GOLDMAN SACHS STRATEGIC FACTOR ALLOCATION FUND
Schedule of Investments
November 30, 2019 (Unaudited)
GOLDMAN SACHS STRATEGIC FACTOR ALLOCATION FUND
Schedule of Investments (continued)
November 30, 2019 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At November 30, 2019, the Portfolio had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
| Counterparty | Currency Purchased |
Currency Sold |
Settlement Date |
Unrealized Gain |
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| MS & Co. Int. PLC |
AUD | 43,890,000 | USD | 29,678,128 | 12/24/19 | $ | 30,020 | |||||||||||||||||
| CAD | 37,910,000 | USD | 28,542,625 | 12/24/19 | 3,582 | |||||||||||||||||||
| NZD | 92,680,000 | USD | 59,490,347 | 12/24/19 | 34,767 | |||||||||||||||||||
| USD | 103,301,275 | EUR | 93,120,000 | 12/24/19 | 499,949 | |||||||||||||||||||
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|
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| TOTAL |
$ | 568,318 | ||||||||||||||||||||||
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| FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS |
| |||||||||||||||||||||||
| Counterparty | Currency Purchased |
Currency Sold |
Settlement Date |
Unrealized Loss |
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|
|
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| MS & Co. Int. PLC |
CHF | 28,870,000 | USD | 29,169,451 | 12/24/19 | $ | (225,909 | ) | ||||||||||||||||
| USD | 81,734,854 | CHF | 81,600,000 | 12/24/19 | (73,009 | ) | ||||||||||||||||||
| USD | 3,166,669 | EUR | 2,870,000 | 12/24/19 | (1,714 | ) | ||||||||||||||||||
| USD | 52,822,716 | JPY | 5,775,620,000 | 12/24/19 | (76,787 | ) | ||||||||||||||||||
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|
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| TOTAL |
$ | (377,419 | ) | |||||||||||||||||||||
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FUTURES CONTRACTS — At November 30, 2019, the Portfolio had the following futures contracts:
| Description | Number of Contracts |
Expiration Date |
Notional Amount |
Unrealized Appreciation/ (Depreciation) |
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| Long position contracts: |
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| S&P 500 E-Mini Index |
5,148 | 12/20/19 | $ | 809,188,380 | $ | 16,297,987 | ||||||
| Ultra Long U.S. Treasury Bonds |
1,441 | 03/20/20 | 270,502,719 | 4,642 | ||||||||
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|
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| Total |
$ | 16,302,629 | ||||||||||
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| Short position contracts: |
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| 20 Year U.S. Treasury Bonds |
(301) | 03/20/20 | (47,849,594 | ) | 81,100 | |||||||
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|
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| TOTAL FUTURES CONTRACTS |
$ | 16,383,729 | ||||||||||
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WRITTEN AND PURCHASED OPTIONS CONTRACTS — At November 30, 2019, the Portfolio had the following written and purchased options:
EXCHANGE TRADED OPTIONS ON FUTURES
| Description | Exercise Price |
Expiration Date |
Number of Contracts |
Notional Amount |
Market Value |
Premiums Paid by Portfolio |
Unrealized Appreciation/ (Depreciation) |
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| Written option contracts |
| |||||||||||||||||||||||||
| Puts |
| |||||||||||||||||||||||||
| U.S. Treasury Bonds |
$154.00 | 12/27/2019 | (528) | $ | (528,000 | ) | $ | (49,500 | ) | $ | (229,342 | ) | $ | 179,842 | ||||||||||||
| U.S. Treasury Bonds |
155.00 | 12/27/2019 | (531) | (531,000 | ) | (107,859 | ) | (122,786 | ) | 14,927 | ||||||||||||||||
| U.S. Treasury Bonds |
158.00 | 01/24/2020 | (541) | (541,000 | ) | (743,875 | ) | (733,722 | ) | (10,153 | ) | |||||||||||||||
|
|
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| TOTAL |
(1,600) | $ | (1,600,000 | ) | $ | (901,234 | ) | $ | (1,085,850 | ) | $ | 184,616 | ||||||||||||||
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GOLDMAN SACHS STRATEGIC FACTOR ALLOCATION FUND
Schedule of Investments (continued)
November 30, 2019 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
EXCHANGE TRADED OPTIONS ON EQUITIES CONTRACTS
| Description | Exercise Price |
Expiration Date |
Number of Contracts |
Notional Amount |
Market Value |
Premiums Paid (Received) by Portfolio |
Unrealized Appreciation/ (Depreciation) |
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|
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| Purchased option contracts |
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| Puts |
| |||||||||||||||||||||||
| S&P 500 Index |
$ | 2,810.00 | 12/02/2019 | 673 | $ | 67,300 | $ | 3,365 | $ | 8,749 | $ | (5,384 | ) | |||||||||||
|
|
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| Total Purchased option contracts |
|
673 | $ | 67,300 | $ | 3,365 | $ | 8,749 | $ | (5,384 | ) | |||||||||||||
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|
