GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments
March 31, 2023 (Unaudited)
Shares | Description | Value | ||||
Common Stocks 17.0% | ||||||
Aerospace & Defense 0.3% |
||||||
212 | Airbus SE | $ 28,316 | ||||
4,387 | Chemring Group PLC | 15,143 | ||||
439 | Curtiss-Wright Corp. | 77,378 | ||||
292 | Dassault Aviation SA | 57,766 | ||||
11,508 | General Dynamics Corp. | 2,626,241 | ||||
2,238 | Howmet Aerospace, Inc. | 94,824 | ||||
406 | Huntington Ingalls Industries, Inc. | 84,050 | ||||
6,254 | Leonardo SpA | 73,344 | ||||
32 | MTU Aero Engines AG | 8,008 | ||||
7,529 | QinetiQ Group PLC | 30,247 | ||||
56,740 | Raytheon Technologies Corp. | 5,556,548 | ||||
40,775 | Rolls-Royce Holdings PLC* | 75,102 | ||||
1,552 | Textron, Inc. | 109,618 | ||||
713 | Thales SA | 105,415 | ||||
2,430 | TransDigm Group, Inc. | 1,791,031 | ||||
| ||||||
10,733,031 | ||||||
|
| |||||
Air Freight & Logistics 0.0% |
||||||
950 | C.H. Robinson Worldwide, Inc. | 94,402 | ||||
4,993 | Deutsche Post AG | 233,850 | ||||
1,174 | Expeditors International of Washington, Inc. | 129,281 | ||||
863 | FedEx Corp. | 197,187 | ||||
100 | Nippon Express Holdings, Inc. | 6,034 | ||||
400 | SG Holdings Co. Ltd. | 5,931 | ||||
2,002 | Yamato Holdings Co. Ltd. | 34,365 | ||||
| ||||||
701,050 | ||||||
|
| |||||
Automobile Components 0.0% |
||||||
1,991 | BorgWarner, Inc. | 97,778 | ||||
2,424 | Faurecia SE* | 52,682 | ||||
602 | NGK Spark Plug Co. Ltd. | 12,457 | ||||
600 | Stanley Electric Co. Ltd. | 13,338 | ||||
2,004 | Valeo | 41,122 | ||||
| ||||||
217,377 | ||||||
|
| |||||
Automobiles 0.1% |
||||||
2,048 | Bayerische Motoren Werke AG | 224,458 | ||||
76,310 | General Motors Co. | 2,799,051 | ||||
1,641 | Honda Motor Co. Ltd. | 43,406 | ||||
1,500 | Mazda Motor Corp. | 13,836 | ||||
3,711 | Mercedes-Benz Group AG | 285,386 | ||||
5,400 | Mitsubishi Motors Corp.* | 21,280 | ||||
6,000 | Nissan Motor Co. Ltd. | 22,708 | ||||
12,568 | Stellantis NV | 228,565 | ||||
1,200 | Subaru Corp. | 19,156 | ||||
525 | Tesla, Inc.* | 102,522 | ||||
| ||||||
3,760,368 | ||||||
|
| |||||
Banks 0.3% |
||||||
50,632 | Banco de Sabadell SA | 54,452 | ||||
72,689 | Banco Santander SA | 270,874 | ||||
209,539 | Bank of America Corp. | 5,992,815 | ||||
158 | Bank of Georgia Group PLC | 5,366 | ||||
|
|
Shares | Description | Value | ||||
Common Stocks (continued) | ||||||
Banks (continued) |
||||||
56,112 | Barclays PLC | $ 100,996 | ||||
4,725 | BNP Paribas SA | 282,165 | ||||
27 | BOK Financial Corp. | 2,279 | ||||
5,458 | Citigroup, Inc. | 255,926 | ||||
33,164 | Citizens Financial Group, Inc. | 1,007,191 | ||||
11,065 | Credit Agricole SA | 124,826 | ||||
554 | FinecoBank Banca Fineco SpA | 8,488 | ||||
5,081 | KeyCorp. | 63,614 | ||||
2,100 | Mebuki Financial Group, Inc. | 5,135 | ||||
4,243 | Mizuho Financial Group, Inc. | 60,113 | ||||
500 | Seven Bank Ltd. | 999 | ||||
2,900 | Sumitomo Mitsui Financial Group, Inc. | 116,051 | ||||
500 | Sumitomo Mitsui Trust Holdings, Inc. | 17,178 | ||||
55,712 | U.S. Bancorp | 2,008,418 | ||||
9,564 | UniCredit SpA | 180,261 | ||||
5,916 | Virgin Money UK PLC | 10,692 | ||||
1,200 | Yamaguchi Financial Group, Inc. | 7,352 | ||||
1,334 | Zions Bancorp NA | 39,927 | ||||
| ||||||
10,615,118 | ||||||
|
| |||||
Beverages 0.6% |
||||||
35 | AG Barr PLC | 218 | ||||
9,240 | Anheuser-Busch InBev SA | 615,937 | ||||
498 | Asahi Group Holdings Ltd. | 18,535 | ||||
1,390 | Britvic PLC | 15,308 | ||||
2,354 | C&C Group PLC* | 4,575 | ||||
4,823 | Coca-Cola HBC AG* | 132,030 | ||||
308 | Diageo PLC | 13,746 | ||||
191 | Heineken Holding NV | 17,524 | ||||
3,605 | Heineken NV | 387,360 | ||||
100 | Ito En Ltd. | 3,272 | ||||
21,581 | Keurig Dr Pepper, Inc. | 761,378 | ||||
6,013 | Molson Coors Beverage Co. Class B | 310,752 | ||||
39,947 | Monster Beverage Corp.* | 2,157,537 | ||||
35,908 | PepsiCo, Inc. | 6,546,028 | ||||
300 | Suntory Beverage & Food Ltd. | 11,175 | ||||
127,999 | The Coca-Cola Co. | 7,939,778 | ||||
| ||||||
18,935,153 | ||||||
|
| |||||
Biotechnology 0.4% |
||||||
44,728 | AbbVie, Inc. | 7,128,301 | ||||
20,362 | Amgen, Inc. | 4,922,514 | ||||
602 | Biogen, Inc.* | 167,374 | ||||
21 | Genus PLC | 746 | ||||
3,440 | Gilead Sciences, Inc. | 285,417 | ||||
1,322 | Incyte Corp.* | 95,541 | ||||
1,292 | Moderna, Inc.* | 198,425 | ||||
325 | Regeneron Pharmaceuticals, Inc.* | 267,043 | ||||
859 | Vertex Pharmaceuticals, Inc.* | 270,645 | ||||
| ||||||
13,336,006 | ||||||
|
|
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
March 31, 2023 (Unaudited)
Shares | Description | Value | ||||
Common Stocks (continued) | ||||||
Broadline Retail 0.0% |
||||||
2,592 | eBay, Inc. | $ 115,007 | ||||
1,000 | Isetan Mitsukoshi Holdings Ltd. | 11,196 | ||||
518 | J. Front Retailing Co. Ltd. | 5,173 | ||||
900 | Pan Pacific International Holdings Corp. | 17,412 | ||||
4,100 | Ryohin Keikaku Co. Ltd. | 46,720 | ||||
2,800 | Takashimaya Co. Ltd. | 40,833 | ||||
| ||||||
236,341 | ||||||
|
| |||||
Building Products 0.0% |
||||||
2,059 | Allegion PLC | 219,757 | ||||
3,335 | Carrier Global Corp. | 152,576 | ||||
2,852 | Cie de Saint-Gobain | 162,118 | ||||
3,115 | Genuit Group PLC | 10,721 | ||||
9,471 | Johnson Controls International PLC | 566,759 | ||||
802 | Lennox International, Inc. | 201,527 | ||||
1,537 | Masco Corp. | 76,420 | ||||
100 | Volution Group PLC | 534 | ||||
| ||||||
1,390,412 | ||||||
|
| |||||
Capital Markets 0.4% |
||||||
3,411 | 3i Group PLC | 71,097 | ||||
14,859 | Abrdn PLC | 37,398 | ||||
417 | Ameriprise Financial, Inc. | 127,811 | ||||
350 | Amundi SA(a) | 22,053 | ||||
12,135 | Deutsche Bank AG | 123,403 | ||||
84 | Deutsche Boerse AG | 16,356 | ||||
28 | FactSet Research Systems, Inc. | 11,499 | ||||
3,294 | Franklin Resources, Inc. | 88,740 | ||||
285 | Hargreaves Lansdown PLC | 2,823 | ||||
2,106 | IG Group Holdings PLC | 18,174 | ||||
104 | IntegraFin Holdings PLC | 349 | ||||
23,581 | Intercontinental Exchange, Inc. | 2,459,263 | ||||
5,319 | Invesco Ltd. | 87,232 | ||||
3,014 | Investec PLC | 16,726 | ||||
300 | JAFCO Group Co. Ltd. | 4,297 | ||||
100 | Japan Exchange Group, Inc. | 1,529 | ||||
2,826 | Jupiter Fund Management PLC | 4,739 | ||||
9,518 | Man Group PLC | 27,728 | ||||
42,955 | Morgan Stanley | 3,771,449 | ||||
305 | Nasdaq, Inc. | 16,518 | ||||
163 | Ninety One PLC | 372 | ||||
3,400 | Nomura Holdings, Inc. | 13,108 | ||||
1,189 | Northern Trust Corp. | 104,787 | ||||
15 | Rathbones Group PLC | 355 | ||||
1,071 | Raymond James Financial, Inc. | 99,892 | ||||
13,282 | S&P Global, Inc. | 4,579,235 | ||||
4,988 | Schroders PLC | 28,444 | ||||
1,252 | SEI Investments Co. | 72,053 | ||||
1,683 | State Street Corp. | 127,386 | ||||
1,054 | T. Rowe Price Group, Inc. | 118,997 | ||||
3,205 | The Bank of New York Mellon Corp. | 145,635 | ||||
1,864 | TP ICAP Group PLC | 4,141 | ||||
| ||||||
12,203,589 | ||||||
|
|
Shares | Description | Value | ||||
Common Stocks (continued) | ||||||
Chemicals 0.3% |
||||||
169 | Air Liquide SA | $ 28,289 | ||||
80 | Air Products & Chemicals, Inc. | 22,977 | ||||
347 | Arkema SA | 34,262 | ||||
6,500 | Asahi Kasei Corp. | 45,527 | ||||
865 | Celanese Corp. | 94,190 | ||||
1,300 | CF Industries Holdings, Inc. | 94,237 | ||||
297 | Covestro AG(a) | 12,300 | ||||
2,988 | Dow, Inc. | 163,802 | ||||
123 | Ecolab, Inc. | 20,360 | ||||
3,135 | Element Solutions, Inc. | 60,537 | ||||
2,348 | Elementis PLC* | 3,450 | ||||
18,157 | FMC Corp. | 2,217,514 | ||||
2,843 | Johnson Matthey PLC | 69,700 | ||||
1,881 | K&S AG | 40,056 | ||||
1,265 | LANXESS AG | 52,046 | ||||
14,377 | Linde PLC | 5,110,161 | ||||
1,387 | LyondellBasell Industries NV Class A | 130,225 | ||||
1,800 | Mitsubishi Chemical Group Corp. | 10,705 | ||||
300 | Nippon Paint Holdings Co. Ltd. | 2,821 | ||||
300 | Nippon Sanso Holdings Corp. | 5,420 | ||||
100 | Nippon Shokubai Co. Ltd. | 3,994 | ||||
200 | Nitto Denko Corp. | 12,944 | ||||
1,499 | OCI NV | 50,816 | ||||
500 | Resonac Holdings Corp. | 8,255 | ||||
444 | Solvay SA | 50,779 | ||||
2,810 | Sumitomo Chemical Co. Ltd. | 9,461 | ||||
2,070 | Synthomer PLC | 3,000 | ||||
100 | Teijin Ltd. | 1,055 | ||||
2,364 | The Mosaic Co. | 108,460 | ||||
11,395 | The Sherwin-Williams Co. | 2,561,254 | ||||
1,900 | Tosoh Corp. | 25,820 | ||||
600 | UBE Corp. | 9,320 | ||||
227 | Wacker Chemie AG | 36,889 | ||||
| ||||||
11,100,626 | ||||||
|
| |||||
Commerical Services & Supplies 0.1% |
||||||
4,712 | Cintas Corp. | 2,180,148 | ||||
25,470 | Copart, Inc.* | 1,915,599 | ||||
818 | Elis SA | 15,644 | ||||
3,704 | Mitie Group PLC | 3,749 | ||||
322 | MSA Safety, Inc. | 42,987 | ||||
1,036 | Republic Services, Inc. | 140,088 | ||||
162 | Rollins, Inc. | 6,080 | ||||
100 | Secom Co. Ltd. | 6,163 | ||||
22,714 | Serco Group PLC | 42,982 | ||||
1,024 | Stericycle, Inc.* | 44,663 | ||||
200 | Toppan, Inc. | 4,030 | ||||
| ||||||
4,402,133 | ||||||
|
|
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
March 31, 2023 (Unaudited)
Shares | Description | Value | ||||
Common Stocks (continued) | ||||||
Communications Equipment 0.3% |
||||||
117,009 | Cisco Systems, Inc. | $ 6,116,645 | ||||
573 | F5, Inc.* | 83,480 | ||||
7,079 | Motorola Solutions, Inc. | 2,025,514 | ||||
27,190 | Nokia Oyj | 133,473 | ||||
3,296 | Spirent Communications PLC | 7,085 | ||||
| ||||||
8,366,197 | ||||||
|
| |||||
Construction & Engineering 0.0% |
||||||
98 | Ackermans & van Haaren NV | 16,154 | ||||
3,100 | Balfour Beatty PLC | 14,241 | ||||
347 | Eiffage SA | 37,551 | ||||
2,600 | JGC Holdings Corp. | 32,313 | ||||
900 | Obayashi Corp. | 6,887 | ||||
1,100 | Taisei Corp. | 34,033 | ||||
800 | Toda Corp. | 4,180 | ||||
6,301 | Vinci SA | 722,361 | ||||
208 | WillScot Mobile Mini Holdings Corp.* | 9,619 | ||||
| ||||||
877,339 | ||||||
|
| |||||
Construction Materials 0.1% |
||||||
1,361 | CRH PLC | 68,750 | ||||
8,480 | Eagle Materials, Inc. | 1,244,440 | ||||
899 | HeidelbergCement AG | 65,643 | ||||
1,870 | Ibstock PLC(a) | 3,979 | ||||
