NPORT-EX 2 304352GS033124.htm
GOLDMAN
SACHS
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
March
31,
2024
(Unaudited)
ADDITIONAL
INVESTMENT
INFORMATION
Shares
Dividend
Rate
Value
aa
Investment
Company
–
60.2%
(a)
Goldman
Sachs
Financial
Square
Government
Fund
-
Institutional
Shares
163,927,176
5.211%
$
163,927,176
(Cost
$163,927,176)
TOTAL
INVESTMENTS
–
63.3%
(Cost
$171,415,292)
$
164,947,332
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
–
36.7%
107,283,466
NET
ASSETS
–
100.0%
$
272,230,798
  a
The
percentage
shown
for
each
investment
category
reflects
the
value
of
investments
in
that
category
as
a
percentage
of
net
assets.
(a)
Represents
an
affiliated
issuer.
FUTURES
CONTRACTS
—
At
March
31,
2024,
the
Portfolio
had
the
following
futures
contracts:
Description
Number
of
Contracts
Expiration
Date
Notional
Amount
Unrealized
Appreciation/
(Depreciation)
Long
position
contracts:
100
oz
Gold
26
06/26/24
$
5,830,500
$
97,048
Australian
10
year
Bond
134
06/17/24
10,163,854
24,181
Brent
Crude
Oil
27
04/30/24
2,344,680
132,236
CAC
40
10
Euro
Index
70
04/19/24
6,210,349
(20,983)
Cocoa
4
05/15/24
389,640
(3,003)
Coffee
"C"
102
05/20/24
7,223,513
94,932
Corn
14
05/14/24
309,575
2,669
Cotton
No.
2
78
05/08/24
3,563,820
(69,466)
E-Mini
Dow
36
06/21/24
7,231,680
164,105
EURO
STOXX
50
Index
222
06/21/24
12,083,018
392,242
Euro-BTP
112
06/06/24
14,355,961
153,620
Euro-OAT
47
06/06/24
6,491,886
(35,829)
Feeder
Cattle
24
05/23/24
2,987,100
(105,923)
FTSE
100
Index
265
06/21/24
26,717,472
771,375
FTSE
China
A50
Index
159
04/29/24
1,927,080
(5,900)
FTSE
Taiwan
Index
Equity
Index
106
04/29/24
7,314,000
(19,330)
KOSPI
200
Index
103
06/13/24
7,186,091
275,605
Lean
Hogs
91
06/14/24
3,690,960
50,230
Live
Cattle
33
06/28/24
2,383,260
17,279
LME
Copper
Base
Metal
18
05/13/24
3,971,943
72,938
LME
Copper
Base
Metal
59
04/15/24
12,962,064
589,345
LME
Lead
Base
Metal
81
05/13/24
4,142,320
(51,030)
LME
Lead
Base
Metal
143
04/15/24
7,264,114
(188,939)
LME
Nickel
Base
Metal
31
05/13/24
3,099,160
(162,158)
LME
Nickel
Base
Metal
74
04/15/24
7,369,077
(345,915)
LME
Primary
Aluminium
63
05/13/24
3,655,544
68,049
LME
Primary
Aluminium
103
04/15/24
5,940,319
243,589
LME
Zinc
Base
Metal
39
05/13/24
2,360,173
(135,197)
LME
Zinc
Base
Metal
97
04/15/24
5,828,924
(89,000)
Low
Sulphur
Gasoil
30
05/10/24
2,428,500
73,674
Mini
VSTOXX®Index
2,567
04/17/24
3,918,714
(252,062)
NASDAQ
100
E-Mini
Index
17
06/21/24
6,281,500
(31,231)
Nikkei
225
Index
23
06/13/24
6,112,366
(21,415)
NY
Harbor
USLD
24
04/30/24
2,635,819
9,569
OMXS30
Index
939
04/19/24
22,145,978
(51,245)
GOLDMAN
SACHS
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
(continued)
March
31,
2024
(Unaudited)
FUTURES
CONTRACTS
(continued)
Description
Number
of
Contracts
Expiration
Date
Notional
Amount
Unrealized
Appreciation/
(Depreciation)
Long
position
contracts:
(continued)
RBOB
Gasoline
11
04/30/24
$
1,255,624
$
83,568
S&P
400
E-Mini
MidCap
Index
11
06/21/24
3,385,140
78,189
S&P
500
E-Mini
Index
397
06/21/24
105,373,725
1,255,500
S&P/TSX
60
Index
145
06/20/24
28,718,467
80,753
Silver
40
05/29/24
4,999,000
(63,109)
SPI
200
Index
82
06/20/24
10,621,606
20,486
TOPIX
Index
21
06/13/24
3,814,209
(21,196)
TurkDEX
ISE
30
2,869
04/30/24
8,962,491
(365,390)
U.S.
Treasury
10
Year
Note
153
06/18/24
16,939,969
10,588
U.S.