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| Written option contracts |
| |||||||||||||||||||||||
| Puts |
| |||||||||||||||||||||||
| S&P 500 Index |
$ | 2,945.00 | 12/20/2019 | (534) | $ | (53,400 | ) | $ | (226,951 | ) | $ | (1,041,214 | ) | $ | 814,263 | |||||||||
| S&P 500 Index |
2,985.00 | 12/06/2019 | (798) | (79,800 | ) | (73,815 | ) | (98,154 | ) | 24,339 | ||||||||||||||
| S&P 500 Index |
2,995.00 | 12/06/2019 | (797) | (79,700 | ) | (83,685 | ) | (70,933 | ) | (12,752 | ) | |||||||||||||
| S&P 500 Index |
3,045.00 | 12/02/2019 | (800) | (80,000 | ) | (24,000 | ) | (81,600 | ) | 57,600 | ||||||||||||||
| S&P 500 Index |
3,065.00 | 12/04/2019 | (805) | (80,500 | ) | (102,637 | ) | (75,670 | ) | (26,967 | ) | |||||||||||||
| S&P 500 Index |
2,990.00 | 01/17/2020 | (532) | (53,200 | ) | (1,024,100 | ) | (1,657,407 | ) | 633,307 | ||||||||||||||
| S&P 500 Index |
3,035.00 | 01/17/2020 | (1,055) | (105,500 | ) | (2,684,975 | ) | (2,614,290 | ) | (70,685 | ) | |||||||||||||
| S&P 500 Index |
2,985.00 | 11/27/2019 | (803) | (80,300 | ) | (2,007 | ) | (106,799 | ) | 104,792 | ||||||||||||||
| S&P 500 Index |
2,990.00 | 11/27/2019 | (808) | (80,800 | ) | (2,020 | ) | (79,184 | ) | 77,164 | ||||||||||||||
| S&P 500 Index |
3,010.00 | 11/29/2019 | (804) | (80,400 | ) | (2,010 | ) | (71,556 | ) | 69,546 | ||||||||||||||
|
|
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| Total Written option contracts |
|
(7,736) | $ | (773,600 | ) | $ | (4,226,200 | ) | $ | (5,896,807 | ) | $ | 1,670,607 | |||||||||||
|
|
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| TOTAL |
(7,063) | $ | (706,300 | ) | $ | (4,222,835 | ) | $ | (5,888,058 | ) | $ | 1,665,223 | ||||||||||||
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| Abbreviations: | ||||
| MS & Co. Int. PLC | — Morgan Stanley & Co. International PLC |
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GOLDMAN SACHS STRATEGIC FACTOR ALLOCATION FUND
Schedule of Investments (continued)
November 30, 2019 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS
Investment Valuation — The Portfolio’s valuation policy is to value investments at fair value.
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 Portfolio’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 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 Portfolio, including investments for which market quotations are not readily available. The Trustees have delegated to GSAM day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Portfolio’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.
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 (“Underlying Funds”) include other investment companies and exchange-traded funds (“ETFs”). Investments in the Underlying Funds (except ETFs) are valued at the NAV per share 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 Portfolio invests in Underlying Funds that fluctuate in value, the Portfolio’s shares will correspondingly fluctuate in value. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2. For information regarding an Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.
Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. The 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 Fund and cash collateral received, if any, is reported separately on the Statement of Assets and Liabilities as receivables/payables for collateral on certain derivatives contracts. Non-cash collateral pledged by a 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 last bid price for long positions and the last ask price on short positions on the exchange where they are principally traded. 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.
GOLDMAN SACHS STRATEGIC FACTOR ALLOCATION FUND
Schedule of Investments (continued)
November 30, 2019 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
i. Forward Contracts — A forward contract is a contract between two parties to buy or sell an asset at a specified price on a future date. A forward contract settlement can occur on a cash or delivery basis. Forward contracts are marked-to-market daily using independent vendor prices, and the change in value, if any, is recorded as an unrealized gain or loss. Cash and certain investments may be used to collateralize forward contracts.
A forward foreign currency 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 at the applicable forward rate. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency.
ii. Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security. Upon entering into a futures contract, the 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 the 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 the 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 interest rate swap contracts or credit defaults swap contracts.
Upon the purchase of a call option or a put option by the 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.
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 Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining 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.
