumbra, Inc.*		941,011
61,140	Stryker Corp.		18,308,985
4,980	Tandem Diabetes Care, Inc.*		147,308
			78,251,900
Health Care Providers & Services – 2.5%
15,824	agilon health, Inc.*		198,591
31,484	Cigna Group		9,427,884
161,878	CVS Health Corp.		12,781,887
32,600	Elevance Health, Inc.		15,372,856
78,436	UnitedHealth Group, Inc.		41,294,201
			79,075,419
Health Care REITs – 0.5%
6,800	Healthcare Realty Trust, Inc.		117,164
5	Omega Healthcare Investors, Inc.		153
169,200	Welltower, Inc.		15,256,764
			15,374,081
Hotels, Restaurants & Leisure – 2.1%
35,671	Aramark		1,002,355
90,100	Darden Restaurants, Inc.		14,803,430
1,400	DoorDash, Inc. Class A*		138,446
18,300	DraftKings, Inc. Class A*		645,075
20,919	Hyatt Hotels Corp. Class A		2,728,047
2,700	Marriott Vacations Worldwide Corp.		229,203
80,700	McDonald’s Corp.		23,928,357
222,096	Starbucks Corp.		21,323,437

  

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

GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND

 

Schedule of Investments (continued)

December 31, 2023

 

 

Shares	Description	Value
Common Stocks – (continued)
Hotels, Restaurants & Leisure – (continued)
8,000	Travel & Leisure Co.	$	312,720
6,500	Vail Resorts, Inc.		1,387,555
9,500	Wendy’s Co.		185,060
			66,683,685
Household Durables – 0.2%
175,900	Leggett & Platt, Inc.		4,603,303
12,600	Tempur Sealy International, Inc.		642,222
200	TopBuild Corp.*		74,852
			5,320,377
Household Products – 1.4%
108,198	Kimberly-Clark Corp.		13,147,139
194,298	Procter & Gamble Co.		28,472,429
26,100	Reynolds Consumer Products, Inc.		700,524
			42,320,092
Independent Power and Renewable Electricity Producers – 0.0%
1,667	Vistra Corp.		64,213
Industrial Conglomerates – 1.3%
228,368	3M Co.		24,965,190
71,200	Honeywell International, Inc.		14,931,352
			39,896,542
Industrial REITs – 1.0%
9,200	First Industrial Realty Trust, Inc.		484,564
192,200	Prologis, Inc.		25,620,260
82,100	Rexford Industrial Realty, Inc.		4,605,810
			30,710,634
Insurance – 2.6%
10,300	American Financial Group, Inc.		1,224,567
8,800	Axis Capital Holdings Ltd.		487,256
32,300	CNA Financial Corp.		1,366,613
7,200	Erie Indemnity Co. Class A		2,411,424
192,200	Fidelity National Financial, Inc.		9,806,044
42,600	First American Financial Corp.		2,745,144
3,300	Hanover Insurance Group, Inc.		400,686
99,300	Marsh & McLennan Cos., Inc.		18,814,371
448,106	Old Republic International Corp.		13,174,316
256,100	Prudential Financial, Inc.		26,560,131
8,900	Reinsurance Group of America, Inc.		1,439,842
42,700	Unum Group		1,930,894
			80,361,288
Interactive Media & Services* – 5.8%
165,599	Alphabet, Inc. Class C		23,337,867
655,653	Alphabet, Inc. Class A		91,588,168
1	Match Group, Inc.		36
182,123	Meta Platforms, Inc. Class A		64,464,257

Shares	Description	Value
Common Stocks – (continued)
Interactive Media & Services* – (continued)
16,100	Pinterest, Inc. Class A	$	596,344
64,300	Snap, Inc. Class A		1,088,599
			181,075,271
IT Services – 1.8%
57,439	Accenture PLC Class A		20,155,919
15,800	Amdocs Ltd.		1,388,662
27,700	Cloudflare, Inc. Class A*		2,306,302
148,501	International Business Machines Corp.		24,287,339
3	Kyndryl Holdings, Inc.*		62
7,688	MongoDB, Inc.*		3,143,239
11,526	Okta, Inc.*		1,043,449
15,200	Snowflake, Inc. Class A*		3,024,800
10,000	Twilio, Inc. Class A*		758,700
			56,108,472
Leisure Products – 0.0%
9,300	Brunswick Corp.		899,775
25,500	Peloton Interactive, Inc. Class A*		155,295
			1,055,070
Life Sciences Tools & Services – 1.2%
13,952	10X Genomics, Inc. Class A*		780,754
7,981	Azenta, Inc.*		519,882
8,900	Bruker Corp.		653,972
55,425	Danaher Corp.		12,822,020
3,600	Maravai LifeSciences Holdings, Inc. Class A*		23,580
21,400	Repligen Corp.*		3,847,720
35,410	Thermo Fisher Scientific, Inc.		18,795,274
			37,443,202
Machinery – 1.5%
59,305	Caterpillar, Inc.		17,534,709
7,000	Flowserve Corp.		288,540
111,750	Illinois Tool Works, Inc.		29,271,795
1,600	Lincoln Electric Holdings, Inc.		347,936
			47,442,980
Media – 1.5%
403,919	Comcast Corp. Class A		17,711,848
409,500	Interpublic Group of Cos., Inc.		13,366,080
162,600	Omnicom Group, Inc.		14,066,526
3,500	Trade Desk, Inc. Class A*		251,860
			45,396,314
Metals & Mining – 0.4%
59,400	Newmont Corp.		2,458,566
126,300	Southern Copper Corp.		10,870,641
12,600	SSR Mining, Inc.		135,576
			13,464,783

  

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

GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND

 

 

 

Shares	Description	Value
Common Stocks – (continued)
Multi-Utilities – 0.8%
306,097	Dominion Energy, Inc.	$	14,386,559
169,500	Public Service Enterprise Group, Inc.		10,364,925
			24,751,484
Office REITs – 0.0%
473	NET Lease Office Properties		8,741
Oil, Gas & Consumable Fuels – 4.1%
12,400	Chesapeake Energy Corp.		954,056
175,398	Chevron Corp.		26,162,366
5,200	DT Midstream, Inc.		284,960
404,319	Exxon Mobil Corp.(b)		40,423,813
1,425,000	Kinder Morgan, Inc.		25,137,000
168,800	ONEOK, Inc.		11,853,136
1	Vitesse Energy, Inc.		22
636,300	Williams Cos., Inc.		22,162,329
			126,977,682
Paper & Forest Products – 0.0%
7	Sylvamo Corp.		344
Personal Products – 0.2%
334,419	Kenvue, Inc.		7,200,041
Pharmaceuticals – 4.6%
332,501	Bristol-Myers Squibb Co.		17,060,626
67,739	Eli Lilly & Co.		39,486,418
226,743	Johnson & Johnson		35,539,698
304,653	Merck & Co., Inc.		33,213,270
7	Organon & Co.		101
601,399	Pfizer, Inc.		17,314,277
5	Viatris, Inc.		54
			142,614,444
Professional Services – 1.2%
41,885	Automatic Data Processing, Inc.		9,757,949
22,333	Booz Allen Hamilton Holding Corp.		2,856,614
31,800	ManpowerGroup, Inc.		2,527,146
172,600	Paychex, Inc.		20,558,386
			35,700,095
Residential REITs – 0.2%
189,691	American Homes 4 Rent Class A		6,821,288
1,193	Sun Communities, Inc.		159,445
			6,980,733
Retail REITs – 0.0%
14,300	Brixmor Property Group, Inc.		332,761
8,300	NNN REIT, Inc.		357,730
1	Realty Income Corp.		57
6,400	Spirit Realty Capital, Inc.		279,616
			970,164

Shares	Description	Value
Common Stocks – (continued)
Semiconductors & Semiconductor Equipment – 8.9%
144,793	Advanced Micro Devices, Inc.*	$	21,343,936
80,900	Analog Devices, Inc.		16,063,504
109,000	Applied Materials, Inc.		17,665,630
36,190	Broadcom, Inc.		40,397,088
352,209	Intel Corp.		17,698,502
13,953	Lam Research Corp.		10,928,827
7,200	Lattice Semiconductor Corp.*		496,728
1,759	Marvell Technology, Inc.		106,085
119,900	Microchip Technology, Inc.		10,812,582
206,476	NVIDIA Corp.(b)		102,251,045
108,097	QUALCOMM, Inc.		15,634,069
129,550	Texas Instruments, Inc.		22,083,093
			275,481,089
Software – 10.8%
31,773	Adobe, Inc.*		18,955,772
1,000	Alteryx, Inc. Class A*		47,160
1,600	AppLovin Corp. Class A*		63,760
9,800	Atlassian Corp. Class A*		2,331,028
8,400	Bill Holdings, Inc.*		685,356
18,633	Confluent, Inc. Class A*		436,012
16,600	Crowdstrike Holdings, Inc. Class A*		4,238,312
24,500	Datadog, Inc. Class A*		2,973,810
7,168	DocuSign, Inc.*		426,138
6,000	Elastic NV*		676,200
4,900	Five9, Inc.*		385,581
8,400	HubSpot, Inc.*		4,876,536
29,220	Intuit, Inc.		18,263,377
602,925	Microsoft Corp.		226,723,917
3,000	nCino, Inc.*		100,890
138,342	Oracle Corp.		14,585,397
54,000	Palantir Technologies, Inc. Class A*		927,180
2,800	RingCentral, Inc. Class A*		95,060
60,336	Salesforce, Inc.*		15,876,815
14,136	SentinelOne, Inc. Class A*		387,892
23,862	ServiceNow, Inc.*		16,858,264
23,400	Smartsheet, Inc. Class A*		1,118,988
33,972	Unity Software, Inc.*		1,389,115
15,200	Zscaler, Inc.*		3,367,712
			335,790,272
Specialized REITs – 0.5%
17,100	CubeSmart		792,585
15,200	Equinix, Inc.		12,241,928
41,400	Gaming & Leisure Properties, Inc.		2,043,090
3,100	Rayonier, Inc.		103,571
			15,181,174
Specialty Retail – 2.2%
6,100	Chewy, Inc. Class A*		144,143
18,100	Dick’s Sporting Goods, Inc.		2,659,795
5,300	GameStop Corp. Class A*(a)		92,909

  

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

GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND

 

 

Schedule of Investments (continued)

December 31, 2023

 

 

Shares	Description	Value
Common Stocks – (continued)
Specialty Retail – (continued)
13,400	Gap, Inc.	$	280,194
99,276	Home Depot, Inc.		34,404,098
61,599	Lowe’s Cos., Inc.		13,708,857
9,000	Penske Automotive Group, Inc.		1,444,590
147,900	TJX Cos., Inc.		13,874,499
1,400	Wayfair, Inc. Class A*		86,380
2,200	Williams-Sonoma, Inc.		443,916
			67,139,381
Technology Hardware, Storage & Peripherals – 7.2%
1,145,459	Apple, Inc.(b)		220,535,221
28,900	Dell Technologies, Inc. Class C		2,210,850
			222,746,071
Textiles, Apparel & Luxury Goods – 0.1%
16,200	Carter’s, Inc.		1,213,218
900	Deckers Outdoor Corp.*		601,587
2	Kontoor Brands, Inc.		125
			1,814,930
Tobacco – 0.6%
479,463	Altria Group, Inc.		19,341,537
Trading Companies & Distributors – 0.4%
78,500	MSC Industrial Direct Co., Inc.
	Class A		7,948,910
10,499	Watsco, Inc.		4,498,507
			12,447,417
TOTAL COMMON STOCKS (Cost $2,289,602,009)		$	3,147,953,291

Shares	Dividend Rate	Value
Investment Company(c) – 1.8%
Goldman Sachs Financial Square Government Fund — Institutional Shares
54,916,205	5.248%	$	54,916,205
(Cost $54,916,205)
Securities Lending Reinvestment Vehicle(c) – 0.0%
Goldman Sachs Financial Square Government Fund — Institutional Shares
197,500	5.248%	$	197,500
(Cost $197,500)
TOTAL INVESTMENTS – 103.2% (Cost $2,344,715,714)		$	3,203,066,996
LIABILITIES IN EXCESS OF OTHER ASSETS – (3.2)%			(99,558,974	)
NET ASSETS – 100.0%		$	3,103,508,022

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
*	Non-income producing security.
(a)	All or a portion of security is on loan.
(b)	All or a portion of security is segregated as collateral for initial margin requirement on futures transactions.
(c)	Represents an affiliated Issuer.