464 | Wienerberger AG | 13,433 | ||||
| ||||||
1,396,245 | ||||||
|
| |||||
Consumer Finance 0.0% |
||||||
1,729 | American Express Co. | 285,199 | ||||
1,636 | Capital One Financial Corp. | 157,318 | ||||
1,329 | Discover Financial Services | 131,358 | ||||
3,298 | Synchrony Financial | 95,906 | ||||
| ||||||
669,781 | ||||||
|
| |||||
Consumer Staples Distribution & Retail 0.2% |
||||||
700 | Aeon Co. Ltd. | 13,581 | ||||
3,516 | BJs Wholesale Club Holdings, Inc.* | 267,280 | ||||
4,054 | Carrefour SA | 81,962 | ||||
648 | Caseys General Stores, Inc. | 140,266 | ||||
300 | Cosmos Pharmaceutical Corp. | 27,015 | ||||
11,493 | Costco Wholesale Corp. | 5,710,527 | ||||
2,883 | Dollar General Corp. | 606,756 | ||||
11,992 | J Sainsbury PLC | 41,267 | ||||
4,989 | Jeronimo Martins SGPS SA | 117,106 | ||||
2,410 | Kesko Oyj Class B | 51,794 | ||||
4,998 | Koninklijke Ahold Delhaize NV | 170,757 | ||||
200 | Kusuri No. Aoki Holdings Co. Ltd. | 10,144 | ||||
131 | Lawson, Inc. | 5,546 | ||||
13,469 | Marks & Spencer Group PLC* | 27,786 | ||||
572 | Seven & i Holdings Co. Ltd. | 25,840 | ||||
300 | Sugi Holdings Co. Ltd. | 12,895 | ||||
30,128 | Tesco PLC | 98,772 | ||||
|
|
Shares | Description | Value | ||||
Common Stocks (continued) | ||||||
Consumer Staples Distribution & Retail (continued) |
||||||
2,961 | The Kroger Co. | $ 146,185 | ||||
1,200 | Welcia Holdings Co. Ltd. | 25,690 | ||||
| ||||||
7,581,169 | ||||||
|
| |||||
Containers & Packaging 0.0% |
||||||
26 | AptarGroup, Inc. | 3,073 | ||||
9,875 | DS Smith PLC | 38,446 | ||||
2,854 | International Paper Co. | 102,915 | ||||
79 | Packaging Corp. of America | 10,967 | ||||
2,057 | Smurfit Kappa Group PLC | 74,583 | ||||
3,004 | Westrock Co. | 91,532 | ||||
| ||||||
321,516 | ||||||
|
| |||||
Distributors 0.0% |
||||||
201 | Dieteren Group | 39,111 | ||||
692 | Genuine Parts Co. | 115,779 | ||||
972 | Inchcape PLC | 9,317 | ||||
1,829 | LKQ Corp. | 103,814 | ||||
| ||||||
268,021 | ||||||
|
| |||||
Diversified REITs 0.0% |
||||||
7,224 | Balanced Commercial Property Trust Ltd. | 7,343 | ||||
13,448 | The British Land Co. PLC | 64,506 | ||||
| ||||||
71,849 | ||||||
|
| |||||
Diversified Telecommunication Services 0.2% |
||||||
216,956 | AT&T, Inc. | 4,176,403 | ||||
37,208 | BT Group PLC | 67,024 | ||||
14,207 | Deutsche Telekom AG | 344,268 | ||||
1,189 | Elisa Oyj | 71,710 | ||||
45,539 | Koninklijke KPN NV | 160,915 | ||||
22,139 | Lumen Technologies, Inc. | 58,669 | ||||
12,667 | Orange SA | 150,486 | ||||
6,961 | Telefonica Deutschland Holding AG | 21,428 | ||||
34,263 | Telefonica SA | 147,564 | ||||
757 | United Internet AG | 13,049 | ||||
10,149 | Verizon Communications, Inc. | 394,695 | ||||
| ||||||
5,606,211 | ||||||
|
| |||||
Electric Utilities 0.1% |
||||||
19 | Acciona SA | 3,812 | ||||
3,815 | Alliant Energy Corp. | 203,721 | ||||
6,618 | American Electric Power Co., Inc. | 602,172 | ||||
1,583 | EDP - Energias de Portugal SA | 8,626 | ||||
149 | Elia Group SA | 19,676 | ||||
10,039 | FirstEnergy Corp. | 402,162 | ||||
1,158 | Hawaiian Electric Industries, Inc. | 44,235 | ||||
24,519 | Iberdrola SA | 305,453 | ||||
2,384 | NRG Energy, Inc. | 81,747 | ||||
945 | Pinnacle West Capital Corp. | 74,882 | ||||
6,623 | Red Electrica Corp. SA | 116,540 | ||||
10,886 | The Southern Co. | 757,448 | ||||
|
|
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
March 31, 2023 (Unaudited)
Shares | Description | Value | ||||
Common Stocks (continued) | ||||||
Electric Utilities (continued) |
||||||
28 | Verbund AG | $ 2,436 | ||||
277 | Xcel Energy, Inc. | 18,681 | ||||
| ||||||
2,641,591 | ||||||
|
| |||||
Electrical Equipment 0.3% |
||||||
11,395 | AMETEK, Inc. | 1,656,035 | ||||
18,774 | Eaton Corp. PLC | 3,216,737 | ||||
7,267 | Emerson Electric Co. | 633,246 | ||||
300 | Fuji Electric Co. Ltd. | 11,847 | ||||
800 | Fujikura Ltd. | 5,683 | ||||
8,231 | Hubbell, Inc. | 2,002,685 | ||||
176 | Nexans SA | 17,536 | ||||
2,730 | nVent Electric PLC | 117,226 | ||||
1,566 | Prysmian SpA | 65,758 | ||||
3,494 | Schneider Electric SE | 583,931 | ||||
4,827 | Siemens Energy AG* | 106,442 | ||||
1,066 | Signify NV(a) | 35,546 | ||||
| ||||||
8,452,672 | ||||||
|
| |||||
Electronic Equipment, Instruments & Components 0.0% | ||||||
252 | Amphenol Corp. Class A | 20,593 | ||||
617 | CDW Corp. | 120,247 | ||||
200 | Dexerials Corp. | 4,089 | ||||
500 | Ibiden Co. Ltd. | 20,052 | ||||
3,066 | Keysight Technologies, Inc.* | 495,098 | ||||
1,600 | Kyocera Corp. | 83,466 | ||||
203 | Renishaw PLC | 10,276 | ||||
1,035 | Spectris PLC | 46,959 | ||||
2,700 | TDK Corp. | 96,920 | ||||
1,206 | TE Connectivity Ltd. | 158,167 | ||||
544 | Yokogawa Electric Corp. | 8,858 | ||||
| ||||||
1,064,725 | ||||||
|
| |||||
Entertainment 0.2% |
||||||
33 | CTS Eventim AG & Co. KGaA* | 2,063 | ||||
100 | Koei Tecmo Holdings Co. Ltd. | 1,807 | ||||
1,279 | Live Nation Entertainment, Inc.* | 89,530 | ||||
17,546 | Netflix, Inc.* | 6,061,792 | ||||
3,638 | Take-Two Interactive Software, Inc.* | 434,014 | ||||
10,764 | Warner Bros Discovery, Inc. | 162,536 | ||||
| ||||||
6,751,742 | ||||||
|
| |||||
Financial Services 0.9% |
||||||
18 | Adyen NV*(a) | 28,682 | ||||
39,496 | Berkshire Hathaway, Inc. Class B* | 12,195,180 | ||||
101 | Edenred | 5,978 | ||||
260 | Eurazeo SE | 18,507 | ||||
369 | EXOR NV* | 30,427 | ||||
2,610 | Fidelity National Information Services, Inc. | 141,801 | ||||
2,061 | Fiserv, Inc.* | 232,955 | ||||
471 | FleetCor Technologies, Inc.* | 99,310 | ||||
1,330 | Global Payments, Inc. | 139,969 | ||||
|
|
Shares | Description | Value | ||||
Common Stocks (continued) | ||||||
Financial Services (continued) |
||||||
37 | Groupe Bruxelles Lambert SA | $ 3,158 | ||||
72 | Jack Henry & Associates, Inc. | 10,852 | ||||
23,154 | Mastercard, Inc. Class A | 8,414,395 | ||||
1,500 | Mitsubishi HC Capital, Inc. | 7,746 | ||||
6,648 | Nexi SpA*(a) | 54,029 | ||||
1,400 | ORIX Corp. | 23,083 | ||||
3,430 | PayPal Holdings, Inc.* | 260,474 | ||||
542 | Plus500 Ltd. | 11,313 | ||||
43,173 | Visa, Inc. Class A | 9,733,785 | ||||
94 | Wendel SE | 9,939 | ||||
1,474 | Worldline SA*(a) | 62,643 | ||||
| ||||||
31,484,226 | ||||||
|
| |||||
Food Products 0.2% |
||||||
2,195 | Archer-Daniels-Midland Co. | 174,854 | ||||
5,366 | Associated British Foods PLC | 128,773 | ||||
509 | Bakkavor Group PLC(a) | 654 | ||||
17,396 | Bunge Ltd. | 1,661,666 | ||||
2,774 | Conagra Brands, Inc. | 104,191 | ||||
2,960 | Danone SA | 184,182 | ||||
200 | Ezaki Glico Co. Ltd. | 5,030 | ||||
2,035 | General Mills, Inc. | 173,911 | ||||
5,385 | Hormel Foods Corp. | 214,754 | ||||
594 | JDE Peets NV | 17,277 | ||||
1,050 | Kerry Group PLC Class A | 104,712 | ||||
42,368 | Mondelez International, Inc. Class A | 2,953,897 | ||||
300 | Morinaga & Co. Ltd. | 8,497 | ||||
100 | Morinaga Milk Industry Co. Ltd. | 3,597 | ||||
200 | Nichirei Corp. | 4,047 | ||||
8,062 | The Hershey Co. | 2,051,053 | ||||
1,743 | Tyson Foods, Inc. Class A | 103,395 | ||||
| ||||||
7,894,490 | ||||||
|
| |||||
Gas Utilities 0.0% |
||||||
4,232 | Enagas SA | 81,321 | ||||
7,550 | Italgas SpA | 46,050 | ||||
34,657 | Snam SpA | 183,752 | ||||
500 | Tokyo Gas Co. Ltd. | 9,397 | ||||
| ||||||
320,520 | ||||||
|
| |||||
Ground Transportation 0.2% |
||||||
800 | Central Japan Railway Co. | 95,456 | ||||
84,092 | CSX Corp. | 2,517,714 | ||||
3,803 | Firstgroup PLC | 4,837 | ||||
87 | J.B. Hunt Transport Services, Inc. | 15,265 | ||||
200 | Kintetsu Group Holdings Co. Ltd. | 6,443 | ||||
33 | Landstar System, Inc. | 5,916 | ||||
4,569 | National Express Group PLC* | 6,859 | ||||
300 | Nishi-Nippon Railroad Co. Ltd. | 5,426 | ||||
58 | Old Dominion Freight Line, Inc. | 19,769 | ||||
915 | Redde Northgate PLC | 3,900 | ||||
123 | RXO, Inc. | 2,433 | ||||
|
|
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
March 31, 2023 (Unaudited)
Shares | Description | Value | ||||
Common Stocks (continued) | ||||||
Ground Transportation (continued) |
||||||
200 | Tobu Railway Co. Ltd. | $ 4,788 | ||||
23,536 | Union Pacific Corp. | 4,736,855 | ||||
1,800 | West Japan Railway Co. | 74,145 | ||||
| ||||||
7,499,806 | ||||||
|
| |||||
Health Care Equipment & Supplies 0.7% |
||||||
57,889 | Abbott Laboratories | 5,861,840 | ||||
14,244 | Becton Dickinson & Co. | 3,525,960 | ||||
445 | BioMerieux | 46,910 | ||||
61,139 | Boston Scientific Corp.* | 3,058,784 | ||||
23 | Carl Zeiss Meditec AG | 3,204 | ||||
17,684 | ConvaTec Group PLC(a) | 49,972 | ||||
2,409 | DENTSPLY SIRONA, Inc. | 94,625 | ||||
2,204 | EssilorLuxottica SA | 397,431 | ||||
25,367 | Hologic, Inc.* | 2,047,117 | ||||
4,090 | IDEXX Laboratories, Inc.* | 2,045,327 | ||||
200 | Jeol Ltd. | 6,465 | ||||
400 | Menicon Co. Ltd. | 8,524 | ||||
1,806 | ResMed, Inc. | 395,176 | ||||
7,825 | STERIS PLC | 1,496,766 | ||||
11,113 | Stryker Corp. | 3,172,428 | ||||
332 | Teleflex, Inc. | 84,099 | ||||
3,200 | Terumo Corp. | 86,545 | ||||
282 | The Cooper Cos., Inc. | 105,287 | ||||
964 | Zimmer Biomet Holdings, Inc. | 124,549 | ||||
| ||||||
22,611,009 | ||||||
|
| |||||
Health Care Providers & Services 0.6% |
||||||
69 | Acadia Healthcare Co., Inc.* | 4,985 | ||||
13,762 | AmerisourceBergen Corp. | 2,203,434 | ||||
140 | Amplifon SpA | 4,852 | ||||
6,897 | Cardinal Health, Inc. | 520,724 | ||||
2,417 | Centene Corp.* | 152,779 | ||||
9 | Chemed Corp. | 4,840 | ||||
936 | Cigna Corp. | 239,176 | ||||
3,663 | CVS Health Corp. | 272,198 | ||||
1,008 | DaVita, Inc.* | 81,759 | ||||
9,525 | Elevance Health, Inc. | 4,379,690 | ||||
110 | Encompass Health Corp. | 5,951 | ||||
1,241 | Fresenius Medical Care AG & Co. KGaA | 52,673 | ||||
2,618 | Fresenius SE & Co. KGaA | 70,694 | ||||
796 | HCA Healthcare, Inc. | 209,889 | ||||
1,170 | Henry Schein, Inc.* | 95,402 | ||||
427 | Humana, Inc. | 207,291 | ||||
519 | Laboratory Corp. of America Holdings | 119,069 | ||||
515 | McKesson Corp. | 183,366 | ||||
366 | Molina Healthcare, Inc.* | 97,901 | ||||