Treasury
Long
Bond
78
06/18/24
9,381,938
23,831
WTI
Crude
Oil
20
04/22/24
1,659,400
96,471
Total
$
2,843,751
Short
position
contracts:
CBOE
Volatality
Index
315
04/17/24
(4,526,140)
225,928
FTSE/JSE
Top
40
Index
361
06/20/24
(13,137,617)
(267,766)
FTSE/MIB
Index
71
06/21/24
(13,102,537)
(125,486)
German
Stock
Index
12
06/21/24
(6,076,949)
(4,041)
Hang
Seng
Index
12
04/29/24
(1,270,235)
5,016
Hard
Red
Winter
Wheat
65
05/14/24
(1,907,750)
(28,550)
HSCEI
59
04/29/24
(2,191,327)
(14,683)
IBEX
35
Index
77
04/19/24
(9,193,605)
(163,504)
LME
Copper
Base
Metal
59
04/15/24
(12,962,064)
(827,408)
LME
Lead
Base
Metal
143
04/15/24
(7,264,114)
(82,317)
LME
Lead
Base
Metal
131
05/13/24
(6,699,307)
(36,673)
LME
Nickel
Base
Metal
74
04/15/24
(7,369,077)
(203,721)
LME
Nickel
Base
Metal
46
05/13/24
(4,598,753)
279,357
LME
Primary
Aluminium
103
04/15/24
(5,940,319)
(248,955)
LME
Primary
Aluminium
108
05/13/24
(6,266,646)
(258,316)
LME
Zinc
Base
Metal
124
05/13/24
(7,504,139)
98,779
LME
Zinc
Base
Metal
97
04/15/24
(5,828,924)
(18,848)
Milling
Wheat
105
05/10/24
(1,152,617)
27,357
MSCI
EAFE
E-Mini
Index
417
06/21/24
(21,871,650)
64,985
MSCI
EAFE
E-Mini
Index
146
06/21/24
(17,206,830)
58,831
Natural
Gas
179
04/26/24
(3,116,390)
339,915
Palladium
5
06/26/24
(511,250)
(43,144)
Platinum
33
07/29/24
(1,521,300)
(401)
Russell
2000
E-Mini
Index
152
06/21/24
(16,308,840)
(262,876)
SET50
Index
2,862
06/27/24
(13,072,447)
173,374
Soybean
11
05/14/24
(655,600)
(6,591)
Soybean
Meal
43
05/14/24
(1,451,250)
15,213
Soybean
Oil
26
05/14/24
(751,296)
(38,392)
Sugar
No.
11
47
04/30/24
(1,185,453)
(60,783)
U.S.
Treasury
10
Year
Ultra
Note
236
06/18/24
(27,025,688)
(38,479)
Wheat
33
05/14/24
(926,475)
(26,451)
Total
$
(1,468,630)
Total
Futures
Contracts
$
1,375,121
FORWARD
FOREIGN
CURRENCY
EXCHANGE
CONTRACTS
—
At
March
31,
2024,
the
Fund
had
the
following
forward
foreign
currency
exchange
contracts:
FORWARD
FOREIGN
CURRENCY
EXCHANGE
CONTRACTS
WITH
UNREALIZED
GAIN
Counterparty
Currency
Purchased
Currency
Sold
Settlement
Date
Unrealized
Gain
Morgan
Stanley
Co.,
Inc.
USD
12,368,127
BRL
61,580,000
4/2/2024
$
89,943
CAD
7,169,000
USD
5,283,614
6/20/2024
15,021
ADDITIONAL
INVESTMENT
INFORMATION
(
continued
)
GOLDMAN
SACHS
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
(continued)
March
31,
2024
(Unaudited)
**End
swaps
header**
FORWARD
FOREIGN
CURRENCY
EXCHANGE
CONTRACTS
WITH
UNREALIZED
GAIN
(continued)
Counterparty
Currency
Purchased
Currency
Sold
Settlement
Date
Unrealized
Gain
Morgan
Stanley
Co.,
Inc.
(continued)
COP
37,554,000,000
USD
9,369,270
6/20/2024
$
218,829
GBP
79,000
USD
99,695
6/20/2024
57
MXN
225,894,000
USD
13,189,761
6/20/2024
227,830
USD
53,319,729
AUD
81,091,000
6/20/2024
358,100
USD
34,128,155
CAD
45,954,000
6/20/2024
163,379
USD
1,672,919
CHF
1,466,000
6/20/2024
32,889
USD
17,111,135
CZK
398,735,000
6/20/2024
108,780
USD
25,175,461
EUR
23,143,000
6/20/2024
126,627
USD
2,554,365
GBP
2,008,000
6/20/2024
18,897
USD
3,396,713
HUF
1,232,230,000
6/20/2024
36,107
USD
20,832,253
IDR
328,680,000,000
6/20/2024
170,442
USD
82,651,390
JPY
11,992,949,000
6/20/2024
2,448,688
USD
22,260,980
KRW
29,540,000,000
6/20/2024
278,819
USD
14,639,241
NOK
156,200,000
6/20/2024
224,095
USD
66,403,940
NZD
109,680,000
6/20/2024
872,224
USD
284,404
PLN
1,122,000
6/20/2024
3,743
USD
51,388,286
SEK
526,932,600
6/20/2024
1,997,355
USD
12,797,699
ZAR
242,927,000
6/20/2024
55,986
ZAR
37,240,000
USD
1,953,205
6/20/2024
63
USD
8,544,207
CLP
8,340,000,000
6/21/2024
49,491
TOTAL
$
7,497,365
FORWARD
FOREIGN
CURRENCY
EXCHANGE
CONTRACTS
WITH
UNREALIZED
LOSS
Counterparty
Currency
Purchased
Currency
Sold
Settlement
Date
Unrealized
Loss
Morgan
Stanley
Co.,
Inc.