ADDITIONAL INVESTMENT INFORMATION

FUTURES CONTRACTS — At December 31, 2023, the Fund had the following futures contracts:

Description	Number of Contracts	Expiration Date	Notional Amount			Unrealized Appreciation/ (Depreciation)
Short position contracts:
S&P 500 E-Mini Index	(126)	03/15/24	$	(30,366,000	)	$	(358,112	)

WRITTEN OPTIONS CONTRACTS—At December 31, 2023, the Fund had the following written options contracts:

EXCHANGE TRADED INDEX OPTIONS

Description	Exercise Price		Expiration Date		Number of Contracts		Notional Amount			Market Value			Premiums Paid (Received) by Fund			Unrealized Appreciation/ (Depreciation)
Written option contracts
Calls
S&P 500 Index	$	4,290.00		01/31/2024		(900)	$	(386,100,000	)	$	(45,301,500	)	$	(9,358,200	)	$	(35,943,300	)
S&P 500 Index		4,640.00		02/29/2024		(887)		(411,568,000	)		(18,471,775	)		(8,518,837	)		(9,952,938	)

  

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

GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND

 

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

EXCHANGE TRADED INDEX OPTIONS (continued)

Description	Exercise Price		Expiration Date		Number of Contracts			Notional Amount			Market Value			Premiums Paid (Received) by Fund			Unrealized Appreciation/ (Depreciation)
S&P 500 Index		$4,860.00		03/28/2024		(826)		$	(401,436,000	)	$	(7,599,200	)	$	(7,762,748	)	$	163,548
Total written option contracts						(2,613	)		(1,199,104,000	)	$	(71,372,475	)	$	(25,639,785	)	$	(45,732,690	)
TOTAL						(2,613	)	$	(1,199,104,000	)	$	(71,372,475	)	$	(25,639,785	)	$	(45,732,690	)

Investment Abbreviations:
PLC	—Public Limited Company
REIT	—Real Estate Investment Trust

  

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

GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II

 

 

 Statements of Assets and Liabilities

 December 31, 2023

 

		International Equity Dividend and Premium Fund			U.S. Equity Dividend and Premium Fund
	Assets:
	Investments in unaffiliated issuers, at value (cost $123,400,827 and $2,289,602,009, respectively)(a)		$155,604,906			$3,147,953,291
	Investments in affiliated securities lending reinvestment vehicle, at value which equals cost		1,285,948			197,500
	Investments in affiliated issuers, at value (cost $0 and $54,916,205, respectively)		—			54,916,205
	Cash		—			6,201,540
	Foreign currencies, at value (cost $10,581 and $0, respectively)		12,249			—
	Variation margin on futures contracts		149			77,201
	Receivables:
	Foreign tax reclaims		1,257,439			—
	Dividends		234,135			2,929,867
	Fund shares sold		31,700			1,896,273
	Reimbursement from investment adviser		19,142			42,199
	Securities lending income		216			301
	Investments sold		—			7,762,748
	Other assets		41,296			67,728
	Total assets		158,487,180			3,222,044,853
	Liabilities:
	Written option contracts, at value (premium received $1,454,543 and $25,639,785, respectively)		1,365,012			71,372,475
	Due to custodian (overdraft)		37,779			—
	Payables:
	Fund shares redeemed		2,108,652			9,734,823
	Payable upon return of securities loaned		1,285,948			197,500
	Management fees		104,332			1,674,213
	Distribution and Service fees and Transfer Agency fees		4,551			236,136
	Investments purchased		—			34,828,513
	Accrued expenses		343,584			493,171
	Total liabilities		5,249,858			118,536,831
	Net Assets:
	Paid-in capital		203,831,177			2,297,486,492
	Total distributable earnings (loss)		(50,593,855	)		806,021,530
	NET ASSETS		$153,237,322			$3,103,508,022
	Net Assets:
	Class A		$  1,667,194			$  176,352,361
	Class C		179,687			70,396,058
	Institutional		4,247,762			1,325,844,107
	Investor		1,295,742			479,420,623
	Class R6		76,461,604			331,528,180
	Class P		69,385,333			719,966,693
	Total Net Assets		$153,237,322			$3,103,508,022
	Shares Outstanding $0.001 par value (unlimited number of shares authorized):
	Class A		227,537			11,804,640
	Class C		25,526			4,730,814
	Institutional		592,969			89,090,950
	Investor		181,490			32,186,799
	Class R6		10,676,964			22,289,916
	Class P		9,672,608			48,387,895
	Net asset value, offering and redemption price per share:(b)
	Class A		$7.33			$14.94
	Class C		7.04			14.88
	Institutional		7.16			14.88
	Investor		7.14			14.89
	Class R6		7.16			14.87
	Class P		7.17			14.88

(a) Includes loaned securities having a market value of $1,260,794 and $183,329, respectively.

(b) Maximum public offering price per share for Class A Shares of the International Equity Dividend and Premium and U.S. Equity Dividend and Premium Funds is $7.76 and $15.81, respectively. At redemption, Class C Shares may be subject to a contingent deferred sales charge assessed on the amount equal to the lesser of the current NAV or the original purchase price of the shares.

  

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

GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II

 

 

Statements of Operations

For the Fiscal Year Ended December 31, 2023

 

		International Equity Dividend and Premium Fund			U.S. Equity Dividend and Premium Fund
	Investment Income:
	Dividends — unaffiliated issuers (net of tax withholding of $727,455 and $2,480, respectively)		$ 6,840,071			$ 64,163,285
	Securities lending income, net of rebates received or paid to borrowers		21,254			30,640
	Dividends — affiliated issuers		9,330			1,847,202
	Total investment income		6,870,655			66,041,127
	Expenses:
	Management fees		1,195,651			20,296,035
	Professional fees		110,705			100,787
	Registration fees		82,421			164,910
	Custody, accounting and administrative services		53,166			166,339
	Transfer Agency fees(a)		49,096			1,860,320
	Printing and mailing costs		27,404			50,701
	Trustee fees		21,654			25,454
	Distribution and Service (12b-1) fees		5,523			952,485
	Shareholder meeting expense		948			53,226
	Service fees — Class C		460			181,918
	Other		15,923			58,670
	Total expenses		1,562,951			23,910,845
	Less — expense reductions		(248,417	)		(2,143,110	)
	Net expenses		1,314,534			21,767,735
	NET INVESTMENT INCOME		5,556,121			44,273,392
	Realized and unrealized gain (loss):
	Net realized gain (loss) from:
	Investments — unaffiliated issuers		(1,195,319	)		164,299,437
	Futures contracts		158,747			2,854,808
	Written options		(1,809,035	)		(34,840,801	)
	Foreign currency transactions		(13,843	)		—
	Net change in unrealized gain (loss) on:
	Investments — unaffiliated issuers		19,323,684			447,005,968
	Futures contracts		92,196			(531,202	)
	Written options		(336,765	)		(60,679,449	)
	Foreign currency translation		17,236			—
	Net realized and unrealized gain		16,236,901			518,108,761
	NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		$21,793,022			$562,382,153

(a) Class specific Distribution and/or Service (12b-1) and Transfer Agency fees were as follows:

	Distribution and/or Service (12b-1) Fees		Transfer Agency Fees
Fund	Class A	Class C	Class A		Class C		Institutional		Investor		Class R6		Class P
International Equity Dividend and Premium	$  4,144	$  1,379	$	2,569	$	286	$	1,615	$	2,611	$	22,023	$	19,992
U.S. Equity Dividend and Premium	406,731	545,754		251,860		112,798		496,290		701,381		96,885		201,106

  

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

GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II

 

 

Statements of Changes in Net Assets

 

		International Equity Dividend and Premium Fund						U.S. Equity Dividend and Premium Fund
		For the Fiscal			For the Fiscal			For the Fiscal			For the Fiscal
		Year Ended			Year Ended			Year Ended			Year Ended
		December 31, 2023			December 31, 2022			December 31, 2023			December 31, 2022
	From operations:
	Net investment income		$  5,556,121			$  6,045,532			$   44,273,392			$   40,909,114
	Net realized gain (loss)		(2,859,450	)		2,132,278			132,313,444			149,068,335
	Net change in unrealized gain (loss)		19,096,351			(26,626,375	)		385,795,317			(647,221,180	)
	Net increase (decrease) in net assets resulting from operations		21,793,022			(18,448,565	)		562,382,153			(457,243,731	)
	Distributions to shareholders:
	From distributable earnings:
	Class A Shares		(55,946	)		(62,268	)		(10,230,466	)		(9,916,912	)
	Class C Shares		(4,551	)		(6,815	)		(3,823,808	)		(4,274,456	)
	Institutional Shares		(149,250	)		(148,489	)		(82,636,462	)		(76,955,281	)
	Investor Shares		(62,461	)		(74,939	)		(29,462,340	)		(28,036,804	)
	Class R6 Shares		(2,764,257	)		(2,968,445	)		(21,084,084	)		(21,283,391	)
	Class P Shares		(2,477,888	)		(2,608,753	)		(44,762,329	)		(40,415,122	)
	Return of capital:
	Class A Shares		—			(8,180	)		(52,807	)		—
	Class C Shares		—			(895	)		(19,738	)		—
	Institutional Shares		—			(19,506	)		(426,552	)		—
	Investor Shares		—			(9,844	)		(152,078	)		—
	Class R6 Shares		—			(389,942	)		(108,831	)		—
	Class P Shares		—			(342,692	)		(231,054	)		—
	Total distributions to shareholders		(5,514,353	)		(6,640,768	)		(192,990,549	)		(180,881,966	)
	From share transactions:
	Proceeds from sales of shares		5,148,304			14,582,923			495,139,027			648,905,775
	Reinvestment of distributions		5,459,522			6,561,948			178,721,417			164,922,109
	Cost of shares redeemed		(14,095,448	)		(40,689,520	)		(605,486,154	)		(646,012,765	)
	Net increase (decrease) in net assets resulting from share transactions		(3,487,622	)		(19,544,649	)		68,374,290			167,815,119
	TOTAL INCREASE (DECREASE)		12,791,047			(44,633,982	)		437,765,894			(470,310,578	)
	Net assets:
	Beginning of year		140,446,275			185,080,257			2,665,742,128			3,136,052,706
	End of year		$153,237,322			$140,446,275			$3,103,508,022			$2,665,742,128

  

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

GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND

 

Financial Highlights

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs International Equity Dividend and Premium Fund
		Class A Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of period		$	6.55			$	7.59			$	7.16			$	7.28			$	6.55
	Net investment income(a)			0.24	(b)			0.24				0.21				0.15				0.20
	Net realized and unrealized gain (loss)			0.77				(1.02	)			0.42				(0.11	)			0.73
	Total from investment operations			1.01				(0.78	)			0.63				0.04				0.93
	Distributions to shareholders from net investment income			(0.23	)			(0.23	)			(0.20	)			(0.16	)			(0.20	)
	Distributions to shareholders from return of capital			—				(0.03	)			—				—	(c)			—
	Total distributions			(0.23	)			(0.26	)			(0.20	)			(0.16	)			(0.20	)
	Net asset value, end of period		$	7.33			$	6.55			$	7.59			$	7.16			$	7.28
	Total return(d)			15.91	%			(10.29	)%			8.94	%			0.93	%			14.42	%
	Net assets, end of period (in 000s)		$	1,667			$	1,576			$	2,170			$	2,050			$	2,424
	Ratio of net expenses to average net assets			1.21	%			1.23	%			1.23	%			1.27	%			1.33	%
	Ratio of total expenses to average net assets			1.43	%			1.58	%			1.39	%			1.48	%			1.44	%
	Ratio of net investment income to average net assets			3.45	%			3.63	%			2.85	%			2.39	%			2.86	%
	Portfolio turnover rate(e)			18	%			26	%			17	%			34	%			9	%

(a) Calculated based on the average shares outstanding methodology.

(b) Reflects income recognized from withholding tax reclaims which amounted to $0.01 per share and 0.20% of average net assets.

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

(d) Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

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

  

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

GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND

 

Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs International Equity Dividend and Premium Fund
		Class C Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of period		$	6.30			$	7.32			$	6.90			$	7.02			$	6.32
	Net investment income(a)			0.19	(b)			0.18				0.14				0.10				0.14
	Net realized and unrealized gain (loss)			0.73				(0.98	)			0.42				(0.11	)			0.71
	Total from investment operations			0.92				(0.80	)			0.56				(0.01	)			0.85
	Distributions to shareholders from net investment income			(0.18	)			(0.20	)			(0.14	)			(0.11	)			(0.15	)
	Distributions to shareholders from return of capital			—				(0.02	)			—				—	(c)			—
	Total distributions			(0.18	)			(0.22	)			(0.14	)			(0.11	)			(0.15	)
	Net asset value, end of period		$	7.04			$	6.30			$	7.32			$	6.90			$	7.02
	Total return(d)			14.99	%			(10.99	)%			8.22	%			0.18	%			13.54	%
	Net assets, end of period (in 000s)		$	180			$	206			$	362			$	621			$	815
	Ratio of net expenses to average net assets			1.96	%			1.98	%			1.98	%			2.02	%			2.08	%
	Ratio of total expenses to average net assets			2.18	%			2.33	%			2.16	%			2.23	%			2.19	%
	Ratio of net investment income to average net assets			2.85	%			2.77	%			1.91	%			1.63	%			2.11	%
	Portfolio turnover rate(e)			18	%			26	%			17	%			34	%			9	%

(a) Calculated based on the average shares outstanding methodology.

(b) Reflects income recognized from withholding tax reclaims which amounted to $0.01 per share and 0.20% of average net assets.