774 | Quest Diagnostics, Inc. | 109,506 | ||||
24,863 | UnitedHealth Group, Inc. | 11,750,005 | ||||
586 | Universal Health Services, Inc. Class B | 74,481 | ||||
| ||||||
20,840,665 | ||||||
|
|
Shares | Description | Value | ||||
Common Stocks (continued) | ||||||
Health Care REITs 0.0% |
||||||
47,097 | Assura PLC | $ 28,387 | ||||
21,838 | Primary Health Properties PLC | 27,349 | ||||
| ||||||
55,736 | ||||||
|
| |||||
Health Care Technology 0.0% |
||||||
195 | Doximity, Inc. Class A* | 6,314 | ||||
200 | M3, Inc. | 5,034 | ||||
99 | Veeva Systems, Inc. Class A | 18,195 | ||||
| ||||||
29,543 | ||||||
|
| |||||
Hotel & Resort REITs 0.0% |
||||||
6,124 | Host Hotels & Resorts, Inc. | 100,985 | ||||
|
| |||||
Hotels, Restaurants & Leisure 0.4% |
||||||
194 | Accor SA* | 6,307 | ||||
180 | Amadeus IT Group SA | 12,075 | ||||
1,641 | Booking Holdings, Inc.* | 4,352,605 | ||||
13 | Chipotle Mexican Grill, Inc.* | 22,208 | ||||
948 | Choice Hotels International, Inc. | 111,096 | ||||
548 | Compass Group PLC | 13,772 | ||||
653 | Darden Restaurants, Inc. | 101,319 | ||||
3,466 | Dominos Pizza Group PLC | 12,221 | ||||
3,053 | Entain PLC | 47,413 | ||||
1,070 | Expedia Group, Inc.* | 103,822 | ||||
48 | Flutter Entertainment PLC* | 8,779 | ||||
100 | Food & Life Cos. Ltd. | 2,610 | ||||
76 | Greggs PLC | 2,610 | ||||
996 | Hilton Worldwide Holdings, Inc. | 140,306 | ||||
149 | InterContinental Hotels Group PLC | 9,754 | ||||
869 | J D Wetherspoon PLC* | 7,665 | ||||
2,412 | Just Eat Takeaway.com NV*(a) | 46,028 | ||||
200 | Kyoritsu Maintenance Co. Ltd. | 8,088 | ||||
865 | La Francaise des Jeux SAEM(a) | 36,051 | ||||
29,936 | Las Vegas Sands Corp.* | 1,719,823 | ||||
994 | Marriott International, Inc. Class A | 165,044 | ||||
18,006 | McDonalds Corp. | 5,034,658 | ||||
2,647 | MGM Resorts International | 117,580 | ||||
200 | Oriental Land Co. Ltd. | 6,848 | ||||
693 | Playtech PLC* | 4,503 | ||||
400 | Skylark Holdings Co. Ltd.* | 5,222 | ||||
1,579 | Sodexo SA | 154,222 | ||||
2,604 | SSP Group PLC* | 7,905 | ||||
6,940 | The Wendys Co. | 151,153 | ||||
167 | Trainline PLC*(a) | 513 | ||||
750 | TUI AG* | 5,780 | ||||
1,124 | Whitbread PLC | 41,522 | ||||
| ||||||
12,459,502 | ||||||
|
| |||||
Household Durables 0.1% |
||||||
6,911 | Barratt Developments PLC | 39,771 | ||||
2,047 | Berkeley Group Holdings PLC | 106,051 | ||||
1,157 | Crest Nicholson Holdings PLC | 3,118 | ||||
1,608 | D.R. Horton, Inc. | 157,086 | ||||
29,911 | Lennar Corp. Class A | 3,143,945 | ||||
|
|
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
March 31, 2023 (Unaudited)
Shares | Description | Value | ||||
Common Stocks (continued) | ||||||
Household Durables (continued) |
||||||
700 | Mohawk Industries, Inc.* | $ 70,154 | ||||
24 | NVR, Inc.* | 133,733 | ||||
2,600 | Panasonic Holdings Corp. | 23,263 | ||||
1,922 | PulteGroup, Inc. | 112,014 | ||||
400 | Sekisui Chemical Co. Ltd. | 5,681 | ||||
200 | Sharp Corp. | 1,414 | ||||
400 | Sumitomo Forestry Co. Ltd. | 7,946 | ||||
2,077 | Vistry Group PLC | 20,097 | ||||
606 | Whirlpool Corp. | 80,004 | ||||
| ||||||
3,904,277 | ||||||
|
| |||||
Household Products 0.3% |
||||||
19,675 | Church & Dwight Co., Inc. | 1,739,467 | ||||
295 | Colgate-Palmolive Co. | 22,169 | ||||
300 | Lion Corp. | 3,242 | ||||
178 | Reckitt Benckiser Group PLC | 13,542 | ||||
845 | Reynolds Consumer Products, Inc. | 23,237 | ||||
53,469 | The Procter & Gamble Co. | 7,950,306 | ||||
| ||||||
9,751,963 | ||||||
|
| |||||
Independent Power and Renewable Electricity Producers 0.0% | ||||||
72 | Corp. ACCIONA Energias Renovables SA | 2,792 | ||||
3,119 | Drax Group PLC | 23,428 | ||||
98 | Encavis AG | 1,684 | ||||
45,542 | The AES Corp. | 1,096,651 | ||||
| ||||||
1,124,555 | ||||||
|
| |||||
Industrial Conglomerates 0.2% |
||||||
621 | DCC PLC | 36,199 | ||||
3,275 | General Electric Co. | 313,090 | ||||
800 | Hitachi Ltd. | 43,968 | ||||
25,633 | Honeywell International, Inc. | 4,898,979 | ||||
3,560 | Siemens AG | 576,734 | ||||
| ||||||
5,868,970 | ||||||
|
| |||||
Industrial REITs 0.0% | ||||||
10,346 | LondonMetric Property PLC | 22,537 | ||||
26,869 | Tritax Big Box REIT PLC | 46,493 | ||||
8,395 | Urban Logistics REIT PLC | 13,256 | ||||
5,746 | Warehouse Reit PLC | 7,244 | ||||
47 | Warehouses De Pauw CVA | 1,398 | ||||
| ||||||
90,928 | ||||||
|
| |||||
Insurance 0.4% | ||||||
168 | Admiral Group PLC | 4,219 | ||||
27,702 | Aflac, Inc. | 1,787,333 | ||||
990 | Ageas SA | 42,826 | ||||
2,990 | American International Group, Inc. | 150,576 | ||||
8,595 | Aon PLC Class A | 2,709,918 | ||||
1,694 | Arch Capital Group Ltd.* | 114,972 | ||||
98 | Arthur J. Gallagher & Co. | 18,748 | ||||
993 | ASR Nederland NV | 39,511 | ||||
|
|
Shares | Description | Value | ||||
Common Stocks (continued) | ||||||
Insurance (continued) |
||||||
7,045 | Assicurazioni Generali SpA | $ 140,369 | ||||
525 | Assurant, Inc. | 63,037 | ||||
1,189 | Chubb Ltd. | 230,880 | ||||
1,600 | Dai-ichi Life Holdings, Inc. | 29,414 | ||||
11,935 | Direct Line Insurance Group PLC | 20,275 | ||||
232 | Everest Re Group Ltd. | 83,061 | ||||
13,864 | Globe Life, Inc. | 1,525,317 | ||||
2,892 | Japan Post Holdings Co. Ltd. | 23,471 | ||||
288 | Japan Post Insurance Co. Ltd. | 4,489 | ||||
63,887 | Legal & General Group PLC | 188,953 | ||||
1,659 | Loews Corp. | 96,255 | ||||
935 | Markel Corp.* | 1,194,378 | ||||
2,459 | MetLife, Inc. | 142,474 | ||||
2,073 | NN Group NV | 75,270 | ||||
4,061 | Poste Italiane SpA(a) | 41,412 | ||||
1,390 | Principal Financial Group, Inc. | 103,305 | ||||
79 | Ryan Specialty Holdings, Inc. * | 3,179 | ||||
193 | Sampo Oyj Class A | 9,107 | ||||
261 | Talanx AG | 12,098 | ||||
1,619 | The Hartford Financial Services Group, Inc. | 112,828 | ||||
18,806 | The Progressive Corp. | 2,690,386 | ||||
11,858 | The Travelers Cos., Inc. | 2,032,580 | ||||
1,467 | W.R. Berkley Corp. | 91,335 | ||||
66 | Willis Towers Watson PLC | 15,337 | ||||
| ||||||
13,797,313 | ||||||
|
| |||||
Interactive Media & Services 1.2% | ||||||
258,102 | Alphabet, Inc. Class A* | 26,772,920 | ||||
46 | Baltic Classifieds Group PLC | 88 | ||||
62,813 | Meta Platforms, Inc. Class A* | 13,312,587 | ||||
681 | Pinterest, Inc. Class A* | 18,571 | ||||
521 | Scout24 SE(a) | 30,989 | ||||
6,600 | Z Holdings Corp. | 18,714 | ||||
| ||||||
40,153,869 | ||||||
|
| |||||
IT Services 0.3% | ||||||
18,143 | Accenture PLC Class A | 5,185,451 | ||||
18,895 | Akamai Technologies, Inc.* | 1,479,478 | ||||
2,509 | Capgemini SE | 466,261 | ||||
2,423 | Cognizant Technology Solutions Corp. Class A | 147,633 | ||||
316 | Computacenter PLC | 8,381 | ||||
3,237 | DXC Technology Co.* | 82,738 | ||||
1,132 | EPAM Systems, Inc.* | 338,468 | ||||
498 | FDM Group Holdings PLC | 4,454 | ||||
16,600 | Finablr PLC*(a)(b) | | ||||
800 | Fujitsu Ltd. | 108,104 | ||||
6,456 | Gartner, Inc.* | 2,103,171 | ||||
1,100 | Globant SA* | 180,411 | ||||
2,399 | International Business Machines Corp. | 314,485 | ||||
50 | Kainos Group PLC | 855 | ||||
354 | NEC Corp. | 13,666 | ||||
|
|
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
March 31, 2023 (Unaudited)
Shares | Description | Value | ||||
Common Stocks (continued) | ||||||
IT Services (continued) |
||||||
600 | NET One Systems Co. Ltd. | $ 14,398 | ||||
4,885 | NTT Data Corp. | 64,221 | ||||
193 | Reply SpA | 24,236 | ||||
1,100 | TIS, Inc. | 29,090 | ||||
| ||||||
10,565,501 | ||||||
|
| |||||
Leisure Products 0.0% | ||||||
200 | Bandai Namco Holdings, Inc. | 4,312 | ||||
16 | Games Workshop Group PLC | 1,906 | ||||
100 | Sankyo Co. Ltd. | 4,175 | ||||
300 | Sega Sammy Holdings, Inc. | 5,702 | ||||
| ||||||
16,095 | ||||||
|
| |||||
Life Sciences Tools & Services 0.4% | ||||||
3,723 | Agilent Technologies, Inc. | 515,040 | ||||
335 | Charles River Laboratories International, Inc.* | 67,610 | ||||
27,793 | Danaher Corp. | 7,004,948 | ||||
955 | Eurofins Scientific SE | 63,946 | ||||
9,530 | Illumina, Inc.* | 2,216,201 | ||||
3,301 | IQVIA Holdings, Inc. | 656,536 | ||||
178 | Maravai LifeSciences Holdings, Inc. Class A* | 2,494 | ||||
12 | Mettler-Toledo International, Inc.* | 18,362 | ||||
3,045 | PerkinElmer, Inc. | 405,777 | ||||
4,775 | QIAGEN NV* | 218,150 | ||||
874 | Thermo Fisher Scientific, Inc. | 503,747 | ||||
990 | Waters Corp.* | 306,534 | ||||
| ||||||
11,979,345 | ||||||
|
| |||||
Machinery 0.3% | ||||||
2,974 | Alstom SA | 80,971 | ||||
221 | ANDRITZ AG | 14,954 | ||||
1,712 | Bodycote PLC | 13,774 | ||||
5,240 | CNH Industrial NV | 80,178 | ||||
9,154 | Deere & Co. | 3,779,504 | ||||
300 | DMG Mori Co. Ltd. | 5,072 | ||||
1,840 | Fortive Corp. | 125,433 | ||||
1,297 | GEA Group AG | 59,166 | ||||
1,000 | Hino Motors Ltd.* | 4,188 | ||||
94 | Illinois Tool Works, Inc. | 22,884 | ||||
2,267 | Ingersoll Rand, Inc. | 131,894 | ||||
1,281 | ITT, Inc. | 110,151 | ||||
46 | Knorr-Bremse AG | 3,064 | ||||
158 | Kone Oyj Class B | 8,240 | ||||
100 | MISUMI Group, Inc. | 2,513 | ||||
1,100 | Mitsubishi Heavy Industries Ltd. | 40,525 | ||||
835 | Morgan Advanced Materials PLC | 2,933 | ||||
400 | NGK Insulators Ltd. | 5,304 | ||||
33 | Nordson Corp. | 7,335 | ||||
800 | NSK Ltd. | 4,576 | ||||
1,400 | NTN Corp. | 3,573 | ||||
206 | Otis Worldwide Corp. | 17,386 | ||||
|
|
Shares | Description | Value | ||||
Common Stocks (continued) | ||||||
Machinery (continued) |
||||||
26,386 | PACCAR, Inc. | $ 1,931,455 | ||||
6,150 | Parker-Hannifin Corp. | 2,067,076 | ||||
347 | Snap-on, Inc. | 85,671 | ||||
200 | Sumitomo Heavy Industries Ltd. | 4,904 | ||||
200 | The Japan Steel Works Ltd. | 3,761 | ||||
1,738 | The Toro Co. | 193,196 | ||||
158 | The Weir Group PLC | 3,625 | ||||
700 | Toyota Industries Corp. | 38,998 | ||||
1,116 | Westinghouse Air Brake Technologies Corp. | 112,783 | ||||
153 | Xylem, Inc. | 16,019 | ||||
| ||||||
8,981,106 | ||||||
|
| |||||
Marine Transportation 0.0% | ||||||
1,000 | Kawasaki Kisen Kaisha Ltd. | 22,936 | ||||