BRL
61,580,000
USD
12,395,164
4/2/2024
(116,981)
BRL
41,860,000
USD
8,378,183
5/3/2024
(57,842)
AUD
42,270,000
USD
27,927,846
6/20/2024
(320,738)
CAD
72,510,000
USD
53,712,417
6/20/2024
(119,999)
CHF
207,000
USD
233,799
6/20/2024
(2,225)
CZK
14,510,000
USD
628,946
6/20/2024
(10,229)
EUR
34,854,000
USD
38,190,827
6/20/2024
(466,587)
GBP
27,170,750
USD
34,770,995
6/20/2024
(462,941)
HUF
1,320,864,000
USD
3,634,922
6/20/2024
(32,590)
IDR
21,960,000,000
USD
1,407,512
6/20/2024
(27,040)
INR
1,607,000,000
USD
19,309,334
6/20/2024
(85,002)
JPY
3,464,276,000
USD
23,333,846
6/20/2024
(166,542)
KRW
2,020,000,000
USD
1,546,885
6/20/2024
(43,704)
NOK
276,400,000
USD
26,330,846
6/20/2024
(822,866)
NZD
32,180,000
USD
19,685,472
6/20/2024
(458,533)
PLN
58,081,000
USD
14,687,211
6/20/2024
(158,589)
SEK
716,464,000
USD
68,537,327
6/20/2024
(1,381,066)
USD
22,158,762
GBP
17,554,000
6/20/2024
(6,380)
USD
2,884,718
HUF
1,058,266,000
6/20/2024
(1,443)
USD
159,002
MXN
2,693,000
6/20/2024
(956)
USD
86,400
ZAR
1,651,000
6/20/2024
(197)
ZAR
366,120,000
USD
19,416,355
6/20/2024
(213,071)
TOTAL
$
(4,955,521)
ADDITIONAL
INVESTMENT
INFORMATION
(
continued
)
GOLDMAN
SACHS
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
(continued)
March
31,
2024
(Unaudited)
SWAP
CONTRACTS
—
At
March
31,
2024
,
the
Portfolio
had
the
following
swap
contracts:
CENTRALLY
CLEARED
INTEREST
RATE
SWAP
CONTRACTS
Payments
Made
by
the
Fund
(a)
Payments
Received
by
the
Fund
Termination
Date
Notional
Amounts
(000's)
Value
Upfront
Premium
(Received)
Paid
Unrealized
Appreciation/
(Depreciation)
3
Month
BBSW
(b)
4.250
%
6/20/2025
AUD
81,180
$
(96,237)
$
(80,903)
$
(15,334)
1
Day
CORRA
(c)
4.500
6/20/2025
CAD
312,570
(123,247)
(20,007)
(103,240)
1.250
%
(c)
1
Day
SOFR
6/20/2025
CHF
321,760
686,797
322,539
364,258
1
Day
ESTRON
(c)
3.250
6/20/2025
EUR
475,080
(576,608)
(343,094)
(233,514)
1
Day
SONIO
(c)
4.750
6/20/2025
GBP
225,980
(351,193)
(130,466)
(220,727)
3
Month
STIBOR
(c)
3.500
6/20/2025
SEK
1,525,880
(135,197)
(116,815)
(18,382)
1
Day
SOFR
(c)
4.750
6/20/2025
USD
882,140
478,385
–
478,385
1
Day
ESTRON
(c)
3.000
6/20/2026
EUR
126,610
(695,697)
(458,383)
(237,314)
1
Day
SONIO
(c)
4.500
6/20/2026
GBP
97,740
(677,027)
(270,339)
(406,688)
1
Day
SOFR
(c)
4.500
6/20/2026
USD
64,190
(172,305)
(125,829)
(46,476)
3.250
(c)
6
Month
PRIBOR
9/18/2029
CZK
426,350
(175,880)
–
(175,880)
5.750
(c)
BUBORON
9/18/2029
HUF
1,912,760
(111,878)
–
(111,878)
1
Month
TIIE
(d)
8.500
9/18/2029
MXN
396,070
27,741
–
27,741
6
Month
WIBOR
(c)
4.750
9/18/2029
PLN
101,490
46,102
(341,913)
388,015
8.500
(b)
3
Month
JIBAR
9/18/2029
ZAR
30,350
(16,717)
–
(16,717)
1
Day
CORRA
(e)
3.500
6/20/2034
CAD
9,090
(40,558)
(31,593)
(8,965)
1.250
(c)
1
Day
SOFR
6/20/2034
CHF
21,180
234,792
71,886
162,906
2.500
(c)
1
Day
ESTRON
6/20/2034
EUR
45,560
470,040
–
470,040
3.750
(c)
1
Day
SONIO
6/20/2034
GBP
62,070
842,871
234,524
608,347
2.750
(c)
3
Month
STIBOR
6/20/2034
SEK
185,180
202,416
155,702
46,714
1
Day
SOFR
(c)
4.000
6/20/2034
USD
63,490
(1,053,947)
(1,018,005)
(35,942)
1
Day
ESTRON
(c)
2.500
6/20/2054
EUR
1,160
(48,232)
(22,662)
(25,570)
1
Day
SONIO
(c)
3.750
6/20/2054
GBP
15,140
(296,374)
(99,424)
(196,950)
3.750
(c)
1
Day
SOFR
6/20/2054
USD
25,440
708,288
404,792
303,496
TOTAL
$
(873,665)
$
(1,869,990)
$
996,325
(a)
Represents
forward
starting
interest
rate
swaps
whose
effective
dates
of
commencement
of
accruals
and
cash
flows
occur
subsequent
to
March
31,
2024.