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

(d) Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

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

  

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

GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND

 

Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs International Equity Dividend and Premium Fund
		Institutional Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of period		$	6.41			$	7.43			$	7.01			$	7.14			$	6.42
	Net investment income(a)			0.25	(b)			0.25				0.24				0.16				0.22
	Net realized and unrealized gain (loss)			0.75				(1.00	)			0.41				(0.10	)			0.73
	Total from investment operations			1.00				(0.75	)			0.65				0.06				0.95
	Distributions to shareholders from net investment income			(0.25	)			(0.24	)			(0.23	)			(0.19	)			(0.23	)
	Distributions to shareholders from return of capital			—				(0.03	)			—				—	(c)			—
	Total distributions			(0.25	)			(0.27	)			(0.23	)			(0.19	)			(0.23	)
	Net asset value, end of period		$	7.16			$	6.41			$	7.43			$	7.01			$	7.14
	Total return(d)			16.15	%			(9.99	)%			9.38	%			1.18	%			14.82	%
	Net assets, end of period (in 000s)		$	4,248			$	3,391			$	4,417			$	4,897			$	12,005
	Ratio of net expenses to average net assets			0.89	%			0.89	%			0.89	%			0.92	%			0.95	%
	Ratio of total expenses to average net assets			1.06	%			1.21	%			1.04	%			1.10	%			1.06	%
	Ratio of net investment income to average net assets			3.71	%			3.90	%			3.19	%			2.51	%			3.28	%
	Portfolio turnover rate(e)			18	%			26	%			17	%			34	%			9	%

(a) Calculated based on the average shares outstanding methodology.

(b) Reflects income recognized from withholding tax reclaims which amounted to $0.01 per share and 0.20% of average net assets.

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

(d) Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

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

  

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

GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND

 

Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs International Equity Dividend and Premium Fund
		Investor Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of period		$	6.39			$	7.41			$	7.00			$	7.12			$	6.41
	Net investment income(a)			0.26	(b)			0.25				0.23				0.15				0.21
	Net realized and unrealized gain (loss)			0.74				(1.00	)			0.40				(0.09	)			0.72
	Total from investment operations			1.00				(0.75	)			0.63				0.06				0.93
	Distributions to shareholders from net investment income			(0.25	)			(0.24	)			(0.22	)			(0.18	)			(0.22	)
	Distributions to shareholders from return of capital			—				(0.03	)			—				—	(c)			—
	Total distributions			(0.25	)			(0.27	)			(0.22	)			(0.18	)			(0.22	)
	Net asset value, end of period		$	7.14			$	6.39			$	7.41			$	7.00			$	7.12
	Total return(d)			16.13	%			(10.09	)%			9.15	%			1.20	%			14.71	%
	Net assets, end of period (in 000s)		$	1,296			$	1,362			$	5,313			$	4,288			$	8,915
	Ratio of net expenses to average net assets			0.96	%			0.98	%			0.98	%			1.03	%			1.08	%
	Ratio of total expenses to average net assets			1.18	%			1.33	%			1.14	%			1.23	%			1.19	%
	Ratio of net investment income to average net assets			3.82	%			3.81	%			3.09	%			2.39	%			3.14	%
	Portfolio turnover rate(e)			18	%			26	%			17	%			34	%			9	%

(a) Calculated based on the average shares outstanding methodology.

(b) Reflects income recognized from withholding tax reclaims which amounted to $0.01 per share and 0.20% of average net assets.

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

(d) Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

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

  

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

GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND

 

Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs International Equity Dividend and Premium Fund
		Class R6 Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of period		$	6.41			$	7.43			$	7.01			$	7.13			$	6.42
	Net investment income(a)			0.25	(b)			0.25				0.23				0.17				0.22
	Net realized and unrealized gain (loss)			0.76				(1.00	)			0.42				(0.10	)			0.72
	Total from investment operations			1.01				(0.75	)			0.65				0.07				0.94
	Distributions to shareholders from net investment income			(0.26	)			(0.24	)			(0.23	)			(0.19	)			(0.23	)
	Distributions to shareholders from return of capital			—				(0.03	)			—				—	(c)			—
	Total distributions			(0.26	)			(0.27	)			(0.23	)			(0.19	)			(0.23	)
	Net asset value, end of period		$	7.16			$	6.41			$	7.43			$	7.01			$	7.13
	Total return(d)			16.17	%			(9.99	)%			9.38	%			1.34	%			14.85	%
	Net assets, end of period (in 000s)		$	76,462			$	68,864			$	91,208			$	102,041			$	136,241
	Ratio of net expenses to average net assets			0.88	%			0.88	%			0.88	%			0.90	%			0.94	%
	Ratio of total expenses to average net assets			1.05	%			1.20	%			1.02	%			1.10	%			1.05	%
	Ratio of net investment income to average net assets			3.77	%			3.90	%			3.14	%			2.70	%			3.23	%
	Portfolio turnover rate(e)			18	%			26	%			17	%			34	%			9	%

(a) Calculated based on the average shares outstanding methodology.

(b) Reflects income recognized from withholding tax reclaims which amounted to $0.01 per share and 0.20% of average net assets.

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

(d) Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

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

  

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

GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND

 

Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs International Equity Dividend and Premium Fund
		Class P Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of period		$	6.42			$	7.44			$	7.02			$	7.14			$	6.43
	Net investment income(a)			0.26	(b)			0.25				0.23				0.17				0.22
	Net realized and unrealized gain (loss)			0.75				(1.00	)			0.42				(0.10	)			0.72
	Total from investment operations			1.01				(0.75	)			0.65				0.07				0.94
	Distributions to shareholders from net investment income			(0.26	)			(0.24	)			(0.23	)			(0.19	)			(0.23	)
	Distributions to shareholders from return of capital			—				(0.03	)			—				—	(c)			—
	Total distributions			(0.26	)			(0.27	)			(0.23	)			(0.19	)			(0.23	)
	Net asset value, end of period		$	7.17			$	6.42			$	7.44			$	7.02			$	7.14
	Total return(d)			16.14	%			(9.97	)%			9.37	%			1.33	%			14.83	%
	Net assets, end of period (in 000s)		$	69,385			$	65,048			$	81,611			$	86,949			$	138,381
	Ratio of net expenses to average net assets			0.88	%			0.88	%			0.88	%			0.90	%			0.94	%
	Ratio of total expenses to average net assets			1.05	%			1.20	%			1.02	%			1.10	%			1.05	%
	Ratio of net investment income to average net assets			3.77	%			3.88	%			3.17	%			2.67	%			3.26	%
	Portfolio turnover rate(e)			18	%			26	%			17	%			34	%			9	%

(a) Calculated based on the average shares outstanding methodology.

(b) Reflects income recognized from withholding tax reclaims which amounted to $0.01 per share and 0.20% of average net assets.

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

(d) Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

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

  

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

GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND

 

Financial Highlights

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs U.S. Equity Dividend and Premium Fund
		Class A Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of period		$	13.12			$	16.43			$	14.20			$	13.38			$	11.46
	Net investment income(a)			0.18				0.17				0.15				0.18				0.21
	Net realized and unrealized gain (loss)			2.56				(2.59	)			3.01				1.61				2.57
	Total from investment operations			2.74				(2.42	)			3.16				1.79				2.78
	Distributions to shareholders from net investment income			(0.19	)			(0.17	)			(0.15	)			(0.19	)			(0.21	)
	Distributions to shareholders from net realized gains			(0.73	)			(0.72	)			(0.78	)			(0.78	)			(0.65	)
	Distributions to shareholders from return of capital			—	(b)			—				—				—	(b)			—
	Total distributions			(0.92	)			(0.89	)			(0.93	)			(0.97	)			(0.86	)
	Net asset value, end of period		$	14.94			$	13.12			$	16.43			$	14.20			$	13.38
	Total return(c)			21.04	%			(14.84	)%			22.42	%			13.62	%			24.62	%
	Net assets, end of period (in 000s)		$	176,352			$	151,973			$	183,895			$	135,937			$	195,689
	Ratio of net expenses to average net assets			1.02	%			1.05	%			1.06	%			1.09	%			1.12	%
	Ratio of total expenses to average net assets			1.12	%			1.14	%			1.13	%			1.15	%			1.16	%
	Ratio of net investment income to average net assets			1.24	%			1.18	%			0.97	%			1.41	%			1.65	%
	Portfolio turnover rate(d)			30	%			38	%			19	%			39	%			26	%

(a) Calculated based on the average shares outstanding methodology.

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

(c) Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

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

  

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

GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND

 

Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs U.S. Equity Dividend and Premium Fund
		Class C Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of period		$	13.07			$	16.36			$	14.14			$	13.33			$	11.41
	Net investment income(a)			0.07				0.06				0.04				0.08				0.12
	Net realized and unrealized gain (loss)			2.55				(2.57	)			2.99				1.60				2.57
	Total from investment operations			2.62				(2.51	)			3.03				1.68				2.69
	Distributions to shareholders from net investment income			(0.08	)			(0.06	)			(0.03	)			(0.09	)			(0.12	)
	Distributions to shareholders from net realized gains			(0.73	)			(0.72	)			(0.78	)			(0.78	)			(0.65	)
	Distributions to shareholders from return of capital			—	(b)			—				—				—	(b)			—
	Total distributions			(0.81	)			(0.78	)			(0.81	)			(0.87	)			(0.77	)
	Net asset value, end of period		$	14.88			$	13.07			$	16.36			$	14.14			$	13.33
	Total return(c)			20.12	%			(15.48	)%			21.48	%			12.83	%			23.72	%
	Net assets, end of period (in 000s)		$	70,396			$	72,831			$	109,023			$	118,819			$	141,029
	Ratio of net expenses to average net assets			1.77	%			1.80	%			1.81	%			1.84	%			1.87	%
	Ratio of total expenses to average net assets			1.87	%			1.89	%			1.88	%			1.90	%			1.91	%
	Ratio of net investment income to average net assets			0.50	%			0.42	%			0.23	%			0.64	%			0.90	%
	Portfolio turnover rate(d)			30	%			38	%			19	%			39	%			26	%

(a) Calculated based on the average shares outstanding methodology.

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

(c) Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

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

  

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

GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND

 

Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs U.S. Equity Dividend and Premium Fund
		Institutional Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of period		$	13.08			$	16.37			$	14.16			$	13.35			$	11.43
	Net investment income(a)			0.23				0.22				0.21				0.23				0.26
	Net realized and unrealized gain (loss)			2.53				(2.57	)			2.99				1.60				2.57
	Total from investment operations			2.76				(2.35	)			3.20				1.83				2.83
	Distributions to shareholders from net investment income			(0.23	)			(0.22	)			(0.21	)			(0.24	)			(0.26	)
	Distributions to shareholders from net realized gains			(0.73	)			(0.72	)			(0.78	)			(0.78	)			(0.65	)
	Distributions to shareholders from return of capital			—	(b)			—				—				—	(b)			—
	Total distributions			(0.96	)			(0.94	)			(0.99	)			(1.02	)			(0.91	)
	Net asset value, end of period		$	14.88			$	13.08			$	16.37			$	14.16			$	13.35
	Total return(c)			21.34	%			(14.53	)%			22.82	%			14.12	%			25.06	%
	Net assets, end of period (in 000s)		$	1,325,844			$	1,122,307			$	1,329,450			$	1,252,383			$	1,242,858
	Ratio of net expenses to average net assets			0.69	%			0.71	%			0.71	%			0.72	%			0.75	%
	Ratio of total expenses to average net assets			0.76	%			0.77	%			0.76	%			0.78	%			0.77	%
	Ratio of net investment income to average net assets			1.57	%			1.52	%			1.33	%			1.73	%			2.02	%
	Portfolio turnover rate(d)			30	%			38	%			19	%			39	%			26	%

(a) Calculated based on the average shares outstanding methodology.

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

(c) Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

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

  

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

GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND

 

Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs U.S. Equity Dividend and Premium Fund
		Investor Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of period		$	13.09			$	16.38			$	14.17			$	13.36			$	11.44
	Net investment income(a)			0.21				0.21				0.19				0.21				0.25
	Net realized and unrealized gain (loss)			2.54				(2.57	)			2.99				1.60				2.57
	Total from investment operations			2.75				(2.36	)			3.18				1.81				2.82
	Distributions to shareholders from net investment income			(0.22	)			(0.21	)			(0.19	)			(0.22	)			(0.25	)
	Distributions to shareholders from net realized gains			(0.73	)			(0.72	)			(0.78	)			(0.78	)			(0.65	)
	Distributions to shareholders from return of capital			—	(b)			—				—				—	(b)			—
	Total distributions			(0.95	)			(0.93	)			(0.97	)			(1.00	)			(0.90	)
	Net asset value, end of period		$	14.89			$	13.09			$	16.38			$	14.17			$	13.36
	Total return(c)			21.23	%			(14.60	)%			22.78	%			13.90	%			25.00	%
	Net assets, end of period (in 000s)		$	479,421			$	409,319			$	473,054			$	402,711			$	468,254
	Ratio of net expenses to average net assets			0.77	%			0.80	%			0.81	%			0.83	%			0.87	%
	Ratio of total expenses to average net assets			0.87	%			0.89	%			0.88	%			0.90	%			0.91	%
	Ratio of net investment income to average net assets			1.49	%			1.44	%			1.23	%			1.64	%			1.90	%
	Portfolio turnover rate(d)			30	%			38	%			19	%			39	%			26	%

(a) Calculated based on the average shares outstanding methodology.