1,300 | Mitsui OSK Lines Ltd. | 32,601 | ||||
1,600 | Nippon Yusen KK | 37,373 | ||||
| ||||||
92,910 | ||||||
|
| |||||
Media 0.2% | ||||||
11 | 4imprint Group PLC | 655 | ||||
504 | Charter Communications, Inc. Class A* | 180,235 | ||||
133,359 | Comcast Corp. Class A | 5,055,640 | ||||
300 | Dentsu Group, Inc. | 10,575 | ||||
3,263 | Fox Corp. Class A | 111,105 | ||||
801 | Future PLC | 11,513 | ||||
300 | Hakuhodo DY Holdings, Inc. | 3,401 | ||||
20,047 | Informa PLC | 171,832 | ||||
100 | Kadokawa Corp. | 2,136 | ||||
5,216 | News Corp. Class A | 90,080 | ||||
1,161 | Publicis Groupe SA | 90,627 | ||||
14,727 | Vivendi SE | 148,913 | ||||
4,700 | WPP PLC | 55,840 | ||||
| ||||||
5,932,552 | ||||||
|
| |||||
Metals & Mining 0.1% | ||||||
3,966 | Anglo American PLC | 131,915 | ||||
471 | Antofagasta PLC | 9,226 | ||||
4,205 | ArcelorMittal SA | 127,396 | ||||
100 | Dowa Holdings Co. Ltd. | 3,216 | ||||
668 | Endeavour Mining PLC | 16,491 | ||||
7,048 | Evraz PLC*(b) | | ||||
1,920 | Ferrexpo PLC | 2,794 | ||||
33,919 | Glencore PLC | 195,177 | ||||
1,100 | Kobe Steel Ltd. | 8,769 | ||||
200 | Maruichi Steel Tube Ltd. | 4,403 | ||||
200 | Mitsui Mining & Smelting Co. Ltd. | 4,866 | ||||
53,268 | Newmont Corp. | 2,611,197 | ||||
2,400 | Nippon Steel Corp. | 56,596 | ||||
1,064 | Nucor Corp. | 164,356 | ||||
2,805 | Rio Tinto PLC | 190,397 | ||||
1,020 | Steel Dynamics, Inc. | 115,321 | ||||
| ||||||
3,642,120 | ||||||
|
|
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
March 31, 2023 (Unaudited)
Shares | Description | Value | ||||
Common Stocks (continued) | ||||||
Multi-Utilities 0.1% | ||||||
22,997 | A2A SpA | $ 36,699 | ||||
37,406 | Centrica PLC | 48,988 | ||||
1,639 | Consolidated Edison, Inc. | 156,803 | ||||
3,134 | DTE Energy Co. | 343,298 | ||||
9,794 | E.ON SE | 122,177 | ||||
11,451 | Engie SA | 181,209 | ||||
45,642 | NiSource, Inc. | 1,276,150 | ||||
3,485 | Sempra Energy | 526,793 | ||||
776 | Telecom Plus PLC | 18,093 | ||||
8,004 | Veolia Environnement SA | 246,981 | ||||
| ||||||
2,957,191 | ||||||
|
| |||||
Office REITs 0.0% | ||||||
1,336 | Boston Properties, Inc. | 72,304 | ||||
|
| |||||
Oil, Gas & Consumable Fuels 0.7% | ||||||
2,130 | Apa Corp. | 76,808 | ||||
31,580 | BP PLC | 199,602 | ||||
1,885 | Capricorn Energy PLC | 5,430 | ||||
51,613 | Chevron Corp. | 8,421,177 | ||||
3,101 | ConocoPhillips | 307,650 | ||||
4,568 | Coterra Energy, Inc. | 112,099 | ||||
871 | Diamondback Energy, Inc. | 117,733 | ||||
14,023 | Eni SpA | 195,570 | ||||
3,006 | EQT Corp. | 95,922 | ||||
96,812 | Exxon Mobil Corp. | 10,616,404 | ||||
22 | Gaztransport Et Technigaz SA | 2,251 | ||||
7,679 | Harbour Energy PLC | 26,023 | ||||
2,800 | Inpex Corp. | 29,631 | ||||
111,608 | Kinder Morgan, Inc. | 1,954,256 | ||||
4,069 | Marathon Oil Corp. | 97,493 | ||||
1,604 | Marathon Petroleum Corp. | 216,267 | ||||
2,939 | Occidental Petroleum Corp. | 183,482 | ||||
739 | OMV AG | 33,937 | ||||
1,755 | Phillips 66 | 177,922 | ||||
8,581 | Repsol SA | 131,957 | ||||
6,984 | Shell PLC | 199,034 | ||||
1,253 | Targa Resources Corp. | 91,406 | ||||
6 | Texas Pacific Land Corp. | 10,206 | ||||
616 | The Williams Cos., Inc. | 18,394 | ||||
9,487 | TotalEnergies SE | 559,388 | ||||
15,509 | Tullow Oil PLC* | 6,031 | ||||
1,373 | Valero Energy Corp. | 191,671 | ||||
| ||||||
24,077,744 | ||||||
|
| |||||
Paper & Forest Products 0.0% | ||||||
8,443 | Mondi PLC | 134,050 | ||||
3,670 | Stora Enso Oyj Class R | 47,746 | ||||
5,288 | UPM-Kymmene Oyj* | 177,613 | ||||
| ||||||
359,409 | ||||||
|
|
Shares | Description | Value | ||||
Common Stocks (continued) | ||||||
Passenger Airlines 0.1% |
||||||
1,000 | ANA Holdings, Inc.* | $ 21,735 | ||||
38,125 | Delta Air Lines, Inc.* | 1,331,325 | ||||
8,244 | Deutsche Lufthansa AG* | 91,694 | ||||
5,050 | easyJet PLC* | 32,275 | ||||
1,400 | Japan Airlines Co. Ltd. | 27,297 | ||||
2,324 | United Airlines Holdings, Inc.* | 102,837 | ||||
| ||||||
1,607,163 | ||||||
|
| |||||
Personal Products 0.0% | ||||||
25,046 | Haleon PLC | 99,493 | ||||
300 | Kobayashi Pharmaceutical Co. Ltd. | 18,348 | ||||
64 | LOreal SA | 28,598 | ||||
2,116 | PZ Cussons PLC | 4,834 | ||||
99 | The Estee Lauder Cos., Inc. Class A | 24,400 | ||||
260 | Unilever PLC | 13,473 | ||||
| ||||||
189,146 | ||||||
|
| |||||
Pharmaceuticals 0.9% | ||||||
7,700 | Astellas Pharma, Inc. | 109,396 | ||||
1,355 | AstraZeneca PLC | 187,741 | ||||
4,276 | Bayer AG | 273,158 | ||||
64,715 | Bristol-Myers Squibb Co. | 4,485,397 | ||||
3,600 | Chugai Pharmaceutical Co. Ltd. | 88,893 | ||||
1,945 | Dechra Pharmaceuticals PLC | 63,678 | ||||
23,780 | Elanco Animal Health, Inc.* | 223,532 | ||||
22,191 | Eli Lilly & Co. | 7,620,833 | ||||
11,951 | GSK PLC | 211,166 | ||||
923 | Hikma Pharmaceuticals PLC | 19,131 | ||||
200 | Hisamitsu Pharmaceutical Co., Inc. | 5,720 | ||||
2,052 | Indivior PLC* | 35,051 | ||||
176 | Ipsen SA | 19,380 | ||||
59,912 | Johnson & Johnson | 9,286,360 | ||||
1,100 | Kyowa Kirin Co. Ltd. | 24,015 | ||||
73 | Merck KGaA | 13,610 | ||||
600 | Ono Pharmaceutical Co. Ltd. | 12,503 | ||||
63 | Orion Oyj Class B | 2,816 | ||||
401 | Otsuka Holdings Co. Ltd. | 12,732 | ||||
154,013 | Pfizer, Inc. | 6,283,730 | ||||
891 | Recordati Industria Chimica e Farmaceutica SpA | 37,689 | ||||
4,153 | Sanofi | 450,512 | ||||
800 | Santen Pharmaceutical Co. Ltd. | 6,835 | ||||
700 | Shionogi & Co. Ltd. | 31,574 | ||||
1,843 | Takeda Pharmaceutical Co. Ltd. | 60,531 | ||||
529 | UCB SA | 47,280 | ||||
9,797 | Viatris, Inc. | 94,247 | ||||
4,591 | Zoetis, Inc. | 764,126 | ||||
| ||||||
30,471,636 | ||||||
|
|
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
March 31, 2023 (Unaudited)
Shares | Description | Value | ||||
Common Stocks (continued) | ||||||
Professional Services 0.1% | ||||||
422 | Arcadis NV | $ 17,278 | ||||
3,062 | Booz Allen Hamilton Holding Corp. | 283,817 | ||||
1,384 | Broadridge Financial Solutions, Inc. | 202,588 | ||||
139 | Bureau Veritas SA | 3,994 | ||||
430 | CACI International, Inc. Class A* | 127,362 | ||||
9,603 | Equifax, Inc. | 1,947,872 | ||||
399 | Experian PLC | 13,138 | ||||
93 | Intertek Group PLC | 4,658 | ||||
1,035 | Leidos Holdings, Inc. | 95,282 | ||||
200 | Meitec Corp. | 3,581 | ||||
300 | Nihon M&A Center Holdings, Inc. | 2,249 | ||||
2,392 | Pagegroup PLC | 13,467 | ||||
167 | Paychex, Inc. | 19,136 | ||||
1,000 | Persol Holdings Co. Ltd. | 20,135 | ||||
423 | RELX PLC | 13,700 | ||||
1,051 | Robert Half International, Inc. | 84,679 | ||||
905 | Teleperformance | 218,679 | ||||
87 | Verisk Analytics, Inc. | 16,613 | ||||
105 | Wolters Kluwer NV | 13,255 | ||||
| ||||||
3,101,483 | ||||||
|
| |||||
Real Estate Management & Development 0.0% | ||||||
100 | Aeon Mall Co. Ltd. | 1,313 | ||||
1,652 | CBRE Group, Inc. Class A* | 120,282 | ||||
500 | Daito Trust Construction Co. Ltd. | 49,815 | ||||
2,161 | IWG PLC* | 4,387 | ||||
7,300 | Mitsubishi Estate Co. Ltd. | 86,831 | ||||
300 | Nomura Real Estate Holdings, Inc. | 6,643 | ||||
456 | Savills PLC | 5,564 | ||||
500 | Sumitomo Realty & Development Co. Ltd. | 11,291 | ||||
1,200 | Tokyu Fudosan Holdings Corp. | 5,763 | ||||
| ||||||
291,889 | ||||||
|
| |||||
Residential REITs 0.0% | ||||||
774 | Camden Property Trust | 81,146 | ||||
6,277 | Equity Residential | 376,620 | ||||
3,143 | Invitation Homes, Inc. | 98,156 | ||||
| ||||||
555,922 | ||||||
|
| |||||
Retail REITs 0.0% | ||||||
2,799 | Capital & Counties Properties PLC | 3,960 | ||||
4,454 | Kimco Realty Corp. | 86,987 | ||||
1,771 | Klepierre SA | 40,153 | ||||
1,201 | Regency Centers Corp. | 73,477 | ||||
2,512 | Spirit Realty Capital, Inc. | 100,078 | ||||
1,294 | Unibail-Rodamco-Westfield* | 69,625 | ||||
| ||||||
374,280 | ||||||
|
|
Shares | Description | Value | ||||
Common Stocks (continued) | ||||||
Semiconductors & Semiconductor Equipment 1.1% |
||||||
4,210 | Advanced Micro Devices, Inc.* | $ 412,622 | ||||
20,267 | Analog Devices, Inc. | 3,997,058 | ||||
30,170 | Applied Materials, Inc. | 3,705,781 | ||||
5,996 | Infineon Technologies AG | 246,227 | ||||
6,023 | KLA Corp. | 2,404,201 | ||||
433 | Lam Research Corp. | 229,542 | ||||
155 | Lattice Semiconductor Corp.* | 14,802 | ||||
2,089 | Microchip Technology, Inc. | 175,016 | ||||
3,567 | Micron Technology, Inc. | 215,233 | ||||
63,702 | NVIDIA Corp. | 17,694,504 | ||||
969 | NXP Semiconductors NV | 180,694 | ||||
1,865 | ON Semiconductor Corp.* | 153,527 | ||||
1,000 | Qorvo, Inc.* | 101,570 | ||||
2,841 | QUALCOMM, Inc. | 362,455 | ||||
2,350 | Renesas Electronics Corp.* | 34,030 | ||||
166 | SCREEN Holdings Co. Ltd. | 14,725 | ||||
500 | Shinko Electric Industries Co. Ltd. | 15,554 | ||||
1,001 | Skyworks Solutions, Inc. | 118,098 | ||||
349 | SOITEC* | 56,005 | ||||
20,500 | STMicroelectronics NV | 1,091,676 | ||||
1,736 | Sumco Corp. | 26,116 | ||||
29,777 | Texas Instruments, Inc. | 5,538,820 | ||||
100 | Tokyo Electron Ltd. | 12,217 | ||||
143 | Ulvac, Inc. | 6,247 | ||||
| ||||||
36,806,720 | ||||||
|
| |||||
Software 1.8% | ||||||
15,333 | Adobe, Inc.* | 5,908,878 | ||||
123 | Atlassian Corp. Class A | 21,054 | ||||
2,785 | Autodesk, Inc.* | 579,726 | ||||
1,877 | Bytes Technology Group PLC | 8,993 | ||||
338 | Dassault Systemes SE | 13,943 | ||||
5,832 | Dynatrace, Inc.* | 246,694 | ||||
4,177 | Gen Digital, Inc. | 71,677 | ||||
11,033 | Intuit, Inc. | 4,918,842 | ||||
30 | Manhattan Associates, Inc.* | 4,646 | ||||
126,901 | Microsoft Corp. | 36,585,558 | ||||
31 | Nemetschek SE | 2,140 | ||||
208 | Nutanix, Inc. Class A* | 5,360 | ||||
1,876 | PTC, Inc.* | 240,560 | ||||
6,110 | Roper Technologies, Inc. | 2,692,616 | ||||
33,666 | Salesforce, Inc.* | 6,725,794 | ||||
4,551 | SAP SE | 574,657 | ||||
6,441 | Synopsys, Inc.* | 2,487,836 | ||||
9,447 | The Sage Group PLC | 90,657 | ||||
| ||||||
61,179,631 | ||||||
|
| |||||
Specialized REITs 0.1% | ||||||
17,507 | American Tower Corp. | 3,577,380 | ||||
79 | Big Yellow Group PLC | 1,139 | ||||