(b)
Payments
made
quarterly.
(c)
Payments
made
annually.
(d)
Payments
made
monthly.
(e)
Payments
made
semi-annually.
Investment
Abbreviations:
BBSW
—
Bank
Bill
Swap
Rate
BUBORON
—
Budapest
Interbank
Offered
Rate
CORRA
—
Canadian
Overnight
Repo
Rate
Average
ESTRON
—
Euro
Short-Term
Rate
JIBAR
—
Johannesburg
Interbank
Agreed
Rate
PRIBOR
—
Prague
Interbank
Offered
Rate
SOFR
—
Secured
Overnight
Financing
Rate
SONIO
—
Sterling
Overnight
Index
Average
STIBOR
—
Stockholm
Interbank
Offered
Rate
TIIE
—
Interbank
Equilibrium
Interest
Rate
WIBOR
—
Warsaw
Interbank
Offered
Rate
Currency
Abbreviations:
AUD
—
Australian
Dollar
BRL
—
Brazilian
Real
CAD
—
Canadian
Dollar
CHF
—
Swiss
Franc
CLP
—
Chilean
Peso
COP
—
Colombian
Peso
CZK
—
Czech
Koruna
EUR
—
Euro
GBP
—
British
Pound
HUF
—
Hungarian
Forint
IDR
—
Indonesian
Rupiah
INR
—
Indian
Rupee
JPY
—
Japanese
Yen
KRW
—
South
Korean
Won
MXN
—
Mexican
Peso
NOK
—
Norwegian
Krone
NZD
—
New
Zealand
Dollar
PLN
—
Polish
Zloty
SEK
—
Swedish
Krona
USD
—
United
States
Dollar
ZAR
—
South
African
Rand
ADDITIONAL
INVESTMENT
INFORMATION
(
continued
)
**End
swaps
header**
(continued)
Goldman
Sachs
Alternative
Funds
I
Consolidated
Schedule
of
Investments
March
31,
2024
(Unaudited)
NOTES
TO
THE
SCHEDULE
OF
INVESTMENTS
Investment
Valuation
—
The
Fund’s
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
Fund’s
policy
is
to
use
the
market
approach.
GAAP
establishes
a
fair
value
hierarchy
that
prioritizes
the
inputs
to
valuation
techniques
used
to
measure
fair
value.
The
hierarchy
gives
the
highest
priority
to
unadjusted
quoted
prices
in
active
markets
for
identical
assets
or
liabilities
(Level
1
measurements)
and
the
lowest
priority
to
unobservable
inputs
(Level
3
measurements).
The
level
in
the
fair
value
hierarchy
within
which
the
fair
value
measurement
in
its
entirety
falls
shall
be
determined
based
on
the
lowest
level
input
that
is
significant
to
the
fair
value
measurement
in
its
entirety.
The
levels
used
for
classifying
investments
are
not
necessarily
an
indication
of
the
risk
associated
with
investing
in
these
investments.
The
three
levels
of
the
fair
value
hierarchy
are
described
below:
Level
1
—
Unadjusted
quoted
prices
in
active
markets
that
are
accessible
at
the
measurement
date
for
identical,
unrestricted
assets
or
liabilities;
Level
2
—
Quoted
prices
in
markets
that
are
not
active
or
financial
instruments
for
which
significant
inputs
are
observable
(including,
but
not
limited
to,
quoted
prices
for
similar
investments,
interest
rates,
foreign
exchange
rates,
volatility
and
credit
spreads),
either
directly
or
indirectly;
Level
3
—
Prices
or
valuations
that
require
significant
unobservable
inputs
(including
GSAM’s
assumptions
in
determining
fair
value
measurement).
The
Board
of
Trustees
(“Trustees”)
has
approved
Valuation
Procedures
that
govern
the
valuation
of
the
portfolio
investments
held
by
the
Funds,
including
investments
for
which
market
quotations
are
not
readily
available.
With
respect
to
the
Fund’s
investments
that
do
not
have
readily
available
market
quotations,
the
Trustees
have
designated
the
Adviser
as
the
valuation
designee
to
perform
fair
valuations
pursuant
to
rule
2a-5
under
the
Investment
Company
Action
of
1940
(“Valuation
Designee”)
GSAM
has
day-to-day
responsibility
for
implementing
and
maintaining
internal
controls
and
procedures
related
to
the
valuation
of
the
Fund’s
investments.
To
assess
the
continuing
appropriateness
of
pricing
sources
and
methodologies,
GSAM
regularly
performs
price
verification
procedures
and
issues
challenges
as
necessary
to
third
party
pricing
vendors
or
brokers,
and
any
differences
are
reviewed
in
accordance
with
the
Valuation
Procedures.