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

(c) Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

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

  

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

GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND

 

Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs U.S. Equity Dividend and Premium Fund
		Class R6 Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of period		$	13.07			$	16.36			$	14.15			$	13.34			$	11.42
	Net investment income(a)			0.23				0.22				0.21				0.23				0.26
	Net realized and unrealized gain (loss)			2.54				(2.57	)			2.99				1.60				2.57
	Total from investment operations			2.77				(2.35	)			3.20				1.83				2.83
	Distributions to shareholders from net investment income			(0.24	)			(0.22	)			(0.21	)			(0.24	)			(0.26	)
	Distributions to shareholders from net realized gains			(0.73	)			(0.72	)			(0.78	)			(0.78	)			(0.65	)
	Distributions to shareholders from return of capital			—	(b)			—				—				—	(b)			—
	Total distributions			(0.97	)			(0.94	)			(0.99	)			(1.02	)			(0.91	)
	Net asset value, end of period		$	14.87			$	13.07			$	16.36			$	14.15			$	13.34
	Total return(c)			21.36	%			(14.53	)%			22.85	%			14.13	%			25.09	%
	Net assets, end of period (in 000s)		$	331,528			$	304,083			$	336,827			$	208,584			$	275,973
	Ratio of net expenses to average net assets			0.68	%			0.70	%			0.70	%			0.72	%			0.74	%
	Ratio of total expenses to average net assets			0.75	%			0.76	%			0.75	%			0.77	%			0.76	%
	Ratio of net investment income to average net assets			1.58	%			1.54	%			1.33	%			1.77	%			2.03	%
	Portfolio turnover rate(d)			30	%			38	%			19	%			39	%			26	%

(a) Calculated based on the average shares outstanding methodology.

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

(c) Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

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

  

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

GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND

 

Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

		Goldman Sachs U.S. Equity Dividend and Premium Fund
		Class P Shares
		Year Ended December 31,
		2023				2022				2021				2020				2019
	Per Share Data
	Net asset value, beginning of period		$	13.07			$	16.37			$	14.15			$	13.34			$	11.43
	Net investment income(a)			0.23				0.22				0.21				0.23				0.26
	Net realized and unrealized gain (loss)			2.55				(2.58	)			3.00				1.60				2.56
	Total from investment operations			2.78				(2.36	)			3.21				1.83				2.82
	Distributions to shareholders from net investment income			(0.24	)			(0.22	)			(0.21	)			(0.24	)			(0.26	)
	Distributions to shareholders from net realized gains			(0.73	)			(0.72	)			(0.78	)			(0.78	)			(0.65	)
	Distributions to shareholders from return of capital			—	(b)			—				—				—	(b)			—
	Total distributions			(0.97	)			(0.94	)			(0.99	)			(1.02	)			(0.91	)
	Net asset value, end of period		$	14.88			$	13.07			$	16.37			$	14.15			$	13.34
	Total return(c)			21.44	%			(14.59	)%			22.93	%			14.05	%			25.07	%
	Net assets, end of period (in 000s)		$	719,967			$	605,229			$	703,803			$	593,220			$	679,431
	Ratio of net expenses to average net assets			0.68	%			0.70	%			0.70	%			0.72	%			0.74	%
	Ratio of total expenses to average net assets			0.75	%			0.76	%			0.75	%			0.77	%			0.76	%
	Ratio of net investment income to average net assets			1.58	%			1.53	%			1.34	%			1.76	%			2.03	%
	Portfolio turnover rate(d)			30	%			38	%			19	%			39	%			26	%

(a) Calculated based on the average shares outstanding methodology.

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

(c) Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares.

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

  

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

GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II

 

 

Notes to Financial Statements

December 31, 2023

 

 

 

 

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
International Equity Dividend and Premium and U.S. Equity Dividend and Premium	A, C, Institutional, Investor, R6 and P	Diversified

Class A Shares are sold with a front-end sales charge of up to 5.50%. Class C Shares are sold with a contingent deferred sales charge (“CDSC”) of 1.00%, which is imposed on redemptions made within 12 months of purchase. Institutional, Investor, Class R6 and Class P Shares are not subject to a sales charge.

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

2. SIGNIFICANT ACCOUNTING POLICIES

The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions. Each Fund is an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies.

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

B.  Investment Income and Investments — Investment income includes interest income, dividend income, and securities lending income, if any. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the securities received. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Investment income is recorded net of any foreign withholding taxes, less any amounts reclaimable. The Funds may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. These reclaims, if any, are recorded when the amount is known and there are no significant uncertainties on collectability. Such amounts recovered, if any, are reflected as other income in the Statements of Operations. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments. Distributions received from the Funds’ investments in U.S. real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain and/or a return of capital. A return of capital is recorded by the Funds as a reduction to the cost basis of the REIT.

For derivative contracts, unrealized gains and losses are recorded daily and become realized gains and losses upon disposition or termination of the contract.

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

  

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Notes to Financial Statements (continued)

December 31, 2023

 

 

 

2. SIGNIFICANT ACCOUNTING POLICIES (continued)

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

Fund	Income Distributions Declared/Paid	Capital Gains Distributions Declared/Paid
International Equity Dividend and Premium, U.S. Equity Dividend and Premium	Quarterly	Annually

Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.

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

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

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS

U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the Funds’ policy is to use the market approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:

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

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

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

The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Funds, including investments for which market quotations are not readily available. With respect to the Funds’ investments that do not have readily available market quotations, the Trustees have designated GSAM as the valuation designee to perform fair

  

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3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

valuations pursuant to Rule 2a-5 under the Investment Company Act of 1940 (the “Valuation Designee”). GSAM has day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Funds’ investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.

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

Equity Securities — Equity securities traded on a United States (“U.S.”) securities exchange or the NASDAQ system, or those located on certain foreign exchanges, including but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If there is no sale or official closing price or such price is believed by GSAM to not represent fair value, equity securities will be valued at the valid closing bid price for long positions and at the valid closing ask price for short positions (i.e. where there is sufficient volume, during normal exchange trading hours). If no valid bid/ask price is available, the equity security will be valued pursuant to the Valuation Procedures and consistent with applicable regulatory guidance. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2. Certain equity securities containing unique attributes may be classified as Level 2.

Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price for long positions or the last ask price for short positions, and are generally classified as Level 2. Securities traded on certain foreign securities exchanges are valued daily at fair value determined by an independent fair value service (if available) under the Valuation Procedures and consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchange. These investments are generally classified as Level 2 of the fair value hierarchy.

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

Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. A Fund enters into derivative transactions to hedge against changes in interest rates, securities prices, and/or currency exchange rates, to increase total return, or to gain access to certain markets or attain exposure to other underliers. For financial reporting purposes, cash collateral that has been pledged to cover obligations of a Fund and cash collateral received, if any, is reported separately on the Statements of Assets and Liabilities as either due to broker/receivable for collateral on certain derivative contracts. Non-cash collateral pledged by a Fund, if any, is noted in the Schedules of Investments.

Exchange-traded derivatives, including futures and options contracts, are generally valued at the last sale or settlement price on the exchange where they are principally traded. Exchange-traded options without settlement prices are generally valued at the midpoint of the bid and ask prices on the exchange where they are principally traded (or, in the absence of two-way trading, at the last bid price for long positions and the last ask price for short positions). Exchange-traded derivatives typically fall within Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be

  

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Notes to Financial Statements (continued)

December 31, 2023

 

 

 

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

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

i. Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security. Upon entering into a futures contract, a Fund deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by a Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.

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

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

B. Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of a Fund’s investments may be determined under the Valuation Procedures. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining a Fund’s NAV. To the extent investments are valued using single source broker quotations obtained directly from the broker or passed through from third party pricing vendors, such investments are classified as Level 3 investments.

C. Fair Value Hierarchy — The following is a summary of the Funds’ investments and derivatives classified in the fair value hierarchy as of December 31, 2023:

INTERNATIONAL EQUITY DIVIDEND AND PREMIUM
Investment Type	Level 1			Level 2		Level 3
Assets
Common Stock and/or Other Equity Investments(a)
Asia	$	127,412		$	38,822,515	$	—
Australia and Oceania		1,334,652			13,694,224		—
Europe		11,949,744			87,253,638		—
North America		67,068			107,209		—
Preferred Stocks		—			2,248,444		—
Securities Lending Reinvestment Vehicle		1,285,948			—		—
Total	$	14,764,824		$	142,126,030	$	—
Derivative Type
Liabilities
Futures Contracts(b)	$	(748	)	$	—	$	—
Written Option Contracts		(1,365,012	)		—		—
Total	$	(1,365,760	)	$	—	$	—

  

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GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II

 

 

 

 

 

 

 

 

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

U.S. EQUITY DIVIDEND AND PREMIUM
Investment Type	Level 1			Level 2		Level 3
Assets
Common Stock and/or Other Equity Investments(a)
Europe	$	115,734,440		$	—	$	—
North America		3,032,218,851			—		—
Securities Lending Reinvestment Vehicle		197,500			—		—
Investment Company		54,916,205			—		—
Total	$	3,203,066,996		$	—	$	—
Derivative Type
Liabilities
Futures Contracts(b)	$	(358,112	)	$	—	$	—
Written Option Contracts		(71,372,475	)		—		—
Total	$	(71,730,587	)	$	—	$	—

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

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

4. INVESTMENTS IN DERIVATIVES

The following tables set forth, by certain risk types, the gross value of derivative contracts (not considered to be hedging instruments for accounting disclosure purposes) as of December 31, 2023. These instruments were used as part of the Funds’ investment strategies and to obtain and/or manage exposure related to the risks below. The values in the tables below exclude the effects of cash collateral received or posted pursuant to these derivative contracts, and therefore are not representative of the Funds’ net exposure.

International Equity Dividend and Premium
Risk	Statements of Assets and Liabilities	Assets	Statements of Assets and Liabilities	Liabilities
Equity		$—	Variation margin on futures contracts; Written options, at value	$	(1,365,760	)(a)
U.S. Equity Dividend and Premium
Risk	Statements of Assets and Liabilities	Assets	Statements of Assets and Liabilities	Liabilities
Equity		$—	Variation margin on futures contracts and Written options, at value	$	(71,730,587	)(a)

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

The following tables set forth, by certain risk types, the Funds’ gains (losses) related to these derivatives and their indicative volumes for the fiscal year ended December 31, 2023. These gains (losses) should be considered in the context that these derivative contracts may have been executed to create investment opportunities and/or economically hedge certain investments, and

  

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Notes to Financial Statements (continued)

December 31, 2023

 

 

 

4. INVESTMENTS IN DERIVATIVES (continued)

accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statements of Operations:

International Equity Dividend and Premium
Risk	Statements of Operations	Net Realized Gain (Loss)			Net Change in Unrealized Gain (Loss)
Equity	Net realized gain (loss) from futures contracts and written options/Net change in unrealized gain (loss) on futures contracts and written options	$	(1,650,288	)	$	(244,569	)
U.S. Equity Dividend and Premium
Risk	Statements of Operations	Net Realized Gain (Loss)			Net Change in Unrealized Gain (Loss)
Equity	Net realized gain (loss) from futures contracts and written options/Net change in unrealized gain (loss) on futures contracts and written options	$	(31,985,993	)	$	(61,210,651	)

For the fiscal year ended December 31, 2023, the relevant values for each derivative type were as follows:

	Average Number of Contracts or Shares/Units(a)
Fund	Futures Contracts		Written Options
International Equity Dividend and Premium		21		9,219
U.S. Equity Dividend and Premium		209		275,150

(a) Amounts disclosed represent average number of contracts for futures contracts, or shares/units outstanding for written options, based on absolute values, which is indicative of volume for this derivative type, for the months that each Fund held such derivatives during the Fiscal year ended December 31, 2023.

5. AGREEMENTS AND AFFILIATED TRANSACTIONS

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

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

For the fiscal year ended December 31, 2023, contractual and effective net management fees with GSAM were at the following rates:

	Contractual Management Rate
Fund	First $1 billion			Next $1 billion			Next $3 billion			Next $3 billion			Over $8 billion			Effective Rate			Effective Net Management Rate#
International Equity Dividend and Premium		0.81	%		0.73	%		0.69	%		0.68	%		0.67	%		0.81	%		0.81%
U.S. Equity Dividend and Premium		0.75			0.68			0.65			0.64			0.63			0.70			0.64*

^#  The Effective Net Management Rate includes the impact of management fee waivers of affiliated underlying funds, if any.

* GSAM has agreed to waive a portion of its management fee in order to achieve an effective net management fee rate of 0.64% as an annual percentage of the Fund’s average daily net assets. Prior to April 28, 2023, GSAM agreed to waive 0.04% of its management fee. This arrangement will remain in effect through at least April 28, 2024, and prior to such date, the Investment Adviser may not terminate the arrangement without the approval of the Trustees.

  

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5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

The International Equity Dividend and Premium Fund and U.S. Equity Dividend and Premium Fund invest in Institutional Shares of the Goldman Sachs Financial Square Government Fund, which is an affiliated Underlying Fund. GSAM has agreed to waive a portion of its management fee payable by the Funds in an amount equal to the management fee it earns as an investment adviser to the affiliated Underlying Fund in which the Funds invest, except those management fees it earns from the Funds’ investments of cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund. For the fiscal year ended December 31, 2023, GSAM waived $320 and $61,201 of the management fee for the International Equity Dividend and Premium Fund and U.S. Equity Dividend and Premium Fund, respectively.

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

The Trust, on behalf of Class C Shares of each applicable Fund, has adopted a Distribution Plan subject to Rule 12b-1 under the Act. Under the Distribution Plan, Goldman Sachs as Distributor is entitled to a fee accrued daily and paid monthly for distribution services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class C Shares of the Funds, as set forth below.