2,493 | Safestore Holdings PLC | 29,262 | ||||
3,733 | Weyerhaeuser Co. | 112,475 | ||||
| ||||||
3,720,256 | ||||||
|
|
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
March 31, 2023 (Unaudited)
Shares | Description | Value | ||||
Common Stocks (continued) | ||||||
Specialty Retail 0.5% | ||||||
313 | AutoZone, Inc.* | $ 769,401 | ||||
2,114 | Bath & Body Works, Inc. | 77,330 | ||||
1,293 | Best Buy Co., Inc. | 101,203 | ||||
76 | Burlington Stores, Inc.* | 15,194 | ||||
1,530 | CarMax, Inc.* | 98,348 | ||||
5,144 | Currys PLC | 3,748 | ||||
15,484 | Industria de Diseno Textil SA | 520,188 | ||||
17,224 | JD Sports Fashion PLC | 37,931 | ||||
11,375 | Kingfisher PLC | 36,770 | ||||
1,641 | Lowes Cos., Inc. | 328,151 | ||||
2,927 | Moonpig Group PLC* | 4,442 | ||||
3,267 | OReilly Automotive, Inc.* | 2,773,618 | ||||
2,660 | Pets at Home Group PLC | 12,108 | ||||
104 | Shimamura Co. Ltd. | 10,585 | ||||
32,664 | The Home Depot, Inc. | 9,639,800 | ||||
42,399 | The TJX Cos., Inc. | 3,322,386 | ||||
80 | Tractor Supply Co. | 18,783 | ||||
226 | Ulta Beauty, Inc.* | 123,321 | ||||
2,644 | Watches of Switzerland Group PLC*(a) | 26,668 | ||||
532 | WH Smith PLC | 9,848 | ||||
1,500 | Yamada Holdings Co. Ltd. | 5,157 | ||||
100 | ZOZO, Inc. | 2,287 | ||||
| ||||||
17,937,267 | ||||||
|
| |||||
Technology Hardware, Storage & Peripherals 1.1% | ||||||
216,581 | Apple, Inc. | 35,714,207 | ||||
7,993 | Hewlett Packard Enterprise Co. | 127,329 | ||||
4,637 | HP, Inc. | 136,096 | ||||
1,200 | Konica Minolta, Inc. | 5,168 | ||||
1,302 | NetApp, Inc. | 83,133 | ||||
604 | Ricoh Co. Ltd. | 4,531 | ||||
619 | Seiko Epson Corp. | 8,844 | ||||
2,069 | Western Digital Corp.* | 77,939 | ||||
| ||||||
36,157,247 | ||||||
|
| |||||
Textiles, Apparel & Luxury Goods 0.1% | ||||||
16 | Brunello Cucinelli SpA | 1,587 | ||||
356 | Burberry Group PLC | 11,399 | ||||
2,825 | Deckers Outdoor Corp.* | 1,269,979 | ||||
14 | Hermes International | 28,353 | ||||
2,194 | HUGO BOSS AG | 157,772 | ||||
141 | Moncler SpA | 9,739 | ||||
2,125 | Puma SE | 131,734 | ||||
1,826 | Tapestry, Inc. | 78,719 | ||||
| ||||||
1,689,282 | ||||||
|
| |||||
Trading Companies & Distributors 0.0% | ||||||
3,131 | Ashtead Group PLC | 192,259 | ||||
1,569 | Bunzl PLC | 59,265 | ||||
54 | Diploma PLC | 1,880 | ||||
1,047 | ITOCHU Corp. | 34,097 | ||||
2,232 | Marubeni Corp. | 30,355 | ||||
1,535 | Mitsubishi Corp. | 55,163 | ||||
1,581 | Mitsui & Co. Ltd. | 49,280 | ||||
|
|
Shares | Description | Value | ||||
Common Stocks (continued) | ||||||
Trading Companies & Distributors (continued) | ||||||
1,620 | Rexel SA* | $ 38,515 | ||||
5,303 | RS Group PLC | 59,957 | ||||
400 | Sojitz Corp. | 8,358 | ||||
1,300 | Sumitomo Corp. | 23,030 | ||||
200 | Toyota Tsusho Corp. | 8,527 | ||||
| ||||||
560,686 | ||||||
|
| |||||
Transportation Infrastructure* 0.0% | ||||||
20 | Aeroports de Paris | 2,855 | ||||
|
| |||||
Water Utilities 0.0% | ||||||
149 | Severn Trent PLC | 5,293 | ||||
|
| |||||
Wireless Telecommunication Services 0.0% | ||||||
6,552 | Airtel Africa PLC(a) | 8,596 | ||||
2,157 | Freenet AG | 56,048 | ||||
1,600 | KDDI Corp. | 49,340 | ||||
2,800 | SoftBank Group Corp. | 110,078 | ||||
96,344 | Vodafone Group PLC | 106,277 | ||||
| ||||||
330,339 | ||||||
|
| |||||
|
TOTAL COMMON STOCKS (Cost $472,406,718) |
$ 573,345,991 | ||||
|
| |||||
Shares | Dividend Rate |
Value | ||||
Preferred Stocks 0.0% | ||||||
Auto Manufacturers 0.0% | ||||||
Volkswagen AG | ||||||
5,797 | 21.225% | $ 791,130 | ||||
|
| |||||
Electronics 0.0% | ||||||
Sartorius AG | ||||||
19 | 0.371 | 8,008 | ||||
|
| |||||
|
TOTAL PREFERRED STOCKS (Cost $783,464) |
$ 799,138 | ||||
|
| |||||
Units | Expiration Date |
Value | ||||
Rights* 0.0% | ||||||
TUI AG | ||||||
2,093 | $ 2,763 | |||||
(Cost $5,388) | ||||||
|
| |||||
Shares | Description | Value | ||||
Exchange Traded Funds 20.7% | ||||||
532,373 | Invesco Senior Loan ETF | $ 11,073,358 | ||||
3,433,405 | iShares 5-10 Year Investment Grade Corporate Bond ETF | 176,065,008 | ||||
7,191,527 | iShares Core MSCI Emerging Markets ETF | 350,874,602 | ||||
|
|
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
March 31, 2023 (Unaudited)
Shares | Description | Value | ||||
Exchange Traded Funds (continued) | ||||||
44,300 | iShares JP Morgan USD Emerging Markets Bond ETF | $ 3,822,204 | ||||
965,714 | SPDR Blackstone Senior Loan ETF | 40,038,503 | ||||
1,318,822 | SPDR Bloomberg Convertible Securities ETF | 88,453,392 | ||||
456,557 | Vaneck Fallen Angel High Yield Bond ETF | 12,792,727 | ||||
223,600 | Vanguard Real Estate ETF | 18,567,744 | ||||
|
| |||||
|
TOTAL EXCHANGE TRADED FUNDS (Cost $710,023,827) |
$ 701,687,538 | ||||
|
| |||||
Shares | Dividend Rate |
Value | ||||
Investment Company(c) 57.5% | ||||||
|
Goldman Sachs Financial Square Government Fund -
Institutional | |||||
1,945,410,259 | 4.725% | $1,945,410,259 | ||||
(Cost $1,945,410,259) | ||||||
|
| |||||
|
TOTAL INVESTMENTS 95.2% (Cost $3,128,629,656) |
$3,221,245,689 | ||||
|
| |||||
|
OTHER ASSETS IN EXCESS OF LIABILITIES 4.8% |
163,031,210 | ||||
|
| |||||
NET ASSETS 100.0% | $3,384,276,899 | |||||
|
|
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) | Significant unobservable inputs were used in the valuation of this portfolio security; i.e., Level 3. | |
(c) | Represents an Affiliated Issuer. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
March 31, 2023 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS At March 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. |
CLP |
3,164,660,000 | USD | 3,830,334 | 06/22/23 | $ | 114,026 | |||||||||||||
CZK |
139,000,000 | USD | 6,301,443 | 06/21/23 | 95,111 | |||||||||||||||
HUF |
1,764,050,000 | USD | 4,866,621 | 06/21/23 | 40,357 | |||||||||||||||
MXN |
109,760,000 | USD | 5,899,593 | 06/21/23 | 94,179 | |||||||||||||||
PHP |
210,350,000 | USD | 3,800,966 | 06/21/23 | 70,424 | |||||||||||||||
PLN |
15,790,000 | USD | 3,549,362 | 06/21/23 | 90,149 | |||||||||||||||
USD |
4,106,539 | NOK | 42,470,000 | 06/21/23 | 34,984 | |||||||||||||||
USD |
8,203,835 | TWD | 247,280,000 | 06/21/23 | 33,733 | |||||||||||||||
|
||||||||||||||||||||
TOTAL |
$ | 572,963 | ||||||||||||||||||
|
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
Counterparty | Currency Purchased |
Currency Sold |
Settlement Date |
Unrealized Loss |
||||||||||||||||||
|
||||||||||||||||||||||
JPMorgan Securities, Inc. |
INR |
373,570,000 | USD | 4,528,890 | 06/21/23 | $ | (516 | ) | ||||||||||||||
USD |
4,336,189 | AUD | 6,520,000 | 06/21/23 | (35,307 | ) | ||||||||||||||||
USD |
14,003,965 | CAD | 19,070,000 | 06/21/23 | (125,365 | ) | ||||||||||||||||
USD |
17,995,722 | EUR | 16,790,000 | 06/21/23 | (298,061 | ) | ||||||||||||||||
USD |
7,732,043 | GBP | 6,440,000 | 06/21/23 | (225,173 | ) | ||||||||||||||||
USD |
5,354,971 | ILS | 19,350,000 | 06/21/23 | (43,853 | ) | ||||||||||||||||
USD |
10,293,593 | INR | 855,290,000 | 06/21/23 | (74,135 | ) | ||||||||||||||||
USD |
9,088,033 | JPY | 1,218,400,000 | 06/21/23 | (200,359 | ) | ||||||||||||||||
USD |
3,659,655 | NZD | 5,870,000 | 06/21/23 | (10,705 | ) | ||||||||||||||||
USD |
4,384,755 | ZAR | 80,470,000 | 06/21/23 | (102,259 | ) | ||||||||||||||||
|
||||||||||||||||||||||
TOTAL |
$ | (1,115,733 | ) | |||||||||||||||||||
|
FUTURES CONTRACTS At March 31, 2023, the Fund had the following futures contracts:
Description | Number of Contracts |
Expiration Date |
Notional Amount |
Unrealized Appreciation/ (Depreciation) |
||||||||
|
||||||||||||
Long position contracts: |
||||||||||||
IBEX 35 Index |
56 | 04/21/23 | $ | 5,583,214 | $ | 278,431 | ||||||
10 Year U.K. Long Gilt |
77 | 06/28/23 | 9,816,922 | (170,608 | ) | |||||||
10 Year U.S. Treasury Notes |
248 | 06/21/23 | 28,500,625 | (83,348 | ) | |||||||
2 Year Euro-Schatz |
190 | 06/08/23 | 21,778,981 | (77,247 | ) | |||||||
2 Year U.S. Treasury Notes |
127 | 06/30/23 | 26,219,547 | (73,876 | ) | |||||||
20 Year U.S. Treasury Bonds |
79 | 06/21/23 | 10,361,344 | (22,283 | ) | |||||||
30 Year German Euro-Buxl |
6 | 06/08/23 | 916,576 | (1,232 | ) | |||||||
5 Year German Euro-Bobl |
292 | 06/08/23 | 39,146,672 | (154,046 | ) | |||||||
5 Year U.S. Treasury Notes |
203 | 06/30/23 | 22,230,086 | (61,610 | ) | |||||||
ASX 90 Day Bank Accepted Bills |
121 | 06/08/23 | 80,166,889 | (13,345 | ) | |||||||
ASX 90 Day Bank Accepted Bills |
53 | 09/07/23 | 35,118,714 | (5,239 | ) | |||||||
ASX 90 Day Bank Accepted Bills |
39 | 12/07/23 | 25,844,599 | (4,232 | ) | |||||||
Australian 10 Year Government Bonds |
165 | 06/15/23 | 13,553,668 | 77,274 | ||||||||
CAC40 Index |
82 | 04/21/23 | 6,522,052 | 400,589 | ||||||||
Canada 10 Year Government Bonds |
114 | 06/21/23 | 10,641,687 | (54,682 | ) | |||||||
Cattle Feeder |
16 | 05/25/23 | 1,642,000 | 9,634 | ||||||||
Copper |
12 | 05/26/23 | 1,228,350 | 3,704 | ||||||||
DAX Index |
20 | 06/16/23 | 8,565,922 | 499,411 | ||||||||
E-Mini Russell 2000 Index |
7 | 06/16/23 | 634,725 | 9,456 | ||||||||
Euro Stoxx 50 Index |
3,074 | 06/16/23 | 142,051,201 | 9,797,476 | ||||||||
French 10 Year Government Bonds |
51 | 06/08/23 | 7,202,955 | (12,213 | ) | |||||||
FTSE 100 Index |
558 | 06/16/23 | 52,582,935 | 131,065 | ||||||||
FTSE/JSE Top 40 Index |
20 | 06/15/23 | 800,157 | 10,199 | ||||||||
FTSE/MIB Index |
36 | 06/16/23 | 5,203,517 | 312,482 | ||||||||
Gasoline RBOB |
6 | 04/28/23 | 675,612 | 10,763 | ||||||||
Gold 100 Oz |
48 | 06/28/23 | 9,533,760 | 40,517 | ||||||||
Japan 10 Year Government Bond |
28 | 06/13/23 | 31,236,001 | 33,433 | ||||||||
Lead |
23 | 04/17/23 | 1,213,394 | 12,554 | ||||||||
Lead |
11 | 05/15/23 | 578,944 | (9,081 | ) | |||||||
Live Cattle |
42 | 06/30/23 | 2,723,700 | 24,313 | ||||||||
Nasdaq 100 E-Mini Index |
91 | 06/16/23 | 24,209,185 | 1,767,308 | ||||||||
Nickel |
8 | 04/17/23 | 1,136,880 | (168,745 | ) | |||||||
Omxs30 Index |
219 | 04/21/23 | 4,677,409 | 110,745 | ||||||||
Primary Aluminum |
9 | 05/15/23 | 538,594 | 6,239 | ||||||||
Primary Aluminum |