A.
Level
1
and
Level
2
Fair
Value
Investments—
The
valuation
techniques
and
significant
inputs
used
in
determining
the
fair
values
for
investments
classified
as
Level
1
and
Level
2
are
as
follows:
Money
Market
Funds
—
Investments
in
the
Goldman
Sachs
Financial
Square
Government
Fund
(“Underlying
Money
Market
Fund”)
are
valued
at
the
NAV
per
share
of
the
Institutional
Share
class
on
the
day
of
valuation.
These
investments
are
generally
classified
as
Level
1
of
the
fair
value
hierarchy.
For
information
regarding
the
Underlying
Money
Market
Fund’s
accounting
policies
and
investment
holdings,
please
see
the
Underlying
Money
Market
Fund’s
shareholder
report.
Derivative
Contracts
—
A
derivative
is
an
instrument
whose
value
is
derived
from
underlying
assets,
indices,
reference
rates
or
a
combination
of
these
factors.
A
Fund
enters
into
derivative
transactions
to
hedge
against
changes
in
interest
rates,
securities
prices,
and/or
currency
exchange
rates,
to
increase
total
return,
or
to
gain
access
to
certain
markets
or
attain
exposure
to
other
underliers.
For
financial
reporting
purposes,
cash
collateral
that
has
been
pledged
to
cover
obligations
of
a
Fund
and
cash
collateral
received,
if
any,
is
reported
separately
on
the
Statement
of
Assets
and
Liabilities
as
either
due
to
broker/receivable
for
collateral
on
certain
derivative
contracts.
Non-cash
collateral
pledged
by
a
Fund,
if
any,
is
noted
in
the
Schedules
of
Investments.
Exchange-traded
derivatives,
including
futures
and
options
contracts,
are
generally
valued
at
the
last
sale
or
settlement
price
on
the
exchange
where
they
are
principally
traded.
Exchange-traded
options
without
settlement
prices
are
generally
valued
at
the
midpoint
of
the
bid
and
ask
prices
on
the
exchange
where
they
are
principally
traded
(or,
in
the
absence
of
two-way
trading,
at
the
last
bid
price
for
long
positions
and
the
last
ask
price
for
short
positions).
Exchange-traded
derivatives
typically
fall
within
Level
1
of
the
fair
value
hierarchy.
Over-the-counter
(“OTC”)
and
centrally
cleared
derivatives
are
valued
using
market
transactions
and
other
market
evidence,
including
market-based
inputs
to
models,
calibration
to
market-clearing
transactions,
broker
or
dealer
quotations,
or
other
alternative
Goldman
Sachs
Alternative
Funds
I
Consolidated
Schedule
of
Investments
(continued)
March
31,
2024
(Unaudited)
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
contract
in
which
the
Fund
agrees
to
receive
or
deliver
a
fixed
quantity
of
one
currency
for
another,
at
a
pre-determined
price
at
a
future
date.
All
forward
foreign
currency
exchange
contracts
are
marked
to
market
daily
by
using
the
outright
forward
rates
or
interpolating
based
upon
maturity
dates,
where
available.
Non-deliverable
forward
foreign
currency
exchange
contracts
are
settled
with
the
counterparty
in
cash
without
the
delivery
of
foreign
currency.
ii.
Futures
Contracts
—
Futures
contracts
are
contracts
to
buy
or
sell
a
standardized
quantity
of
a
specified
commodity
or
security.
Upon
entering
into
a
futures
contract,
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
the
Fund
equal
to
the
daily
change
in
the
contract
value
and
are
recorded
as
variation
margin
receivable
or
payable
with
a
corresponding
offset
to
unrealized
gains
or
losses.
iii.
Swap
Contracts
—
Bilateral
swap
contracts
are
agreements
in
which
the
Fund
and
a
counterparty
agree
to
exchange
periodic
payments
on
a
specified
notional
amount
or
make
a
net
payment
upon
termination.
Bilateral
swap
transactions
are
privately
negotiated
in
the
OTC
market
and
payments
are
settled
through
direct
payments
between
the
Fund
and
the
counterparty.
By
contrast,
certain
swap
transactions
are
subject
to
mandatory
central
clearing.
These
swaps
are
executed
through
a
derivatives
clearing
member
(“DCM”),
acting
in
an
agency
capacity,
and
submitted
to
a
central
counterparty
(“CCP”)
(“centrally
cleared
swaps”),
in
which
case
all
payments
are
settled
with
the
CCP
through
the
DCM.
Swaps
are
marked-to-market
daily
using
pricing
vendor
quotations,
counterparty
or
clearinghouse
prices
or
model
prices,
and
the
change
in
value,
if
any,
is
recorded
as
an
unrealized
gain
or
loss.
Upon
entering
into
a
swap
contract,
a
Fund
is
required
to
satisfy
an
initial
margin
requirement
by
delivering
cash
or
securities
to
the
counterparty
(or
in
some
cases,
segregated
in
a
triparty
account
on
behalf
of
the
counterparty),
which
can
be
adjusted
by
any
mark-to-market
gains
or
losses
pursuant
to
bilateral
or
centrally
cleared
arrangements.