	Distribution and/or Service Plan Rates
	Class A	Class C
Distribution and/or Service Plan	0.25%	0.75%

C. Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Funds pursuant to a Distribution Agreement, may retain a portion of the Class A Shares’ front end sales charge and Class C Shares’ CDSC. During the fiscal year ended December 31, 2023, Goldman Sachs did not retain any of the Class C Shares’ CDSC. During the fiscal year ended December 31, 2023, Goldman Sachs retained the following amounts:

	Front End Sales Charge
Fund	Class A
International Equity Dividend and Premium	$	66
U.S. Equity Dividend and Premium		33,873

D. Service Plan — The Trust, on behalf of each applicable Fund, has adopted a Service Plan to allow Class C Shares to compensate service organizations (including Goldman Sachs) for providing varying levels of personal and account maintenance services to their customers who are beneficial owners of such shares. The Service Plan provides for compensation to the service organizations equal to an annual percentage rate of 0.25% of the average daily net assets attributable to Class C Shares of the Funds.

E. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Funds for a fee pursuant to the Transfer Agency Agreement. The fees charged for such transfer agency services are accrued daily and paid monthly at annual rates as follows: 0.15% of the average daily net assets of Class A, Class C and Investor Shares; 0.03% of the average daily net assets of Class R6 and Class P Shares; and 0.04% of the average daily net assets of Institutional Shares. Prior to July 1, 2023, fees charged for such transfer agency services were 0.16% of the average daily net assets of Class A, Class C and Investor Shares.

Goldman Sachs has agreed to waive a portion of its transfer agency fee (a component of “Other Expenses”) equal to 0.06% and 0.04% as an annual percentage rate of the average daily net assets attributable to Class A, Class C and Investor Shares of the International Equity Dividend and Premium and U.S. Equity Dividend and Premium Funds, respectively. These arrangements will

  

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GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II

 

 

Notes to Financial Statements (continued)

December 31, 2023

 

 

 

5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

remain in effect through at least April 28, 2024, and prior to such date, Goldman Sachs may not terminate the arrangements without the approval of the Board of Trustees. Prior to April 28, 2023, Goldman Sachs waived its transfer agent fee equal to 0.03% of the International Equity Dividend and Premium Fund.

F. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to reduce or limit certain “Other Expenses” of the Funds (excluding acquired fund fees and expenses, transfer agency fees and expenses, service fees and shareholder administration fees (as applicable), taxes, interest, brokerage fees, expenses of shareholder meetings, litigation and indemnification, and extraordinary expenses) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of each Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Funds are not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. The Other Expense limitations as an annual percentage rate of average daily net assets for the International Equity Dividend and Premium and U.S. Equity Dividend and Premium Funds are 0.044% and 0.004%, respectively. These Other Expense limitations will remain in place through at least April 28, 2024, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. In addition, the Funds have entered into certain offset arrangements with the transfer agent, which may result in a reduction of the Funds’ expenses and are received irrespective of the application of the “Other Expense” limitations described above. Prior to April 28, 2023, the Other Expense limitations as an annual percentage rate of average daily net assets for the U.S. Equity Dividend and Premium Funds was 0.014%.

Goldman Sachs may voluntarily waive a portion of any payments under a Fund’s Distribution and Service Plan and Transfer Agency Agreement, and these waivers are in addition to what is stipulated in any contractual fee waiver arrangements (as applicable). These temporary waivers may be modified or terminated at any time at the option of Goldman Sachs without shareholder approval.

For the fiscal year ended December 31, 2023, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:

Fund	Management Fee Waiver	Transfer Agency Waivers/Credits	Other Expense Reimbursements	Total Expense Reductions
International Equity Dividend and Premium	$      320	$  1,773	$246,324	$  248,417
U.S. Equity Dividend and Premium	1,505,010	277,563	360,537	2,143,110

G. Line of Credit Facility — As of December 31, 2023, the Funds participated in a $1,110,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. For the fiscal year ended December 31, 2023, the Funds did not have any borrowings under the facility. Prior to April 19, 2023, the facility was $1,250,000,000.

H. Other Transactions with Affiliates — As of December 31, 2023, the following Goldman Sachs Funds were beneficial owners of 5% or more of total outstanding shares of the following Funds:

Fund	Goldman Sachs Enhanced Dividend Global Equity Portfolio
International Equity Dividend and Premium		50%
U.S. Equity Dividend and Premium		7

  

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5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

The following table provides information about the Funds’ investments in the Goldman Sachs Financial Square Government Fund as of and for the fiscal year ended December 31, 2023:

Fund	Underlying Fund	Beginning Value as of December 31, 2022		Purchases at Cost		Proceeds from Sales			Ending Value as of December 31, 2023		Shares as of December 31, 2023		Dividend Income
International Equity Dividend and Premium	Goldman Sachs Financial Square Government Fund - Institutional Shares	$	—	$	5,220,501	$	(5,220,501	)	$	—		—	$	9,330
U.S. Equity Dividend and Premium	Goldman Sachs Financial Square Government Fund - Institutional Shares		25,633,271		450,608,015		(421,325,081	)		54,916,205		54,916,205		1,847,202

6. PORTFOLIO SECURITIES TRANSACTIONS

The cost of purchases and proceeds from sales and maturities of long-term securities for the fiscal year ended December 31, 2023, were as follows:

Fund	Purchases (Excluding U.S. Government and Agency Obligations)	Sales and Maturities of (Excluding U.S. Government and Agency Obligations)
International Equity Dividend and Premium	$  25,819,408	$  28,770,982
U.S. Equity Dividend and Premium	883,747,003	964,062,865

7. SECURITIES LENDING

Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) and the terms and conditions contained therein, the U.S. Equity Dividend and Premium and International Equity Dividend and Premium Funds may lend their securities through a securities lending agent, Goldman Sachs Agency Lending (“GSAL”), a wholly-owned subsidiary of Goldman Sachs, to certain qualified borrowers including Goldman Sachs and affiliates. In accordance with the Funds’ securities lending procedures, the Funds receive cash collateral at least equal to the market value of the securities on loan. The market value of the loaned securities is determined at the close of business of the Funds, at their last sale price or official closing price on the principal exchange or system on which they are traded, and any additional required collateral is delivered to the Funds on the next business day. As with other extensions of credit, the Funds may experience delay in the recovery of their securities or incur a loss should the borrower of the securities breach its agreement with the Funds or become insolvent at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan. Dividend income received from securities on loan may not be subject to withholding taxes and therefore withholding taxes paid may differ from the amounts listed in the Statements of Operations. Loans of securities are terminable at any time and as such 1) the remaining contractual maturities of the outstanding securities lending transactions are considered to be overnight and continuous and 2) the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.

The U.S. Equity Dividend and Premium and International Equity Dividend and Premium Funds invest the cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund (“Government Money Market Fund”), an affiliated series of the Goldman Sachs Trust. The Government Money Market Fund is registered under the Act as an open end investment company, is subject to Rule 2a-7 under the Act, and is managed by GSAM, for which GSAM may receive a management fee of up to 0.16% on an annualized basis of the average daily net assets of the Government Money Market Fund.

  

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Notes to Financial Statements (continued)

December 31, 2023

 

 

 

7. SECURITIES LENDING (continued)

In the event of a default by a borrower with respect to any loan, GSAL will exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If GSAL is unable to purchase replacement securities, GSAL will indemnify the Funds by paying the Funds an amount equal to the market value of the securities loaned minus the value of cash collateral received from the borrower for the loan, subject to an exclusion for any shortfalls resulting from a loss of value in such cash collateral due to reinvestment risk. The Funds’ master netting agreements with certain borrowers provide the right, in the event of a default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate net exposure to the defaulting party or request additional collateral. However, in the event of a default by a borrower, a resolution authority could determine that such rights are not enforceable due to the restrictions or prohibitions against the right of set-off that may be imposed in accordance with a particular jurisdiction’s bankruptcy or insolvency laws. The Funds’ loaned securities were all subject to enforceable Securities Lending Agreements and the value of the collateral was at least equal to the value of the cash received. The amounts of the Funds’ overnight and continuous agreements, which represent the gross amounts of recognized liabilities for securities lending transactions outstanding as of December 31, 2023, are disclosed as “Payable upon return of securities loaned” on the Statements of Assets and Liabilities, where applicable.

Each of the Funds and GSAL received compensation relating to the lending of the Funds’ securities. The amounts earned, if any, by the Funds for the fiscal year ended December 31, 2023, are reported under Investment Income on the Statements of Operations.

The table below details securities lending activity with affiliates of Goldman Sachs:

	For the Fiscal Year Ended December 31, 2023
Fund	Earnings of GSAL Relating to Securities Loaned	Amounts Received by the Funds from Lending to Goldman Sachs	Amounts Payable to Goldman Sachs Upon Return of Securities Loaned as of December 31, 2023
International Equity Dividend and Premium	$2,581	$23,231	$    —
U.S. Equity Dividend and Premium	8,901	80,118	92,200

The following table provides information about the Funds’ investments in the Government Money Market Fund for the fiscal year ended December 31, 2023:

Fund	Beginning Value as of December 31, 2022	Purchases at cost	Proceeds from Sales	Ending Value as of December 31, 2023	Shares as of December 31, 2023
International Equity Dividend And Premium Fund	$   44,400	$11,737,827	$(10,496,279)	$1,285,948	1,285,948
U.S. Equity Dividend And Premium Fund	1,348,630	7,727,031	(8,878,161)	197,500	197,500

  

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GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II

 

 

 

 

 

 

 

8. TAX INFORMATION

The tax character of distributions paid during the fiscal year ended December 31, 2023 was as follows:

	International Equity Dividend and Premium Fund		U.S. Equity Dividend and Premium Fund
Distributions paid from:
Ordinary income		$5,514,353		$  52,622,981
Net long-term capital gains		—		139,376,508
Total taxable distributions		$5,514,353		$191,999,489
Tax return of capital		$       —		$    991,060

  The tax character of distributions paid during the fiscal year ended December 31, 2022 was as follows:

	International Equity Dividend and Premium Fund		U.S. Equity Dividend and Premium Fund
Distributions paid from:
Ordinary income		$5,869,709		$ 51,716,801
Net long-term capital gains		—		129,165,165
Total taxable distributions		$5,869,709		$180,881,966
Tax return of capital		$  771,059		$        —

  As of the Funds’ most recent fiscal year end, December 31, 2023, the Funds’ capital loss carryforwards and certain timing differences on a tax basis were as follows:

	International Equity Dividend and Premium Fund	U.S. Equity Dividend and Premium Fund
Undistributed ordinary income — net	$    47,070	$        —
Capital loss carryforwards:
Perpetual Short-Term	(8,892,027)	—
Perpetual Long-Term	(72,876,730)	—
Total capital loss carryforwards	(81,768,757)	—
Timing differences(Real Estate Investment Trusts/Late Year Loss Deferral and Post October Capital Loss Deferral)	$  (919,525)	$(51,405,965)
Unrealized gains (loss) — net	32,047,357	857,427,495
Total accumulated earnings (loss) net	$(50,593,855)	$806,021,530

  As of December 31, 2023, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:

	International Equity Dividend and Premium Fund	U.S. Equity Dividend and Premium Fund
Tax Cost	$124,922,976	$2,299,548,699
Gross unrealized gain	39,354,352	935,918,250
Gross unrealized loss	(7,306,995)	(78,490,755)
Net unrealized gain	$ 32,047,357	$ 857,427,495

  

51

GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II

 

 

Notes to Financial Statements (continued)

December 31, 2023

 

 

8. TAX INFORMATION (continued)

  The difference between GAAP-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales, net mark to market gains (losses) on regulated futures and options contracts, and differences in the tax treatment of partnership investments and passive foreign investment company investments.

  The International Equity Dividend and Premium Fund reclassed $71,954 from paid in capital to distributable earnings for the year ending December 31, 2023. In order to present certain components of the Fund’s capital accounts on a tax-basis, certain reclassifications have been recorded to the Fund’s accounts. These reclassifications have no impact on the net asset value of the Fund’s and result primarily from differences in the tax treatment of underlying fund investments.

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

9. OTHER RISKS

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

Dividend-Paying Investments Risk — A Fund’s investments in dividend-paying securities could cause a Fund to underperform other funds. Securities that pay dividends, as a group, can fall out of favor with the market, causing such securities to underperform securities that do not pay dividends. Depending upon market conditions and political and legislative responses to such conditions, dividend-paying securities that meet a Fund’s investment criteria may not be widely available and/or may be highly concentrated in only a few market sectors. In addition, issuers that have paid regular dividends or distributions to shareholders may not continue to do so at the same level or at all in the future. This may limit the ability of a Fund to produce current income.

Foreign and Emerging Countries Risk — Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of more or less foreign government regulation; less public information; less stringent investor protections; less stringent accounting, corporate governance, financial reporting and disclosure standards; and less economic, political and social stability in the countries in which the Fund invests. The imposition of sanctions, exchange controls (including repatriation restrictions), confiscation of assets and property, trade restrictions (including tariffs) and other government restrictions by the U.S. or other governments, or from problems in registration, settlement or custody, may also result in losses. The type and severity of sanctions and other similar measures, including counter sanctions and other retaliatory actions, that may be imposed could vary broadly in scope, and their impact is impossible to predict. For example, the imposition of sanctions and other similar measures could, among other things, cause a decline in the value and/or liquidity of securities issued by the sanctioned country or companies located in or economically tied to the sanctioned country and increase market volatility and disruption in the sanctioned country and throughout the world. Sanctions and other similar measures could limit or prevent the Fund from buying and selling securities (in the sanctioned country and other markets), significantly delay or prevent the settlement of securities transactions, and significantly impact a Fund’s liquidity and performance. Foreign risk also involves the risk of negative foreign currency rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which the Fund has exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time. To the extent that a Fund also invests in securities of issuers located in, or economically tied to, emerging markets, these risks may be more pronounced.