43 | 04/17/23 | 2,561,456 | (8,787 | ) | |||||||
S&P 500 E-Mini Index |
261 | 06/16/23 | 53,997,638 | 2,560,023 | ||||||||
S&P Toronto Stock Exchange 60 Index |
5 | 06/15/23 | 894,710 | 17,638 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
March 31, 2023 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
FUTURES CONTRACTS (continued)
Description | Number of Contracts |
Expiration Date |
Notional Amount |
Unrealized Appreciation/ (Depreciation) |
||||||||
|
||||||||||||
Long position contracts (continued): |
||||||||||||
Silver |
11 | 05/26/23 | $ | 1,328,580 | $ | 18,411 | ||||||
Sugar 11 |
136 | 04/28/23 | 3,389,120 | 390,525 | ||||||||
Topix Index |
224 | 06/08/23 | 33,800,339 | (300,427 | ) | |||||||
Zinc |
26 | 04/17/23 | 1,909,863 | (90,139 | ) | |||||||
|
||||||||||||
Total |
$ | 15,211,050 | ||||||||||
|
||||||||||||
Short position contracts: |
||||||||||||
3M SARON |
(64) | 12/19/23 | (17,110,443 | ) | 31,675 | |||||||
3M SARON |
(67) | 09/19/23 | (17,980,231 | ) | 14,489 | |||||||
3M SARON |
(60) | 03/19/24 | (16,031,204 | ) | 37,170 | |||||||
3M SOFR |
(24) | 03/19/24 | (5,742,000 | ) | 10,237 | |||||||
3M SOFR |
(23) | 12/19/23 | (5,485,213 | ) | 2,697 | |||||||
3M SOFR |
(30) | 06/18/24 | (7,207,125 | ) | 14,677 | |||||||
3M SOFR |
(24) | 09/19/23 | (5,707,500 | ) | (168 | ) | ||||||
3M SOFR |
(17) | 06/17/25 | (4,121,013 | ) | 1,661 | |||||||
3M SOFR |
(24) | 12/17/24 | (5,802,600 | ) | 10,144 | |||||||
3M SOFR |
(17) | 03/18/25 | (4,117,188 | ) | 4,211 | |||||||
3M SOFR |
(31) | 09/17/24 | (7,473,712 | ) | 16,315 | |||||||
Bank Accept Index |
(31) | 06/19/23 | (5,454,819 | ) | 3,641 | |||||||
Bank Accept Index |
(16) | 09/18/23 | (2,821,902 | ) | 3,109 | |||||||
Bank Accept Index |
(25) | 12/18/23 | (4,419,626 | ) | (1,468 | ) | ||||||
Brent Crude |
(66) | 04/28/23 | (5,272,740 | ) | (377,973 | ) | ||||||
CBOE Volatility Index |
(159) | 04/19/23 | (3,301,508 | ) | 273,285 | |||||||
CBOE Volatility Index |
(167) | 05/17/23 | (3,695,460 | ) | (95,026 | ) | ||||||
CBOE Volatility Index |
(150) | 06/21/23 | (3,443,730 | ) | 51,686 | |||||||
Coffee |
(8) | 05/18/23 | (511,500 | ) | (2,538 | ) | ||||||
Corn |
(42) | 05/12/23 | (1,387,050 | ) | (87,104 | ) | ||||||
Cotton No.2 |
(41) | 05/08/23 | (1,696,990 | ) | (42,154 | ) | ||||||
Eurodollars |
(82) | 06/19/23 | (21,467,458 | ) | (17,927 | ) | ||||||
Eurodollars |
(76) | 09/18/23 | (19,860,609 | ) | (5,472 | ) | ||||||
Eurodollars |
(68) | 12/18/23 | (17,783,846 | ) | (1,872 | ) | ||||||
Eurodollars |
(65) | 03/18/24 | (17,027,462 | ) | (4,441 | ) | ||||||
Eurodollars |
(81) | 09/16/24 | (21,282,524 | ) | (10,469 | ) | ||||||
Eurodollars |
(74) | 06/17/24 | (19,416,208 | ) | (8,320 | ) | ||||||
Eurodollars |
(82) | 12/16/24 | (21,567,504 | ) | (7,479 | ) | ||||||
Eurodollars |
(76) | 03/17/25 | (20,003,817 | ) | (14,206 | ) | ||||||
Gasoil |
(18) | 05/11/23 | (1,353,150 | ) | (31,086 | ) | ||||||
HSCEI |
(4) | 04/27/23 | (178,652 | ) | (8,464 | ) | ||||||
Ice 3M Sonia Index |
(27) | 06/18/24 | (7,970,825 | ) | (9,267 | ) | ||||||
Ice 3M Sonia Index |
(45) | 12/19/23 | (13,239,604 | ) | (3,552 | ) | ||||||
Ice 3M Sonia Index |
(33) | 03/19/24 | (9,720,747 | ) | (7,991 | ) | ||||||
Ice 3M Sonia Index |
(46) | 09/19/23 | (13,540,202 | ) | 4,403 | |||||||
Ice 3M Sonia Index |
(19) | 12/17/24 | (5,631,072 | ) | (136 | ) | ||||||
Ice 3M Sonia Index |
(23) | 09/17/24 | (6,805,567 | ) | (5,100 | ) | ||||||
Ice 3M Sonia Index |
(18) | 03/18/25 | (5,339,141 | ) | (546 | ) | ||||||
Ice 3M Sonia Index |
(20) | 06/17/25 | (5,935,771 | ) | (986 | ) | ||||||
Lead |
(23) | 04/17/23 | (1,213,394 | ) | 2,384 | |||||||
Lead |
(11) | 05/15/23 | (578,944 | ) | (6,331 | ) | ||||||
Lean Hogs |
(55) | 06/14/23 | (2,015,750 | ) | 133,823 | |||||||
Natural Gas |
(111) | 04/26/23 | (2,459,760 | ) | 466,047 | |||||||
Nickel |
(8) | 05/15/23 | (1,140,000 | ) | (51,493 | ) | ||||||
Nickel |
(8) | 04/17/23 | (1,136,880 | ) | 94,619 | |||||||
NY Harbor ULSD |
(16) | 04/28/23 | (1,761,043 | ) | (20,767 | ) |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
March 31, 2023 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
FUTURES CONTRACTS (continued)
Description | Number of Contracts |
Expiration Date |
Notional Amount |
Unrealized Appreciation/ (Depreciation) |
||||||||
|
||||||||||||
Short position contracts (continued): |
||||||||||||
Primary Aluminum |
(40) | 05/15/23 | $ | (2,393,750 | ) | $ | (72,176 | ) | ||||
Primary Aluminum |
(43) | 04/17/23 | (2,561,456 | ) | 2,930 | |||||||
S&P Mid 400 Emini |
(4) | 06/16/23 | (1,011,880 | ) | (21,295 | ) | ||||||
Wheat |
(114) | 05/12/23 | (3,945,825 | ) | 236,656 | |||||||
WTI Crude |
(70) | 04/20/23 | (5,296,900 | ) | (464,586 | ) | ||||||
Zinc |
(21) | 05/15/23 | (1,538,119 | ) | (3,895 | ) | ||||||
Zinc |
(26) | 04/17/23 | (1,909,863 | ) | 82,780 | |||||||
|
||||||||||||
Total |
$ | 114,351 | ||||||||||
|
||||||||||||
TOTAL FUTURES CONTRACTS |
$ | 15,325,401 | ||||||||||
|
SWAP CONTRACTS At March 31, 2023, the Fund had the following swap contracts:
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS
Referenced Obligation/Index |
Financing Rate the Fund(a) |
Credit Spread at March 31, 2023(b) |
Termination Date |
Notional (000s) |
Value | Upfront Premiums (Received) Paid |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||||||||
|
||||||||||||||||||||||||||||
Protection Sold: |
||||||||||||||||||||||||||||
CDX.NA.HY Index 40 | 5.000% | .000% | 06/20/28 | $ | 9,600 | $ | 157,740 | $ | 31,887 | $ | 125,853 | |||||||||||||||||
CDX.NA.IG Index 40 | 1.000 | .000 | 06/20/28 | 147,600 | 1,741,065 | 1,175,513 | 565,552 | |||||||||||||||||||||
ICE CD ITXEB 39 | 1.000 | .000 | 06/20/28 | EUR | 137,450 | 1,148,010 | 684,732 | 463,278 | ||||||||||||||||||||
ICE CD ITXEB 39 | 5.000 | .000 | 06/20/28 | 9,700 | 292,557 | 144,798 | 147,759 | |||||||||||||||||||||
|
||||||||||||||||||||||||||||
TOTAL |
$ | 3,339,372 | $ | 2,036,930 | $ | 1,302,442 | ||||||||||||||||||||||
|
(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. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
March 31, 2023 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS
Reference Obligation/Index(a) |
Financing Rate Paid/(Received) by |
Counterparty | Termination Date# |
Notional (000s) |
Unrealized Application/ (Depreciation)* |
|||||||||||
|
||||||||||||||||
Russel 1000 TR Index |
1M SOFR+0.026% | BofA Securities LLC | 02/02/24 | $ | 21,168,558 | $ | (1,151,920 | ) | ||||||||
TUKXG Index |
1M SONIA+0.023 | BofA Securities LLC | 03/18/24 | GBP | 6,101,167 | (305,479 | ) | |||||||||
AMZX Index |
1M SOFR+0.520 | BofA Securities LLC | 12/13/23 | (6,502,458 | ) | 240,591 | ||||||||||
M1WO Index |
1M SOFR-0.0185 | BofA Securities LLC | 02/12/24 | 60,784,294 | (3,503,183 | ) | ||||||||||
MSCI World Daily Net RTN Index |
1M SOFR-0.190 | BofA Securities LLC | 10/13/23 | 27,899,390 | (1,608,877 | ) | ||||||||||
NDDUWI Index |
1M USD LIBOR-0.050 | BofA Securities LLC | 04/12/23 | 34,078,504 | (1,962,609 | ) | ||||||||||
NDUGWI Index |
1M SOFR+0.090 | BofA Securities LLC | 11/10/23 | (80,228,522 | ) | 5,638,941 | ||||||||||
BCOMRS Index |
1M SOFR+0.010 | JPMorgan Securities, Inc. | 12/08/23 | (6,706,431 | ) | 56,688 | ||||||||||
JPGSGLHN Index |
1M SOFR-0.040 | JPMorgan Securities, Inc. | 11/22/23 | (27,119,587 | ) | 1,108,606 | ||||||||||
JPGSGLMN Index |
1M SOFR-0.020 | JPMorgan Securities, Inc. | 05/22/23 | (14,913,130 | ) | 978,165 | ||||||||||
JPGSGLTN Index |
1M SOFR-0.070 | JPMorgan Securities, Inc. | 11/22/23 | (26,889,312 | ) | 2,357,836 | ||||||||||
JPGSMARB Index |
1M SOFR+0.780 | JPMorgan Securities, Inc. | 08/11/23 | (61,811,166 | ) | 1,399,096 | ||||||||||
M1WO Index |
1M SOFR-0.021 | JPMorgan Securities, Inc. | 01/12/24 | 21,330,529 | (1,230,248 | ) | ||||||||||
M1WO Index |
1M SOFR-0.017 | JPMorgan Securities, Inc. | 02/28/24 | 115,267,678 | (6,646,567 | ) | ||||||||||
M1WO Index |
1M SOFR-0.015 | JPMorgan Securities, Inc. | 03/12/24 | 55,798,781 | (3,215,374 | ) | ||||||||||
NDDUWI Index |
1M SOFR-0.110 | JPMorgan Securities, Inc. | 09/13/23 | 9,232,133 | (531,917 | ) | ||||||||||
NDUGWI Index |
1M SOFR-0.140 | JPMorgan Securities, Inc. | 10/13/23 | (54,580,734 | ) | 3,842,471 | ||||||||||
NDUGWI Index |
1M SOFR+0.110 | JPMorgan Securities, Inc. | 06/12/23 | (23,445,408 | ) | 1,647,688 | ||||||||||
SXXGT Index |
1M EURO+0.180 | JPMorgan Securities, Inc. | 06/19/23 | EUR | 15,291,194 | (975,076 | ) | |||||||||
|
||||||||||||||||
TOTAL |
$ | (3,861,168 | ) | |||||||||||||
|
* | There is no upfront payment on the bond forward contract, therefore the unrealized gain (loss) of the bond forward contract is equal to its market value. |
# | 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). |
(a) | Payments made monthly. |
A basket (JPGSMARB) of common stocks | ||||||||||||||
Common Stocks | Sector | Shares | Value | Weight | ||||||||||
|
||||||||||||||
MoneyGram International Inc |
Information Technology | 6,907 | $ | 71,966 | 4.7 | % | ||||||||
Seagen Inc |
Health Care | 357 | 72,254 | 4.7 | ||||||||||
Focus Financial Partners Inc |
Financials | 1,397 | 72,478 | 4.7 | ||||||||||
Horizon Therapeutics Plc |
Health Care | 665 | 72,543 | 4.7 | ||||||||||
Univar Solutions Inc |
Industrials | 2,072 | 72,595 | 4.7 | ||||||||||
OZ Minerals Ltd |
Materials | 2,586 | 72,707 | 4.7 | ||||||||||
Momentive Global Inc |
Information Technology | 7,807 | 72,762 | 4.7 | ||||||||||
Provention Bio Inc |
Health Care | 3,024 | 72,873 | 4.7 | ||||||||||
Qualtrics International Inc |
Information Technology | 4,091 | 72,941 | 4.7 | ||||||||||
Radius Global Infrastructure Inc |
Communication Services | 4,972 | 72,947 | 4.7 | ||||||||||
Aerojet Rocketdyne Holdings Inc |
Health Care | 1,300 | 73,022 | 4.7 | ||||||||||
Maxar Technologies Inc |
Industrials | 1,430 | 73,022 | 4.7 | ||||||||||
iRobot Corp |
Consumer Discretionary | 1,677 | 73,188 | 4.7 | ||||||||||
ForgeRock Inc |
Information Technology | 3,557 | 73,268 | 4.8 | ||||||||||