For
centrally
cleared
swaps
the
daily
change
in
valuation,
if
any,
is
recorded
as
a
receivable
or
payable
for
variation
margin.
An
interest
rate
swap
is
an
agreement
that
obligates
two
parties
to
exchange
a
series
of
cash
flows
at
specified
intervals,
based
upon
or
calculated
by
reference
to
changes
in
interest
rates
on
a
specified
notional
principal
amount.
The
payment
flows
are
usually
netted
against
each
other,
with
the
difference
being
paid
by
one
party
to
the
other.
B.
Level
3
Fair
Value
Investments—
To
the
extent
that
significant
inputs
to
valuation
models
and
other
alternative
pricing
sources
are
unobservable,
or
if
quotations
are
not
readily
available,
or
if
GSAM
believes
that
such
quotations
do
not
accurately
reflect
fair
value,
the
fair
value
of
a
Fund’s
investments
may
be
determined
under
the
Valuation
Procedures.
GSAM,
consistent
with
its
procedures
and
applicable
regulatory
guidance,
may
make
an
adjustment
to
the
most
recent
valuation
prices
of
either
domestic
or
foreign
securities
in
light
of
significant
events
to
reflect
what
it
believes
to
be
the
fair
value
of
the
securities
at
the
time
of
determining
a
Fund’s
NAV.
To
the
extent
investments
are
valued
using
single
source
broker
quotations
obtained
directly
from
the
broker
or
passed
through
from
third
party
pricing
vendors,
such
investments
are
classified
as
Level
3
investments.
NOTES
TO
THE
SCHEDULE
OF
INVESTMENTS
(continued)
Goldman
Sachs
Alternative
Funds
I
Consolidated
Schedule
of
Investments
(continued)
March
31,
2024
(Unaudited)
C.
Fair
Value
Hierarchy—
The
following
is
a
summary
of
the
Fund’s
investments
and
derivatives
classified
in
the
fair
value
hierarchy
as
of
March
31,
2024:
For
further
information
regarding
security
characteristics,
see
the
Schedules
of
Investments.
The
Fund’s
risks
include,
but
are
not
limited
to,
the
following:
Derivatives
Risk
—
The
Fund’s
use
of
derivatives
and
other
similar
instruments
(collectively
referred
to
in
this
paragraph
as
“derivatives”)
may
result
in
loss,
including
due
to
adverse
market
movements.
Derivatives,
which
may
pose
risks
in
addition
to
and
greater
than
those
associated
with
investing
directly
in
securities,
currencies
or
other
assets
and
instruments,
may
increase
market
exposure
and
be
illiquid
or
less
liquid,
volatile,
difficult
to
price
and
leveraged
so
that
small
changes
in
the
value
of
the
underlying
assets
or
instruments
may
produce
disproportionate
losses
to
the
Fund.
Certain
derivatives
are
also
subject
to
counterparty
risk,
which
is
the
risk
that
the
other
party
in
the
transaction
will
not,
or
lacks
the
capacity
or
authority
to,
fulfill
its
contractual
obligations,
liquidity
risk,
which
includes
the
risk
that
the
Fund
will
not
be
able
to
exit
the
derivative
when
it
is
advantageous
to
do
so,
and
risks
arising
from
margin
requirements,
which
include
the
risk
that
the
Fund
will
be
required
to
pay
additional
margin
or
set
aside
additional
collateral
to
maintain
open
derivative
positions.
The
use
of
derivatives
is
a
highly
specialized
activity
that
involves
investment
techniques
and
risks
different
from
those
associated
with
investments
in
more
traditional
securities
and
instruments.
Losses
from
derivatives
can
also
result
from
a
lack
of
correlation
between
changes
in
the
value
of
derivative
instruments
and
the
portfolio
assets
(if
any)
being
hedged.
Foreign
and
Emerging
Countries
Risk
—
Investing
in
foreign
markets
may
involve
special
risks
and
considerations
not
typically
associated
with
investing
in
the
U.S.
Foreign
securities
may
be
subject
to
risk
of
loss
because
of
more
or
less
foreign
government
regulation,
less
public
information,
less
stringent
investor
protections,
less
stringent
accounting,
corporate
governance,
financial
reporting
and
disclosure
standards,
and
less
economic,
political
and
social
stability
in
the
countries
in
which
the
Fund
invests.
The
imposition
of
sanctions,
exchange
controls
(including
repatriation
restrictions),
confiscation
of
assets
and
property,
trade
restrictions
(including
tariffs)
and
other
government
restrictions
by
the
U.S.
or
other
governments,
or
from
problems
in
registration,
settlement
or
custody,
may
also
result
in
losses.
The
type
and
severity
of
sanctions
and
other
similar
measures,
including
counter
sanctions
and
other
retaliatory
actions,
that
may
be
imposed
could
vary
broadly
in
scope,
and
their
impact
is
impossible
to
predict.