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

  

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GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II

 

 

 

 

 

 

 

9. OTHER RISKS (continued)

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

Management Risk — A strategy used by the Investment Adviser may fail to produce the intended results.

Market Risk— The value of the securities in which the Fund invests may go up or down in response to the prospects of individual companies, particular sectors or governments and/or general economic conditions throughout the world due to increasingly interconnected global economies and financial markets. Events such as war, military conflict, acts of terrorism, social unrest, natural disasters, recessions, inflation, rapid interest rate changes, supply chain disruptions, sanctions, the spread of infectious illness or other public health threats could also significantly impact the Fund and its investments.

Option Writing Risk — Writing (selling) options may limit the opportunity to profit from an increase or decrease in the market value of a reference security in exchange for up-front cash (the premium) at the time of selling the option. In a sharp rising or falling market, the Fund could significantly underperform the market or other portfolios without an option writing strategy. The Fund could also experience a sudden, significant permanent loss due to dramatic movements in the market value of reference security, which may far exceed the premiums received for writing the option. Such significant losses could cause significant deteriorations in the Fund’s NAV. Furthermore, the premium received from the Fund’s option writing strategies may not fully protect it against market movements because the Fund will continue to bear the risk of movements in the value of its portfolio investments.

Tax-Managed Investment Risk — Because the Investment Adviser balances investment considerations and tax considerations, the pre-tax performance of the Goldman Sachs Tax-Advantaged Global Equity Portfolio may be lower than the performance of similar funds that are not tax-managed. This is because the Investment Adviser may choose not to make certain investments that may result in taxable distributions to the Goldman Sachs Tax-Advantaged Global Equity Portfolio. Even though tax managed strategies are being used, they may not reduce the amount of taxable income and capital gains distributed by the Goldman Sachs Tax-Advantaged Global Equity Portfolio to shareholders.

10. 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.

11. OTHER MATTERS

Pursuant to an effort to consolidate the membership of the Board of Trustees of the Trust (the “Board”) with the Board of Trustees of each of Goldman Sachs ETF Trust, Goldman Sachs ETF Trust II, Goldman Sachs Real Estate Diversified Income Fund, Goldman Sachs Trust II and Goldman Sachs Variable Insurance Trust, in July 2023, the Board voted to nominate Cheryl K. Beebe, John G. Chou, Eileen H. Dowling, Lawrence Hughes, John F. Killian, Steven D. Krichmar, Michael Latham, Lawrence W.

  

53

GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II

 

 

Notes to Financial Statements (continued)

December 31, 2023

 

 

11. OTHER MATTERS (continued)

Stranghoener and Paul C. Wirth (the “Nominees”) for election as Trustees of the Trust. Messrs. Chou and Wirth and Ms. Dowling were serving as Trustees of the Trust at the time of their nominations. At a virtual special joint meeting of shareholders held on November 16, 2023, each of the Nominees (except Messrs. Chou and Wirth and Ms. Dowling) was elected to serve as Trustees alongside the then current Trustees of the Trust, effective January 1, 2024. Each of Messrs. Chou and Wirth and Ms. Dowling was also elected at the meeting and continue to serve as Trustees of the Trust.

12. SUBSEQUENT EVENTS

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

  

54  

GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II

 

 

 

 

 

 

 

13. SUMMARY OF SHARE TRANSACTIONS

Share activity is as follows:

	International Equity Dividend and Premium Fund
	For the Fiscal Year Ended						For the Fiscal Year Ended
	December 31, 2023						December 31, 2022
	Shares			Dollars			Shares			Dollars
Class A Shares
Shares sold		12,025		$	84,952			28,023		$	181,941
Reinvestment of distributions		8,139			55,946			11,228			70,448
Shares redeemed		(33,126	)		(225,870	)		(84,566	)		(541,349	)
		(12,962	)		(84,972	)		(45,315	)		(288,960	)
Class C Shares
Shares sold		794			5,265			4,220			28,668
Reinvestment of distributions		689			4,551			1,278			7,710
Shares redeemed		(8,594	)		(57,564	)		(22,356	)		(143,638	)
		(7,111	)		(47,748	)		(16,858	)		(107,260	)
Institutional Shares
Shares sold		122,117			836,732			80,986			548,621
Reinvestment of distributions		14,265			95,941			18,737			114,899
Shares redeemed		(72,030	)		(493,814	)		(165,697	)		(1,023,925	)
		64,352			438,859			(65,974	)		(360,405	)
Investor Shares
Shares sold		102,799			683,914			28,803			173,491
Reinvestment of distributions		9,328			62,461			13,812			84,783
Shares redeemed		(143,725	)		(955,673	)		(546,494	)		(3,781,060	)
		(31,598	)		(209,298	)		(503,879	)		(3,522,786	)
Class R6 Shares
Shares sold		13			84			1,143,517			7,318,612
Reinvestment of distributions		411,294			2,764,257			548,351			3,358,387
Shares redeemed		(473,941	)		(3,266,308	)		(3,233,966	)		(20,655,706	)
		(62,634	)		(501,967	)		(1,542,098	)		(9,978,707	)
Class P Shares
Shares sold		518,046			3,537,357			1,011,964			6,331,590
Reinvestment of distributions		367,584			2,476,366			476,539			2,925,721
Shares redeemed		(1,341,664	)		(9,096,219	)		(2,332,834	)		(14,543,842	)
		(456,034	)		(3,082,496	)		(844,331	)		(5,286,531	)
NET DECREASE		(505,987	)	$	(3,487,622	)		(3,018,455	)	$	(19,544,649	)

  

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GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II

 

 

Notes to Financial Statements (continued)

December 31, 2023

 

 

13. SUMMARY OF SHARE TRANSACTIONS (continued)

	U.S. Equity Dividend and Premium Fund
	For the Fiscal Year Ended					For the Fiscal Year Ended
	December 31, 2023					December 31, 2022
	Shares			Dollars		Shares			Dollars
Class A Shares
Shares sold	2,107,608		$	30,414,025		3,146,086		$	45,888,253
Reinvestment of distributions	610,621			9,000,171		632,453			8,655,361
Shares redeemed	(2,493,795	)		(35,600,722	)	(3,393,740	)		(48,285,060	)
	224,434			3,813,474		384,799			6,258,554
Class C Shares
Shares sold	502,239			7,248,548		493,517			7,179,638
Reinvestment of distributions	241,256			3,545,109		288,119			3,916,606
Shares redeemed	(1,583,819	)		(22,777,934	)	(1,875,786	)		(26,863,382	)
	(840,324	)		(11,984,277	)	(1,094,150	)		(15,767,138	)
Institutional Shares
Shares sold	19,466,138			278,435,415		22,570,666			323,362,540
Reinvestment of distributions	5,186,511			76,117,613		5,063,940			69,120,715
Shares redeemed	(21,395,176	)		(307,013,838	)	(23,006,678	)		(328,725,682	)
	3,257,473			47,539,190		4,627,928			63,757,573
Investor Shares
Shares sold	8,836,939			126,421,798		9,374,564			134,822,661
Reinvestment of distributions	2,015,342			29,614,250		2,048,961			27,976,575
Shares redeemed	(9,944,613	)		(143,294,374	)	(9,019,169	)		(128,964,800	)
	907,668			12,741,674		2,404,356			33,834,436
Class R6 Shares
Shares sold	259,341			3,708,165		4,163,853			58,157,672
Reinvestment of distributions	1,052,941			15,450,891		1,087,932			14,837,730
Shares redeemed	(2,291,462	)		(33,112,466	)	(2,567,472	)		(37,056,923	)
	(979,180	)		(13,953,410	)	2,684,313			35,938,479
Class P Shares
Shares sold	3,428,434			48,911,076		5,740,301			79,495,011
Reinvestment of distributions	3,066,242			44,993,383		2,960,687			40,415,122
Shares redeemed	(4,403,511	)		(63,686,820	)	(5,402,384	)		(76,116,918	)
	2,091,165			30,217,639		3,298,604			43,793,215
NET INCREASE	4,661,236		$	68,374,290		12,305,850		$	167,815,119

  

56

 

 

 

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Goldman Sachs Trust and Shareholders of Goldman Sachs International Equity Dividend and Premium Fund and Goldman Sachs U.S. Equity Dividend and Premium Fund

Opinions on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Goldman Sachs International Equity Dividend and Premium Fund and Goldman Sachs U.S Equity Dividend and Premium Fund (two of the funds constituting Goldman Sachs Trust, hereafter collectively referred to as the “Funds”) as of December 31, 2023, the related statements of operations for the year ended December 31, 2023, the statements of changes in net assets for each of the two years in the period ended December 31, 2023, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2023 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2023, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended December 31, 2023 and each of the financial highlights for each of the five years in the period ended December 31, 2023 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinions

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2023 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/ PricewaterhouseCoopers LLP

Boston, Massachusetts

February 23, 2024

We have served as the auditor of one or more investment companies in the Goldman Sachs funds complex since 2000.

  

  57

GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II

Fund Expenses — Six Month Period Ended December 31, 2023 (Unaudited)

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

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2023 through December 31, 2023, which represents a period of 184 days of a 365-day year. This projection assumes that annualized expense ratios were in effect during the period.

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

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

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

	International Equity Dividend and Premium Fund									U.S. Equity Dividend and Premium Fund
Share Class	Beginning  Account Value 7/1/23			Ending  Account  Value 12/31/23			Expenses Paid for the  6 months ended  12/31/23*			Beginning  Account Value 7/1/23			Ending Account Value 12/31/23			Expenses Paid for the  6 months ended  12/31/23*
Class A
Actual		$1,000.00			$1,067.50			$ 6.23			$1,000.00			$1,058.80			$5.21
Hypothetical 5% return		1,000.00			1,019.20	+		6.08			1,000.00			1,020.10	+		5.11
Class C
Actual		1,000.00			1,063.20			10.12			1,000.00			1,054.70			9.08
Hypothetical 5% return		1,000.00			1,015.40	+		9.89			1,000.00			1,016.40	+		8.92
Institutional
Actual		1,000.00			1,069.40			4.67			1,000.00			1,060.10			3.55
Hypothetical 5% return		1,000.00			1,020.70	+		4.56			1,000.00			1,021.70	+		3.49
Investor
Actual		1,000.00			1,069.30			4.93			1,000.00			1,059.60			3.91
Hypothetical 5% return		1,000.00			1,020.40	+		4.81			1,000.00			1,021.40	+		3.84
Class R6
Actual		1,000.00			1,069.50			4.61			1,000.00			1,060.20			3.50
Hypothetical 5% return		1,000.00			1,020.70	+		4.50			1,000.00			1,021.80	+		3.44
Class P
Actual		1,000.00			1,069.30			4.61			1,000.00			1,060.20			3.50
Hypothetical 5% return		1,000.00			1,020.70	+		4.50			1,000.00			1,021.80	+		3.44

* Expenses for each share class are calculated using each Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended December 31, 2023. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows:

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

Fund	Class A			Class C			Institutional			Investor			Class R6			Class P
International Equity Dividend and Premium		1.20	%		1.95	%		0.90	%		0.95	%		0.89	%		0.89	%
U.S. Equity Dividend and Premium		1.01			1.76			0.69			0.76			0.68			0.68

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GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II

 

 

Voting Results of Annual Meeting of Shareholders (Unaudited)

A Special Meeting of Shareholders (the “Meeting”) of the Goldman Sachs Trust (the “Trust”) was held on November 16, 2023 to consider and elect nominees to the Trust’s Board of Trustees. At the Meeting, Cheryl K. Beebe, Lawrence Hughes, John F. Killian, Steven D. Krichmar, Michael Latham and Lawrence W. Stranghoener were elected to the Trust’s Board of Trustees. In addition, at the Meeting, John G. Chou, Eileen H. Dowling and Paul C. Wirth, each of whom was previously appointed to the Trust’s Board of Trustees rather than elected by shareholders, were elected. In electing the nominees, the Trust’s shareholders voted as follows:

Proposal Election of Trustees	For	Withheld	Abstain
Cheryl K. Beebe	169,452,067,796	5,900,273,020	0
John G. Chou	173,279,757,273	2,072,583,543	0
Eileen H. Dowling	173,287,456,218	2,064,884,598	0
Lawrence Hughes	173,486,691,901	1,865,648,915	0
John F. Killian	173,511,167,174	1,841,173,642	0
Steven D. Krichmar	173,484,256,228	1,868,084,588	0
Michael Latham	173,498,020,286	1,854,320,530	0
Lawrence W. Stranghoener	173,455,949,165	1,896,391,651	0
Paul C. Wirth	173,324,070,424	2,028,270,391	0

  

  59

GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II

 

 

 

Trustees and Officers (Unaudited)