Activision Blizzard Inc |
Information Technology | 859 | 73,515 | 4.8 | ||||||||||
Origin Energy Ltd |
Utilities | 8,867 | 73,515 | 4.8 | ||||||||||
VMware Inc |
Materials | 591 | 73,774 | 4.8 | ||||||||||
Ranger Oil Corp |
Energy | 1,813 | 74,027 | 4.8 | ||||||||||
Black Knight Inc |
Information Technology | 1,305 | 75,125 | 4.9 | ||||||||||
Shaw Communications Inc |
Communication Services | 1,866 | 75,446 | 4.9 | ||||||||||
Oak Street Health Inc |
Health Care | 1,999 | 77,307 | 5.0 | ||||||||||
|
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
March 31, 2023 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
PURCHASED AND WRITTEN OPTIONS CONTRACTS At March 31, 2023, the Fund had the following purchased and written options:
EXCHANGE TRADED OPTIONS ON EQUITIES CONTRACTS
Description | Exercise Price |
Expiration Date |
Number of Contracts |
Notional Amount |
Market Value |
Premiums Paid by Fund |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||||||||
|
||||||||||||||||||||||||||||
Purchased option contracts |
||||||||||||||||||||||||||||
Calls |
||||||||||||||||||||||||||||
CBOE Volatility Index |
$ | 25.000 | 04/19/2023 | 1,590 | $ | 3,975,000 | $ | 108,120 | $ | 352,357 | $ | (244,237 | ) | |||||||||||||||
CBOE Volatility Index |
24.000 | 05/17/2023 | 1,670 | 4,008,000 | 318,135 | 381,188 | (63,053 | ) | ||||||||||||||||||||
CBOE Volatility Index |
26.000 | 06/21/2023 | 1,500 | 3,900,000 | 334,500 | 409,500 | (75,000 | ) | ||||||||||||||||||||
|
||||||||||||||||||||||||||||
4,760 | $ | 11,883,000 | $ | 760,755 | $ | 1,143,045 | $ | (382,290 | ) | |||||||||||||||||||
|
||||||||||||||||||||||||||||
Puts |
||||||||||||||||||||||||||||
S&P 500 Index |
3,290.000 | 04/28/2023 | 8 | 2,632,000 | 1,060 | 12,846 | (11,786 | ) | ||||||||||||||||||||
S&P 500 Index |
3,370.000 | 04/28/2023 | 1 | 337,000 | 168 | 921 | (753 | ) | ||||||||||||||||||||
S&P 500 Index |
3,450.000 | 04/28/2023 | 16 | 5,520,000 | 3,480 | 10,760 | (7,280 | ) | ||||||||||||||||||||
S&P 500 Index |
3,525.000 | 04/28/2023 | 16 | 5,640,000 | 4,600 | 7,772 | (3,172 | ) | ||||||||||||||||||||
|
||||||||||||||||||||||||||||
41 | $ | 14,129,000 | $ | 9,308 | $ | 32,299 | $ | (22,991 | ) | |||||||||||||||||||
|
||||||||||||||||||||||||||||
Total purchased option contracts |
|
4,801 | $ | 26,012,000 | $ | 770,063 | $ | 1,175,344 | $ | (405,281 | ) | |||||||||||||||||
|
||||||||||||||||||||||||||||
Written option contracts |
||||||||||||||||||||||||||||
Puts |
||||||||||||||||||||||||||||
S&P 500 Index |
3,800.000 | 04/28/2023 | (8) | (3,040,000 | ) | (8,920 | ) | (71,954 | ) | 63,034 | ||||||||||||||||||
S&P 500 Index |
3,875.000 | 04/28/2023 | (1) | (387,500 | ) | (1,740 | ) | (7,674 | ) | 5,934 | ||||||||||||||||||
S&P 500 Index |
3,890.000 | 04/28/2023 | (16) | (6,224,000 | ) | (30,400 | ) | (64,948 | ) | 34,548 | ||||||||||||||||||
S&P 500 Index |
3,900.000 | 04/28/2023 | (4) | (1,560,000 | ) | (8,060 | ) | (25,937 | ) | 17,877 | ||||||||||||||||||
S&P 500 Index |
3,910.000 | 04/28/2023 | (12) | (4,692,000 | ) | (25,740 | ) | (68,406 | ) | 42,665 | ||||||||||||||||||
|
||||||||||||||||||||||||||||
Total written option contracts |
(41) | $ | (15,903,500 | ) | $ | (74,860 | ) | $ | (238,919 | ) | $ | 164,058 | ||||||||||||||||
|
||||||||||||||||||||||||||||
TOTAL |
4,760 | $ | 10,108,500 | $ | 695,203 | $ | 936,425 | $ | (241,223 | ) | ||||||||||||||||||
|
| ||
Currency Abbreviations: | ||
AUD | Australian Dollar | |
CAD | Canadian Dollar | |
CLP | Chilean Peso | |
CZK | Czech Republic Koruna | |
EUR | Euro | |
GBP | British Pound | |
HUF | Hungarian Forint | |
ILS | Israeli Shekel | |
INR | Indian Rupee | |
JPY | Japanese Yen | |
MXN | Mexican Peso | |
NOK | Norwegian Krone | |
NZD | New Zealand Dollar | |
PHP | Philippines Peso | |
PLN | Polish Zloty | |
TWD | Taiwan Dollar | |
USD | U.S. Dollar | |
ZAR | South African Rand | |
Investment Abbreviations: | ||
ETF | Exchange Traded Fund | |
MSCI | Morgan Stanley Capital International | |
PLC | Public Limited Company | |
REIT | Real Estate Investment Trust |
Abbreviations: | ||
ICE | Inter-Continental Exchange | |
ICE CD ITXEB | iTraxx Europe Index | |
LIBOR | London Interbank Offered Rate | |
|
GOLDMAN SACHS COMMODITY STRATEGY FUND
Consolidated Schedule of Investments
March 31, 2023 (Unaudited)
Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
U.S. Treasury Obligations(a) 87.5% | ||||||||||||
United States Treasury Bills |
|
|||||||||||
$ |
92,100,000 | 0.000 | % | 04/04/23 | $ 92,088,244 | |||||||
5,000,000 | 0.000 | 04/11/23 | 4,994,789 | |||||||||
20,000,000 | 0.000 | 04/13/23 | 19,974,523 | |||||||||
20,000,000 | 0.000 | 04/20/23 | 19,955,610 | |||||||||
34,000,000 | 0.000 | 04/20/23 | 33,924,537 | |||||||||
17,700,000 | 0.000 | 05/09/23 | 17,618,808 | |||||||||
20,000,000 | 0.000 | 05/23/23 | 19,871,303 | |||||||||
10,900,000 | 0.000 | 05/30/23 | 10,820,677 | |||||||||
112,400,000 | 0.000 | 05/30/23 | 111,582,029 | |||||||||
108,800,000 | 0.000 | 05/30/23 | 108,008,228 | |||||||||
103,000,000 | 0.000 | 06/13/23 | 102,069,929 | |||||||||
85,000,000 | 0.000 | 06/27/23 | 84,076,465 | |||||||||
111,000,000 | 0.000 | 07/05/23 | 109,650,297 | |||||||||
8,000,000 | 0.000 | 08/24/23 | 7,850,883 | |||||||||
15,000,000 | 0.000 | 09/14/23 | 14,678,304 | |||||||||
25,000,000 | 0.000 | 09/14/23 | 24,463,839 | |||||||||
| ||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $781,341,203) |
$781,628,465 | |||||||||||
| ||||||||||||
Shares | Dividend Rate |
Value | ||||||||||
Investment Company(b) 12.8% | ||||||||||||
Goldman Sachs Financial Square Government Fund - Institutional Shares | ||||||||||||
114,780,811 | 4.725% | $114,780,811 | ||||||||||
(Cost $114,780,811) | ||||||||||||
| ||||||||||||
TOTAL INVESTMENTS 100.3% (Cost $896,122,014) |
$896,409,276 | |||||||||||
| ||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS (0.3)% |
(2,705,591) | |||||||||||
| ||||||||||||
NET ASSETS 100.0% | $893,703,685 | |||||||||||
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
(a) | Issued with a zero coupon. Income is recognized through the accretion of discount. | |
(b) | Represents an Affiliated Issuer. |
GOLDMAN SACHS COMMODITY STRATEGY FUND
Consolidated Schedule of Investments (continued)
March 31, 2023 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION
FUTURES CONTRACTS At March 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 |
936 | 04/28/23 | $ | 74,777,040 | $ | 2,476,160 | ||||||
Copper |
87 | 05/26/23 | 8,905,538 | 303,685 | ||||||||
Corn |
63 | 05/12/23 | 2,080,575 | (61,590 | ) | |||||||
Gold 100 Oz |
188 | 06/28/23 | 37,340,560 | 311,591 | ||||||||
KC HRW Wheat |
88 | 05/12/23 | 3,862,100 | 28,146 | ||||||||
Lead |
148 | 04/17/23 | 7,807,925 | (26,859 | ) | |||||||
Lean Hogs |
145 | 04/17/23 | 4,364,500 | (1,158,991 | ) | |||||||
Lean Hogs |
87 | 06/14/23 | 3,188,550 | 77,708 | ||||||||
Low Sulphur Gas Oil |
199 | 04/12/23 | 15,178,725 | (1,461,097 | ) | |||||||
Low Sulphur Gasoil |
140 | 05/11/23 | 10,524,500 | 136,391 | ||||||||
Natural Gas |
1,880 | 04/26/23 | 41,660,800 | (8,064,323 | ) | |||||||
Nickel |
122 | 04/17/23 | 17,337,420 | (457,467 | ) | |||||||
Platinum |
185 | 07/27/23 | 9,278,675 | 179,514 | ||||||||
Primary Aluminum |
904 | 06/19/23 | 54,477,300 | (551,155 | ) | |||||||
Silver |
348 | 05/26/23 | 42,031,440 | 3,208,629 | ||||||||
Soybean |
518 | 05/12/23 | 24,138,800 | (483,834 | ) | |||||||
Soybean Oil |
904 | 05/12/23 | 30,097,776 | (2,347,438 | ) | |||||||
Wheat |
647 | 05/12/23 | 22,394,288 | (2,358,092 | ) | |||||||
Zinc |
425 | 04/17/23 | 31,218,906 | (1,058,348 | ) | |||||||
|
||||||||||||
Total |
$ | (11,307,370 | ) | |||||||||
|
||||||||||||
Short position contracts: |
||||||||||||
Cocoa |
(1,404) | 07/14/23 | (40,631,760 | ) | (3,711,615 | ) | ||||||
Coffee |
(39) | 05/18/23 | (2,493,563 | ) | (87,676 | ) | ||||||
Coffee |
(154) | 09/19/23 | (9,727,987 | ) | 468,668 | |||||||
Cotton No.2 |
(129) | 05/08/23 | (5,339,310 | ) | (78,627 | ) | ||||||
Cotton No.2 |
(453) | 12/06/23 | (18,894,630 | ) | 13,144 | |||||||
FCOJ-A |
(101) | 05/10/23 | (4,082,925 | ) | (695,675 | ) | ||||||
Gasoline RBOB |
(105) | 07/31/23 | (11,107,467 | ) | 135,913 | |||||||
Live Cattle |
(37) | 04/28/23 | (2,491,580 | ) | (87,420 | ) | ||||||
Live Cattle |
(346) | 06/30/23 | (22,438,100 | ) | (260,181 | ) | ||||||
Natural Gas |
(827) | 07/27/23 | (23,015,410 | ) | 4,000,126 | |||||||
NY Harbor ULSD |
(106) | 07/31/23 | (11,347,258 | ) | 744,774 | |||||||
Primary Aluminum |
(1,004) | 06/19/23 | (60,503,550 | ) | (322,766 | ) | ||||||
Primary Aluminum |
(5) | 04/17/23 | (297,844 | ) | (3,201 | ) | ||||||
Soybean |
(125) | 05/12/23 | (9,409,375 | ) | 178,431 | |||||||
Sugar 11 |
(1,255) | 04/28/23 | (31,274,600 | ) | (3,554,844 | ) | ||||||
WTI Crude |
(71) | 11/20/23 | (5,222,050 | ) | (459,177 | ) | ||||||
WTI Crude |
(87) | 04/20/23 | (6,583,290 | ) | 188,976 | |||||||
WTI Crude |
(1,331) | 07/20/23 | (100,410,640 | ) | 2,122,759 | |||||||
|
||||||||||||
Total |
$ | (1,408,391 | ) | |||||||||
|
||||||||||||
TOTAL FUTURES CONTRACTS |
$ | (12,715,761 | ) | |||||||||
|
GOLDMAN SACHS COMMODITY STRATEGY FUND
Consolidated Schedule of Investments (continued)
March 31, 2023 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
SWAP CONTRACTS At March 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 |
Counterparty | Termination Date* |
Notional Amount (000s) |
Unrealized Application/ (Depreciation) |
|||||||||||||
|
||||||||||||||||||
CRB 3M Forward Index | 1MUSDLIBOR+0.24% | Citibank NA | 01/31/24 | $ | (160,079,696 | ) | $ | | ||||||||||
CRB Index | 1MUSDLIBOR+0.21% | Citibank NA | 01/31/24 | (124,403,440 | ) | | ||||||||||||
CRB 3M Forward Index | 1MUSDLIBOR+0.25% | Merrill Lynch International Bank Ltd. | 01/31/24 | (158,844,981 | ) | | ||||||||||||
CRB Index | 1MUSDLIBOR+0.21% | Merrill Lynch International Bank Ltd. | 01/31/24 | (121,536,503 | ) | | ||||||||||||