For
example,
the
imposition
of
sanctions
and
other
similar
measures
could,
among
other
things,
cause
a
decline
in
the
value
and/or
liquidity
of
securities
MANAGED
FUTURES
STRATEGY
FUND
Investment
Type
Level
1
Level
2
Level
3
Assets
Investment
Companies
$
163,927,176
$
—
$
—
€
1.00
€
1.00
€
1.00
Derivative
Type
Assets
(a)
Forward
Foreign
Currency
Exchange
Contracts
$
—
$
7,497,365
$
—
Futures
Contracts
1,614,809
—
—
Interest
Rate
Swap
Contracts
—
2,849,902
—
Total
$
1,614,809
$
10,
347,267
$
—
€
1.00
€
1.00
€
1.00
Liabilities
(a)
Forward
Foreign
Currency
Exchange
Contracts
$
—
$
(
4,955,521
)
$
—
Futures
Contracts
(
239,688
)
—
—
Interest
Rate
Swap
Contracts
—
(
1,853,577
)
—
Total
$
(
239,688
)
$
(
6,809,098
)
$
—
€
1.00
€
1.00
€
1.00
1.00
1.00
1.00
(a)
Amount
shown
represents
unrealized
gain
(loss)
at
period
end.
NOTES
TO
THE
SCHEDULE
OF
INVESTMENTS
(continued)
Goldman
Sachs
Alternative
Funds
I
Consolidated
Schedule
of
Investments
(continued)
March
31,
2024
(Unaudited)
issued
by
the
sanctioned
country
or
companies
located
in
or
economically
tied
to
the
sanctioned
country
and
increase
market
volatility
and
disruption
in
the
sanctioned
country
and
throughout
the
world.
Sanctions
and
other
similar
measures
could
limit
or
prevent
the
Fund
from
buying
and
selling
securities
(in
the
sanctioned
country
and
other
markets),
significantly
delay
or
prevent
the
settlement
of
securities
transactions,
and
significantly
impact
the
Fund’s
liquidity
and
performance.
Foreign
risk
also
involves
the
risk
of
negative
foreign
currency
exchange
rate
fluctuations,
which
may
cause
the
value
of
securities
denominated
in
such
foreign
currency
(or
other
instruments
through
which
the
Fund
has
exposure
to
foreign
currencies)
to
decline
in
value.
Currency
exchange
rates
may
fluctuate
significantly
over
short
periods
of
time.
To
the
extent
that
the
Fund
also
invests
in
securities
of
issuers
located
in,
or
economically
tied
to,
emerging
markets,
these
risks
may
be
more
pronounced.
Interest
Rate
Risk
—
When
interest
rates
increase,
fixed
income
securities
or
instruments
held
by
the
Fund
will
generally
decline
in
value.
Long-term
fixed
income
securities
or
instruments
will
normally
have
more
price
volatility
because
of
this
risk
than
short-term
fixed
income
securities
or
instruments.
A
wide
variety
of
market
factors
can
cause
interest
rates
to
rise,
including
central
bank
monetary
policy,
rising
inflation
and
changes
in
the
general
economic
conditions.
Changing
interest
rates
may
have
unpredictable
effects
on
the
markets,
may
result
in
heightened
market
volatility
and
may
detract
from
the
Fund’s
performance.
In
addition,
changes
in
monetary
policy
may
exacerbate
the
risks
associated
with
changing
interest
rates.
Funds
with
longer
average
portfolio
durations
will
generally
be
more
sensitive
to
changes
in
interest
rates
than
funds
with
a
shorter
average
portfolio
duration.
Fluctuations
in
interest
rates
may
also
affect
the
liquidity
of
the
Fund’s
investments.
A
sudden
or
unpredictable
increase
in
interest
rates
may
cause
volatility
in
the
market
and
may
decrease
the
liquidity
of
the
Fund’s
investments,
which
would
make
it
harder
for
the
Fund
to
sell
its
investments
at
an
advantageous
time.
Investments
in
Other
Investment
Companies
Risk
—
As
a
shareholder
of
another
investment
company,
the
Fund
will
indirectly
bear
its
proportionate
share
of
any
net
management
fees
and
other
expenses
paid
by
such
other
investment
companies,
in
addition
to
the
fees
and
expenses
regularly
borne
by
the
Fund.
Large
Shareholder
Transactions
Risk
—
The
Fund
may
experience
adverse
effects
when
certain
large
shareholders,
such
as
other
funds,
institutional
investors
(including
those
trading
by
use
of
non-discretionary
mathematical
formulas),
financial
intermediaries
(who
may
make
investment
decisions
on
behalf
of
underlying
clients
and/or
include
the
Fund
in
their
investment
model),
individuals,
accounts
and
Goldman
Sachs
affiliates,
purchase
or
redeem
large
amounts
of
shares
of
the
Fund.
Such
large
shareholder
redemptions,
which
may
occur
rapidly
or
unexpectedly,
may
cause
the
Fund
to
sell
portfolio
securities
at
times
when
it
would
not
otherwise
do
so,
which
may
negatively
impact
the
Fund’s
NAV
and
liquidity.
These
transactions
may
also
accelerate
the
realization
of
taxable
income
to
shareholders
if
such
sales
of
investments
resulted
in
gains,
and
may
also
increase
transaction
costs.
In
addition,
a
large
redemption
could
result
in
the
Fund’s
current
expenses
being
allocated
over
a
smaller
asset
base,
leading
to
an
increase
in
the
Fund’s
expense
ratio.