Independent Trustees

Name, Address and Age1	Position(s) Held with the Trust	Term of Office and Length of Time Served2	Principal Occupations During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee3	Other Directorships Held by Trustee4
Gregory G. Weaver Age: 72	Chair of the Board of Trustees	Since 2023 (Trustee since 2015)	Mr. Weaver is retired. He is Director, Verizon Communications Inc. (2015-Present); and was formerly Chairman and Chief Executive Officer, Deloitte & Touche LLP (a professional services firm) (2001-2005 and 2012-2014); and Member of the Board of Directors, Deloitte & Touche LLP (2006-2012).  Chair of the Board of Trustees — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	102	Verizon Communications Inc.
Dwight L. Bush Age: 66	Trustee	Since 2020	The Honorable Dwight Bush is President and CEO of D.L. Bush & Associates (a financial advisory and private investment firm) (2002-2014 and 2017-Present); Director of MoneyLion, Inc. (an operator of a data-driven, digital financial platform) (2021-Present); and was formerly U.S. Ambassador to the Kingdom of Morocco (2014-2017) and a Member of the Board of Directors of Santander Bank, N.A. (2018-2019). Previously, he served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (October 2019-January 2020).  Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	102	MoneyLion, Inc. (an operator of a data-driven, digital financial platform)
Kathryn A. Cassidy Age: 69	Trustee	Since 2015	Ms. Cassidy is retired. She is Director, Vertical Aerospace Ltd. (an aerospace and technology company) (2021-Present). Formerly, Ms. Cassidy was Advisor to the Chairman (May 2014-December 2014); and Senior Vice President and Treasurer (2008-2014), General Electric Company & General Electric Capital Corporation (technology and financial services companies).  Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	102	Vertical Aerospace Ltd. (an aerospace and technology company)
John G. Chou Age: 67	Trustee	Since 2022	Mr. Chou is retired. Formerly, he was Executive Vice President and Special Advisor to the Chairman and CEO (2021-2022); Executive Vice President and Chief Legal Officer (2019-2021); Executive Vice President and Chief Legal & Business Officer (2017-2019); and Executive Vice President and General Counsel (2011-2017) of Cencora, Inc. (a pharmaceutical and healthcare company).  Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	102	None
Joaquin Delgado Age: 63	Trustee	Since 2020	Dr. Delgado is retired. He is Director, Stepan Company (a specialty chemical manufacturer) (2011–Present); and was formerly Director, Hexion Inc. (a specialty chemical manufacturer) (2019–2022); Executive Vice President, Consumer Business Group of 3M Company (July 2016–July 2019); and Executive Vice President, Health Care Business Group of 3M Company (October 2012–July 2016). Previously, Dr. Delgado served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (October 2019– January 2020).  Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	102	Stepan Company (a specialty chemical manufacturer)
Eileen H. Dowling Age: 61	Trustee	Since 2021	Ms. Dowling is retired. Formerly, she was Senior Advisor (April 2021-September 2021); and Managing Director (2013-2021), BlackRock, Inc. (a financial services firm). As Managing Director, she held senior management positions, including Global Head of Global Consultant Relations (2017–2021), Multinational Corporations (2019–2021), the Institutional Product Group (2015–2019) and Institutional Marketing (2013–2016). Ms. Dowling was a member of the Global Operating Committee and Product Executive Committee of BlackRock.  Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	102	None

  

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GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II

 

 

 

Trustees and Officers (Unaudited) (continued)

Independent Trustees

Name, Address and Age1	Position(s) Held with the Trust	Term of Office and Length of Time Served2	Principal Occupations During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee3	Other Directorships Held by Trustee4
Paul C. Wirth Age: 66	Trustee	Since 2022	Mr. Wirth is retired. He is Executive Advisor, My Next Season LLC (a career transition advisory firm) (2023-Present). Formerly, he was Deputy Chief Financial Officer and Principal Accounting Officer (2011-2020); Finance Director and Principal Accounting Officer (2010-2011); and Managing Director, Global Controller, and Chief Accounting Officer (2005-2010) of Morgan Stanley.  Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	102	None

Interested Trustee*

Name, Address and Age1	Position(s) Held with the Trust	Term of Office and Length of Time Served2	Principal Occupations During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee3	Other Directorships Held by Trustee4
James A. McNamara Age: 61	President and Trustee	Since 2007	Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998- December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998). President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs ETF Trust; Goldman Sachs ETF Trust II; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund.	192	None

* Mr. McNamara is considered to be an “Interested Trustee” because he holds positions with Goldman Sachs and owns securities issued by The Goldman Sachs Group, Inc. Mr. McNamara holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor.

¹  Each Trustee may be contacted by writing to the Trustee, c/o Goldman Sachs, 200 West Street, New York, New York, 10282, Attn: Robert Griffith. Information is provided as of December 31, 2023.

²  Subject to such policies as may be adopted by the Board from time-to-time, each Trustee holds office for an indefinite term, until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board or shareholders, in accordance with the Trust’s Declaration of Trust; or (c)the termination of the Trust. The Board has adopted policies which provide that each Independent Trustee shall retire as of December 31st of the calendar year in which he or she reaches (a) his or her 75th birthday or (b) the 15th anniversary of the date he or she became a Trustee, whichever is earlier, unless a waiver of such requirements shall have been adopted by a majority of the other Trustees. These policies may be changed by the Trustees without shareholder vote.

³  The Goldman Sachs Fund Complex includes certain other companies listed above for each respective Trustee. As of December 31, 2023, Goldman Sachs Trust consisted of 87 portfolios; Goldman Sachs Variable Insurance Trust consisted of 15 portfolios (11 of which offered shares to the public); Goldman Sachs Trust II consisted of 18 portfolios (7 of which offered shares to the public); Goldman Sachs ETF Trust consisted of 68 portfolios (37 of which offered shares to the public); Goldman Sachs ETF Trust II consisted of 2 portfolios; and Goldman Sachs Credit Income Fund and Goldman Sachs Real Estate Diversified Income Fund each consisted of one portfolio. Goldman Sachs Credit Income Fund did not offer shares to the public.

⁴  This column includes only directorships of companies required to report to the Securities and Exchange Commission under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act.

Information as of the date of this shareholder report. Additional information about the Trustees is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384.

  

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GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II

 

 

 

Trustees and Officers (Unaudited) (continued)

Officers of the Trust*

Name, Address and Age1	Position(s) Held with the Trust	Term of Office and Length of Time Served2	Principal Occupations During Past 5 Years
James A. McNamara 200 West Street New York, NY 10282 Age: 61	President and Trustee	Since 2007	Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998). President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs ETF Trust; Goldman Sachs ETF Trust II; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund.
Joseph F. DiMaria 30 Hudson Street Jersey City, NJ 07302 Age: 55	Treasurer, Principal Financial Officer and Principal Accounting Officer	Since 2017 (Treasurer and Principal Financial Officer since 2019)	Managing Director, Goldman Sachs (November 2015-Present) and Vice President — Mutual Fund Administration, Columbia Management Investment Advisers, LLC (May 2010-October 2015). Treasurer, Principal Financial Officer and Principal Accounting Officer — Goldman Sachs Trust (previously Assistant Treasurer (2016)); Goldman Sachs Variable Insurance Trust (previously Assistant Treasurer (2016)); Goldman Sachs Trust II (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust II; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund.
Robert Griffith 200 West Street New York, NY 10282 Age: 49	Secretary	Since 2023	Managing Director, Goldman Sachs (September 2022 – Present); General Counsel, Exchange Traded Concepts, LLC (October 2021 – September 2022); Vice President, Goldman Sachs (August 2011 – October 2021); Associate General Counsel, Goldman Sachs (December 2014 – Present); Assistant General Counsel, Goldman Sachs (August 2011 – December 2014); Vice President and Counsel, Nomura Holding America, Inc. (2010 – 2011); and Associate, Simpson Thacher & Bartlett LLP (2005 – 2010). Secretary — Goldman Sachs Trust (previously Assistant Secretary (2022)); Goldman Sachs Variable Insurance Trust (previously Assistant Secretary (2022)); Goldman Sachs Trust II (previously Assistant Secretary (2022)); Goldman Sachs ETF Trust (previously Assistant Secretary (2022)); Goldman Sachs ETF Trust II (previously Assistant Secretary (2022)); and Goldman Sachs Real Estate Diversified Income Fund (previously Assistant Secretary (2022)).

* Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-526-7384.

¹  Information is provided as of December 31, 2023.

²  Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor.

Goldman Sachs Trust – Tax-Advantaged II Funds—Tax Information (Unaudited)

For the year ended December 31, 2023, 99.46% of the dividends paid from net investment company taxable income by the U.S. Equity Dividend and Premium Fund qualify for the dividends received deduction available to corporations.

For the year ended December 31, 2023, the International Equity Dividend and Premium has elected to pass through a credit for taxes paid to foreign jurisdictions. The total amount of income received by the International Equity Dividend and Premium Fund from sources within foreign countries and possessions of the United States was $0.2904 per share, all of which is attributable to qualified passive income. The percentage of net investment income dividends paid by the International Equity Dividend and Premium Fund during the year from foreign sources was 99.65%. The total amount of taxes paid by the International Equity Dividend and Premium Fund to such countries was $0.0217 per share.

For the year ended December 31, 2023, 100% and 100% of the dividends paid from net investment company taxable income by the U.S. Equity Dividend and Premium and International Equity Dividend and Premium Funds, respectively, qualify for the reduced tax rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003.

Pursuant to Section 852 of the Internal Revenue Code, the U.S. Equity Dividend and Premium designates $139,376,508 or, if different, the maximum amount allowable, as capital gain dividends paid during the year ended December 31, 2023.

During the year ended December 31, 2023, the U.S. Equity Dividend and Premium Fund designates $8,299,280 as short-term capital gain dividends pursuant to Section 871(k) of the Internal Revenue Code.

  

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FUNDS PROFILE

 

 

 

Goldman Sachs Funds

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

Today, the Asset Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $2.54 trillion in assets under supervision as of December 31, 2023, Goldman Sachs Asset Management has portfolio management teams located around the world and our investment professionals bring firsthand knowledge of local markets to every investment decision. Assets under supervision includes assets under management and other client assets for which Goldman Sachs does not have full discretion. Goldman Sachs Asset Management leverages the resources of Goldman Sachs & Co. LLC subject to legal, internal and regulatory restrictions.

Money Market

Financial Square Funds^SM

∎ Financial Square Treasury Solutions Fund¹

∎ Financial Square Government Fund¹

∎ Financial Square Money Market Fund²

∎ Financial Square Prime Obligations Fund²

∎ Financial Square Treasury Instruments Fund¹

∎ Financial Square Treasury Obligations Fund¹

∎ Financial Square Federal Instruments Fund¹

Investor Funds^SM

∎ Investor Money Market Fund³

∎ Investor Tax-Exempt Money Market Fund³

Fixed Income

Short Duration and Government

∎ Enhanced Income Fund

∎ Short-Term Conservative Income Fund

∎ Short Duration Government Fund

∎ Short Duration Bond Fund

∎ Government Income Fund

∎ Inflation Protected Securities Fund

∎ U.S. Mortgages Fund

Multi-Sector

∎ Bond Fund

∎ Core Fixed Income Fund

∎ Global Core Fixed Income Fund

∎ Strategic Income Fund

∎ Income Fund

Municipal and Tax-Free

∎ High Yield Municipal Fund

∎ Dynamic Municipal Income Fund

∎ Short Duration Tax-Free Fund

∎ Municipal Income Completion Fund

Single Sector

∎ Investment Grade Credit Fund

∎ High Yield Fund

∎ High Yield Floating Rate Fund

∎ Emerging Markets Debt Fund

∎ Emerging Markets Credit Fund⁴

Fixed Income Alternatives

∎ Long Short Credit Strategies Fund

Fundamental Equity

∎ Equity Income Fund

∎ Small Cap Growth Fund

∎ Small Cap Value Fund

∎ Small/Mid Cap Value Fund

∎ Mid Cap Value Fund

∎ Large Cap Value Fund

∎ Focused Value Fund

∎ Large Cap Core Fund

∎ Strategic Growth Fund

∎ Small/Mid Cap Growth Fund

∎ Enhanced Core Equity Fund⁶

∎ Concentrated Growth Fund

∎ Technology Opportunities Fund

∎ Mid Cap Growth Fund

∎ Rising Dividend Growth Fund

∎ U.S. Equity ESG Fund

∎ Income Builder Fund

Tax-Advantaged Equity

∎ U.S. Tax-Managed Equity Fund

∎ International Tax-Managed Equity Fund

∎ U.S. Equity Dividend and Premium Fund

∎ International Equity Dividend and Premium Fund

Equity Insights

∎ Small Cap Equity Insights Fund

∎ U.S. Equity Insights Fund

∎ Small Cap Growth Insights Fund

∎ Large Cap Growth Insights Fund

∎ Large Cap Value Insights Fund

∎ Small Cap Value Insights Fund

∎ International Small Cap Insights Fund

∎ International Equity Insights Fund

∎ Emerging Markets Equity Insights Fund

Fundamental Equity International

∎ International Equity Income Fund

∎ International Equity ESG Fund

∎ China Equity Fund

∎ Emerging Markets Equity Fund

∎ Emerging Markets Equity ex. China Fund

∎ ESG Emerging Markets Equity Fund

Alternative

∎ Clean Energy Income Fund

∎ Real Estate Securities Fund

∎ Commodity Strategy Fund

∎ Global Real Estate Securities Fund

∎ Absolute Return Tracker Fund

∎ Managed Futures Strategy Fund

∎ MLP Energy Infrastructure Fund

∎ Energy Infrastructure Fund

∎ Multi-Strategy Alternatives Fund⁵

∎ Global Infrastructure Fund

Total Portfolio Solutions

∎ Global Managed Beta Fund

∎ Multi-Manager Non-Core Fixed Income Fund

∎ Multi-Manager Global Equity Fund

∎ Multi-Manager International Equity Fund

∎ Tactical Tilt Overlay Fund

∎ Balanced Strategy Portfolio

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

∎ Multi-Manager Real Assets Strategy Fund

∎ Growth and Income Strategy Portfolio

∎ Growth Strategy Portfolio

∎ Dynamic Global Equity Fund

∎ Enhanced Dividend Global Equity Portfolio

∎ Tax-Advantaged Global Equity Portfolio

∎ Strategic Factor Allocation Fund

∎ Strategic Volatility Premium Fund

∎ GQG Partners International Opportunities Fund

¹  You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a bank account or deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor is not required to reimburse the Fund for losses, and you should not expect that the sponsor will provide financial support to the Fund at any time, including during periods of market stress.