Fair Value Hierarchy — The following is a summary of the Portfolio’s investments and derivatives classified in the fair value hierarchy as of November 30, 2019:
| STRATEGIC FACTOR ALLOCATION
|
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| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
| Investment Company |
$ | 1,336,659,794 | $ | — | $ | — | ||||||
| Derivative Type | ||||||||||||
| Assets | ||||||||||||
| Forward Foreign Currency Exchange Contracts(a) |
$ | — | $ | 568,318 | $ | — | ||||||
| Futures Contracts(a) |
16,383,729 | — | — | |||||||||
| Options Purchased |
3,365 | — | — | |||||||||
| Total | $ | 16,387,094 | $ | 568,318 | $ | — | ||||||
| Liabilities | ||||||||||||
| Forward Foreign Currency Exchange Contracts(a) |
$ | — | $ | (377,419 | ) | $ | — | |||||
| Written option contracts |
(5,127,434 | ) | — | — | ||||||||
| Total | $ | (5,127,434 | ) | $ | (377,419 | ) | $ | — | ||||
| (a) | Amount shown represents unrealized gain (loss) at period end. |
For further information regarding security characteristics, see the Schedule of Investments.
GOLDMAN SACHS STRATEGIC FACTOR ALLOCATION FUND
Schedule of Investments (continued)
November 30, 2019 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
The Portfolio’s risks include, but are not limited to, the following:
Derivatives Risk — The Portfolio’s use of derivatives may result in loss. Derivative instruments, which may pose risks in addition to and greater than those associated with investing directly in securities, currencies or other instruments, may be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in the value of the underlying instruments may produce disproportionate losses to the Portfolio. Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. 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 Countries Risk — Investing in foreign markets may involve special risks and considerations not typically associated with investing in the United States. Foreign securities may be subject to risk of loss because of more or less foreign government regulation, less public information and less economic, political and social stability in the countries in which the Portfolio invests. The imposition of exchange controls (including repatriation restrictions), confiscation of assets and property, trade restrictions (including tariffs) and other government restrictions by the United States or other governments, or from problems in share registration, settlement or custody, may also result in losses. Foreign risk also involves the risk of negative foreign currency rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which the Portfolio has exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time.
Foreign Custody Risk — If the Portfolio invests in foreign securities, the Portfolio may hold such securities and cash with foreign banks, agents, and securities depositories appointed by the Portfolio’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 Portfolio’s ability to recover its assets if a Foreign Custodian enters bankruptcy.
Geographic Risk — If the Portfolio focuses its investments in securities of issuers located in a particular country or geographic region, the Portfolio 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.
Interest Rate Risk — When interest rates increase, fixed income securities or instruments held by the Portfolio will generally decline in value. Long-term fixed income securities or instruments will normally have more price volatility because of this risk than short-term fixed income securities or instruments. The risks associated with changing interest rates may have unpredictable effects on the markets and the Portfolio’s investments. Fluctuations in interest rates may also affect the liquidity of fixed income securities and instruments held by the Portfolio.
Investments in Other Investment Companies Risk — As a shareholder of another investment company, including an exchange-traded fund (“ETF”), the Portfolio will indirectly bear its proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Portfolio. ETFs are subject to risks that do not apply to conventional mutual funds, including but not limited to the following: (i) the market price of the ETF’s shares may trade at a premium or a discount to their NAV; and (ii) an active trading market for an ETF’s shares may not develop or be maintained.
Large Shareholder Transactions Risk — The Portfolio 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 Portfolio in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of a Portfolio. Such large shareholder redemptions, which may occur rapidly or unexpectedly, may cause the Portfolio to sell portfolio securities at times when it would not otherwise do so, which may negatively impact the Portfolio’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 Portfolio’s current expenses being allocated over a smaller asset base, leading to an increase in the Portfolio’s expense ratio. Similarly, large Portfolio share purchases may adversely affect the Portfolio’s performance to the extent that the Portfolio is delayed in investing new cash or otherwise maintains a larger cash position than it ordinarily would.
Liquidity Risk — The Portfolio may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that the Portfolio 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, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, the Portfolio may be forced to sell investments at an unfavorable time and/or under unfavorable conditions. If the Portfolio is forced to sell securities at an unfavorable time and/or under unfavorable conditions, such sales may adversely affect the Portfolio’s NAV and dilute remaining investors’ interests.
Market and Credit Risks — In the normal course of business, the Portfolio trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, the Portfolio 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 has unsettled or open transactions defaults.
GOLDMAN SACHS STRATEGIC FACTOR ALLOCATION FUND
Schedule of Investments (continued)
November 30, 2019 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
Non-Diversification Risk — The Portfolio is non-diversified, meaning that it is permitted to invest a larger percentage of its assets in fewer issuers than diversified mutual funds. Thus, the Portfolio 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.