Similarly,
large
Fund
share
purchases
may
adversely
affect
the
Fund’s
performance
to
the
extent
that
the
Fund
is
delayed
in
investing
new
cash
or
otherwise
maintains
a
larger
cash
position
than
it
ordinarily
would.
Liquidity
Risk
—
The
Fund
may
make
investments
that
are
illiquid
or
that
may
become
less
liquid
in
response
to
market
developments
or
adverse
investor
perceptions.
Illiquid
investments
may
be
more
difficult
to
value.
Liquidity
risk
may
also
refer
to
the
risk
that
the
Fund
will
not
be
able
to
pay
redemption
proceeds
within
the
allowable
time
period
or
without
significant
dilution
to
remaining
investors’
interests
because
of
unusual
market
conditions,
declining
prices
of
the
securities
sold,
an
unusually
high
volume
of
redemption
requests,
or
other
reasons.
To
meet
redemption
requests,
the
Fund
may
be
forced
to
sell
investments
at
an
unfavorable
time
and/or
under
unfavorable
conditions.
If
the
Fund
is
forced
to
sell
securities
at
an
unfavorable
time
and/or
under
unfavorable
conditions,
such
sales
may
adversely
affect
the
Fund’s
NAV
and
dilute
remaining
investors’
interests.
Liquidity
risk
may
be
the
result
of,
among
other
things,
the
reduced
number
and
capacity
of
traditional
market
participants
to
make
a
market
in
fixed
income
securities
or
the
lack
of
an
active
market.
The
potential
for
liquidity
risk
may
be
magnified
by
a
rising
interest
rate
environment
or
other
circumstances
where
investor
redemptions
from
fixed
income
funds
may
be
higher
than
normal,
potentially
causing
increased
supply
in
the
market
due
to
selling
activity.
These
risks
may
be
more
pronounced
in
connection
with
the
Fund’s
investments
in
securities
of
issuers
located
in
emerging
market
countries.
Redemptions
by
large
shareholders
may
have
a
negative
impact
on
the
Fund’s
liquidity.
NOTES
TO
THE
SCHEDULE
OF
INVESTMENTS
(continued)
Goldman
Sachs
Alternative
Funds
I
Consolidated
Schedule
of
Investments
(continued)
March
31,
2024
(Unaudited)
Market
and
Credit
Risks
—
In
the
normal
course
of
business,
a
Fund
trades
financial
instruments
and
enters
into
financial
transactions
where
risk
of
potential
loss
exists
due
to
changes
in
the
market
(market
risk).
The
value
of
the
securities
in
which
the
Fund
invests
may
go
up
or
down
in
response
to
the
prospects
of
individual
companies,
particular
sectors
or
governments
and/or
general
economic
conditions
throughout
the
world
due
to
increasingly
interconnected
global
economies
and
financial
markets.
Events
such
as
war,
military
conflict,
acts
of
terrorism,
social
unrest,
natural
disasters,
recessions,
inflation,
rapid
interest
rate
changes,
supply
chain
disruptions,
sanctions,
the
spread
of
infectious
illness
or
other
public
health
threats
could
also
significantly
impact
the
Fund
and
its
investments.
Additionally,
the
Fund
may
also
be
exposed
to
credit
risk
in
the
event
that
an
issuer
or
guarantor
fails
to
perform
or
that
an
institution
or
entity
with
which
the
Fund
has
unsettled
or
open
transactions
defaults.
Subsidiary
Risk
—
The
Subsidiary
is
not
registered
under
the
Act
and
is
not
subject
to
all
the
investor
protections
of
the
Investment
Company
Act.
Changes
in
the
laws
of
the
United
States
and/or
the
Cayman
Islands
could
result
in
the
inability
of
the
Fund
and/or
the
Subsidiary
to
operate
as
described
in
the
Prospectus
and
the
SAI
and
could
adversely
affect
the
Fund.
Tax
Risk
—
The
Fund
seeks
to
gain
exposure
to
the
commodity
markets
primarily
through
investments
in
the
Subsidiary.
The
tax
treatment
of
the
Fund’s
investments
in
the
Subsidiary
could
affect
whether
income
derived
from
such
investments
is
“qualifying
income”
under
Subchapter
M
of
the
Internal
Revenue
Code
of
1986,
as
amended
(the
“Code”),
or
otherwise
affect
the
character,
timing
and/or
amount
of
the
Fund’s
taxable
income
or
any
gains
and
distributions
made
by
the
Fund.
If
the
IRS
were
to
successfully
assert
that
a
Fund’s
income
from
such
investments
was
not
“qualifying
income,”
the
Fund
may
fail
to
qualify
as
a
regulated
investment
company
(“RIC”)
under
Subchapter
M
of
the
Code
if
over
10%
of
its
gross
income
was
derived
from
these
investments.
If
the
Fund
failed
to
qualify
as
a
RIC,
it
would
be
subject
to
federal
and
state
income
tax
on
all
of
its
taxable
income
at
regular
corporate
tax
rates
with
no
deduction
for
any
distributions
paid
to
shareholders,
which
would
significantly
adversely
affect
the
returns
to,
and
could
cause
substantial
losses
for,
Fund
shareholders.
NOTES
TO
THE
SCHEDULE
OF
INVESTMENTS
(continued)