CRB 3M Forward Index | 1MUSDLIBOR+0.25% | UBS AG (London) | 01/31/24 | (252,136,783 | ) | | ||||||||||||
|
||||||||||||||||||
TOTAL |
$ | | ||||||||||||||||
|
* | There is no upfront payment on the bond forward contract, therefore the unrealized gain (loss) of the bond forward contract is equal to its market value. |
# | 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). |
(a) | Payments made annually. |
| ||
Currency Abbreviations: | ||
USD | U.S. Dollar | |
|
GOLDMAN SACHS ALTERNATIVE FUNDS II
Schedule of Investments (continued)
March 31, 2023 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS
Investment Valuation The Funds valuation policy is to value investments at fair value.
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 GSAMs 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.
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.
GOLDMAN SACHS ALTERNATIVE FUNDS II
Schedule of Investments (continued)
March 31, 2023 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
Underlying Funds (including Money Market Funds) Underlying funds (Underlying Funds) include other investment companies and exchange-traded funds (ETFs). Investments in the Underlying Funds (except ETFs) are valued at the NAV per share 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 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 Funds accounting policies and investment holdings, please see the Underlying Funds 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 Statements of Assets and Liabilities as either due to broker/receivable for collateral on certain derivatives 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 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.
GOLDMAN SACHS ALTERNATIVE FUNDS II
Schedule of Investments (continued)
March 31, 2023 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (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 Fund deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by a Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.
iii. 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 Funds 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, the 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.
GOLDMAN SACHS ALTERNATIVE FUNDS II
Schedule of Investments (continued)
March 31, 2023 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
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 investments 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.
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 Funds 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 Funds 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 Funds investments and derivatives classified in the fair value hierarchy as of March 31, 2023:
ABSOLUTE RETURN TRACKER | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) |
||||||||||||
Africa |
$ | | $ | 16,726 | $ | | ||||||
Asia |
11,313 | 3,299,191 | | |||||||||
Europe |
15,278,459 | 22,495,234 | | |||||||||
North America |
531,485,047 | 570,384 | | |||||||||
South America |
180,411 | 9,226 | | |||||||||
Preferred Stocks |
| 799,138 | | |||||||||
Rights |
| 2,763 | | |||||||||
Exchange Traded Funds |
701,687,538 | | | |||||||||
Investment Company |
1,945,410,259 | | | |||||||||
Total | $ | 3,194,053,027 | $ | 27,192,662 | $ | | ||||||
Derivative Type | ||||||||||||
Assets | ||||||||||||
Forward Foreign Currency Exchange Contracts(b) |
$ | | $ | 572,963 | $ | | ||||||
Futures Contracts(b) |
18,020,829 | | | |||||||||
Credit Default Swap Contracts(b) |
| 1,302,442 | | |||||||||
Total Return Swap Contracts(b) |
| 17,270,082 | | |||||||||
Purchased Option Contracts |
770,063 | | | |||||||||
Total | $ | 18,790,892 | $ | 19,145,487 | $ | |
GOLDMAN SACHS ALTERNATIVE FUNDS II
Schedule of Investments (continued)
March 31, 2023 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
ABSOLUTE RETURN TRACKER (continued) | ||||||||||||
Derivative Type | Level 1 | Level 2 | Level 3 | |||||||||
Liabilities | ||||||||||||
Forward Foreign Currency Exchange Contracts(b) |
$ | | $ | (1,115,733 | ) | $ | | |||||
Futures Contracts(b) |
(2,695,428 | ) | | | ||||||||
Total Return Swap Contracts(b) |
| (21,131,250 | ) | | ||||||||
Written Option Contracts |
(74,860 | ) | | | ||||||||
Total | $ | (2,770,288 | ) | $ | (22,246,983 | ) | $ | | ||||
COMMODITY STRATEGY | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Fixed Income |
||||||||||||
U.S. Treasury Obligations |
$ | 781,628,465 | $ | | $ | | ||||||
Investment Company |
114,780,811 | | | |||||||||
Total | $ | 896,409,276 | $ | | $ | | ||||||
Derivative Type | ||||||||||||
Assets | ||||||||||||
Futures Contracts(b) |
$ | 14,574,615 | $ | | $ | | ||||||
Total | $ | 14,574,615 | $ | | $ | | ||||||
Liabilities | ||||||||||||
Futures Contracts(b) |
$ | (27,290,376 | ) | $ | | $ | |
(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. |
For further information regarding security characteristics, see the Schedules of Investments.
The Funds risks include, but are not limited to, the following:
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.
GOLDMAN SACHS ALTERNATIVE FUNDS II
Schedule of Investments (continued)
March 31, 2023 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
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 Funds 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 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 If a Fund invests in foreign securities, the Fund may hold such securities and cash with foreign banks, agents, and securities depositories appointed by the Funds 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 Funds ability to recover its assets if a Foreign Custodian enters bankruptcy.
Interest Rate Risk When interest rates increase, fixed income securities or instruments held by a Fund will generally decline in value. The Fund may face a heightened level of interest rate risk in connection with the type and extent of certain monetary policy changes made by the Federal Reserve, such as target interest rate changes. 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. The risks associated with changing interest rates may have unpredictable effects on the markets and a Funds investments. 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 the Funds 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 exchange-traded fund (ETF), a Fund will indirectly bear its proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Fund. ETFs are subject to risks that do not apply to conventional mutual funds, including but not limited to the following: (i) the market price of the ETFs shares may trade at a premium or a discount to their NAV; and (ii) an active trading market for an ETFs 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 Funds 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.
GOLDMAN SACHS ALTERNATIVE FUNDS II
Schedule of Investments (continued)
March 31, 2023 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
In addition, a large redemption could result in a Funds current expenses being allocated over a smaller asset base, leading to an increase in the Funds expense ratio. Similarly, large Fund share purchases may adversely affect a Funds 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, 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 Funds 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 Funds liquidity.
Market and Credit Risks In the normal course of business, the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, the Funds may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Funds have unsettled or open transactions defaults.
Tax Risk The Absolute Return Tracker and the Commodity Strategy Funds will seek to gain exposure to the commodity markets primarily through investments in the Subsidiary and/or commodity index-linked structured notes, as applicable. Historically, the Internal Revenue Service (IRS) issued private letter rulings (PLRs) in which the IRS specifically concluded that income and gains from investments in commodity index-linked structured notes (the Notes Rulings) or a wholly-owned foreign subsidiary that invests in commodity linked instruments are qualifying income for purposes of compliance with Subchapter M of the Code. The IRS has issued such PLRs to the Absolute Return Tracker and the Commodity Strategy Funds. In reliance of such PLRs, these Funds have in the past sought to gain exposure to the commodity markets primarily through investments in commodity-linked notes and/or subsidiaries. The IRS recently issued final regulations that, would generally treat the Funds income inclusion with respect to a subsidiary as qualifying income either if (A) there is a distribution out of the earnings and profits of a subsidiary that are attributable to such income inclusion or (B) such inclusion is derived with respect to the Funds business of investing in stock, securities, or currencies. The IRS also issued a revenue procedure, which states that the IRS will not in the future issue PLRs that would require a determination of whether an asset (such as a commodity index-linked note) is a security under the Investment Company Act of 1940. In connection with issuing such revenue procedure, the IRS has revoked the Notes Ruling on a prospective basis. In light of the revocation of the Notes Rulings, the Funds have limited their investments in commodity index-linked structured notes. The Absolute Return Tracker and Commodity Strategy Funds have obtained an opinion of counsel that the Funds income from investments in the Subsidiaries should constitute qualifying income. However, no assurances can be provided that the IRS would not be able to successfully assert that a Funds income from such investments was not qualifying income, in which case the Fund would fail to qualify as a regulated investment company (RIC) under Subchapter M of the Code if over 10% of its gross income was derived from these investments. If a 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.