²  You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares. Effective October 2, 2024, the Fund generally must impose a fee when net sales of Fund shares exceed certain levels. An investment in the Fund is not a bank account or a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor is not required to reimburse the Fund for losses, and you should not expect that the sponsor will provide financial support to the Fund at any time, including during periods of market stress.

³  You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares. An investment in the Fund is not a bank account or a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor is not required to reimburse the Fund for losses, and you should not expect that the sponsor will provide financial support to the Fund at any time, including during periods of market stress.

⁴  Effective after the close of business on October 31, 2023, the Goldman Sachs Local Emerging Markets Debt Fund was renamed the Goldman Sachs Emerging Markets Credit Fund.

⁵  Effective after the close of business on September 22, 2023, the Goldman Sachs Multi-Manager Alternatives Fund was renamed the Goldman Sachs Multi-Strategy Alternatives Fund.

⁶  Effective after the close of business on February 13, 2024, the Goldman Sachs Flexible Cap Fund was renamed the Goldman Sachs Enhanced Core Equity Fund.

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

* This list covers open-end funds only. Please visit our website at www.GSAMFUNDS.com to learn about our closed-end funds and exchange-traded funds.

  

TRUSTEES Gregory G. Weaver, Chair Cheryl K. Beebe* Dwight L. Bush Kathryn A. Cassidy John G. Chou Joaquin Delgado Eileen H. Dowling Lawrence Hughes* John F. Killian* Steven D. Krichmar* Michael Latham* James A. McNamara Lawrence W. Stranghoener* PaulC.Wirth *Effective January 1, 2024 GOLDMAN SACHS & CO. LLC Distributor and Transfer Agent OFFICERS James A. McNamara, President Joseph F. DiMaria, Principal Financial Officer, Principal Accounting Officer and Treasurer Robert Griffith, Secretary GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser Visit our website at www.GSAMFUNDS.com to obtain the most recent month-end returns. Goldman Sachs Asset Management, L.P. 200 West Street, New York, New York 10282 Neither MSCI nor any other party involved in or related to compiling, computing, or creating the MSCI data makes any express or implied warranties or representations with respect to such data (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability, or fitness for a particular purpose with respect to any of such data. Without limiting any of the foregoing, in no event shall MSCI, any of its affiliates or any third party involved in or related to compiling, computing or creating the data have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages. No further distribution or dissemination of the MSCI data is permitted without MSCI’s express written consent. The reports concerning the Fund included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Fund in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Fund, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Fund. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed. A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (ii) on the Securities and Exchange Commission (“SEC”) web site at http://www.sec.gov. The Fund will file portfolio holdings information for each month in a fiscal quarter within 60 days after the end of the relevant fiscal quarter on Form N-PORT. Portfolio holdings information for the third month of each fiscal quarter will be made available on the SEC’s web site at http://www.sec.gov. Portfolio holdings information may be obtained upon request and without charge by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders). Goldman Sachs & Co. LLC (‘‘Goldman Sachs’’) does not provide legal, tax or accounting advice. Any statement contained in this communication (including any attachments) concerning U.S. tax matters was not intended or written to be used, and cannot be used, for the purpose of avoiding penalties under the Internal Revenue Code, and was written to support the promotion or marketing of the transaction(s) or matter(s) addressed. Clients of Goldman Sachs should obtain their own independent tax advice based on their particular circumstances. Holdings and allocations shown are as of December 31, 2023 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk. The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of Morgan Stanley Capital International Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P) and is licensed for use by Goldman Sachs. Neither MSCI, S&P nor any other party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages. The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk. This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus or summary prospectus, if applicable. Investors should consider objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the carefully before investing or sending money. The summary prospectus, if available, and the Prospectus contain this and other information about a Fund may be obtained from your authorized dealer or from Goldman Sachs & Co. LLC by calling (retail – 1-800-526-7384) (institutional – 1-800-621-2550). 2024 Goldman Sachs. All rights reserved. 356437-OTU-1972675 TAXADVAR2-24

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) Not applicable.

(c) During the period covered by this report, no amendments were made to the provisions of the Code of Ethics.

(d) During the period covered by this report, the registrant did not grant any waivers, including an implicit waiver, from any provision of the Code of Ethics.

(e) Not applicable.

(f) A copy of the Code of Ethics is available as provided in Item 14(a)(1) of this report.

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

The registrant’s board of trustees has determined that the registrant has at least one “audit committee financial expert” (as defined in Item 3 of Form N-CSR) serving on its audit committee. Kathryn A. Cassidy is the “audit committee financial expert” and is “independent” (as each term is defined in Item 3 of Form N-CSR).

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

Table 1 — Items 4(a) - 4(d). The accountant fees below reflect the aggregate fees billed by all of the Funds of the Goldman Sachs Trust and includes the Goldman Sachs Funds to which this certified shareholder report relates.

	2023		2022		Description of Services Rendered
Audit Fees:
• PricewaterhouseCoopers LLP (“PwC”)	$	4,244,721	$	4,132,693	Financial Statement audits.
Audit-Related Fees:
• PwC	$	239,400	$	954,600	Other attest services.
Tax Fees:
• PwC	$	0	$	0
Table 2 — Items 4(b)(c) & (d). Non-Audit Services to the Goldman Sachs Trust’s service affiliates* that were pre-approved by the Audit Committee of the Goldman Sachs Trust pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X.
	2023		2022		Description of Services Rendered
Audit-Related Fees:
• PwC	$	2,122,312	$	1,906,448	Internal control review performed in accordance with Statement on Standards for Attestation Engagements No. 16 and semi-annual updates related to withholding tax accrual for non-US jurisdictions. These fees are borne by the Funds’ Adviser.

* These include the advisor (excluding sub-advisors) and any entity controlling, controlled by or under common control with the advisor that provides ongoing services to the registrant (hereinafter referred to as “service affiliates”).

Item 4(e)(1) — Audit Committee Pre-Approval Policies and Procedures

Pre-Approval of Audit and Non-Audit Services Provided to the Funds of the Goldman Sachs Trust. The Audit and Non-Audit Services Pre-Approval Policy (the “Policy”) adopted by the Audit Committee of Goldman Sachs Trust (“GST”) sets forth the procedures and the conditions pursuant to which services performed by an independent auditor for GST may be pre-approved. Services may be pre-approved specifically by the Audit Committee as a whole or, in certain circumstances, by the Audit Committee Chairman or the person designated as the Audit Committee Financial Expert. In addition, subject to specified cost limitations, certain services may be pre-approved under the provisions of the Policy. The Policy provides that the Audit Committee will consider whether the services provided by an independent auditor are consistent with the Securities and Exchange Commission’s rules on auditor independence. The Policy provides for periodic review and pre-approval by the Audit Committee of the services that may be provided by the independent auditor.

De Minimis Waiver. The pre-approval requirements of the Policy may be waived with respect to the provision of non-audit services that are permissible for an independent auditor to perform, provided (1) the aggregate amount of all such services provided constitutes no more than five percent of the total amount of revenues subject to pre-approval that was paid to the independent auditors during the fiscal year in which the services are provided; (2) such services were not recognized by GST at the time of the engagement to be non-audit services; and (3) such services are promptly brought to the attention of the Audit Committee and approved prior to the completion of the audit by the Audit Committee or by one or more members of the Audit Committee to whom authority to grant such approvals has been delegated by the Audit Committee, pursuant to the pre-approval provisions of the Policy.

Pre-Approval of Non-Audit Services Provided to GST’s Investment Advisers. The Policy provides that, in addition to requiring pre-approval of audit and non-audit services provided to GST, the Audit Committee will pre-approve those non-audit services provided to GST’s investment advisers (and entities controlling, controlled by or under common control with the investment advisers that provide ongoing services to GST) where the engagement relates directly to the operations or financial reporting of GST.

Item 4(e)(2) – 0% of the audit-related fees, tax fees and other fees listed in Table 1 were approved by GST’s Audit Committee pursuant to the “de minimis” exception of Rule 2-01(c)(7)(i)(C) of Regulation S-X. In addition, 0% of the non-audit services to the GST’s service affiliates listed in Table 2 were approved by GST’s Audit Committee pursuant to the “de minimis” exception of Rule 2-01(c)(7)(i)(C) of Regulation S-X.

Item 4(f) – Not applicable.

Item 4(g) Aggregate Non-Audit Fees Disclosure

The aggregate non-audit fees billed to GST by PwC for the twelve months ended December 31, 2023 and December 31, 2022 were approximately $239,400 and $954,600, respectively.

The aggregate non-audit fees billed to GST’s adviser and service affiliates by PwC for non-audit services for the twelve months ended December 31, 2022 and December 31, 2021 were approximately $17.1 million and $14.4 million, respectively. The figures for these entities are not yet available for twelve months ended December 31, 2023. With regard to the aggregate non-audit fees billed to GST’s adviser and service affiliates, the 2022 and 2021 amounts include fees for non-audit services required to be pre-approved [see Table 2] and fees for non-audit services that did not require pre-approval since they did not directly relate to GST’s operations or financial reporting.

Item 4(h) — GST’s Audit Committee has considered whether the provision of non-audit services to GST’s investment adviser and service affiliates that did not require pre-approval pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the auditors’ independence.

Item 4(i) – Not applicable.

Item 4(j) – Not applicable.

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

  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 period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

  Not applicable.

ITEM 13. RECOVERY OF ERRONEOUSLY AWARDED COMPENSATION.

(a) Not Applicable.

(b) Not Applicable.

ITEM 14. EXHIBITS.

(a)(1)	Goldman Sachs Trust’s Code of Ethics for Principal Executive and Senior Financial Officers is incorporated by reference to Exhibit 13(a)(1) of the registrant’s Form N-CSR filed on August 26, 2022.
(a)(2)	Exhibit 99.CERT	Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 filed herewith.
(a)(3)	Not applicable to open-end investment companies.
(a)(4)	There was no change in the registrant’s independent public accountant for the period covered by this report.
(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:	March 1, 2024

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

By:	/s/ James A. McNamara
	James A. McNamara
	President/Chief Executive Officer
	Goldman Sachs Trust
Date:	March 1, 2024
By:	/s/ Joseph F. DiMaria
	Joseph F. DiMaria
	Principal Financial Officer
	Goldman Sachs Trust
Date:	March 1, 2024

EX-99.CERT

CERTIFICATIONS

(Section 302)

I, James A. McNamara, certify that:

1. I have reviewed this report on Form N-CSR of the Goldman Sachs Trust;

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

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

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

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

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

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

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

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

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

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

Dated: March 1, 2024

/s/ James A. McNamara

James A. McNamara

President/Chief Executive Officer

CERTIFICATIONS

(Section 302)

I, Joseph F. DiMaria, certify that:

1. I have reviewed this report on Form N-CSR of the Goldman Sachs Trust;

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

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

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

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

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

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

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

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

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

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

Dated: March 1, 2024

/s/ Joseph F. DiMaria

Joseph F. DiMaria

Principal Financial Officer

EX-99.906 CERT

EX-99.906CERT

Certification Under Section 906

of the Sarbanes-Oxley Act of 2002

James A. McNamara, President/Chief Executive Officer, and Joseph F. DiMaria, Principal Financial Officer of the Goldman Sachs Trust (the “Registrant”), each certify to the best of his or her knowledge that:

1. The Registrant’s periodic report on Form N-CSR for the period ended December 31, 2023 (the “Form N-CSR”) fully complies with the requirements of section 15(d) of the Securities Exchange Act of 1934, as amended; and

2. The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

President/Chief Executive Officer		Principal Financial Officer
Goldman Sachs Trust		Goldman Sachs Trust
/s/ James A. McNamara		/s/ Joseph F. DiMaria
James A. McNamara		Joseph F. DiMaria
March 1, 2024		March 1, 2024

This certification is being furnished to the Securities and Exchange Commission pursuant to Rule 30a-2(b) under the Investment Company Act of 1940, as amended, and 18 U.S.C. § 1350 and is not being filed as part of the Form N-CSR with the Securities and Exchange Commission.